Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

New Analytic Solution Related to the Richards, Philip, and Green-Ampt Equations for Infiltration

Based on physical laws of similarity, an analytic solution of the soil water potential form of the Richards equation was derived for water infiltration into a homogeneous sand. The derivation assumes a similarity between the soil water retention function and that of the soil water content profiles taken at fixed times. The new solution successfully described soil water content profiles experimentally measured for water infiltrating downward, upward, and horizontally into a homogeneous sand and agrees with that presented by Philip in 1957. The utility of this analysis is still to be verified, but it is expected to hold for soils that have a narrow pore-size distribution before wetting and that manifest a sharp increase of water content at the wetting front during infiltration. The effect of van Genuchten`s parameters alpha and n on the application of the solution to other porous media was investigated. The solution also improves and provides a more realistic description of the infiltration process than that pioneered by Green and Ampt in 1911.

Quantum noise in optical fibers. I. Stochastic equations

We analyze the quantum dynamics of radiation propagating in a single-mode optical fiber with dispersion, nonlinearity, and Raman coupling to thermal phonons. We start from a fundamental Hamiltonian that includes the principal known nonlinear effects and quantum-noise sources, including linear gain and loss. Both Markovian and frequency-dependent, non-Markovian reservoirs are treated. This treatment allows quantum Langevin equations, which have a classical form except for additional quantum-noise terms, to be calculated. In practical calculations, it is more useful to transform to Wigner or 1P quasi-probability operator representations. These transformations result in stochastic equations that can be analyzed by use of perturbation theory or exact numerical techniques. The results have applications to fiber-optics communications, networking, and sensor technology.

Calculation of line integrals in boundary integral methods

We propose quadrature rules for the approximation of line integrals possessing logarithmic singularities and show their convergence. In some instances a superconvergence rate is demonstrated.

Elliptic Gaudin models and elliptic KZ equations

The Gaudin models based on the face-type elliptic quantum groups and the XYZ Gaudin models are studied. The Gaudin model Hamiltonians are constructed and are diagonalized by using the algebraic Bethe ansatz method. The corresponding face-type Knizhnik–Zamolodchikov equations and their solutions are given.

A finite integral transform technique for solving the diffusion-reaction equation with Michaelis-Menten kinetics

An approximate analytical technique employing a finite integral transform is developed to solve the reaction diffusion problem with Michaelis-Menten kinetics in a solid of general shape. A simple infinite series solution for the substrate concentration is obtained as a function of the Thiele modulus, modified Sherwood number, and Michaelis constant. An iteration scheme is developed to bring the approximate solution closer to the exact solution. Comparison with the known exact solutions for slab geometry (quadrature) and numerically exact solutions for spherical geometry (orthogonal collocation) shows excellent agreement for all values of the Thiele modulus and Michaelis constant.

A demonstration of artificial dissipation effects in some finite volume solution methods for the Navier-Stokes equations

The artificial dissipation effects in some solutions obtained with a Navier-Stokes flow solver are demonstrated. The solvers were used to calculate the flow of an artificially dissipative fluid, which is a fluid having dissipative properties which arise entirely from the solution method itself. This was done by setting the viscosity and heat conduction coefficients in the Navier-Stokes solvers to zero everywhere inside the flow, while at the same time applying the usual no-slip and thermal conducting boundary conditions at solid boundaries. An artificially dissipative flow solution is found where the dissipation depends entirely on the solver itself. If the difference between the solutions obtained with the viscosity and thermal conductivity set to zero and their correct values is small, it is clear that the artificial dissipation is dominating and the solutions are unreliable.

Turbulence Characterisation of High-Velocity Free-Surface Flows

In high-velocity free-surface flows, air is continuously being trapped and released through the free-surface. Such high-velocity highly-aerated flows cannot be studied numerically because of the large number of relevant equations and parameters. Herein an advanced signal processing of traditional single- and dual-tip conductivity probes provides some new information on the air-water turbulent time and length scales. The technique is applied to turbulent open channel flows in a large-size facility. The auto- and cross-correlation analyses yield some characterisation of the large eddies advecting the bubbles. The transverse integral turbulent length and time scales are related to the step height: i.e., Lxy/h ~ 0.02 to 0.2, and T.sqrt(g/h) ~ 0.004 to 0.04. The results are irrespective of the Reynolds numbers. The present findings emphasise that turbulent dissipation by large-scale vortices is a significant process in the intermediate zone between the spray and bubbly flow regions (0.3 < C < 0.7). Some self-similar relationships were observed systematically at both macroscopic and microscopic levels. The results are significant because they provide a picture general enough to be used to characterise the air-water flow field in prototype spillways.

On the graded quantum Yang-Baxter and reflection equations

We clarify the extra signs appearing in the graded quantum Yang-Baxter reflection equations, when they are written in a matrix form. We find the boundary K-matrix for the Perk-Schultz six-vertex model, thus give a general solution to the graded reflection equation associated with it.

New integrable boundary conditions for the q-deformed supersymmetric U model and Bethe ansatz equations

New classes of integrable boundary conditions for the q-deformed (or two-parameter) supersymmetric U model are presented. The boundary systems are solved by using the coordinate space Bethe ansatz technique and Bethe ansatz equations are derived. (C) 1998 Elsevier Science B.V.

Determination of pore size distributions by regularization and finite element collocation

The problem of extracting pore size distributions from characterization data is solved here with particular reference to adsorption. The technique developed is based on a finite element collocation discretization of the adsorption integral, with fitting of the isotherm data by least squares using regularization. A rapid and simple technique for ensuring non-negativity of the solutions is also developed which modifies the original solution having some negativity. The technique yields stable and converged solutions, and is implemented in a package RIDFEC. The package is demonstrated to be robust, yielding results which are less sensitive to experimental error than conventional methods, with fitting errors matching the known data error. It is shown that the choice of relative or absolute error norm in the least-squares analysis is best based on the kind of error in the data. (C) 1998 Elsevier Science Ltd. All rights reserved.

Finite element modelling of temperature gradient driven rock alteration and mineralization in porous rock masses

We present finite element simulations of temperature gradient driven rock alteration and mineralization in fluid saturated porous rock masses. In particular, we explore the significance of production/annihilation terms in the mass balance equations and the dependence of the spatial patterns of rock alteration upon the ratio of the roll over time of large scale convection cells to the relaxation time of the chemical reactions. Special concepts such as the gradient reaction criterion or rock alteration index (RAI) are discussed in light of the present, more general theory. In order to validate the finite element simulation, we derive an analytical solution for the rock alteration index of a benchmark problem on a two-dimensional rectangular domain. Since the geometry and boundary conditions of the benchmark problem can be easily and exactly modelled, the analytical solution is also useful for validating other numerical methods, such as the finite difference method and the boundary element method, when they are used to dear with this kind of problem. Finally, the potential of the theory is illustrated by means of finite element studies related to coupled flow problems in materially homogeneous and inhomogeneous porous rock masses. (C) 1998 Elsevier Science S.A. All rights reserved.

Critical values for unit root and cointegration test statistics - the use of response surface equations

This note considers the value of surface response equations which can be used to calculate critical values for a range of unit root and cointegration tests popular in applied economic research.