R&D projects analyzed by semimartingale methods

1985 ◽  
Vol 22 (02) ◽  
pp. 288-299 ◽  
Author(s):  
Knut K. Aase
Keyword(s):  
Brownian Motion ◽  
Stochastic Equation ◽  
Compound Poisson Process ◽  
General Nature ◽  
Decision Variable ◽  
Non Linear Equation ◽  
Special Cases ◽  
Dynamic Stochastic ◽  
Present Setting

In this article we examine R&D projects where the project status changes according to a general dynamic stochastic equation. This allows for both continuous and jump behavior of the project status. The time parameter is continuous. The decision variable includes a non-stationary resource expenditure strategy and a stopping policy which determines when the project should be terminated. Characterization of stationary policies becomes straightforward in the present setting. A non-linear equation is determined for the expected discounted return from the project. This equation, which is of a very general nature, has been considered in certain special cases, where it becomes manageable. The examples include situations where the project status changes according to a compound Poisson process, a geometric Brownian motion, and a Brownian motion with drift. In those cases we demonstrate how the exact solution can be obtained and the optimal policy found.

R&D projects analyzed by semimartingale methods

1985 ◽  
Vol 22 (2) ◽  
pp. 288-299 ◽  
Author(s):  
Knut K. Aase
Keyword(s):  
Brownian Motion ◽  
Stochastic Equation ◽  
Compound Poisson Process ◽  
General Nature ◽  
Decision Variable ◽  
Non Linear Equation ◽  
Special Cases ◽  
Dynamic Stochastic ◽  
Present Setting

In this article we examine R&D projects where the project status changes according to a general dynamic stochastic equation. This allows for both continuous and jump behavior of the project status. The time parameter is continuous. The decision variable includes a non-stationary resource expenditure strategy and a stopping policy which determines when the project should be terminated. Characterization of stationary policies becomes straightforward in the present setting. A non-linear equation is determined for the expected discounted return from the project. This equation, which is of a very general nature, has been considered in certain special cases, where it becomes manageable. The examples include situations where the project status changes according to a compound Poisson process, a geometric Brownian motion, and a Brownian motion with drift. In those cases we demonstrate how the exact solution can be obtained and the optimal policy found.

Exceptional solutions to the Painlevé VI equation associated with the generalized Jacobi weight

2017 ◽  
Vol 06 (01) ◽  
pp. 1750003
Author(s):  
Shulin Lyu ◽  
Yang Chen
Keyword(s):  
Asymptotic Expansions ◽  
Hankel Determinant ◽  
Generalized Jacobi Weight ◽  
Jacobi Weight ◽  
Special Cases ◽  
Painlevé Vi Equation

We consider the generalized Jacobi weight [Formula: see text], [Formula: see text]. As is shown in [D. Dai and L. Zhang, Painlevé VI and Henkel determinants for the generalized Jocobi weight, J. Phys. A: Math. Theor. 43 (2010), Article ID:055207, 14pp.], the corresponding Hankel determinant is the [Formula: see text]-function of a particular Painlevé VI. We present all the possible asymptotic expansions of the solution of the Painlevé VI equation near [Formula: see text] and [Formula: see text] for generic [Formula: see text]. For four special cases of [Formula: see text] which are related to the dimension of the Hankel determinant, we can find the exceptional solutions of the Painlevé VI equation according to the results of [A. Eremenko, A. Gabrielov and A. Hinkkanen, Exceptional solutions to the Painlevé VI equation, preprint (2016), arXiv:1602.04694 ], and thus give another characterization of the Hankel determinant.

scholarly journals Infinite dimensional rotations and Laplacians in terms of white noise calculus

1992 ◽  
Vol 128 ◽  
pp. 65-93 ◽  
Author(s):  
Takeyuki Hida ◽  
Nobuaki Obata ◽  
Kimiaki Saitô
Keyword(s):  
Brownian Motion ◽  
White Noise ◽  
Quantum Physics ◽  
Variational Calculus ◽  
Rotation Group ◽  
Infinite Dimensional ◽  
Lévy Laplacian ◽  
White Noise Functionals ◽  
White Noise Calculus

The theory of generalized white noise functionals (white noise calculus) initiated in [2] has been considerably developed in recent years, in particular, toward applications to quantum physics, see e.g. [5], [7] and references cited therein. On the other hand, since H. Yoshizawa [4], [23] discussed an infinite dimensional rotation group to broaden the scope of an investigation of Brownian motion, there have been some attempts to introduce an idea of group theory into the white noise calculus. For example, conformal invariance of Brownian motion with multidimensional parameter space [6], variational calculus of white noise functionals [14], characterization of the Levy Laplacian [17] and so on.

