In this paper we study a class of optimal dividend and investment problems assuming that the underlying reserve process follows the Sparre Andersen model, that is, the claim frequency is a “renewal” process, rather than a standard compound Poisson process. The main feature of such problems is that the underlying reserve dynamics, even in its simplest form, is no longer Markovian. By using the b...

We consider an optimal consumption, leisure, investment, and voluntary retirement problem for an agent with a Cobb–Douglas utility function. Using dynamic programming, we derive closed form solutions for the value function and optimal strategies for consumption, leisure, investment, and retirement.

OF THE THESIS Damage Detection in Dynamic Systems with Nonlinearities by William Bruce Dunbar Master of Science in Engineering Sciences (Applied Mechanics) University of California, San Diego, 1999 Professor John B. Kosmatka, Chair In general, damage detection can be described by the process of monitoring a physical dynamic (moving) system accompanied by con rmation and assessment of any degrad...

We examine the motion of charged particles in gravitational and electro-magnetic background fields. We study in particular the deviation of world lines, describing the relative acceleration between particles on different space-time trajectories. Two special cases of background fields are considered in detail: (a) pp-waves, a combination of gravitational and electro-magnetic polarized plane wave...

We consider the single-leg airline revenue management problem in continuous time with Poisson arrivals. Earlier work on this problem generally uses the Hamilton-Jacobi-Bellman equation to find an optimal policy whenever the value function is differentiable and is a solution to this equation. In this paper, we employ a different probabilistic approach, which do not rely on the smoothness of the ...

It is explained how FEMLAB / COMSOL Multiphysics can be configured to calculate, the frequencies, electromagneticfield patterns, mode volumes, filling factors, radiation losses ... of the whispering-gallery modes of axisymmetric microresonators. The method exploits COMSOL’s ability to accept the definition of solutions to Maxwells equations in so-called ‘weak form’. As no transverse approximati...

Viscoelasticity and variable mass are common phenomena in Micro-Electro-Mechanical Systems (MEMS), could be described by a fractional derivative damping stochastic process, respectively. To study the dynamic influence cased viscoelasticity mass, stationary response of kind nonlinear systems with variable-mass derivative, is investigated this paper. Firstly, an approximately equivalent system st...

A vital element in integrated optofluidics is dynamic tuning and precise control of photonic devices, especially when employing electronic techniques which are challenging to utilize in an aqueous environment. We overcome this challenge by introducing a new platform in which the photonic device is controlled using electro-optical phase tuning. The phase tuning is generated by the thermo-optic e...