Divided-difference equation and three-term recurrence relations of some systems of bivariate q-orthogonal polynomials

Partial divided-difference equations and three-term recurrence relations satisfied by the bivariate Askey–Wilson and the bivariate q-Racah polynomials are computed in this work. By using limiting processes, partial divided (or q)-difference equations and three-term recurrence relations are also provided for each of the following families of orthogonal polynomials: the bivariate continuous dual q-Hahn, the bivariate Al-Salam-Chihara, the bivariate continuous q-Hahn, the bivariate q-Hahn, the bivariate dual q-Hahn, the bivariate q-Krawtchouk, the bivariate q-Meixner, and the bivariate q-Charlier polynomials.     

General decay of solutions of a wave equation with memory term and acoustic boundary condition

In this paper, the global solvability to the mixed problem involving the wave equation with memory term and acoustic boundary conditions for non‐locally reacting boundary is considered. Moreover, the general decay of the energy functionality is established by the techniques of Messaoudi. Copyright © 2016 John Wiley & Sons, Ltd.     

Existence and exact controllability of fractional evolution inclusions with damping

The aim of this paper is to deal with the existence of mild solutions and exact controllability for a class of fractional evolution inclusions with damping (FEID, for short) in Banach spaces. Firstly, we provide the representation of mild solutions for FEID by applying the method of Laplace transform and the theory of (α,κ)‐regularized families of operators. Next, we are concerned with the existence and exact controllability of FEID under some suitable sufficient conditions by using the method of measure of noncompactness and an appropraite fixed point theorem. Finally, an application to nonlinear partial differential equations with temporal fractional derivatives is presented to illustrate the effectiveness of our main results. Copyright © 2017 John Wiley & Sons, Ltd.     

A new approach to constant term identities and Selberg-type integrals

Selberg-type integrals that can be turned into constant term identities for Laurent polynomials arise naturally in conjunction with random matrix models in statistical mechanics. Built on a recent idea of Karasev and Petrov we develop a general interpolation based method that is powerful enough to establish many such identities in a simple manner. The main consequence is the proof of a conjecture of Forrester related to the Calogero–Sutherland model. In fact we prove a more general theorem, which includes Aomoto's constant term identity at the same time. We also demonstrate the relevance of the method in additive combinatorics.     

Dynamics and optimal control in a spatially structured economic growth model with pollution diffusion and environmental taxation

In the first part of this paper we present a spatially structured dynamic economic growth model which takes into account the level of pollution and a possible taxation based on the amount of produced pollution. In the second part we analyze an optimal harvesting control problem with an objective function composed of three terms, namely the intertemporal utility of the decision maker, the space–time average of the level of pollution in the habitat, and the disutility due to the imposition of taxation.     

基于卡尔曼滤波的期货价格期限结构模型

为准确对商品期货合约进行定价和预测,本文在短期-长期模型的基础上,提出以短期偏离、中期偏离和长期均衡为状态变量的三因素模型。本文根据状态变量的假设建立相关微分方程,并推导出模型的解,再运用卡尔曼滤波和极大似然法得到模型的参数和状态变量。最后,通过比较多种误差统计量证明,本文的短期-中期-长期模型的拟合与预测能力优于短期-长期模型。     

基于最小一乘准则的三次样条对利率期限结构的拟合

将基于最小一乘准则的三次样条函数法应用于拟合在上海证券交易所交易的国债的利率期限结构,并与传统的最小二乘法进行比较。样本外预测结果显示,稳健的最小一乘方法能有效的降低异常点的干扰,弥补最小二乘法的不足,提高预测的精度。     

含有持久生存数据的复发事件的生存函数的一个非参数方法(英文)

在生物学、社会科学、保险理赔、可靠性和人口统计学等的研究中,我们经常会遇到复发事件数据的处理.最近一段时间以来,两个相邻复发事件的时间间隔的一个纵向数据模型已经引起统计工作者的广泛兴趣.本文中,我们提议另一个复发事件时间间隔模型,它可以用来模拟生存数据中带有所谓的持久生存者.非参数方法将用于我们所提议模型的统计推断,模拟和现实数据的例子将用来评价模型和提议估计方法的小样本性质.     

An efficient splitting technique for two‐layer shallow‐water model

We consider the numerical approximation of the weak solutions of the two‐layer shallow‐water equations. The model under consideration is made of two usual one‐layer shallow‐water model coupled by nonconservative products. Because of the nonconservative products of the system, which couple both one‐layer shallow‐water subsystems, the usual numerical methods have to consider the full model. Of course, uncoupled numerical techniques, just involving finite volume schemes for the basic shallow‐water equations, are very attractive since they are very easy to implement and they are costless. Recently, a stable layer splitting technique was introduced [Bouchut and Morales de Luna, M2AN Math Model Numer Anal 42 (2008), 683–698]. In the same spirit, we exhibit new splitting technique, which is proved to be well balanced and non‐negative preserving. The main benefit issuing from the here derived uncoupled method is the ability to correctly approximate the solution of very severe benchmarks. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 1396–1423, 2015     

The long‐term extreme price risk measure of portfolio in inventory financing: An application to dynamic impawn rate interval

Different from the short‐term risk measure for traditional financial assets (stocks, bonds, etc.), the key to illiquid inventory portfolio traded in the over‐the‐counter markets is to estimate the long‐term extreme price risk with time varying volatility. In this article, a new long‐term extreme price risk (value at risk and conditional value at risk) measure method for inventory portfolio and an application to dynamic impawn rate interval are proposed. To realize this, we first establish AutoRegressive Moving Average‐Exponential Generalized Autoregressive Conditional Heteroskedasticity‐Extreme Value Theory model and multivariatet‐Copula to depict the autocorrelation, fat tails, and volatility clustering of returns of inventories and the nonlinear dependence structure of inventories. Furthermore, we obtain the long‐term extreme price risk with time varying volatility via Monte Carlo simulation instead of square‐root‐of time rule. The results show that, first, benefits from risk diversification is significant; second, long‐term extreme price risk measure of inventory portfolio via Monte Carlo method outperforms the square‐root‐of time rule; the last is that the dynamic rate interval based on the long‐term price risk is superior to the crude rules of thumb in terms of reducing efficiency loss and improving risk coverage. In summary, this article provides a new quantitative framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation. © 2014 Wiley Periodicals, Inc. Complexity 20: 17–34, 2015