We are concerned with an optimal investment-consumption problem with stochastic affine interest rate and stochastic volatility, in which interest rate dynamics are described by the affine interest rate model including...
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We are concerned with an optimal investment-consumption problem with stochastic affine interest rate and stochastic volatility, in which interest rate dynamics are described by the affine interest rate model including the Cox-Ingersoll-Ross model and the Vasicek model as special cases, while stock price is driven by Heston's stochastic volatility (SV) model. Assume that the financial market consists of a risk-free asset, a zero-coupon bond (or a convertible bond), and a risky asset. By using stochastic dynamic programming principle and the technique of separation of variables, we get the HJB equation of the corresponding value function and the explicit expressions of the optimal investment-consumption strategies under power utility and logarithmic utility. Finally, we analyze the impact of market parameters on the optimal investment-consumption strategies by giving a numerical example.
A new XTR-based key agreement scheme with constant rounds is presented. Three theorems are formulated to reveal the logarithmic computational complexity of this scheme. Furthermore, the computation framework of XTR-ba...
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A new XTR-based key agreement scheme with constant rounds is presented. Three theorems are formulated to reveal the logarithmic computational complexity of this scheme. Furthermore, the computation framework of XTR-based key agreement scheme is introduced, and security of the scheme is proven under the formal model.
There has been considerable controversy during the past few years concerning the validity of the universal logarithmic law that describes the mean velocity profile in the overlap region of a turbulent wall-bounded flo...
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There has been considerable controversy during the past few years concerning the validity of the universal logarithmic law that describes the mean velocity profile in the overlap region of a turbulent wall-bounded flow. Alternative Reynolds-number-dependent power laws have been advanced. We propose herein an extension of the classical two-layer approach to higher-order terms involving the Karman number and the dimensionless wall-normal coordinate. The inner and outer regions of the boundary layer are described using Poincare expansions, and asymptotic matching is applied in the overlap zone. Because of the specific sequence of gauge functions chosen, the resulting profile depends explicitly on powers of the reciprocal of the Karman number. The generalized law does not exhibit a pure logarithmic region for large but finite Reynolds numbers. On the other hand, the limiting function of all individual Reynolds-number-dependent profiles described by the generalized law shows a logarithmic behavior. As compared to either the simple log or power law, the proposed generalized law provides a superior fit to existing high-fidelity data.
The balanced truncation method for reducing the size of a model was originally developed for linear systems. When extended to nonlinear systems, some considerations must be faced. First of all, the calculation of the ...
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The balanced truncation method for reducing the size of a model was originally developed for linear systems. When extended to nonlinear systems, some considerations must be faced. First of all, the calculation of the balancing transformation matrix is not unique. This may results in nonphysical values for the reconstructed states, which may lead to failure, for example, in thermodynamic routines. To reduce this problem, it is recommended to include all the states in the balancing outputs. To further reduce the effect of nonlinearties in the original model, it is recommended to use a linearizing static transformation of the states, if available. In this paper, distillation column models are used as a case study, and, in this case, a logarithmic transformation of the compositions is beneficial.
We consider algorithms for deriving logarithmic estimates of (0,1)-matrix permanents with applications to a dimer problem, the computation of the number of Hamilton paths on a simple cubic lattice, and the enumeration...
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We consider algorithms for deriving logarithmic estimates of (0,1)-matrix permanents with applications to a dimer problem, the computation of the number of Hamilton paths on a simple cubic lattice, and the enumeration of latin rectangles.
This investigation deals with the changes in the mean velocity associated with a bichromatic wave train in a steady current. The Eulerian-mean velocity model originally developed for monochromatic waves is applied to ...
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This investigation deals with the changes in the mean velocity associated with a bichromatic wave train in a steady current. The Eulerian-mean velocity model originally developed for monochromatic waves is applied to the calculation of the mean horizontal velocity for bichromatic waves. Instantaneous two-dimensional velocity components for waves following or opposing a current were measured to examine the turbulent intensities and wave-current Reynolds stress. The experimental data suggest that wave direction is an important factor to change the vertical profile of mean velocity based on the logarithmic law. The predicted shape of the mean velocity shows quantitative agreement in the whole depth with the experimental data for various conditions such as irregular waves.
