An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit

In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial mathematics. As a result, we provide analytical solutions to the fair charge of variable annuity guaranteed minimum withdrawal benefit (GMWB) from a policyholder's point of view, which was only previously obtained in the literature by numerical methods. We also use complex inversion methods to derive analytical solutions to the fair charge of the GMWB from an insurer's point of view, which is used in the market practice, however, based on Monte Carlo simulations. Despite of their seemingly different formulations, we can prove under certain assumptions the two pricing approaches are equivalent.Comment: 25 pages, 2 figure

On the explicit finite element formulation of the dynamic contact problem of hyperelastic membranes

Contact-impact problems involving finite deformation axisymmetric membranes are solved by the finite element method with explicit time integration. The formulation of the membrane element and the contact constraint conditions are discussed. The hyperelastic, compressible Blatz and Ko material is used to model the material properties of the membrane. Two example problems are presented

Experimental and theoretical research on the electrical conductivity of a liquid desiccant for the liquid desiccant air-conditioning system: LiCl aqueous solution

At present, the energy consumption in buildings occupies a large proportion of total energy use, and air-conditionings cost a large proportion of energy in the buildings. The liquid desiccant air-conditioning system has a good energy saving potential and the electrodialysis (ED) regeneration is a reliable choice for the liquid desiccant regeneration. In order to establish the energy consumption model and the performance coefficient model of liquid desiccant air-conditioning system based on ED regeneration using LiCl, experimental and theoretical research on the electrical conductivity of LiCl aqueous solution with a lot of concentrations and temperatures was conducted in this paper. The results show that when polynomial degrees of the mass concentration and the temperature of the LiCl aqueous solution are both 3, the electrical conductivity model for the LiCl aqueous solution is most suitable as its simplicity and high accuracy. Moreover, when the concentration is 36% and the temperature is 22 °C, the liquid desiccant cooling system has the maximum COP of about 5. Finally, a case study of a small office room was conducted, and the result shows that the liquid desiccant cooling system based on electrodialysis regeneration has a good energy-saving potential

A novel improved model for building energy consumption prediction based on model integration

Building energy consumption prediction plays an irreplaceable role in energy planning, management, and conservation. Constantly improving the performance of prediction models is the key to ensuring the efficient operation of energy systems. Moreover, accuracy is no longer the only factor in revealing model performance, it is more important to evaluate the model from multiple perspectives, considering the characteristics of engineering applications. Based on the idea of model integration, this paper proposes a novel improved integration model (stacking model) that can be used to forecast building energy consumption. The stacking model combines advantages of various base prediction algorithms and forms them into “meta-features” to ensure that the final model can observe datasets from different spatial and structural angles. Two cases are used to demonstrate practical engineering applications of the stacking model. A comparative analysis is performed to evaluate the prediction performance of the stacking model in contrast with existing well-known prediction models including Random Forest, Gradient Boosted Decision Tree, Extreme Gradient Boosting, Support Vector Machine, and K-Nearest Neighbor. The results indicate that the stacking method achieves better performance than other models, regarding accuracy (improvement of 9.5%–31.6% for Case A and 16.2%–49.4% for Case B), generalization (improvement of 6.7%–29.5% for Case A and 7.1%-34.6% for Case B), and robustness (improvement of 1.5%–34.1% for Case A and 1.8%–19.3% for Case B). The proposed model enriches the diversity of algorithm libraries of empirical models

A three-stage optimization methodology for envelope design of passive house considering energy demand, thermal comfort and cost

Due to reducing the reliance of buildings on fossil fuels, Passive House (PH) is receiving more and more attention. It is important that integrated optimization of passive performance by considering energy demand, cost and thermal comfort. This paper proposed a set three-stage multi-objective optimization method that combines redundancy analysis (RDA), Gradient Boosted Decision Trees (GBDT) and Non-dominated sorting genetic algorithm (NSGA-II) for PH design. The method has strong engineering applicability, by reducing the model complexity and improving efficiency. Among then, the GBDT algorithm was first applied to the passive performance optimization of buildings, which is used to build meta-models of building performance. Compared with the commonly used meta-model, the proposed models demonstrate superior robustness with the standard deviation at 0.048. The optimization results show that the energy-saving rate is about 88.2% and the improvement of thermal comfort is about 37.8% as compared to the base-case building. The economic analysis, the payback period were used to integrate initial investment and operating costs, the minimum payback period and uncomfortable level of Pareto frontier solution are 0.48 years and 13.1%, respectively. This study provides the architects rich and valuable information about the effects of the parameters on the different building performance

An Improved Differential Evolution Algorithm for Maritime Collision Avoidance Route Planning

High accuracy navigation and surveillance systems are pivotal to ensure efficient ship route planning and marine safety. Based on existing ship navigation and maritime collision prevention rules, an improved approach for collision avoidance route planning using a differential evolution algorithm was developed. Simulation results show that the algorithm is capable of significantly enhancing the optimized route over current methods. It has the potential to be used as a tool to generate optimal vessel routing in the presence of conflicts

Anisotropic microwave conductivity of cuprate superconductors in the presence of CuO chain induced impurities

The anisotropy in the microwave conductivity of the ortho-II YBa$_2$Cu$_3$O$_{6.50}$ is studied within the kinetic energy driven superconducting mechanism. The ortho-II YBa$_2$Cu$_3$O$_{6.50}$ is characterized by a periodic alternative of filled and empty $\hat{b}$-axis CuO chains. By considering the CuO chain induced extended anisotropy impurity scattering, the main features of the anisotropy in the microwave conductivity of the ortho-II YBa$_2$Cu$_3$O$_{6.50}$ are reproduced based on the nodal approximation of the quasiparticle excitations and scattering processes, including the intensity and lineshape of the energy and temperature dependence of the $\hat{a}$-axis and $\hat{b}$-axis microwave conductivities. Our results also confirm that the $\hat{b}$-axis CuO chain induced impurity is the main source of the anisotropy.Comment: 6 pages, 3 figure

Optimization of Dimples in Microchannel Heat Sink with Impinging Jets—Part B: the Influences of Dimple Height and Arrangement

The combination of a microchannel heat sink with impinging jets and dimples (MHSIJD) can effectively improve the flow and heat transfer performance on the cooling surface of electronic devices with very high heat fluxes. Based on the previous work by analysing the effect of dimple radius on the overall performance of MHSIJD, the effects of dimple height and arrangement were numerically analysed. The velocity distribution, pressure drop, and thermal performance of MHSIJD under various dimple heights and arrangements were presented. The results showed that: MHSIJD with higher dimples had better overall performance with dimple radius being fixed; creating a mismatch between the impinging hole and dimple can solve the issue caused by the drift phenomenon; the mismatch between the impinging hole and dimple did not exhibit better overall performance than a well-matched design