This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance...This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance company’s portfolio is governed by two classes of policyholders. On the one hand, the first class where the amount of claims is high, and on the other hand, the second class where the amount of claims is low, this difference in claim amounts has significant implications for the insurance company’s pricing and risk management strategies. When policyholders are in the first class, they pay an insurance premium of a constant amount c<sub>1</sub> and when they are in the second class, the premium paid is a constant amount c<sub>2</sub> such that c<sub>1 </sub>> c<sub>2</sub>. The nature of claims (low or high) is measured via random thresholds . The study in this work will focus on the determination of the integro-differential equations satisfied by Gerber-Shiu functions and their Laplace transforms in the risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. .展开更多
The integro-partial-differential equation that governs the dynamical behavior of homogeneous viscoelastic beams was established. The material of the beams obeys the Leaderman nonlinear constitutive relation. rn the ca...The integro-partial-differential equation that governs the dynamical behavior of homogeneous viscoelastic beams was established. The material of the beams obeys the Leaderman nonlinear constitutive relation. rn the case of two simply supported ends, the mathematical model is simplified into an integro-differential equation after a 2nd-order truncation by the Galerkin method. Then the equation is further reduced to an ordinary differential equation which is convenient to carry out numerical experiments. Finally, the dynamical behavior of Ist-order and 2nd-order truncation are numerically compared.展开更多
The numerical analysis of heat transfer of laminar nanofluid flow over a fiat stretching sheet is presented. Two sets of boundary conditions （BCs） axe analyzed, i.e., a constant （Case 1） and a linear streamwise va...The numerical analysis of heat transfer of laminar nanofluid flow over a fiat stretching sheet is presented. Two sets of boundary conditions （BCs） axe analyzed, i.e., a constant （Case 1） and a linear streamwise variation of nanopaxticle volume fraction and wall temperature （Case 2）. The governing equations and BCs axe reduced to a set of nonlinear ordinary differential equations （ODEs） and the corresponding BCs, respectively. The dependencies of solutions on Prandtl number Pr, Lewis number Le, Brownian motion number Nb, and thermophoresis number Nt are studied in detail. The results show that the reduced Nusselt number and the reduced Sherwood number increase for the BCs of Case 2 compared with Case 1. The increases of Nb, Nt, and Le numbers cause a decrease of the reduced Nusselt number, while the reduced Sherwood number increases with the increase of Nb and Le numbers. For low Prandtl numbers, an increase of Nt number can cause to decrease in the reduced Sherwood number, while it increases for high Prandtl numbers.展开更多
本文考虑一类由分形布朗运动驱动的随机微分方程的收敛情况.我们证明序列方程几乎必然和p阶矩收敛到极限方程,序列方程的欧拉逼近与极限方程之间的误差以某个速度几乎必然收敛到一个与极限方程解的Malliavin导数有关的随机变量.以上两...本文考虑一类由分形布朗运动驱动的随机微分方程的收敛情况.我们证明序列方程几乎必然和p阶矩收敛到极限方程,序列方程的欧拉逼近与极限方程之间的误差以某个速度几乎必然收敛到一个与极限方程解的Malliavin导数有关的随机变量.以上两点分别对[lnt.J.Stoch.Anal.,2012,2012:Article ID 281474,13 pp.]和[J.Theor.Probab.,2007,20:871-899]的结论进行了改进和推广.展开更多
There exists a property “structural stability” for “4-dimensional canards” which is a singular-limit solution in a slow-fast system with a bifurcation parameter. It means that the system includes the possibility t...There exists a property “structural stability” for “4-dimensional canards” which is a singular-limit solution in a slow-fast system with a bifurcation parameter. It means that the system includes the possibility to have some critical values on the bifurcation parameter. Corresponding to these values, the pseudo-singular point, which is a singular point in the time-scaled-reduced system should be changed to another one. Then, the canards may fly to another pseudo-singular point, if possible. Can the canards fly? The structural stability gives the possibility for the canards flying. The precise reasons why happen are described in this paper.展开更多
In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to...In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs.展开更多
For the purpose of computer calculation to evaluate time-dependent quantum properties in finite temperature, we propose new numerical method expressed in the forms of simultaneous differential equations. At first we d...For the purpose of computer calculation to evaluate time-dependent quantum properties in finite temperature, we propose new numerical method expressed in the forms of simultaneous differential equations. At first we derive the equation of motion in finite temperature, which is found to be same expression as Heisenberg equation of motion except for the c-number. Based on this equation, we construct numerical method to estimate time-dependent physical properties in finite temperature precisely without using analytical procedures such as Keldysh formalism. Since our approach is so simple and is based on the simultaneous differential equations including no terms related to self-energies, computer programming can be easily performed. It is possible to estimate exact time-dependent physical properties, providing that Hamiltonian of the system is taken to be a one-electron picture. Furthermore, we refer to the application to the many body problem and it is numerically possible to calculate physical properties using Hartree Fock approximation. Our numerical method can be applied to the case even when perturbative Hamiltonians are newly introduced or Hamiltonian shows complex time-dependent behavior. In this article, at first, we derive the equation of motion in finite temperature. Secondly, for the purpose of verification and of exhibiting the usefulness, we show the derivation of gap equation of superconductivity and of sum rule of electrical conductivity and the application to the many body problem. Finally we apply this method to these two cases: the first case is most simplified resonance charge transfer neutralization of an ion and the second is the same process but impurity potential is newly introduced as perturbative Hamiltonian. Through both cases, it is found that neutralization process is not so sensitive to temperature, however, impurity potential as small as 10 meV strongly influences the neutralization of ion.展开更多
文摘This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance company’s portfolio is governed by two classes of policyholders. On the one hand, the first class where the amount of claims is high, and on the other hand, the second class where the amount of claims is low, this difference in claim amounts has significant implications for the insurance company’s pricing and risk management strategies. When policyholders are in the first class, they pay an insurance premium of a constant amount c<sub>1</sub> and when they are in the second class, the premium paid is a constant amount c<sub>2</sub> such that c<sub>1 </sub>> c<sub>2</sub>. The nature of claims (low or high) is measured via random thresholds . The study in this work will focus on the determination of the integro-differential equations satisfied by Gerber-Shiu functions and their Laplace transforms in the risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. .
