ON THE TIME VALUE OF RUIN IN THE DISCRETE TIME RISK MODEL

Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin, the surplus just before ruin and the deficit at ruin. The time to ruin is analyzed through its probability generating function (p.g.f.). The joint distribution for the compound binomial model is derived in Cheng et al. (2000) using martingale techniques and a duality argument. Here we find a recursive formula for the p.g.f. of ruin time T; the discounted moments of the deficit at ruin and the surplus just before ruin. A detailed discussion is given in the case u = 0 and when the claim size in a unit time is geometrically distributed.

Dynamic safety assessment of a nonlinear pumped-storage generating system in a transient process

This paper focuses on a pumped-storage generating system with a reversible Francis turbine and presents an innovative framework for safety assessment in an attempt to overcome their limitations. Thus the aim is to analyze the dynamic safety process and risk probability of the above nonlinear generating system. This study is carried out based on an existing pumped-storage power station. In this paper we show the dynamic safety evaluation process and risk probability of the nonlinear generating system using Fisher discriminant method. A comparison analysis for the safety assessment is performed between two different closing laws, namely the separate mode only to include a guide vane and the linkage mode that includes a guide vane and a ball valve. We find that the most unfavorable condition of the generating system occurs in the final stage of the load rejection transient process. It is also demonstrated that there is no risk to the generating system with the linkage mode but the risk probability of the separate mode is 6 percent. The results obtained are in good agreement with the actual operation of hydropower stations. The developed framework may not only be adopted for the applications of the pumped-storage generating system with a reversible Francis turbine but serves as the basis for the safety assessment of various engineering applications.National Natural Science Foundation of ChinaFundamental Research Funds for the Central UniversitiesScientific research funds of Northwest A&F UniversityScience Fund for Excellent Young Scholars from Northwest A&F University and Shaanxi Nova progra

Dynamics of a stochastic fractional nonlocal reaction-diffusion model driven by additive noise

In this paper, we are concerned with the long-time behavior of stochastic fractional nonlocal reaction-diffusion equations driven by additive noise. We use the techniques of random dynamical systems to transform the stochastic model into a random one. To deal with the new nonlocal term appeared in the transformed equation, we first use a generalization of Peano’s theorem to prove the existence of local solutions, and then adopt the Galerkin method to prove existence and uniqueness of weak solutions. Next, the existence of pullback attractors for the equation and its associated Wong-Zakai approximation equation driven by colored noise are shown, respectively. Furthermore, we establish the upper semi-continuity of random attractors of the Wong-Zakai approximation equation as δ → 0 +

Hamiltonian model of heat conductivity and Fourier law

We investigate the stationary nonequilibrium states of a quasi one-dimensional system of heavy particles whose interaction is mediated by purely elastic collisions with light particles, in contact at the boundary with two heat baths with fixed temperatures $T^+$ and $T^-$. It is shown that Fourier law is satisfied with a thermal conductivity proportional to $\sqrt{T(x)}$ where $T(x)$ is the local temperature. Entropy flux and entropy production are also investigated.Comment: 12 pages, 4 figure

Trajectory statistical solutions and Liouville type equations for evolution equations: abstract results and applications

In this article, we first prove, from the viewpoint of infinite dynamical system, sufficient conditions ensuring the existence of trajectory statistical solutions for autonomous evolution equations. Then we establish that the constructed trajectory statistical solutions possess invariant property and satisfy a Liouville type equation. Moreover, we reveal that the equation describing the invariant property of the trajectory statistical solutions is a particular situation of the Liouville type equation. Finally, we study the equations of three-dimensional incompressible magneto-micropolar fluids in detail and illustrate how to apply our abstract results to some concrete autonomous evolution equations

Dynamics of multi-valued retarded p-Laplace equations driven by nonlinear colored noise

This paper mainly considers the long-term behavior of p-Laplace equations with infinite delays driven by nonlinear colored noise. We firstly prove the existence of weak solutions to the equation, but the uniqueness of solutions cannot be guaranteed due to the lack of Lipschitz continuity conditions, and thus generate a multi-valued dynamical system. Moreover, the regularity of solutions is also proved. Then we prove the existence of a pullback attractor. Subsequently, the measurability of the pullback attractor and the multi-valued dynamical system are also proved

On the stability of impulsive functional differential equations with infinite delays

In this paper, the stability problem of impulsive functional differential equations with infinite delays is considered. By using Lyapunov functions and the Razumikhin technique, some new theorems on the uniform stability and uniform asymptotic stability are obtained. The obtained results are milder and more general than several recent works. Two examples are given to demonstrate the advantages of the results

Efficient FPGA implementation of high-throughput mixed radix multipath delay commutator FFT processor for MIMO-OFDM

This article presents and evaluates pipelined architecture designs for an improved high-frequency Fast Fourier Transform (FFT) processor implemented on Field Programmable Gate Arrays (FPGA) for Multiple Input Multiple Output Orthogonal Frequency Division Multiplexing (MIMO-OFDM). The architecture presented is a Mixed-Radix Multipath Delay Commutator. The presented parallel architecture utilizes fewer hardware resources compared to Radix-2 architecture, while maintaining simple control and butterfly structures inherent to Radix-2 implementations. The high-frequency design presented allows enhancing system throughput without requiring additional parallel data paths common in other current approaches, the presented design can process two and four independent data streams in parallel and is suitable for scaling to any power of two FFT size N. FPGA implementation of the architecture demonstrated significant resource efficiency and high-throughput in comparison to relevant current approaches within literature. The proposed architecture designs were realized with Xilinx System Generator (XSG) and evaluated on both Virtex-5 and Virtex-7 FPGA devices. Post place and route results demonstrated maximum frequency values over 400 MHz and 470 MHz for Virtex-5 and Virtex-7 FPGA devices respectively

The Diffusion of the Magnetization Profile in the XX-model

By the $C^*$-algebraic method, we investigate the magnetization profile in the intermediate time of diffusion. We observe a transition from monotone profile to non-monotone profile. This transition is purely thermal.Comment: Accepted for publication in Phys. Rev.