This work is concerned with numerical methods for controlled regime-switching diffusions, and regime-switching jump diffusions. Numerical procedures based on Markov chain approximation techniques are developed. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purpose. 2006 Elsevier Ltd. All rights reserved.

The objective of this paper is to present a novel methodology for likelihood-based inference for discretely observed diffusions. We propose Monte Carlo methods, which build on recent advances on the exact simulation of diffusions, for performing maximum likelihood and Bayesian estimation.

We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy iteration algorithm are also discussed. Index Terms controlled diffusions, near-monotone costs, Hamilton–Jacobi–Bellman equation, policy iteration

Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.

in this paper, the stability characteristics of single-walled carbon nanotubes (swcnts) under the action of axial load are investigated. to this end, a nonlocal flügge shell model is developed to accommodate the small length scale effects. the analytical rayleigh-ritz method with beam functions is applied to the variational statement derived from the flügge-type buckling equations. molecular dy...

This paper addresses the influence of boundary conditions and small-scale effect on the free vibration of nano-plates using molecular dynamics (MD) and nonlocal elasticity theory. Based on the MD simulations, Large-scale Atomic/Molecular Massively Parallel Simulator (LAMMPS) is used to obtain fundamental frequencies of single layered graphene sheets (SLGSs) which modeled in this paper as the mo...

The hysteretic behavior of many-particle systems with non-convex free energy can be modeled by nonlocal Fokker-Planck equations that involve two small parameters and are driven by a timedependent constraint. In this paper we consider the fast reaction regime related to Kramers-type phase transitions and prove that the dynamics in the small-parameter limit can be described by a rate-independent ...

We consider a class of multidimensional inhomogeneous diffusions whose drift coefficient depends on unknown parameter. Under some appropriate assumptions, we prove the local asymptotic mixed normality property for parameter from high-frequency observations when length observation window tends to infinity. To obtain result, use Malliavin calculus techniques and change measures. Our approach is a...

functionally gradedpoisson’s ratio structures have been developed for critical protection. in thispaper, the static bending and buckling of fgpr nanoscale beam are studied basedon the nonlocal timoshenko beam model, in which both young’s modulus andpoisson’s ratio are assumed to vary continuously in the thickness direction. byutilizing total potential energy principle, equilibrium equations are...