In this note, we provide a consistant thin layer theory for power law and Bingham incompressible fluids flowing down an inclined plane under the effect of gravity. The derivation of such equations is based on formal a...In this note, we provide a consistant thin layer theory for power law and Bingham incompressible fluids flowing down an inclined plane under the effect of gravity. The derivation of such equations is based on formal asymptotic expansions of solutions of Cauchy momentum equations in the shallow water scaling and in the neighbourhood of steady solutions so that we can close the average equations on the fluid height h and the total discharge rate q.展开更多
In this paper,we provide a valuation formula for different classes of actuar-ial and financial contracts which depend on a general loss process by using Malliavin calculus.Similar to the celebrated Black-Scholes formu...In this paper,we provide a valuation formula for different classes of actuar-ial and financial contracts which depend on a general loss process by using Malliavin calculus.Similar to the celebrated Black-Scholes formula,we aim to express the expected cash flow in terms of a building block.The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the count-ing process.For example,in the context of stop-loss contracts,the building block is given by the distribution function of the terminal cumulated loss taken at the Value at Risk when computing the expected shortfall risk measure.展开更多
In this note,we provide a consistant thin layer theory for power law and Bingham incompressible fluids flowing down an inclined plane under the effect of gravity.The derivation of such equations is based on formal asy...In this note,we provide a consistant thin layer theory for power law and Bingham incompressible fluids flowing down an inclined plane under the effect of gravity.The derivation of such equations is based on formal asymptotic expansions of solutions of Cauchy momentum equations in the shallow water scaling and in the neighbourhood of steady solutions so that we can close the average equations on the fluid height h and the total discharge rate q.展开更多
文摘In this note, we provide a consistant thin layer theory for power law and Bingham incompressible fluids flowing down an inclined plane under the effect of gravity. The derivation of such equations is based on formal asymptotic expansions of solutions of Cauchy momentum equations in the shallow water scaling and in the neighbourhood of steady solutions so that we can close the average equations on the fluid height h and the total discharge rate q.
基金The authors acknowledge Projet PEPS égalité(part of the European project INTEGER-WP4)"Approximation de Stein:approche par calcul de Malliavin et applications a la gestion des risques financiers"for financial support.
文摘In this paper,we provide a valuation formula for different classes of actuar-ial and financial contracts which depend on a general loss process by using Malliavin calculus.Similar to the celebrated Black-Scholes formula,we aim to express the expected cash flow in terms of a building block.The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the count-ing process.For example,in the context of stop-loss contracts,the building block is given by the distribution function of the terminal cumulated loss taken at the Value at Risk when computing the expected shortfall risk measure.
基金supported by the Spanish Government Research projects(Grant Nos. MTM2006-01275 and MTM2009-07719)supported by French ANR project (Grant No. ANR-09-JCJC-0103-01)
文摘In this note,we provide a consistant thin layer theory for power law and Bingham incompressible fluids flowing down an inclined plane under the effect of gravity.The derivation of such equations is based on formal asymptotic expansions of solutions of Cauchy momentum equations in the shallow water scaling and in the neighbourhood of steady solutions so that we can close the average equations on the fluid height h and the total discharge rate q.