Bivariate Pseudo-Spectral Local Linearisation Method for Mixed Convective Flow Over the Vertical Frustum of a Cone in a Nanofluid with Soret and Viscous Dissipation Effects

2017 ◽  
Vol 33 (5) ◽  
pp. 687-702
Author(s):  
Ch. RamReddy ◽  
Ch. Venkata Rao
Keyword(s):  
Mass Transfer ◽  
Brownian Motion ◽  
Spectral Method ◽  
Viscous Dissipation ◽  
Surface Drag ◽  
Special Cases ◽  
Soret Number ◽  
Uniform Wall ◽  
Mixed Convective Flow ◽  
Pseudo Spectral

AbstractIn this investigation, we intend to present the influence of the prominent viscous dissipation and Soret effects on mixed convection heat and mass transfer over the vertical frustum of a cone in a nanofluid. The model used for the nanofluid incorporates the effects of Brownian motion and thermophoresis. In addition, the uniform wall nanoparticle condition at the surface is replaced with the zero nanoparticle mass flux condition to execute physically applicable results. The governing equations of a nanofluid flow in the dimensional form are reduced to a system of partial differential equations in the non-dimensional form by using suitable non-similarity variables and then solved by using a recently introduced spectral method named as Bivariate Pseudo-Spectral Local Linearisation Method (BPSLLM). The convergence and error analysis tests are conducted to examine the accuracy of the spectral method. To validate the method, the present numerical results are compared with the existing results in some special cases and the outcomes are observed to be in very good agreement. The effects of Brownian motion, thermophoresis, Eckert number, Soret number, nanoparticle and regular buoyancy parameters on the dimensionless surface drag, heat, nanoparticle mass and regular mass transfer rates over the vertical frustum of a cone are discussed and illustrated graphically.

On the Dynamic Isotropy of Mechanisms With Two Degrees of Freedom

2005 ◽  
Author(s):  
Raffaele Di Gregorio ◽  
Alessandro Cammarata ◽  
Rosario Sinatra
Keyword(s):  
Finite Number ◽  
Degrees Of Freedom ◽  
Point Of View ◽  
Closed Curves ◽  
Special Cases ◽  
Dynamic Performances ◽  
Definition Of ◽  
Geometric Locus

The comparison of mechanisms with different topology or with different geometry, but with the same topology, is a necessary operation during the design of a machine sized for a given task. Therefore, tools that evaluate the dynamic performances of a mechanism are welcomed. This paper deals with the dynamic isotropy of 2-dof mechanisms starting from the definition introduced in a previous paper. In particular, starting from the condition that identifies the dynamically isotropic configurations, it shows that, provided some special cases are not considered, 2-dof mechanisms have at most a finite number of isotropic configurations. Moreover, it shows that, provided the dynamically isotropic configurations are excluded, the geometric locus of the configuration space that collects the points associated to configurations with the same dynamic isotropy is constituted by closed curves. This results will allow the classification of 2-dof mechanisms from the dynamic-isotropy point of view, and the definition of some methodologies for the characterization of the dynamic isotropy of these mechanisms. Finally, examples of applications of the obtained results will be given.

scholarly journals Harmonic univalent functions defined by post quantum calculus operators

2019 ◽  
Vol 11 (1) ◽  
pp. 5-17 ◽  
Author(s):  
Om P. Ahuja ◽  
Asena Çetinkaya ◽  
V. Ravichandran
Keyword(s):  
Unit Disc ◽  
Univalent Functions ◽  
Extreme Points ◽  
Open Unit ◽  
Open Unit Disc ◽  
Quantum Calculus ◽  
Special Cases ◽  
The Family ◽  
Covering Theorems

Abstract We study a family of harmonic univalent functions in the open unit disc defined by using post quantum calculus operators. We first obtained a coefficient characterization of these functions. Using this, coefficients estimates, distortion and covering theorems were also obtained. The extreme points of the family and a radius result were also obtained. The results obtained include several known results as special cases.

