On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative L\'{e}vy processes

We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180] studied the case when the risk process is modeled by a general spectrally negative L\'{e}vy process. We draw upon their results and give sufficient conditions under which the optimal strategy is of barrier type, thereby helping to explain the fact that this particular strategy is not optimal in general. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.Comment: Published in at http://dx.doi.org/10.1214/07-AAP504 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Dynamics of heavy and buoyant underwater pendulums

The humble pendulum is often invoked as the archetype of a simple, gravity driven, oscillator. Under ideal circumstances, the oscillation frequency of the pendulum is independent of its mass and swing amplitude. However, in most real-world situations, the dynamics of pendulums is not quite so simple, particularly with additional interactions between the pendulum and a surrounding fluid. Here we extend the realm of pendulum studies to include large amplitude oscillations of heavy and buoyant pendulums in a fluid. We performed experiments with massive and hollow cylindrical pendulums in water, and constructed a simple model that takes the buoyancy, added mass, fluid (nonlinear) drag, and bearing friction into account. To first order, the model predicts the oscillation frequencies, peak decelerations and damping rate well. An interesting effect of the nonlinear drag captured well by the model is that for heavy pendulums, the damping time shows a non-monotonic dependence on pendulum mass, reaching a minimum when the pendulum mass density is nearly twice that of the fluid. Small deviations from the model's predictions are seen, particularly in the second and subsequent maxima of oscillations. Using Time- Resolved Particle Image Velocimetry (TR-PIV), we reveal that these deviations likely arise due to the disturbed flow created by the pendulum at earlier times. The mean wake velocity obtained from PIV is used to model an extra drag term due to incoming wake flow. The revised model significantly improves the predictions for the second and subsequent oscillations.Comment: 15 pages, 8 figures, J. Fluid Mech. (in press