文摘The integro-partial-differential equation that governs the dynamical behavior of homogeneous viscoelastic beams was established. The material of the beams obeys the Leaderman nonlinear constitutive relation. rn the case of two simply supported ends, the mathematical model is simplified into an integro-differential equation after a 2nd-order truncation by the Galerkin method. Then the equation is further reduced to an ordinary differential equation which is convenient to carry out numerical experiments. Finally, the dynamical behavior of Ist-order and 2nd-order truncation are numerically compared.
文摘The numerical analysis of heat transfer of laminar nanofluid flow over a fiat stretching sheet is presented. Two sets of boundary conditions （BCs） axe analyzed, i.e., a constant （Case 1） and a linear streamwise variation of nanopaxticle volume fraction and wall temperature （Case 2）. The governing equations and BCs axe reduced to a set of nonlinear ordinary differential equations （ODEs） and the corresponding BCs, respectively. The dependencies of solutions on Prandtl number Pr, Lewis number Le, Brownian motion number Nb, and thermophoresis number Nt are studied in detail. The results show that the reduced Nusselt number and the reduced Sherwood number increase for the BCs of Case 2 compared with Case 1. The increases of Nb, Nt, and Le numbers cause a decrease of the reduced Nusselt number, while the reduced Sherwood number increases with the increase of Nb and Le numbers. For low Prandtl numbers, an increase of Nt number can cause to decrease in the reduced Sherwood number, while it increases for high Prandtl numbers.
文摘本文考虑一类由分形布朗运动驱动的随机微分方程的收敛情况.我们证明序列方程几乎必然和p阶矩收敛到极限方程,序列方程的欧拉逼近与极限方程之间的误差以某个速度几乎必然收敛到一个与极限方程解的Malliavin导数有关的随机变量.以上两点分别对[lnt.J.Stoch.Anal.,2012,2012:Article ID 281474,13 pp.]和[J.Theor.Probab.,2007,20:871-899]的结论进行了改进和推广.
文摘There exists a property “structural stability” for “4-dimensional canards” which is a singular-limit solution in a slow-fast system with a bifurcation parameter. It means that the system includes the possibility to have some critical values on the bifurcation parameter. Corresponding to these values, the pseudo-singular point, which is a singular point in the time-scaled-reduced system should be changed to another one. Then, the canards may fly to another pseudo-singular point, if possible. Can the canards fly? The structural stability gives the possibility for the canards flying. The precise reasons why happen are described in this paper.
文摘In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs.
文摘For the purpose of computer calculation to evaluate time-dependent quantum properties in finite temperature, we propose new numerical method expressed in the forms of simultaneous differential equations. At first we derive the equation of motion in finite temperature, which is found to be same expression as Heisenberg equation of motion except for the c-number. Based on this equation, we construct numerical method to estimate time-dependent physical properties in finite temperature precisely without using analytical procedures such as Keldysh formalism. Since our approach is so simple and is based on the simultaneous differential equations including no terms related to self-energies, computer programming can be easily performed. It is possible to estimate exact time-dependent physical properties, providing that Hamiltonian of the system is taken to be a one-electron picture. Furthermore, we refer to the application to the many body problem and it is numerically possible to calculate physical properties using Hartree Fock approximation. Our numerical method can be applied to the case even when perturbative Hamiltonians are newly introduced or Hamiltonian shows complex time-dependent behavior. In this article, at first, we derive the equation of motion in finite temperature. Secondly, for the purpose of verification and of exhibiting the usefulness, we show the derivation of gap equation of superconductivity and of sum rule of electrical conductivity and the application to the many body problem. Finally we apply this method to these two cases: the first case is most simplified resonance charge transfer neutralization of an ion and the second is the same process but impurity potential is newly introduced as perturbative Hamiltonian. Through both cases, it is found that neutralization process is not so sensitive to temperature, however, impurity potential as small as 10 meV strongly influences the neutralization of ion.
