Lowest priority waiting time distribution in an accumulating priority Lévy queue

We derive the waiting time distribution of the lowest class in an accumulating priority (AP) queue with positive Lévy input. The priority of an infinitesimal customer (particle) is a function of their class and waiting time in the system, and the particles with the highest AP are the next to be processed. To this end we introduce a new method that relies on the construction of a workload overtaking process and solving a first-passage problem using an appropriate stopping time.     

Modeling and analysis of a marine plankton system with nutrient recycling and diffusion

This article describes a nutrient‐phytoplankton‐zooplankton system with nutrient recycling in the presence of toxicity. We have studied the dynamical behavior of the system with delayed nutrient recycling in the first part of the article. Uniform persistent of the system is examined. In the second part of the article, we have incorporated diffusion of the plankton population to the system and dynamical behavior of the system is analyzed with instantaneous nutrient recycling. The condition of the diffusion driven instability is obtained. The conditions for the occurrence of Hopf and Turing bifurcation critical line in a spatial domain are derived. Variation of the system with small periodicity of diffusive coefficient has been studied. Stability condition of the plankton system subject to the periodic diffusion coefficient of the zooplankton is derived. It is observed that nutrient‐phytoplankton‐zooplankton interactions are very complex and situation specific. Moreover, we have obtained different exciting results, ranging from stable situation to cyclic oscillatory behavior may occur under different favorable conditions, which may give some insights for predictive management. © 2014 Wiley Periodicals, Inc. Complexity 21: 229–241, 2015     

Real-World Forward Rate Dynamics With Affine Realizations

We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral approach concerning the existence of affine realizations are transferred to the general case. A similar result holds true for models driven by compound Poisson processes with finite jump size distributions. However, in the presence of jumps with infinite activity we obtain severe restrictions on the structure of the market price of risk; typically, it must even be constant.     

关于图的一般邻点可区别边染色

给出了轮图W_n、扇图F_n、风车图K_2~t、图D_(m,4)、图D_(m,n)、齿轮图W_n的一般邻点可区别色指标.     

Goal achieving probabilities of cone‐constrained mean‐variance portfolios

In this paper, we establish closed‐form formulas for key probabilistic properties of the cone‐constrained optimal mean‐variance strategy, in a continuous market model driven by a multidimensional Brownian motion and deterministic coefficients. In particular, we compute the probability to obtain to a point, during the investment horizon, where the accumulated wealth is large enough to be fully reinvested in the money market, and safely grow there to meet the investor's financial goal at terminal time. We conclude that the result of Li and Zhou [Ann. Appl. Prob., v.16, pp.1751–1763, (2006)] in the unconstrained case carries over when conic constraints are present: the former probability is lower bounded by 80% no matter the market coefficients, trading constraints, and investment goal. We also compute the expected terminal wealth given that the investor's goal is underachieved, for both the mean‐variance strategy and the aforementioned hybrid strategy where transfer to the money market occurs if it allows to safely achieve the goal. The former probabilities and expectations are also provided in the case where all risky assets held are liquidated if financial distress is encountered. These results provide investors with novel practical tools to support portfolio decision‐making and analysis. Copyright © 2013 John Wiley & Sons, Ltd.     

Spike patterns in a reaction–diffusion ODE model with Turing instability

We explore a mechanism of pattern formation arising in processes described by a system of a single reaction–diffusion equation coupled with ordinary differential equations. Such systems of equations arise from the modeling of interactions between cellular processes and diffusing growth factors. We focus on the model of early carcinogenesis proposed by Marciniak‐Czochra and Kimmel, which is an example of a wider class of pattern formation models with an autocatalytic non‐diffusing component. We present a numerical study showing emergence of periodic and irregular spike patterns because of diffusion‐driven instability. To control the accuracy of simulations, we develop a numerical code on the basis of the finite‐element method and adaptive mesh grid. Simulations, supplemented by numerical analysis, indicate a novel pattern formation phenomenon on the basis of the emergence of nonstationary structures tending asymptotically to a sum of Dirac deltas. Copyright © 2013 John Wiley & Sons, Ltd.     

The stress driven instability in elastic crystals: Mathematical models and physical manifestations

Summary Equilibrium equations and stability conditions for the simple deformable elastic body are derived by means of considering a minimum of the static energy principle. The energy is supposed to be sum of the volume (elastic) and the surface terms. The ability to change relative positions of different material particles is taken into account, and appropriate natural definitions of the first and second variations of the energy are introduced and calculated explicitly. Considering the case of negligible magnitude of the surface tension, we establish that an equilibrium state of a nonhydrostatically stressed simple elastic body (of any physically reasonable elastic energy potential and of any symmetry) possessing any small smooth part of free surface is always unstable with respect to relative transfer of the material particles along the surface. Surface tension suppresses the mentioned instability with respect to sufficiently short disturbances of the boundary surface and thus can probably provide local smoothness of the equilibrium shape of the crystal. We derive explicit formulas for critical wavelength for the simplest models of the internal and surface energies and for the simplest equilibrium configurations. We also formulate the simplest problem of mathematical physics, revealing peculiarities and difficulties of the problem of equilibrium shape of elastic crystals, and discuss possible manifestations of the above-mentioned instability in the problems of crystal growth, materials science, fracture, physical chemistry, and low-temperature physics.     

Transition probabilities of Lévy‐type processes: Parametrix construction

We present an existence result for Lévy‐type processes which requires only weak regularity assumptions on the symbol with respect to the space variable x. Applications range from existence and uniqueness results for Lévy‐driven SDEs with Hölder continuous coefficients to existence results for stable‐like processes and Lévy‐type processes with symbols of variable order. Moreover, we obtain heat kernel estimates for a class of Lévy and Lévy‐type processes. The paper includes an extensive list of Lévy(‐type) processes satisfying the assumptions of our results.     

Strong competition model with non-uniform dispersal in a heterogeneous environment

In this study, a strong competition model was considered between two species in a heterogeneous environment. For a system with two different constant diffusion rates for each competitor, the fast diffuser can be selected evolutionally under suitable assumptions if the competing interaction between the species is strong. We also claim that a strongly interacting competition leads to a more evolutionary selection than that with the same population dynamics if a species moves with a certain non-uniform dispersal. Furthermore, species with a certain non-uniform dispersal have a competitive advantage over linear random diffusers. In addition, a species with highly sensitive dispersal response to the environment may survive. These strongly competitive advantages were demonstrated by investigating the stability of semi-trivial solutions of the system with non-uniform dispersal and comparing it to the conditions of the model with constant diffusion.     

Tight quadrangulations on the sphere

A quadrangulation is a simple graph on the sphere each of whose faces is quadrilateral. A quadrangulation G is said to be tight if each edge of G is incident to a vertex of degree exactly 3. We prove that any two tight quadrangulations with n?11 vertices, not isomorphic to pseudo double wheels, can be transformed into each other, through only tight quadrangulations, by at most rhombus rotations. If we restrict quadrangulations to be 3-connected, then the number of rhombus rotations can be decreased to 2n-22.