Motzkin numbers out of Random Domino Automaton

Motzkin numbers are derived from a special case of Random Domino Automaton – recently proposed a slowly driven system being a stochastic toy model of earthquakes. It is also a generalisation of 1D Drossel–Schwabl forest-fire model. A solution of the set of equations describing stationary state of Random Domino Automaton in inverse-power case is presented. A link with Motzkin numbers allows to present explicit form of asymptotic behaviour of the automaton.     

Stability analysis for stochastic jump systems with time-varying delay

This paper deals with the mean-square asymptotic stability of stochastic Markovian jump systems with time-varying delay. Based on a new stochastic inequality and convex analysis property, some novel stability conditions are presented. In the derivation, the information of the time-varying delay is retained and the estimation of it by the worst-case enlargement is not involved. Some special cases of the systems under consideration are also investigated. Illustrative examples are given to show the effectiveness of the proposed approach.     

Data envelopment analysis models of investment funds

This paper develops theory missing in the sizable literature that uses data envelopment analysis to construct return-risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research.     

Some Remark on Optimal Stochastic Control with Partial Information

Abstract

We are interested in the control problem of a partially observable diffusion process, which is initialized at a fixed point of ? ⁿ , and we want to characterize the associated value function. To resort to the theory of viscosity solutions depends on the possibility to translate such a problem on Hilbert spaces like L ²(? ⁿ ), and so it can not be used here. Nevertheless, a result of N. Bouleau and F. Hirsch allows us to introduce a broadened problem which fulfills the condition. The fact remains to link these two control problems.     

Well adjusted: Using expediting and cancelation to manage store replenishment inventory for a seasonal good

We consider an inventory problem that can be translated into a two-period newsvendor setting where the day prior to sales, the newsvendor places an initial preliminary order—a semi-binding forecast—with the publisher. At the beginning of the actual day of sales, the newsvendor has a better forecast for the day’s demand: based on knowing the actual content of the paper, he knows whether it will be a high-demand day due to breaking news or a low-demand day due to slow news. He then can revise the preliminary order quantity by expediting additional papers or canceling all or part of the order, but each of these activities has an associated cost.     

On Weak Solutions of Stochastic Differential Equations II

In the first part of this article a new method of proving existence of weak solutions to stochastic differential equations with continuous coefficients having at most linear growth was developed. In this second part, we show that the same method may be used even if the linear growth hypothesis is replaced with a suitable Lyapunov condition.     

A new distance measure including the weak preference relation: Application to the multiple criteria aggregation procedure for mixed evaluations

We introduce a new distance measure between two preorders that captures indifference, strict preference, weak preference and incomparability relations. This measure is the first to capture weak preference relations. We illustrate how this distance measure affords decision makers greater modeling power to capture their preferences, or uncertainty and ambiguity around them, by using our proposed distance measure in a multiple criteria aggregation procedure for mixed evaluations.     

Bi-Sobolev solutions to the prescribed Jacobian inequality in the plane with Lp data and applications to nonlinear elasticity

We construct planar bi-Sobolev mappings whose local volume distortion is bounded from below by a given function $f\in L^p$ with $p>1$. More precisely, for any $1<q<(p+1)/2$ we construct $W^{1,q}$-bi-Sobolev maps with identity boundary conditions; for $f\in L^{\infty }$, we provide bi-Lipschitz maps. The basic building block of our construction are bi-Lipschitz maps which stretch a given compact subset of the unit square by a given factor while preserving the boundary. The construction of these stretching maps relies on a slight strengthening of the celebrated covering result of Alberti, Csörnyei, and Preiss for measurable planar sets in the case of compact sets. We apply our result to a model functional in nonlinear elasticity, the integrand of which features fast blowup as the Jacobian determinant of the deformation becomes small. For such functionals, the derivation of the equilibrium equations for minimizers requires an additional regularization of test functions, which our maps provide.     

Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain

This paper concerns with the problem of how to running an insurance company to maximize his total discounted expected dividends. In our model, the dividend rate is limited in $[0,M]$ and the company is allowed to transfer any proportion of risk by reinsuring. So there are two strategies which we call dividend strategy and reinsurance strategy. The objective function and the corresponding optimal two strategies are the solution and the two free boundaries of the following Barenblatt parabolic equation

$v_t?\underset{0\le a\le 1}{\max }?(\frac{1}{2}{a}^2{\sigma }^2{v}_{xx}+a\mu v_x)+cv?\underset{0\le l\le M}{\max }?[(1?v_x)l]=0$

under certain boundary conditions on an angular domain

$Q_T=\{(x,t)|0<x<Mt,0<t\le T\}.$

The main effort is to analyze the properties of the solution and the free boundaries to show the optimal decision for the insurance company.