Optimal allocation–consumption problem for a portfolio with an illiquid asset

During financial crises investors manage portfolios with low liquidity, where the paper-value of an asset differs from the price proposed by the buyer. We consider an optimization problem for a portfolio with an illiquid, a risky and a risk-free asset. We work in the Merton's optimal consumption framework with continuous time. The liquid part of the investment is described by a standard Black–Scholes market. The illiquid asset is sold at a random moment with prescribed distribution and generates additional liquid wealth dependent on its paper-value. The investor has a hyperbolic absolute risk aversion also denoted as HARA-type utility function, in particular, the logarithmic utility function as a limit case. We study two different distributions of the liquidation time of the illiquid asset – a classical exponential distribution and a more practically relevant Weibull distribution. Under certain conditions we show the smoothness of the viscosity solution and obtain closed formulae relevant for numerics.     

A Newton-like finite element scheme for compressible gas flows

Semi-implicit and Newton-like finite element methods are developed for the stationary compressible Euler equations. The Galerkin discretization of the inviscid fluxes is potentially oscillatory and unstable. To suppress numerical oscillations, the spatial discretization is performed by a high-resolution finite element scheme based on algebraic flux correction. A multidimensional limiter of TVD type is employed. An important goal is the efficient computation of stationary solutions in a wide range of Mach numbers, which is a challenging task due to oscillatory correction factors associated with TVD-type flux limiters. A semi-implicit scheme is derived by a time-lagged linearization of the nonlinear residual, and a Newton-like method is obtained in the limit of infinite CFL numbers. Special emphasis is laid on the numerical treatment of weakly imposed characteristic boundary conditions. Numerical evidence for unconditional stability is presented. It is shown that the proposed approach offers higher accuracy and better convergence behavior than algorithms in which the boundary conditions are implemented in a strong sense.     

企业网IP地址冲突的分析及解决方案

本文介绍了IP地址与MAC的关系,分析了windows对IP地址冲突的自动检测过程,给出了IP地址冲突的解决方法。     

Numerical Schemes for Variational Inequalities Arising in International Asset Pricing

This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The political risk is modelled as a continous time jump process that affects the drift of the returns in the politically unstable countries. The valuation model gives rise to a singular stochastic control problem that is analyzed numerically. The fundamental tools come from the theory of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation which turns out to be a system of integral-differential Variational Inequalities with gradient constraints.     

一类具阻尼非线性双曲型方程的初边值问题解的爆破

研究了一类具阻尼非线性双曲型方程的三维初边值问题,利用凸性方法给出了该问题的解在有限时刻爆破的充分条件,并给出了一个例子．     

Optimal expansion of competence sets with multilevel skills

The purpose of competence set expansion is to find an optimal expansion process at the minimal cost and then obtain the required competence set from the acquired competence set to solve a problem. Several models have been proposed to address the competence set expansion problem of only a single decision maker or multiple decision makers without considering multilevel skills. However, a practical competence set expansion model should involve multiple decision makers and multilevel skills. This study discusses an optimal expansion model of incorporating competence sets of group decision makers with multilevel skills. The proposed method not only obtains the optimal competence set expansion of all decision makers with the maximal total benefit but finds all optimal alternatives of the competence set expansion model. A cooperative alliance problem is solved to illustrate the usefulness of the proposed method.     

A regularization method for a Cauchy problem of Laplace's equation in an annular domain

In this paper, we propose a new regularization method based on a finite-dimensional subspace generated from fundamental solutions for solving a Cauchy problem of Laplace's equation in an annular domain. Based on a conditional stability for the Cauchy problem of Laplace's equation, we obtain a convergence estimate under the suitable choice of a regularization parameter and an a-priori bound assumption on the solution. A numerical example is provided to show the effectiveness of the proposed method from both accuracy and stability.     

Periodic and solitary wave solutions of the attractive and repulsive nonlinear Schrödinger equation

By means of symbolic computation, the first integral method is presented to obtain novel exact solutions of the nonlinear evolution equation. The obtained results include periodic and solitary wave solutions. The power of this manageable method is confirmed and the availability of symbolic computation is demonstrated.     

A collocation approach to solve the Riccati-type differential equation systems

In this paper, a collocation method is presented for the solutions of the system of the Riccati-type differential equations with variable coefficients. The proposed approach consists of reducing the problem to a nonlinear algebraic equation system by expanding the approximate solutions in terms of the Bessel polynomials with unknown coefficients. The unknown coefficients of the Bessel polynomials are found by using the matrix operations of derivatives together with the collocation method. The proposed method gives the analytic solutions when the exact solutions are polynomials. Also, an error analysis technique based on the residual function is introduced for the suggested method. The reliability and efficiency of the proposed scheme are demonstrated by some numerical examples. Comparing the methodology with some known techniques shows that the presented approach is relatively easy and highly accurate. All of the numerical calculations have been done by using a program written in Maple.