A traffic flow cellular automaton model to considering drivers' learning and forgetting behaviour

It is known that the commonly used NaSch cellular automaton （CA） model and its modifications can help explain the internal causes of the macro phenomena of traffic flow. However, the randomization probability of vehicle velocity used in these models is assumed to be an exogenous constant or a conditional constant, which cannot reflect the learning and forgetting behaviour of drivers with historical experiences. This paper further modifies the NaSch model by enabling the randomization probability to be adjusted on the bases of drivers＇ memory. The Markov properties of this modified model are discussed. Analytical and simulation results show that the traffic fundamental diagrams can be indeed improved when considering drivers＇ intelligent behaviour. Some new features of traffic are revealed by differently combining the model parameters representing learning and forgetting behaviour.

EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

For a stochastic differential equation with non-Lipschitz coefficients, we construct, by Euler scheme, a measurable flow of the solution, and we prove the solution is a Markov process.

THE JOINT DISTRIBUTIONS OF SOME ACTUARIAL DIAGNOSTICS FOR THE JUMP-DIFFUSION RISK PROCESS

In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately （simply, the ultimately leaving-time）, the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Levy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.

Joint Distribution for the Risk Process with Premiums Depending on the Current Reserve

With the ever-evolving of modern risk theory,more and more attention should be paid to the modification of the classical risk theory. In this paper a risk process with premiums dependent on the current reserve is considered. An explicit expression for the joint distribution of the time of ruin,the surplus immediately before ruin and the deficit at ruin is derived. Finally,some important actuarial diagnostics including the ultimate ruin probability is investigated.

Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims

We will study the following problem.Let X_t,t∈[0,T],be an R^d-valued process defined on atime interval t∈[0,T].Let Y be a random value depending on the trajectory of X.Assume that,at each fixedtime t≤T,the information available to an agent(an individual,a firm,or even a market)is the trajectory ofX before t.Thus at time T,the random value of Y(ω) will become known to this agent.The question is:howwill this agent evaluate Y at the time t?We will introduce an evaluation operator ε_t[Y] to define the value of Y given by this agent at time t.Thisoperator ε_t[·] assigns an (X_s)0(?)s(?)T-dependent random variable Y to an (X_s)0(?)s(?)t-dependent random variableε_t[Y].We will mainly treat the situation in which the process X is a solution of a SDE (see equation (3.1)) withthe drift coefficient b and diffusion coefficient σ containing an unknown parameter θ=θ_t.We then consider theso called super evaluation when the agent is a seller of the asset Y.We will prove that such super evaluation is afiltration consistent nonlinear expectation.In some typical situations,we will prove that a filtration consistentnonlinear evaluation dominated by this super evaluation is a g-evaluation.We also consider the correspondingnonlinear Markovian situation.