ON DE FINETTI'S OPTIMAL IMPULSE DIVIDEND CONTROL PROBLEM UNDER CHAPTER 11 BANKRUPTCY

Motivated by recent advances made in the study of dividend control and risk management problems involving the U.S.bankruptcy code,in this paper we follow[44]to revisit the De Finetti dividend control problem under the reorganization process and the regulator's intervention documented in U.S.Chapter 11 bankruptcy.We do this by further accommodating the fixed transaction costs on dividends to imitate the real-world procedure of dividend payments.Incorporating the fixed transaction costs transforms the targeting optimal dividend problem into an impulse control problem rather than a singular control problem,and hence computations and proofs that are distinct from[44]are needed.To account for the financial stress that is due to the more subtle concept of Chapter 11 bankruptcy,the surplus process after dividends is driven by a piece-wise spectrally negative Lévy process with endogenous regime switching.Some explicit expressions of the expected net present values under a double barrier dividend strategy,new to the literature,are established in terms of scale functions.With the help of these expressions,we are able to characterize the optimal strategy among the set of admissible double barrier dividend strategies.When the tail of the Lévy measure is log-convex,this optimal double barrier dividend strategy is then verified as the optimal dividend strategy,solving our optimal impulse control problem.

Reflected BSDEs Driven by Lévy Processes and Countable Brownian Motions

A new class of reflected backward stochastic differential equations (RBSDEs) driven by Teugels martingales associated with Lévy process and Countable Brownian Motions are investigated. Via approximation, the existence and uniqueness of solution to this kind of RBSDEs are obtained.

Maximal speed of particles in super-Lévy process

We introduce a super-Lévy process and study maximal speed of all particles in the range and the support of the super-Lévy process. The state of historical super-Lévy process is a measure on the set of paths. We study the maximal speed of all particles during a given time period, which turns out to be a function of the packing dimension of the time period. We calculate the Hausdorff dimension of the set of a-fast paths in the support and the range of the historical super-Lévy process.

Existence and joint continuity of local time of multi-parameter fractional Lévy processes

In this paper, we introduce the definition of a multi-parameter fractional Lévy process and its local time, and show its decomposition. Using the decomposition, we prove existence and joint continuity of its local time.

Simulation of a Daily Precipitation Time Series Using a Stochastic Model with Filtering

After we modified raw data for anomalies, we conducted spectral analysis using the data. In the frequency, the spectrum is best described by a decaying exponential function. For this reason, stochastic models characterized by a spectrum attenuated according to a power law cannot be used to model precipitation anomaly. We introduced a new model, the e-model, which properly reproduces the spectrum of the precipitation anomaly. After using the data to infer the parameter values of the e-model, we used the e-model to generate synthetic daily precipitation time series. Comparison with recorded data shows a good agreement. This e-model resembles fractional Brown motion (fBm)/fractional Lévy motion (fLm), especially the spectral method. That is, we transform white noise Xt to the precipitation daily time series. Our analyses show that the frequency of extreme precipitation events is best described by a Lévy law and cannot be accounted with a Gaussian distribution.

G-Lévy processes under sublinear expectations

We introduce G-Lévy processes which develop the theory of processes with independent and stationary increments under the framework of sublinear expectations.We then obtain the Lévy-Khintchine formula and the existence for G-Lévy processes.We also introduce G-Poisson processes.

变异蝙蝠算法求解折扣{0-1}背包问题

针对确定性算法难于求解规模大、数据范围广的折扣{0-1}背包问题(D{0-1}KP),提出了基于蝙蝠算法的快速求解D{0-1}KP的变异蝙蝠算法(MDBBA)。首先,利用双重编码解决D{0-1}KP的编码问题;其次,将贪心修复与优化算法(GROA)应用于蝙蝠个体适应度计算中,使算法快速得到有效解;然后,选择使用差分演化(DE)的变异策略提高算法的全局寻优能力;最后,蝙蝠个体按一定概率进行Lévy飞行,增强算法探索能力和跳出局部极值的能力。对四类大规模实例的仿真计算表明:MDBBA非常适于求解大规模的D{0-1}KP,比第一遗传算法(FirEGA)和双重编码蝙蝠算法(DBBA)求得的最优值和平均值都更优,MDBBA收敛速度明显快于DBBA。

Differential Evolution-Boosted Sine Cosine Golden Eagle Optimizer with Lévy Flight

Golden eagle optimizer(GEO)is a recently introduced nature-inspired metaheuristic algorithm,which simulates the spiral hunting behavior of golden eagles in nature.Regrettably,the GEO suffers from the challenges of low diversity,slow iteration speed,and stagnation in local optimization when dealing with complicated optimization problems.To ameliorate these deficiencies,an improved hybrid GEO called IGEO,combined with Lévy flight,sine cosine algorithm and differential evolution(DE)strategy,is developed in this paper.The Lévy flight strategy is introduced into the initial stage to increase the diversity of the golden eagle population and make the initial population more abundant;meanwhile,the sine-cosine function can enhance the exploration ability of GEO and decrease the possibility of GEO falling into the local optima.Furthermore,the DE strategy is used in the exploration and exploitation stage to improve accuracy and convergence speed of GEO.Finally,the superiority of the presented IGEO are comprehensively verified by comparing GEO and several state-of-the-art algorithms using(1)the CEC 2017 and CEC 2019 benchmark functions and(2)5 real-world engineering problems respectively.The comparison results demonstrate that the proposed IGEO is a powerful and attractive alternative for solving engineering optimization problems.

Modeling contaminant transport in homogeneous porous media with fractional advection-dispersion equation

The newly developed Fractional Advection-Dispersion Equation (FADE), which is FADE was extended and used in this paper for modelling adsorbing contaminant transport by adding an adsorbing term. A parameter estimation method and its corresponding FORTRAN based program named FADEMain were developed on the basis of Nonlinear Least Square Algorithm and the analytical solution for one-dimensional FADE under the conditions of step input and steady state flow. Data sets of adsorbing contaminants Cd and NH4+-N transport in short homogeneous soil columns and conservative solute NaCI transport in a long homogeneous soil column, respectively were used to estimate the transport parameters both by FADEMain and the advection-dispersion equation (ADE) based program CXTFIT2.1. Results indicated that the concentration simulated by FADE agreed well with the measured data. Compared to the ADE model, FADE can provide better simulation for the concentration in the initial lower concentration part and the late higher concentration part of the breakthrough curves for both adsorbing contaminants. The dispersion coefficients for ADE were from 0.13 to 7.06 cm2/min, while the dispersion coefficients for FADE ranged from 0.119 to 3.05 cm1.856/min for NaCI transport in the long homogeneous soil column. We found that the dispersion coefficient of FADE increased with the transport distance, and the relationship between them can be quantified with an exponential function. Less scale-dependent was also found for the dispersion coefficient of FADE with respect to ADE.