New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates

In a previous paper we gave a new formulation and derived the Euler equations and other necessary conditions to solve strong, pathwise, stochastic variational problems with trajectories driven by Brownian motion. Thus, unlike current methods which minimize the control over deterministic functionals (the expected value), we find the control which gives the critical point solution of random functionals of a Brownian path and then, if we choose, find the expected value.This increase in information is balanced by the fact that our methods are anticipative while current methods are not. However, our methods are more directly connected to the theory and meaningful examples of deterministic variational theory and provide better means of solution for free and constrained problems. In addition, examples indicate that there are methods to obtain nonanticipative solutions from our equations although the anticipative optimal cost function has smaller expected value.In this paper we give new, efficient numerical methods to find the solution of these problems in the quadratic case. Of interest is that our numerical solution has a maximal, a priori, pointwise error of O(h3/2) where h is the node size. We believe our results are unique for any theory of stochastic control and that our methods of proof involve new and sophisticated ideas for strong solutions which extend previous deterministic results by the first author where the error was O(h²).We note that, although our solutions are given in terms of stochastic differential equations, we are not using the now standard numerical methods for stochastic differential equations. Instead we find an approximation to the critical point solution of the variational problem using relations derived from setting to zero the directional derivative of the cost functional in the direction of simple test functions.Our results are even more significant than they first appear because we can reformulate stochastic control problems or constrained calculus of variations problems in the unconstrained, stochastic calculus of variations formulation of this paper. This will allow us to find efficient and accurate numerical solutions for general constrained, stochastic optimization problems. This is not yet being done, even in the deterministic case, except by the first author.     

Numerical analysis for stochastic age-dependent population equations with Poisson jumps

In this paper, stochastic age-dependent population equations with Poisson jumps are considered. In general, most of stochastic age-dependent population equations with jumps do not have explicit solutions, thus numerical approximation schemes are invaluable tools for exploring their properties. The main purpose of this paper is to develop a numerical Euler scheme and show the convergence of the numerical approximation solution to the true solution.     

Portfolio optimization in stochastic markets

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a Markov chain. Dynamic programming is used to solve an auxiliary problem which, in turn, gives the efficient frontier of the mean-variance formulation. An explicit expression is obtained for the efficient frontier and an illustrative example is given to demonstrate the application of the procedure.     

Allocating unfunded liability in pension valuation under uncertainty

This paper studied the cost allocation for the unfunded liability in a defined benefit pension scheme incorporating the stochastic phenomenon of its returns. In the recent literature represented by Cairns and Parker [Insurance: Mathematics and Economics 21 (1997) 43], Haberman [Insurance: Mathematics and Economics 11 (1992) 179; Insurance: Mathematics and Economics 13 (1993) 45; Insurance: Mathematics and Economics 14 (1994) 219; Insurance: Mathematics and Economics 14 (1997) 127], Owadally and Haberman [North American Actuarial Journal 3 (1999) 105], the fund level is modeled based on the plan dynamics and the returns are generated through several stochastic processes to reflect the current realistic economic perspective to see how the contribution changed as the cost allocation period increased. In this study, we generalize the previous constant value assumption in cost amortization by modeling the returns and valuation rates simultaneously. Taylor series expansion is employed to approximate the unconditional and conditional moments of the plan contribution and fund level. Hence the stability of the plan contribution and the fund size under different allocation periods could be estimated, which provide valuable information adding to the previous works.     

沿直线的垂直方向匀速直线运动的带电直线的电场

本文利用相对论变换关系计算了沿直线的垂直方向匀速运动的带电直线的电场.     

Comparative Study on Large and Small Signal Theory for Intensity Modulation Response of Semiconductor Lasers Including Higher-Order Dispersion Terms

In this article, the comparison of large signal theory and small signal theory has been done with dispersive propagation of optical signal with IMDD (Intensity Modulation Direct Detection) systems for semiconductor lasers with higher-order dispersion terms. The expressions for an exact large signal theory and small signal theory including higher-order dispersion terms for propagation of an optical wave with sinusoidal amplitude and frequency modulation in a dispersive fiber have been derived. It is observed that small signal theory is more sensitive compared to large signal theory in terms of intensity modulation/direct detection systems. Also, it is reported that for large signal analysis the higher-order effects of dispersion can be ignored, whereas for small signal theory, the higher-order effects can be ignored for lower modulation frequencies only. The variation in the transfer function for various values of modulation indices are greater for small signal analysis than for large signal analysis. Also, as the intensity modulation index is increased, there is a decrease in the value of transfer function. The large signal model approximates the small signal model for lower values of the intensity modulation index.     

Particle systems on flows

We start with a stochastic flow of diffeomorphisms of the space. Particles enter the space at random times and places. Each particle is carried by the flow for some random amount of time. We examine the point process formed by the particles at a fixed time, on the evolution of that point process as time varies, and on the equilibrium law of the point process.     

Characterization of strongly interacted multiple cracks in an infinite plate

Based on the Kachanov method and the alternating iteration technique, a new method is proposed to deal with the problem of the strongly interacted multiple cracks in an infinite plate. Unlike the Kachanov method which neglects the interaction of the tractions of the non-uniform components, the tractions of the non-uniform components on the surfaces of cracks are considered through the alternating technique. The accuracy and efficiency of present method are validated by comparing the results of two collinear and two parallel overlapped open the cracks obtained by the present method with those of the exact solutions, the results of the Kachanov method and the alternating iteration technique. Applications of present method in solving sliding close crack problems and evaluating the plastic zones demonstrate the versatility of present method.     

Equivariant mappings: a new approach in stochastic simulations

Stochastic simulations on manifolds usually are traced back to ⁿ via charts. If a group G is acting on a manifold M and if the respective distribution v is invariant under this group action then in many cases of practical interest there exists a more convenient approach which uses equivariant mappings. The concept of equivariant mappings will be discussed intensively at the instance of the Grassman manifold in which case G equals the orthogonal group. Further advantages of this concept will be demonstrated by applying it to a probabilistic problem from the field of combinatorial geometry.     

测定汞原子塞曼谱线相对强度

在原塞曼效应实验基础上，测定了塞曼分裂各谱线的相对强度，以作为原实验的补充．