From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment

On time-dependent neutral stochastic evolution equations with a fractional Brownian motion and infinite delays

In this paper, we consider a class of time-dependent neutral stochastic evolution equations with the infinite delay and a fractional Brownian motion in a Hilbert space. We establish the existence and uniqueness of mild solutions for these equations under non-Lipschitz conditions with Lipschitz conditions being considered as a special case. An example is provided to illustrate the theory

Effect of Temperature Changes on Dynamic Pull-in Phenomenon in a Functionally Graded Capacitive Micro-beam

In this paper, dynamic behavior of a functionally graded cantilever micro-beam and its pull-in instability, subjected to simultaneous effects of a thermal moment and nonlinear electrostatic pressure, has been studied. It has been assumed that the top surface is made of pure metal and the bottom surface from a metal–ceramic mixture. The ceramic constituent percent of the bottom surface ranges fr...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Approximate Incremental Dynamic Analysis Using Reduction of Ground Motion Records

Incremental dynamic analysis (IDA) requires the analysis of the non-linear response history of a structure for an ensemble of ground motions, each scaled to multiple levels of intensity and selected to cover the entire range of structural response. Recognizing that IDA of practical structures is computationally demanding, an approximate procedure based on the reduction of the number of ground m...

Asymptotic Efficiency in Dynamic Principal-Agent Problems

In a seminal paper, B. R. Holmstro m and P. R. Milgrom (1987, Econometrica 55, 303 328) examine a principal-agent model in which the agent continuously controls the drift rate of a Brownian motion. Given a stationary environment, they show that the optimal sharing rule is a linear function of aggregated output. This paper considers a variant of the Brownian model in which control revisions take...