Random sums of exchangeable variables and actuarial applications

In this paper we study the accumulated claim in some fixed time period, skipping the classical assumption of mutual independence between the variables involved. Two basic models are considered: Model I assumes that any pair of claims are equally correlated which means that the corresponding square-integrable sequence is exchangeable one. Model 2 states that the correlations between the adjacent claims are the same. Recurrence and explicit expressions for the joint probability generating function are derived and the impact of the dependence parameter (correlation coefficient) in both models is examined. The Markov binomial distribution is obtained as a particular case under assumptions of Model 2. (C) 2007 Elsevier B.V. All rights reserved.

On the consistency of arbitrary money-demand functions with the Sidrauski and the shopping-time models

This paper investigates which properties money-demand functions have to satisfy to be consistent with multidimensional extensions of Lucasí(2000) versions of the Sidrauski (1967) and the shopping-time models. We also investigate how such classes of models relate to each other regarding the rationalization of money demands. We conclude that money demand functions rationalizable by the shoppingtime model are always rationalizable by the Sidrauski model, but that the converse is not true. The log-log money demand with an interest-rate elasticity greater than or equal to one and the semi-log money demand are counterexamples.

Global dynamics of the Rikitake system

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

On exact boundary controllability for linearly coupled wave equations

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A mass-transportation approach to a one dimensional fluid mechanics model with nonlocal velocity

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Solitons with isospin

We study the symmetries of the soliton spectrum of a pair of T-dual integrable models, invariant under global SL(2)(q) circle times U(1) transformations. They represent an integrable perturbation of the reduced Gepner parafermions, based on certain gauged SL(3)-WZW model. Their (semiclassical) topological soliton solutions, carrying isospin and belonging to the root of unity representations of q-deformed SU(2)(q)-algebra are obtained. We derive the semiclassical particle spectrum of these models, which is further used to prove their T-duality properties. (c) 2005 Elsevier B.V All rights reserved.

The Hamilton-Jacobi approach to Teleparallelism

We intend to analyse the constraint structure of Teleparallelism employing the Hamilton-Jacobi formalism for singular systems. This study is conducted without using an ADM 3+1 decomposition and without fixing time gauge condition. It can be verified that the field equations constitute an integrable system.

Riccati-type equations, generalised WZNW equations, and multidimensional Toda systems

We associate to an arbitrary Z-gradation of the Lie algebra of a Lie group a system of Riccati-type first order differential equations. The particular cases under consideration are the ordinary Riccati and the matrix Riccati equations. The multidimensional extension of these equations is given. The generalisation of the associated Redheffer-Reid differential systems appears in a natural way. The connection between the Toda systems and the Riccati-type equations in lower and higher dimensions is established. Within this context the integrability problem for those equations is studied. As an illustration, some examples of the integrable multidimensional Riccati-type equations related to the maximally nonabelian Toda systems are given.

T-duality in affine NA Toda models

The construction of non-Abelian affine Toda models is discussed in terms of its underlying Lie algebraic structure. It is shown that a subclass of such non-conformal two-dimensional integrable models naturally leads to the construction of a pair of actions, which share the same spectra and are related by canonical transformations.

Charges and fluxes in Maxwell theory on compact manifolds with boundary

We investigate the charges and fluxes that can occur in higher-order Abelian gauge theories defined on compact space-time manifolds with boundary. The boundary is necessary to supply a destination to the electric lines of force emanating from brane sources, thus allowing non-zero net electric charges, but it also introduces new types of electric and magnetic flux. The resulting structure of currents, charges, and fluxes is studied and expressed in the language of relative homology and de Rham cohomology and the corresponding abelian groups. These can be organised in terms of a pair of exact sequences related by the Poincare-Lefschetz isomorphism and by a weaker flip symmetry exchanging the ends of the sequences. It is shown how all this structure is brought into play by the imposition of the appropriately generalised Maxwell's equations. The requirement that these equations be integrable restricts the world-volume of a permitted brane (assumed closed) to be homologous to a cycle on the boundary of space-time. All electric charges and magnetic fluxes are quantised and satisfy the Dirac quantisation condition. But through some boundary cycles there may be unquantised electric fluxes associated with quantised magnetic fluxes and so dyonic in nature.

Infinite symmetries in the Skyrme model

We show that the Skyrme theory possesses a submodel with an infinite number of local conserved currents. The constraints leading to the submodel explore a decomposition of SU(2) with a complex field parametrizing the symmetric space SU(2)/U(1) and a real field in the direction of U(1). We demonstrate that the Skyrmions of topological charges ii belong to such integrable sector of the theory. Our results open ways to the development of exact methods, compensating for the non-existence of a BPS type sector in the Skyrme theory. (C) 2001 Published by Elsevier B.V. B.V.

Spinning Hopf solitons on S-3 x R

We consider a field theory with target space being the two dimensional sphere S-2 and defined on the space-time S-3 x R. The Lagrangean is the square of the pull-back of the area form on S-2. It is invariant under the conformal group SO(4, 2) and the infinite dimensional group of area preserving diffeomorphisms of S-2. We construct an infinite number of exact soliton solutions with non-trivial Hopf topological charges. The solutions spin with a frequency which is bounded above by a quantity proportional to the inverse of the radius of S-3. The construction of the solutions is made possible by an ansatz which explores the conformal symmetry and a U(1) subgroup of the area preserving diffeomorphism group.

Modified Korteweg-de Vries hierarchy with hodograph transformation: Camassa-Holm and Harry-Dym hierarchies

In this paper, we present relations between Camassa-Holm (CH), Harry-Dym (HD) and modified Korteweg-de Vries (mKdV) hierarchies, which are given by the hodograph type transformation. (C) 2001 IMACS. Published by Elsevier B.V. B.V. All rights reserved.

Electrically charged topological solitons

Two new families of T-dual integrable models of dyonic type are constructed. They represent specific A(n)((1)) singular non-abelian affine Toda models having U(1) global symmetry. Their I-soliton spectrum contains both neutral and U(I)-charged topological solitons sharing the main properties of 4-dimensional Yang-Mills-Higgs monopoles and dyons. The semiclassical quantization of these solutions as well as the exact counterterms and the coupling constant renormalization are studied. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Bicomplexes and conservation laws in non-Abelian Toda models

A bicomplex structure is associated with the Leznov-Saveliev equation of integrable models. The linear problem associated with the zero-curvature condition is derived in terms of the bicomplex linear equation. The explicit example of a non-Abelian conformal affine Toda model is discussed in detail and its conservation laws are derived from the zero-curvature representation of its equation of motion.