Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach

The nested-simulation is commonly used for calculating the predictive distribution of the total variable annuity (VA) liabilities of large VA portfolios. Due to the large numbers of policies, inner-loops and outer-loops, running the nested-simulation for a large VA portfolio is extremely time consuming and often prohibitive. In this paper, the use of surrogate models is incorporated into the nested-simulation algorithm so that the relationship between the inputs and the outputs of a simulation model is approximated by various statistical models. As a result, the nested-simulation algorithm can be run with much smaller numbers of different inputs. Specifically, a spline regression model is used to reduce the number of outer-loops and a model-assisted finite population estimation framework is adapted to reduce the number of policies in use for the nested-simulation. From simulation studies, our proposed algorithm is able to accurately approximate the predictive distribution of the total VA liability at a significantly reduced running time.     

Strict (ε, δ)-Subdifferentials and Extremality Conditions

A new abstract definition of extremality is introduced extending traditional extremality notions in optimization problems. The set of points satisfying the new definition includes points not necessarily optimal in the usual sense but nevertheless having some extremal properties. Necessary and sufficient extremality conditions are derived. Contrary to usual notions of extremality the new one is stable relative to small deformations of the data.     

Resolvent estimates and decomposable extensions of generalized Cesàro operators

We determine the spectrum of generalized Cesàro operators with essentially rational symbols acting on various spaces of analytic functions, including Hardy spaces, weighted Bergman and Dirichlet spaces. Then we show that in all cases these operators are subdecomposable.     

Local Sampling and Reconstruction in Shift-Invariant Spaces and Their Applications in Spline Subspaces

The local reconstruction from samples is one of the most desirable properties for many applications in signal processing. Local sampling is practically useful since we need only to consider a signal on a bounded interval and computer can only process finite samples. However, the local sampling and reconstruction problem has not been given as much attention. Most of known results concern global sampling and reconstruction. There are only a few results about local sampling and reconstruction in spline subspaces. In this article, we study local sampling and reconstruction in general shift-invariant spaces and multiple generated shift-invariant spaces with compactly supported generators. Then we give several applications in spline subspaces and multiple generated spline subspaces.     

On the stochastic versions of Neumann and oblique derivative problems

In some areas, for instance geodesy, one finds the need of suitably defining the solution of certain boundary value problems (BVPs), for instance, the Laplace equation, where boundary data are very irregular and can be described as fields of random variables, with suitable regularity constraints (Rummel and Sansò, Lecture Notes on Earth Sciences, Vol. 65, 1997). This item has been attacked in the literature, although mainly for the case of the Dirichlet problem while much less material is available, for instance, for the Neumann and the Oblique Derivative Problem. In studying these stochastic problems in detail, the authors have found fairly general criteria which provide an automatic translation of a deterministic result into the corresponding stochastic one.     

Uniformity Structures on L-Fuzzy Spaces

We extend the notion of a uniform space in a natural way by defining a uniform spaces in L-fuzzy spaces.Although these spaces seem quite similar to ordinary case,we show that the category of this uniform spaces is a good extension of the category of ordinary uniform spaces and the category of L-uniform spaces.Moreover,we introduce the concept of uniform topological spaces in the framework of uniform spaces in L-fuzzy spaces.Furthermore,the relation between proximity and uniform spaces in L-fuzzy spaces will...     

基于样条插值的模糊控制算法

利用三次样条插值函数,直接由控制输入输出数据对建立了控制输入与控制输出之间的映射关系,得到了一元三次样条插值控制算法和二元双三次样条插值控制算法,并将二者分别用于单输入单输出系统和双输入单输出系统的仿真控制.仿真结果表明,上述方法是可行的,并且基于三次样条函数的模糊插值控制,具有响应快,无超调,稳态误差极小等很好的控制效果.其设计简单,不需要过多规则,对稀疏规则库条件下的控制器设计尤为适用.     

Carleson measures, multipliers and integration operators for spaces of Dirichlet type

For 0<p<∞ and α>−1, we let denote the space of those functions f which are analytic in the unit disc and satisfy . In this paper we characterize the positive Borel measures μ in D such that , 0<p<q<∞. We also characterize the pointwise multipliers from to (0<p<q<∞) if p−2<α<p. In particular, we prove that if the only pointwise multiplier from to (0<p<q<∞) is the trivial one. This is not longer true for and we give a number of explicit examples of functions which are multipliers from to for this range of values.     

A spline collocation approach for a generalized wave equation subject to non-local conservation condition

In the present paper, a collocation finite element approach based on cubic splines is presented for the numerical solution of a generalized wave equation subject to non-local conservation condition. The efficiency, accuracy and stability of the method are assessed by applying it to a number of test problems. The results are compared with the existing closed-form solutions; the scheme demonstrates that the numerical outcomes are reliable and quite accurate when contrasted with the analytical solutions and an existing numerical method.     

Function spaces and product topologies on powers of spaces

A study is made of two classes of product topologies on powers of spaces: the general box product topologies, and the general uniform product topologies. Some examples are given and some results are shown about the properties of these general product spaces. This is applied to show that certain spaces of continuous functions with the fine topology are homeomorphic to box product spaces, and certain spaces of continuous functions with the uniform topology are homeomorphic to uniform product spaces.