Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan

A continuous time stochastic model is used to study a hybrid pension plan, where both the contribution and benefit levels are adjusted depending on the performance of the plan, with risk sharing between different generations. The pension fund is invested in a risk-free asset and multiple risky assets. The objective is to seek an optimal investment strategy and optimal risk-sharing arrangements for plan trustees and participants so that this proposed hybrid pension system provides adequate and stable income to retirees while adjusting contributions effectively, as well as keeping its sustainability in the long run. These goals are achieved by minimizing the expected discount disutility of intermediate adjustment for both benefits and contributions and that of terminal wealth in finite time horizon. Using the stochastic optimal control approach, closed-form solutions are derived under quadratic loss function and exponential loss function. Numerical analysis is presented to illustrate the sensitivity of the optimal strategies to parameters of the financial market and how the optimal benefit changes with respect to different risk aversions. Through numerical analysis, we find that the optimal strategies do adjust the contributions and retirement benefits according to fund performance and model objectives so the intergenerational risk sharing seem effectively achieved for this collective hybrid pension plan.     

非线性离散微分方程的双曲函数法求解

本文推广了双曲函数方法用于求解非线性离散系统。求解离散的(2+1)维Toda系统和离散的mKdV系统，成功地得到了离散钟型孤立子、离散冲击波型孤立子及一些新的精确行波解。     

Upper bound for the time derivative of entropy for a dynamical system driven by coloured cross-correlated white noises

It is shown how the cross-correlation time and strength of coloured cross-correlated white noises can set an upper bound for the time derivative of entropy in a nonequilibrium system. The value of upper bound can be calculated directly based on the Schwartz inequality principle and the Fokker--Planck equation of the dynamical system driven by coloured cross-correlated white noises. The present calculations can be used to interpret the interplay of the dissipative constant and cross-correlation time and strength of coloured cross-correlated white noises on the upper bound.     

Equivalence Relation between Initial Values and Solutions for Evolution p-Laplacian Equation in Unbounded Space

In this paper,an equivalence relation between the ω-limit set of initial values and the ω-limit set of solutions is established for the Cauchy problem of evolution p-Laplacian equation in the unbounded space Yσ(RN).To overcome the difficulties caused by the nonlinearity of the equation and the unbounded solutions,we establish the propagation estimate and the growth estimate for the solutions.It will be demonstrated that the equivalence relation can be used to study the asymptotic behavior of solutions.     

平板几何迁移算子的特征值问题

研究L^p(1相似文献   

三维Brinkman-Forchheimer方程强解的全局吸引子的存在性

研究了三维有界区域上Brinkman-Forchheimer方程■-γ△u+au+b|u|u+c|u|^βu+▽p=f强解的存在唯一性及强解的全局吸引子的存在性.首先证明了当5/2≤β≤4及初始值u₀∈H₀¹(Ω)时强解的存在唯一性.接着对强解进行了一系列一致估计,基于这些一致估计,借助半群理论证明了方程的强解分别在H₁¹(Ω)和H²(Ω)空间中具有全局吸引子,并证明了H₀¹(Ω)中的全局吸引子实际上便是H²(Ω)中的全局吸引子.     

Existence and Blowup of Solutions for Neutral Partial Integro-differential Equations with State-dependent Delay

In this paper, we study the existence and blowup of solutions for a neutral partial functional integro-differential equation with state-dependent delay in Banach space. The mild solutions are obtained by Sadovskii fixed point theorem under compactness condition for the resolvent operator, the theory of fractional power and α-norm are also used in the discussion since the nonlinear terms of the system involve spacial derivatives. The strong solutions are obtained under the lipschitz condition. In addition, based on the local existence result and a piecewise extended method, we achieve a blowup alternative result as well for the considered equation. Finally, an example is provided to illustrate the application of the obtained results.     

Can a Circulating Light Beam Produce a Time Machine

In a recent paper, Mallett found a solution of the Einstein equations in which closed timelike curves (CTC’s) are present in the empty space outside an infinitely long cylinder of light moving in circular paths around an axis. Here we show that, for physically realistic energy densities, the CTC’s occur at distances from the axis greater than the radius of the visible universe by an immense factor. We then show that Mallett’s solution has a curvature singularity on the axis, even in the case where the intensity of the light vanishes. Thus it is not the solution one would get by starting with Minkowski space and establishing a cylinder of light.     

Hierarchy of the Selberg Zeta Functions

We introduce a Selberg type zeta function of two variables which interpolates several higher Selberg zeta functions. The analytic continuation, the functional equation and the determinant expression of this function via the Laplacian on a Riemann surface are obtained.Mathematics Subject Classifications (2000). Primary 11M36, Secondary 33B15     

各向异性EQrot1非协调元高精度分析的一般格式

本文在各向异性网格下讨论了一般二阶椭圆方程的EQrot1非协调有限元逼近.利用Taylor展开,积分恒等式和平均值技巧导出了一些关于该元新的高精度估计.再结合该元所具有的二个特殊性质:(a)当精确解属于H3(Ω)时,其相容误差为O(h2)阶比它的插值误差高一阶;(b)插值算子与Ritz投影算子等价,得到了在能量模意义下O(h2)阶的超逼近性质.进而,借助于插值后处理技术给出了整体超收敛的一般估计式.