A suggestion is made as to how the model of an interface between two different elastic media can be changed in order to remove the logical inconsistencies present in analyses of the ideal interface currently in use. The models, suggested in the paper, could also be interpreted as descriptions of actual diffuse interfaces formed by an adhesive layer.
We examine the Morton and Pliska (1993) model for the optimal management of a portfolio when there are transaction costs proportional to a fixed fraction of the portfolio value. We analyze this model in the realistic case of small transaction costs by conducting a perturbation analysis about the no-transaction-cost solution. Although the full problem is a free-boundary diffusion problem in as many dimensions as there are assets in the portfolio, we find explicit solutions for the optimal trading policy in this limit. This makes the solution for a realistically large number of assets a practical possibility. Copyright 1995 Blackwell Publishers.
In the well-known deterministic model for the spread of an epidemic, one considers a population of uniform density along a line and divides the population into three classes: susceptible but uninfected, infected and infectious, infected but removed. If we denote space and time variables by s, t and let x(s, t), y(s, t), z(s, t) be the proportions of the population at (s, t) in these three classes, then x + y + z = 1 and we suppose thatHere Ῡ(s, t) denotes a space average ∫ y(s + σ) p(σ) dσ, where p is a probability density function; b is the removal rate; the scale of t has been adjusted to remove a constant that would otherwise occur in (1).
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