32 research outputs found
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
This paper considers the optimal dividend payment problem in
piecewise-deterministic compound Poisson risk models. The objective is to
maximize the expected discounted dividend payout up to the time of ruin. We
provide a comparative study in this general framework of both restricted and
unrestricted payment schemes, which were only previously treated separately in
certain special cases of risk models in the literature. In the case of
restricted payment scheme, the value function is shown to be a classical
solution of the corresponding HJB equation, which in turn leads to an optimal
restricted payment policy known as the threshold strategy. In the case of
unrestricted payment scheme, by solving the associated integro-differential
quasi-variational inequality, we obtain the value function as well as an
optimal unrestricted dividend payment scheme known as the barrier strategy.
When claim sizes are exponentially distributed, we provide easily verifiable
conditions under which the threshold and barrier strategies are optimal
restricted and unrestricted dividend payment policies, respectively. The main
results are illustrated with several examples, including a new example
concerning regressive growth rates.Comment: Key Words: Piecewise-deterministic compound Poisson model, optimal
stochastic control, HJB equation, quasi-variational inequality, threshold
strategy, barrier strateg
Cooperative Behavior of Kinetically Constrained Lattice Gas Models of Glassy Dynamics
Kinetically constrained lattice models of glasses introduced by Kob and
Andersen (KA) are analyzed. It is proved that only two behaviors are possible
on hypercubic lattices: either ergodicity at all densities or trivial
non-ergodicity, depending on the constraint parameter and the dimensionality.
But in the ergodic cases, the dynamics is shown to be intrinsically cooperative
at high densities giving rise to glassy dynamics as observed in simulations.
The cooperativity is characterized by two length scales whose behavior controls
finite-size effects: these are essential for interpreting simulations. In
contrast to hypercubic lattices, on Bethe lattices KA models undergo a
dynamical (jamming) phase transition at a critical density: this is
characterized by diverging time and length scales and a discontinuous jump in
the long-time limit of the density autocorrelation function. By analyzing
generalized Bethe lattices (with loops) that interpolate between hypercubic
lattices and standard Bethe lattices, the crossover between the dynamical
transition that exists on these lattices and its absence in the hypercubic
lattice limit is explored. Contact with earlier results are made via analysis
of the related Fredrickson-Andersen models, followed by brief discussions of
universality, of other approaches to glass transitions, and of some issues
relevant for experiments.Comment: 59 page