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Firm dynamics in the Radner-Shepp model
Applied Mathematical Sciences. 2015. Vol. 9. No. 90. P. 4449-4468.
Pospelov I. G., Radionov S.
In a model of corporate finance introduced by Radner and Shepp and its numerous variations, the optimal dividend strategy was the main interest of research. Firm's dynamic properties like the probability of survival by the given time and the average ow of dividends recieved much less attention. We address these questions in a slightly modified Radner-Shepp model. Using the regularization of a Brownian motion with drift, which is, to our knowledge, new in the literature, we find the capital dynamics, the probability of survival by a given time, the average flow of dividends. We analyze the dependence of these indicators on firm's discount factor. © 2015 Igor G. Pospelov and Stanislav A. Radionov.
T.Belkina, Markov Processes and Related Fields 2014 Vol. 20 No. 3 P. 505-525
We consider two models of an insurance company which can invest
its surplus in a risk free asset and in a risky asset with the price following the
geometric
Brownian motion. In the first model the surplus without in- vestment is governed by the classical
Cram´er – Lundberg risk process. In the second model it is ...
Added: May 20, 2015
Belkina Tatiana, Hipp C., Luo S. et al., Scandinavian Actuarial Journal 2014 No. 5 P. 383-404
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk-free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the risky asset at a limited leveraging level; more ...
Added: May 20, 2015
Robust Anisotropy-Based Control for Uncertain Descriptor Systems with Transient Response Constraints
Andrianova O., Belov A., IFAC-PapersOnLine 2018 Vol. 51 No. 32 P. 515-520
In this paper, a problem of robust anisotropy-based control with regional pole assignment for descriptor systems with norm-bounded parametric uncertainties is concerned. The goal is to find a state-feedback control law, which guarantees desirable disturbance attenuation level from stochastic input with unknown covariance to controllable output of the closed-loop system, and ensures, that all finite ...
Added: December 16, 2018
Palamarchuk E. S., Automation and Remote Control 2016 Vol. 77 No. 10 P. 1756-1767
The optimality criteria used in the problem of stochastic linear regulator over an infinite time horizon were analyzed. A certain criterion for long-run average and pathwise ergodic were shown to be inefficient with regard for the disturbance factor. Consideration was given to a new criterion of the extended long-run average and its use in the ...
Added: October 21, 2016
Palamarchuk E. S., Управление большими системами: сборник трудов 2015 № 56 С. 123-142
We consider a problem of optimal portfolio selection in order to track a riskless reference portfolio. The performance of controls is evaluated according to the investor’s time-preference. We investigate the stochastic optimality of the control which minimizes the expected long-run cost, providing an asymptotically upper estimate (almost surely) on difference between objective functionals corresponding to ...
Added: October 6, 2015
Ilyashenko Y., Яковенко С. Ю., М. : МЦНМО, 2013
Предлагаемая книга—первый том двухтомной монографии, посвящённой аналитической теории дифференциальных уравнений.
В первой части этого тома излагается формальная и аналитическая теория нормальных форм и теорема о разрешении особенностей для векторных полей на плоскости.
Вторая часть посвящена алгебраически разрешимым локальным задачам теории аналитических дифференциальных уравнений , квадратичным векторным полям и проблеме локальной классификации ростков векторных полей в комплексной области ...
Added: February 5, 2014
Pahomov F., Известия РАН. Серия математическая 2016 Т. 80 № 6 С. 173-216
Полимодальная логика доказуемости
GLP была введена Г. К. Джапаридзе в 1986 г. Она является логикой доказуемости для ряда цепочек предикатов доказуемости возрастающей силы. Всякой полимодальной логике соответствует многообразие полимодальных алгебр. Л. Д. Беклемишевым и А. Виссером был поставлен вопрос о разрешимости элементарной теории свободной GLP-алгебры, порожденной константами 0, 1 [1]. В этой статье для любого натурального n решается аналогичный вопрос для логик GLPn, являющихся ...
Added: December 4, 2017
Sinelshchikov D., Кудряшов Н. А., Theoretical and Mathematical Physics 2018 Vol. 196 No. 2 P. 1230-1240
We study a family of nonautonomous generalized Liénard-type equations. We consider the equivalence problem via the generalized Sundman transformations between this family of equations and type-I Painlevé–Gambier equations. As a result, we find four criteria of equivalence, which give four integrable families of Liénard-type equations. We demonstrate that these criteria can be used to construct ...
Added: February 9, 2019
ООО Фирма "Элист", 2014
В книге представлены тезисы докладов I тура XV Всероссийской научно-технической конференции и школы молодых ученых, аспирантов и студентов. ...
Added: October 17, 2014
Zinder Y., Lazarev A. A., Musatova E. G., Автоматика и телемеханика 2020 Т. 5 С. 91-104
Представлен полиномиальный алгоритм корректировки расписания движения поездов для случая, когда один из путей двухпутной железной дороги становится недоступным, оставшийся путь содержит разъезд, а все поезда делятся на две категории: приоритетные поезда, например пассажирские, и обычные поезда, к которым относятся большинство грузовых поездов. Представленный алгоритм минимизирует негативное влияние, оказываемое блокировкой пути, сначала для приоритетных поездов, а ...