Weak Convergence to Stochastic Integrals

2021 ◽  
pp. 724-756
Author(s):  
James Davidson
Keyword(s):  
Brownian Motion ◽  
Weak Convergence ◽  
Stochastic Processes ◽  
Final Section ◽  
Stochastic Integrals ◽  
Martingale Difference ◽  
Mixing Processes ◽  
Linear Processes ◽  
Special Cases

The main object of this chapter is to prove the convergence of the covariances of stochastic processes with their increments to stochastic integrals with respect to Brownian motion. Some preliminary theory is given relating to random functionals on C, stochastic integrals, and the important Itô isometry. The main result is first proved for the tractable special cases of martingale difference increments and linear processes. The final section is devoted to proving the more difficult general case, of NED functions of mixing processes.

scholarly journals Estimation and filtering of fractional generalised random fields

2000 ◽  
Vol 69 (3) ◽  
pp. 336-361 ◽  
Author(s):  
J. M. Angulo ◽  
M. D. Ruiz-Medina ◽  
V. V. Anh
Keyword(s):  
Brownian Motion ◽  
Random Field ◽  
Least Squares ◽  
Random Fields ◽  
General Class ◽  
Duality Theory ◽  
Weak Sense ◽  
Linear Estimation ◽  
Special Cases ◽  
Estimation And Filtering

AbstractThis paper considers the estimation and filtering of fractional random fields, of which fractional Brownian motion and fractional Riesz-Bessel motion are important special cases. A least-squares solution to the problem is derived by using the duality theory and covariance factorisation of fractional generalised random fields. The minimum fractional duality order of the information random field leads to the most general class of solutions corresponding to the largest function space where the output random field can be approximated. The second-order properties that define the class of random fields for which the least-squares linear estimation problem is solved in a weak-sense are also investigated in terms of the covariance spectrum of the information random field.

scholarly journals Analysis of the geomagnetic activity of the <i>D<sub>st</sub></i> index and self-affine fractals using wavelet transforms

2004 ◽  
Vol 11 (3) ◽  
pp. 303-312 ◽  
Author(s):  
H. L. Wei ◽  
S. A. Billings ◽  
M. Balikhin
Keyword(s):  
Brownian Motion ◽  
Geomagnetic Activity ◽  
Power Law ◽  
Wavelet Transforms ◽  
Effective Measure ◽  
Dst Index ◽  
Power Spectral ◽  
Power Law Exponent ◽  
Brownian Motion Model

Abstract. The geomagnetic activity of the Dst index is analyzed using wavelet transforms and it is shown that the Dst index possesses properties associated with self-affine fractals. For example, the power spectral density obeys a power-law dependence on frequency, and therefore the Dst index can be viewed as a self-affine fractal dynamic process. In fact, the behaviour of the Dst index, with a Hurst exponent H≈0.5 (power-law exponent β≈2) at high frequency, is similar to that of Brownian motion. Therefore, the dynamical invariants of the Dst index may be described by a potential Brownian motion model. Characterization of the geomagnetic activity has been studied by analysing the geomagnetic field using a wavelet covariance technique. The wavelet covariance exponent provides a direct effective measure of the strength of persistence of the Dst index. One of the advantages of wavelet analysis is that many inherent problems encountered in Fourier transform methods, such as windowing and detrending, are not necessary.

scholarly journals The characteristics of thermal diffusion

1940 ◽  
Vol 177 (968) ◽  
pp. 38-62 ◽  
Keyword(s):  
Thermal Diffusion ◽  
Successive Approximations ◽  
General Nature ◽  
Mixture Ratio ◽  
Inverse Power Law ◽  
Special Cases ◽  
Molecular Masses ◽  
Set Up ◽  
Coefficient Of Viscosity ◽  
Factor Α

When a gas mixture is contained in a vessel in which a steady temperature gradient is maintained, a concentration gradient is in general set up, whose amount is determined by the logarithm of the temperature ratio, and by k T , the thermal diffusion ratio; the general theory of non-uniform gases gives successive approximations to k T , and the first of these, [k T ]1, is accurate within a few per cent. The paper discusses the dependence of [k T ]1 on ( a ) the ratio of the molecular masses; ( b ) their concentration ratio ( c 1 or c 2 ); ( c ) the two ratios of the molecular diameters, inferred from the coefficient of viscosity, to their joint diameter, inferred from the coefficient of diffusion; and ( d ) three parameters depending on the mode of interaction between the unlike molecules. When this interaction is according to the inverse-power law, the three parameters ( d ) are all expressible in terms of the mutual force index, and [k T ]1, is a function of five independent variables. The general nature of its dependence on these variables is discussed, with particular reference to the end values (for c 1 or c 2 zero) of the thermal diffusion factor α, given by k T / c 1 c 2 ;these end values involve fewer variables (less by two) than the general values, and their functional character can be represented graphically. It is shown that k T may be zero not only when c 1 or c 2 is zero, but also for at most one intermediate mixture ratio. Formulae for [k T ]1 appropriate to various special cases are also given.

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