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.     

Banach空间中极大单调算子的一个邻近点算法

设E是Banach空间,T∶E→2E*是极大单调算子,T-10≠ф.令x0∈E,yn=(J λnT)-1xn en,xn 1=J-1(αnJxn (1-αn)Jyn),n0,λn>0,αn∈[0,1],文章研究了{xn}收敛性.     

Coordinating inventory control and pricing strategies: The continuous review model

We analyze an infinite horizon, single product, continuous review model in which pricing and inventory decisions are made simultaneously and ordering cost includes a fixed cost. We show that there exists a stationary (s,S) inventory policy maximizing the expected discounted or expected average profit under general conditions.     

Regularization of some linear ill-posed problems with discretized random noisy data

For linear statistical ill-posed problems in Hilbert spaces we introduce an adaptive procedure to recover the unknown solution from indirect discrete and noisy data. This procedure is shown to be order optimal for a large class of problems. Smoothness of the solution is measured in terms of general source conditions. The concept of operator monotone functions turns out to be an important tool for the analysis.

     

Minimax Theorems Involving Two Functions and Strictly Monotone Transformations of Their Values

Two two-function minimax theorems are proved.The concavity-convexity conditions of the twofunctions involve strictly monotone transformations and mixing of the values of the two functions,and aredescribed by the inequalities as upward and weakly downward conditions.     

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.     

极大单调算子的一个邻近点算法

设E是自反的Banach空间,T∶E→2E是极大单调算子.T-10≠.令x0∈E,yn=(J λnT)-1xn en,xn 1=J-1(αnJxn (1-αn)Jyn),n≥0,λn>0,αn∈[0,1],本文研究了{xn}收敛性.     

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.     

QUENCHING PROBLEMS OF DEGENERATE FUNCTIONAL REACTION-DIFFUSION EQUATION

This paper is concerned with the quenching problem of a degenerate functional reaction-diffusion equation. The quenching problem and global existence of solution for the reaction-diffusion equation are derived and, some results of the positive steady state solutions for functional elliptic boundary value are also presented.