Added: September 2, 2020
Maslov V., Теоретическая и математическая физика 2019 Т. 201 № 1 С. 65-83
We study the process of a nucleon separating from an atomic nucleus from the mathematical standpoint
using experimental values of the binding energy for the nucleus of the given substance. A nucleon becomes
a boson at the instant of separating from a fermionic nucleus. We study the further transformations of
boson and fermion states of separation in a ...
Added: November 1, 2019
Kalyagin V.A., Koldanov A.P., Koldanov P.A. et al., Physica A: Statistical Mechanics and its Applications 2014 Vol. 413 No. 1 P. 59-70
A general approach to measure statistical uncertainty of different filtration techniques for market network analysis is proposed. Two measures of statistical uncertainty are introduced and discussed. One is based on conditional risk for multiple decision statistical procedures and another one is based on average fraction of errors. It is shown that for some important cases ...
Added: July 19, 2014
Losev A. S., Slizovskiy S., JETP Letters 2010 Vol. 91 P. 620-624
Added: February 27, 2013
191574970, Functional Analysis and Its Applications 2006 Vol. 40 No. 2 P. 81-90
It is well known that every module M over the algebra ℒ(X) of operators on a finite-dimensional space X can be represented as the tensor product of X by some vector space E, M ≅ = E ⊗ X. We generalize this assertion to the case of topological modules by proving that if X is a stereotype space with the stereotype approximation property, then for each stereotype module M over the ...
Added: September 23, 2016
Nazirov R., / ИКИ АН СССР. Серия 0 "Препринт ИКИ АН СССР". 1984. № Пр-875.
Added: April 1, 2013
49606783, Russian Journal of Mathematical Physics 2019 Vol. 26 No. 2 P. 168-173
The parameters of unstable short-living isotopes are studied from
the mathematical point of view. The values of the chemical potential
and activity parameters that determine the neutron halo arising when
the neutron separates from the nucleus of an unstable isotope are
calculated. The analogy between nuclear physics and economics is
considered from the point of view of such parameters as ...
Added: August 25, 2019
Семин С. В., Kurkina O. E., Kurkin A. A. et al., Труды НГТУ им. Р.Е. Алексеева 2012 № 2(95) С. 48-65
Purpose: Numerical modeling of internal baroclinic disturbances of different shapes in a model lake with variable depth, analysis of velocity field of wave-induced current, especially in the near-bed layer.
Approach: The study is carried out with the use of numerical full nonlinear nonhydrostatic model for stratified fluid.
Findings: The full nonlinear numerical modeling of internal wave dynamics ...
Added: October 6, 2012
Fengler M. R., Mammen E., Vogt M., Journal of Econometrics 2015 Vol. 188 No. 1 P. 196-218
Abstract We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of the linear heterogeneous autoregressive model which ...
Added: September 4, 2015
Levashov M., Кухаренко А. В., Вопросы защиты информации 2018 № 2 С. 66-71
Рассматривается статистическая модель одного этапа системы фрод-мониторинга транзакций в интернет-банкинге. Построен и рассчитан близкий к отношению правдоподобия критерий отсева мошеннических транзакций. Для выборочных распределений, полученных на выборке объема в 1 млн реальных транзакций, вычислены параметры эффективности этого критерия. ...
Added: June 14, 2018
Vyalyi M., Дискретная математика 1991 Т. 3 № 3 С. 35-45
Added: October 17, 2014
Kolokolov I., Lebedev V., Sizov G. A., Journal of Experimental and Theoretical Physics 2011 Vol. 140 No. 2 P. 387-400
We analyze magnetic kinematic dynamo in a conducting fluid where the stationary shear flow is accompanied by relatively weak random velocity fluctuations. The diffusionless and diffusion regimes are described. The growth rates of the magnetic field moments are related to the statistical characteristics of the flow describing divergence of the Lagrangian trajectories. The magnetic field ...
Added: February 2, 2017
Kotelnikova M. V., Aistov A., Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Социальные науки 2019 Т. 55 № 3 С. 183-189
The article describes a method that allows to improve the content of disciplines of the mathematical cycle by dividing them into invariant (general) and variable parts. The invariants were identified for such disciplines as «Linear algebra», «Mathematical analysis», «Probability theory and mathematical statistics» delivered to Bachelors program students of economics at several universities. Based on ...
Added: January 28, 2020
Min Namkung, Younghun K., Scientific Reports 2018 Vol. 8 No. 1 P. 16915-1-16915-18
Sequential state discrimination is a strategy for quantum state discrimination of a sender’s quantum
states when N receivers are separately located. In this report, we propose optical designs that can
perform sequential state discrimination of two coherent states. For this purpose, we consider not
only binary phase-shifting-key (BPSK) signals but also general coherent states, with arbitrary prior
probabilities. Since ...
Added: November 16, 2020
Bershtein M., Feigin B. L., Merzon G., Selecta Mathematica, New Series 2018 Vol. 24 No. 1 P. 21-62
We study plane partitions satisfying condition a_{n+1,m+1}=0 (this condition is called “pit”) and asymptotic conditions along three coordinate axes. We find the formulas for generating function of such plane partitions. Such plane partitions label the basis vectors in certain representations of quantum toroidal gl1 algebra, therefore our formulas can be interpreted as the characters of ...
Added: October 24, 2018