A Cox model for gradually disappearing events

Innovations in medicine provide us longer and healthier life, leading lower mortality. Sooner rather than later, much greater longevity would be possible for us due to artificial intelligence advances in health care. Similarly, Advanced Driver Assistance Systems (ADAS) in highly automated vehicles may reduce or even eventually eliminate accidents by perceiving dangerous situations, which would minimize the number of accidents and lead to fewer loss claims for insurance companies. To model the survivor function capturing greater longevity as well as the number of claims reflecting less accidents in the long run, in this paper, we study a Cox process whose intensity process is piecewise-constant and decreasing. We derive its ultimate distributional properties, such as the Laplace transform of intensity integral process, the probability generating function of point process, their associated moments and cumulants, and the probability of no more claims for a given time point. In general, this simple model may be applicable in many other areas for modeling the evolution of gradually disappearing events, such as corporate defaults, dividend payments, trade arrivals, employment of a certain job type (e.g., typists) in the labor market, and release of particles. In particular, we discuss some potential applications to insurance.

Conditions for realizing one-point interactions from a multi-layer structure model

A heterostructure composed of N parallel homogeneous layers is studied in the limit as their widths l1, . . . , lN shrink to zero. The problem is investigated in one dimension and the piecewise constant potential in the Schrödinger equation is given by the strengths V1, . . . , VN as functions of l1, . . . , lN, respectively. The key point is the derivation of the conditions on the functions V1(l1), . . . , VN(lN) for realizing a family of one-point interactions as l1, . . . , lN tend to zero along available paths in the N-dimensional space. The existence of equations for a squeezed structure, the solution of which determines the system parameter values, under which the non-zero tunneling of quantum particles through a multi-layer structure occurs, is shown to exist and depend on the paths. This tunneling appears as a result of an appropriate cancellation of divergences.

Optimal Stabilization of Linear Stochastic System with Statistically Uncertain Piecewise Constant Drift

The paper presents an optimal control problem for the partially observable stochastic differential system driven by an external Markov jump process. The available controlled observations are indirect and corrupted by some Wiener noise. The goal is to optimize a linear function of the state (output) given a general quadratic criterion. The separation principle, verified for the system at hand, allows examination of the control problem apart from the filter optimization. The solution to the latter problem is provided by the Wonham filter. The solution to the former control problem is obtained by formulating an equivalent control problem with a linear drift/nonlinear diffusion stochastic process and with complete information. This problem, in turn, is immediately solved by the application of the dynamic programming method. The applicability of the obtained theoretical results is illustrated by a numerical example, where an optimal amplification/stabilization problem is solved for an unstable externally controlled step-wise mechanical actuator.

Some qualitative properties of nonlinear fractional integro-differential equations of variable order

The existence-uniqueness criteria of nonlinear fractional integro-differential equations of variable order with multiterm boundary value conditions are considered in this work. By utilizing the concepts of generalized intervals combined with the piecewise constant functions, we transform our problem into usual Caputo’s fractional differential equations of constant order. We develop the necessary criteria for assuring the solution's existence and uniqueness by applying Schauder and Banach fixed point theorem. We also examine the stability of the derived solution in the Ulam-Hyers-Rassias (UHR) sense and provide an example to demonstrate the credibility of the results.

Real-time Bidding for Time Constrained Impression Contracts in First and Second Price Auctions - Theory and Algorithms

We study the optimal bids and allocations in a real-time auction for heterogeneous items subject to the requirement that specified collections of items of given types be acquired within given time constraints. The problem is cast as a continuous time optimization problem that can, under certain weak assumptions, be reduced to a convex optimization problem. Focusing on the standard first and second price auctions, we first show, using convex duality, that the optimal (infinite dimensional) bidding policy can be represented by a single finite vector of so-called ''pseudo-bids''. Using this result we are able to show that the optimal solution in the second price case turns out to be a very simple piecewise constant function of time. This contrasts with the first price case that is more complicated. Despite the fact that the optimal solution for the first price auction is genuinely dynamic, we show that there remains a close connection between the two cases and that, empirically, there is almost no difference between optimal behavior in either setting. This suggests that it is adequate to bid in a first price auction as if it were in fact second price. Finally, we detail methods for implementing our bidding policies in practice with further numerical simulations illustrating the performance.

Mathematical modeling of monochromatic acoustic wave diffraction on a system of bodies and on flat screens

Some problems of diffraction of a monochromatic acoustic wave on surfaces of complex shapes are considered. To solve such problems, an approach is applied, in which the problem is reduced to a boundary hypersingular integral equation, where the integral is understood in the sense of a finite value according to Hadamard. Such approach allows solving diffraction problems both on solid objects and on thin screens. To solve the integral equation, the method of piecewise constant approximations and collocations, developed in the previous works of the author, is used. In the present study, examples of modeling the diffraction of an acoustic wave by bodies with partial filling are given. It is shown how the filling of bodies influences the acoustic pressure field, and the field direction patterns are given. An example of applying this approach to solving the problem of sound propagation in an urban area is also given: the diffraction of an acoustic wave from a point source on a system of buildings is considered. The presented results demonstrate that this method allows constructing reflected fields and analyze their characteristics on surfaces of complex shapes.