In this work time independent damping systems are studied using Lagrangian and Hamiltonian for time independent damping, which are present through the factor e<sup>λq</sup>. The Hamilton Jacobi equation i...In this work time independent damping systems are studied using Lagrangian and Hamiltonian for time independent damping, which are present through the factor e<sup>λq</sup>. The Hamilton Jacobi equation is formulated to find the Hamilton Jacobi function S using separation of variables technique. We can form this function in compact form of two parts the first part as a function of coordinate q, and the second part as a function of time t. Finally, we find the ability of these systems to quantize through an illustrative example.展开更多
Path integral technique is discussed using Hamilton Jacobi method. The Hamilton Jacobi function of non-natural Lagrangian is obtained using separation of variables method. This function makes an important role in path...Path integral technique is discussed using Hamilton Jacobi method. The Hamilton Jacobi function of non-natural Lagrangian is obtained using separation of variables method. This function makes an important role in path integral quantization. The path integral is obtained as integration over the canonical phase space coordinates, which contains the generalized coordinate q and the generalized momentum p. One illustrative example is considered to explain the application of our formalism.展开更多
The constrained motion of a particle on an elliptical path is studied using Hamiltonian mechanics through Poisson bracket and Lagrangian mechanics through Euler Lagrange equation using non-natural Lagrangian. We calcu...The constrained motion of a particle on an elliptical path is studied using Hamiltonian mechanics through Poisson bracket and Lagrangian mechanics through Euler Lagrange equation using non-natural Lagrangian. We calculate the generalized momentum p<sub>θ</sub> and we find that this quantity is not conserved and the conjugate θ coordinate is not a cyclic coordinate.展开更多
In this paper, the surplus process of the insurance company is described by a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky assets and purchase excess-of-lo...In this paper, the surplus process of the insurance company is described by a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky assets and purchase excess-of-loss reinsurance. Under short-selling prohibition, we consider two optimization problems: the problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the probability of ruin. We first show that the excess-of-loss reinsurance strategy is always better than the proportional reinsurance under two objective functions. Then, by solving the corresponding Hamilton-Jacobi-Bellman equations, the closed-form solutions of their optimal value functions and the corresponding optimal strategies are obtained. In particular, when there is no risky-free interest rate, the results indicate that the optimal strategies, under maximizing the expected exponential utility and minimizing the probability of ruin, are equivalent for some special parameter. This validates Ferguson's longstanding conjecture about the relation between the two problems.展开更多
文摘In this work time independent damping systems are studied using Lagrangian and Hamiltonian for time independent damping, which are present through the factor e<sup>λq</sup>. The Hamilton Jacobi equation is formulated to find the Hamilton Jacobi function S using separation of variables technique. We can form this function in compact form of two parts the first part as a function of coordinate q, and the second part as a function of time t. Finally, we find the ability of these systems to quantize through an illustrative example.
文摘Path integral technique is discussed using Hamilton Jacobi method. The Hamilton Jacobi function of non-natural Lagrangian is obtained using separation of variables method. This function makes an important role in path integral quantization. The path integral is obtained as integration over the canonical phase space coordinates, which contains the generalized coordinate q and the generalized momentum p. One illustrative example is considered to explain the application of our formalism.
文摘The constrained motion of a particle on an elliptical path is studied using Hamiltonian mechanics through Poisson bracket and Lagrangian mechanics through Euler Lagrange equation using non-natural Lagrangian. We calculate the generalized momentum p<sub>θ</sub> and we find that this quantity is not conserved and the conjugate θ coordinate is not a cyclic coordinate.
基金supported by Keygrant Project of Ministry of Education, China (Grant No. 309009)National Natural Science Foundation of China (Grant No. 10871102)
文摘In this paper, the surplus process of the insurance company is described by a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky assets and purchase excess-of-loss reinsurance. Under short-selling prohibition, we consider two optimization problems: the problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the probability of ruin. We first show that the excess-of-loss reinsurance strategy is always better than the proportional reinsurance under two objective functions. Then, by solving the corresponding Hamilton-Jacobi-Bellman equations, the closed-form solutions of their optimal value functions and the corresponding optimal strategies are obtained. In particular, when there is no risky-free interest rate, the results indicate that the optimal strategies, under maximizing the expected exponential utility and minimizing the probability of ruin, are equivalent for some special parameter. This validates Ferguson's longstanding conjecture about the relation between the two problems.
