7,966 research outputs found
A perturbative approach to a class of Fokker-Planck equations
In this paper we present a direct perturbative method to solving certain
Fokker-Planck equations, which have constant diffusion coefficients and some
small parameters in the drift coefficients. The method makes use of the
connection between the Fokker-Planck and Schr\"odinger equations. Two examples
are used to illustrate the method. In the first example the drift coefficient
depends only on time but not on space. In the second example we consider the
Uhlenbeck-Ornstein process with a small drift coefficient. These examples show
that the such perturbative approach can be a useful tool to obtain approximate
solutions of Fokker-Planck equations with constant diffusion coefficients.Comment: 5 pages, no figure
Continuous-Time Markowitz's Model with Transaction Costs
A continuous-time Markowitz's mean-variance portfolio selection problem is
studied in a market with one stock, one bond, and proportional transaction
costs. This is a singular stochastic control problem,inherently in a finite
time horizon. With a series of transformations, the problem is turned into a
so-called double obstacle problem, a well studied problem in physics and
partial differential equation literature, featuring two time-varying free
boundaries. The two boundaries, which define the buy, sell, and no-trade
regions, are proved to be smooth in time. This in turn characterizes the
optimal strategy, via a Skorokhod problem, as one that tries to keep a certain
adjusted bond-stock position within the no-trade region. Several features of
the optimal strategy are revealed that are remarkably different from its
no-transaction-cost counterpart. It is shown that there exists a critical
length in time, which is dependent on the stock excess return as well as the
transaction fees but independent of the investment target and the stock
volatility, so that an expected terminal return may not be achievable if the
planning horizon is shorter than that critical length (while in the absence of
transaction costs any expected return can be reached in an arbitrary period of
time). It is further demonstrated that anyone following the optimal strategy
should not buy the stock beyond the point when the time to maturity is shorter
than the aforementioned critical length. Moreover, the investor would be less
likely to buy the stock and more likely to sell the stock when the maturity
date is getting closer. These features, while consistent with the widely
accepted investment wisdom, suggest that the planning horizon is an integral
part of the investment opportunities.Comment: 30 pages, 1 figur
Mathematical and Dynamic Analysis of a Prey-Predator Model in the Presence of Alternative Prey with Impulsive State Feedback Control
The dynamic complexities of a prey-predator system in the presence of alternative prey with impulsive state feedback control are studied analytically and numerically. By using the analogue of the Poincaré criterion, sufficient conditions for the existence and stability of semitrivial periodic solutions can be obtained. Furthermore, the corresponding bifurcation diagrams and phase diagrams are investigated by means of numerical simulations which illustrate the feasibility of the main results
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