A problem of a straight mixed mode non-interface fracture in an infinite plane is treated analytically with the help of complex analysis techniques. The surfaces of the fracture are subjected to surface elasticity in ...
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A problem of a straight mixed mode non-interface fracture in an infinite plane is treated analytically with the help of complex analysis techniques. The surfaces of the fracture are subjected to surface elasticity in the form proposed by Steigmann and Ogden (Steigmann and Ogden, Proc. R. Soc. A 453 (1997);Steigmann and Ogden, Proc. R. Soc. A 455 (1999)). The boundary conditions on the banks of the fracture connect the stresses and the derivatives of the displacements. The mechanical problem is reduced to two systems of singular integro-differential equations which are further reduced to the systems of equations with logarithmic singularities. It is shown that modeling of the fracture with the Steigmann-Ogden elasticity produces the stress and strain fields, which are bounded at the crack tips. The existence and uniqueness of the solution for almost all the values of the parameters is proved. Additionally, it is shown that introduction of the surface mechanics into the modeling of fracture leads to the size-dependent equations. A numerical scheme of the solution of the systems of singular integro-differential equations is suggested, and the numerical results are presented for different values of the mechanical and the geometric parameters.
The axisymmetric problem of a functionally graded, transversely isotropic, annular plate subject to a uniform transverse load is considered. A direct displacement method is developed that the non-zero displacement com...
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The axisymmetric problem of a functionally graded, transversely isotropic, annular plate subject to a uniform transverse load is considered. A direct displacement method is developed that the non-zero displacement components are expressed in terms of suitable combinations of power and logarithmic functions of r, the radial coordinate, with coefficients being undetermined functions of z, the axial coordinate. The governing equations as well as the corresponding boundary conditions for the undetermined functions are deduced from the equilibrium equations and the boundary conditions of the annular plate, respectively. Through a step-by-step integration scheme along with the consideration of boundary conditions at the upper and lower surfaces, the z-dependent functions are determined in explicit form, and certain integral constants are then determined completely from the remaining boundary conditions. Thus, analytical elasticity solutions for the plate with different cylindrical boundary conditions are presented. As a promising feature, the developed method is applicable when the five material constants of a transversely isotropic material vary along the thickness arbitrarily and independently. A numerical example is finally given to show the effect of the material inhomogeneity on the elastic field in the annular plate.
Hazy images produce negative influences on visual applications in the open air since they are in poor visibility with low contrast and whitening color. Numerous existing methods tend to derive a totally rough estimate...
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Hazy images produce negative influences on visual applications in the open air since they are in poor visibility with low contrast and whitening color. Numerous existing methods tend to derive a totally rough estimate of scene depth. Unlike previous work, we focus on the probability distribution of depth that is considered as a scene prior. Inspired by the denoising work of multiplicative noises, the inverse problem for hazy removal is recast as deriving the optimal difference between scene irradiance and the airlight from a constrained energy functional under Bayesian and variation theories. logarithmic maximum a posteriori estimator and a mixed regularization term are introduced to formulate the energy functional framework where the regularization parameter is adaptively selected. The airlight, another unknown quantity, is inferred precisely under a geometric constraint and dark channel prior. With these two estimates, scene irradiance can be recovered. The experimental results on a series of hazy images reveal that, in comparison with several relevant and most state-of-the-art approaches, the proposed method outperforms in terms of vivid color and appropriate contrast.
The analysis presented here is to study the effect of linear thickness variations in both directions on vibration of viscoelastic rectangular plate having clamped boundary conditions on all the four edges. Using the s...
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The analysis presented here is to study the effect of linear thickness variations in both directions on vibration of viscoelastic rectangular plate having clamped boundary conditions on all the four edges. Using the separation of variables method, the governing differential equation has been solved for vibration of visco-elastic rectangular plate. An approximate but quite convenient frequency equation is derived by using Rayleigh-Ritz technique with a two-term deflection function. logarithmic decrement, time period and deflection at different points for the first two modes of vibration are calculated for various values of taper constants and aspect ratio. (c) 2006 Elsevier Ltd. All rights reserved.
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