Constrained denumerable state non-stationary MDPs with expected total reward criterion

1.IntroductionandModelTheearlierliteratureaboutconstrainedMarkovdecisionprocesses(MDPs,forshort)canbefoundinDerman'sbook[1].Later,therehavebeenmanyachievementsinthisarea.Forexample,averagerewardMDPswithaconstrainthasbeendiscussedbyBeutleandRosslz],HordijkandKallenberg[3]jAltmanandSchwartz[4],etal.Inthecaseoffinitestatespace,discountedrewardcriterionMDPswithaconstrainthasbeentreatedbyKallenberg['landTanaka[6],etal.Whenstatespaceisdenumerable,suchproblemswerediscussedbySennott[71andAlt…     

Differential equations related to the Williams-Bjerknes tumour model

We investigate an initial value problem which is closely related to the Williams-Bjerknes tumour model for a cancer which spreads through an epithelial basal layer modeled onI ⊂ Z ². The solution of this problem is a familyp = (p _i(t)), where eachp _i(t)could be considered as an approximation to the probability that the cell situated ati is cancerous at timet. We prove that this problem has a unique solution, it is defined on [0, +∞[, and, for some relevant situations, lim_t→∞ P _i(t) = 1 for alli ∈ I. Moreover, we study the expected number of cancerous cells at timet.     

离散时间模型下的罚金折现期望

本文研究完全离散风险模型下的罚金折现期望.我们首先得到Φ(u,w)的瑕疵离散更新方程,利用控制收敛定理得出Φ(0,w)的显式解;然后通过对w的讨论,分别推出f(0;x),g(0;y)与ψ(0)的显式解。     

A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation

We present a new approach to asset allocation with transaction costs. A multiperiod stochastic linear programming model is developed where the risk is based on the worst case payoff that is endogenously determined by the model that balances expected return and risk. Utilizing portfolio protection and dynamic hedging, an investment portfolio similar to an option-like payoff structure on the initial investment portfolio is characterized. The relative changes in the expected terminal wealth, worst case payoff, and risk aversion, are studied theoretically and illustrated using a numerical example. This model dominates a static mean-variance model when the optimal portfolios are evaluated by the Sharpe ratio. Received: August 15, 1999 / Accepted: October 1, 2000?Published online December 15, 2000     

EXPECTED DISCOUNTED PENALTY FUNCTION AT RUIN FOR RISK PROCESS PERTURBED BY DIFFUSION UNDER INTEREST FORCE

In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-differential equation satisfied by Фδ （u ,w） are derived. Finally, the decomposition of Фδ（u,w） is discussed, and some properties of each decomposed part of Фδ（u,w） are obtained. The results can be reduced to some ones in Gerber and Landry＇s,Tsai and Willmot＇s, and Wang＇s works by letting parameter δ and （or） a be zero.     

Optimal periodic replacement policy for repairable products under free-repair warranty

This paper investigates the effects of a free-repair warranty on the periodic replacement policy for a repairable product. Cost models are developed for both a warranted and a non-warranted product, and the corresponding optimal periodic replacement policies are derived such that the long-run expected cost rate is minimized. For a product with an increasing failure rate function, structural properties of these optimal policies are obtained. By comparing these optimal policies, we show that the optimal replacement period for a warranted product should be adjusted toward the end of the warranty period. Finally, examples are given to numerically illustrate the impact of a product warranty on the optimal periodic replacement policy.     

用等效用原理对马氏链市场的UL生存合约定价

利用效用无差异原理,根据动态规划原则,最大化财富的期望指数效用,在马氏链驱动的市场下,导出HJB方程,给出unit-linked(UL)生存合约在简单Poisson市场下的保费方程,并给出它的数值模拟．这个结果推广了Brown运动驱动的市场下的保费方程,使得UL生存合约在联接到纯跳的市场时,可以用效用无差异原理定价．     

多级适应性休假MX/G/1排队系统的离去过程

考虑多级适应性休假的M~X/G/1排队系统的离去过程.运用全概率分解,更新过程理论和拉普拉斯-斯蒂尔吉变换,讨论了从初始状态i(i=0,1,…)出发,在(0,t]中服务完顾客的平均数,揭示了离去过程的特殊结构,并由此得到了一些特殊排队模型的相应指标.     

STUDY ON THE INTERRELATION OF EFFICIENT PORTFOLIOS AND THEIR FRONTIER UNDER t DISTRIBUTION AND VARIOUS RISK MEASURES

In order to study the effect of different risk measures on the efficient portfolios (frontier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivari-ate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision.     

Scenario-based stochastic programs: Resistance with respect to sample

A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems. Detailed applications of the method concern the two-stage stochastic linear programs with random recourse and the corresponding robust optimization problems.This work was supported by the Grant Agency of the Czech Republic under Grant No. 402/93/0631.