Fractional backward Kolmogorov equations

This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equation in the fractal time whose coefficient functions are independent of time, its solution is equal to the transfer probability density function of the subordinated process X（Sα （t））, the subordinator Sα （t） is termed as the inverse-time a-stable subordinator and the process X（τ） satisfies the corresponding time homogeneous Ito stochastic differential equation.

SECOND-ORDER NUMERICAL SCHEMES FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS

We propose new numerical schemes for decoupled forward-backward stochastic differ- ential equations （FBSDEs） with jumps, where the stochastic dynamics are driven by a d- dimensional Brownian motion and an independent compensated Poisson random measure. A semi-discrete scheme is developed for discrete time approximation, which is constituted by a classic scheme for the forward SDE [20, 28] and a novel scheme for the backward SDE. Under some reasonable regularity conditions, we prove that the semi-discrete scheme can achieve second-order convergence in approximating the FBSDEs of interest; and such convergence rate does not require jump-adapted temporal discretization. Next, to add in spatial discretization, a fully discrete scheme is developed by designing accurate quadrature rules for estimating the involved conditional mathematical expectations. Several numerical examples are given to illustrate the effectiveness and the high accuracy of the proposed schemes.

Equilibrium Arrivals to Preemptive Queueing System with Fixed and Random Population Size

A single-server queueing system with preemptive access is considered.Each customer has one attempt to enter the system at its working interval[0,T].As soon as the customer request enters the system,the server immediately starts the service.But when the next request arrives in the system,the previous one leaves the system even he has not finished his service yet.We study a non-cooperative game in which the customers wish to maximize their probability of obtaining service within a certain period of time.We characterize the Nash equilibrium and the price of anarchy,which is defined as the ratio between the optimal and equilibrium social utility.Two models are considered.In the first model the number of players is fixed,while in the second it is random and obeys the Poisson distribution.We demonstrate that there exists a unique symmetric equilibrium for both models.Finally,we calculate the price of anarchy for both models and show that the price of anarchy is not monotone with respect to the number of customers.

Markov Jump Processes in Estimating Sharing of Identity by Descent

Identity by descent(IBD)sharing is a very important genomic feature in population genetics which can be used to reconstruct recent demographic history.In this paper we provide a framework to estimate IBD sharing for a demographic model called two-population model with migration.We adopt the structured coalescent theory and use a continuous-time Markov jump process{X(t),t≥0}to describe the genealogical process in such model.Then we apply Kolmogorov backward equation to calculate the distribution of coalescence time and develop a formula for estimating the IBD sharing.The simulation studies show that our method to estimate IBD sharing for this demographic model is robust and accurate.

Stochastic Optimal Control for First-Passage Failure of Nonlinear Oscillators with Multi-Degrees-of-Freedom

To enhance the reliability of the stochastically excited structure,it is significant to study the problem of stochastic optimal control for minimizing first-passage failure.Combining the stochastic averaging method with dynamical programming principle,we study the optimal control for minimizing first-passage failure of multidegrees-of-freedom(MDoF)nonlinear oscillators under Gaussian white noise excitations.The equations of motion of the controlled system are reduced to time homogenous difusion processes by stochastic averaging.The optimal control law is determined by the dynamical programming equations and the control constraint.The backward Kolmogorov(BK)equation and the Pontryagin equation are established to obtain the conditional reliability function and mean first-passage time(MFPT)of the optimally controlled system,respectively.An example has shown that the proposed control strategy can increase the reliability and MFPT of the original system,and the mathematical treatment is also facilitated.