We consider an extreme renewal process with no-mean heavy-tailed Pareto(II) inter-renewals and shape parameter $\alpha$ where $0\lt\alpha \leq 1$. Two steps are required to derive integral expressions for the analytic probability density functions (pdfs) of the fixed finite time $t$ excess, age, and total life, and require extensive computations. Step 1 creates and solves a Volterra integral equation of the second kind for the limiting pdf of a basic underlying regenerative process defined in the text, which is used for all three fixed finite time $t$ pdfs. Step 2 builds the aforementioned integral expressions based on the limiting pdf in the basic underlying regenerative process. The limiting pdfs of the fixed finite time $t$ pdfs as $t\rightarrow \infty$ do not exist. To reasonably observe the large $t$ pdfs in the extreme renewal process, we approximate them using the limiting pdfs having simple well-known formulas, in a companion renewal process where inter-renewals are right-truncated Pareto(II) variates with finite mean; this does not involve any computations. The distance between the approximating limiting pdfs and the analytic fixed finite time large $t$ pdfs is given by an $L_{1}$ metric taking values in $(0,1)$, where “near $0$” means “close” and “near $1$” means “far”.

The scattering by the perfectly electric conducting (PEC) half-plane and PEC zero thickness disk placed on parallel planes is considered. The fields are represented in the spectral domain, i.e. in the domain of Fourier transform. The operator equations with respect to the Fourier amplitudes of the scattered field are obtained. The kernel functions of these equations contain poles. After regularization procedure, which is connected with the elimination of the poles, operator equations are converted to the system of singular integral equations. The convergence of the solution is based on the corresponding theorems. The scattered field consists of the plane wave, reflected by the infinite part of the half-plane, cylindrical waves, which appear as a result of scattering by the edge of the half-plane, and spherical waves, which appear as a result of scattering by the disk and multiple re-scattering by the disk-half-plane. The total near-field distribution and far-field patterns of cylindrical waves are presented.

We use an integral equation formulation approach to value shout options, which are exotic options giving an investor the ability to “shout” and lock in profits while retaining the right to benefit from potentially favourable movements in the underlying asset price. Mathematically, the valuation is a free boundary problem involving an optimal exercise boundary which marks the region between shouting and not shouting. We also find the behaviour of the optimal exercise boundary for one- and two-shout options close to expiry.

We consider interacting particle systems and their mean-field limits, which are frequently used to model collective aggregation and are known to demonstrate a rich variety of pattern formations. The interaction is based on a pairwise potential combining short-range repulsion and long-range attraction. We study particular solutions, which are referred to as flocks in the second-order models, for the specific choice of the Quasi-Morse interaction potential. Our main result is a rigorous analysis of continuous, compactly supported flock profiles for the biologically relevant parameter regime. Existence and uniqueness are proven for three space dimensions, while existence is shown for the two-dimensional case. Furthermore, we numerically investigate additional Morse-like interactions to complete the understanding of this class of potentials.

Since matrix compression has paved the way for discretizing the boundary integralequation formulations of electromagnetics scattering on very fine meshes, preconditionersfor the resulting linear systems have become key to efficient simulations. Operatorpreconditioning based on Calderón identities has proved to be a powerful device fordevising preconditioners. However, this is not possible for the usual first-kind boundaryformulations for electromagnetic scattering at general penetrable composite obstacles. Wepropose a new first-kind boundary integral equation formulation following the reasoningemployed in [X. Clayes and R. Hiptmair, Report 2011-45, SAM, ETH Zürich (2011)] foracoustic scattering. We call it multi-trace formulation, because itsunknowns are two pairs of traces on interfaces in the interior of the scatterer. We give acomprehensive analysis culminating in a proof of coercivity, and uniqueness and existenceof solution. We establish a Calderón identity for the multi-trace formulation, which formsthe foundation for operator preconditioning in the case of conforming Galerkin boundaryelement discretization.

Galerkin discretizations of integral equations in $\mathbb{R}^{d}$ requirethe evaluation of integrals $I = \int_{S^{(1)}}\int_{S^{(2)}}g(x,y){\rm d}y{\rm d}x$ where S (1),S (2) are d-simplices and g has a singularityat x = y. We assume that g is Gevrey smooth for x $\ne$ y andsatisfies bounds for the derivatives which allow algebraic singularitiesat x = y. This holds for kernel functions commonly occurring in integralequations. We construct a family of quadrature rules $\mathcal{Q}_{N}$ usingN function evaluations of g which achieves exponential convergence|I – $\mathcal{Q}_{N}$ | ≤C exp(–r N γ ) with constants r, γ > 0.

We consider the following model that describes the spread of n types of epidemics which are interdependent on each other:

Our aim is to establish criteria such that the above system has one or multiple constant-sign periodic solutions (u1, u2, …, un), that is, for each 1 ≤ i ≤ n, ui, is periodic and θiui ≥ 0 where θi, ε (1, −1) is fixed. Examples are also included to illustrate the results obtained.

In this paper, we first prove an existence theorem for the integrodifferential equation (*)where f,k,x are functions with values in a Banach space E and the integral is taken in the sense of Henstock–Kurzweil–Pettis. In the second part of the paper we show that the set S of all solutions of the problem (*) is compact and connected in (C(Id,E),ω), where .

This paper addresses some results on the development of an approximate methodfor computing the acoustic field scattered by a three-dimensional penetrable object immersed into an incompressiblefluid. The basic idea of the method consists in using on-surface differentialoperators that locally reproduce the interior propagation phenomenon. This approach leads tointegral equation formulations with a reduced computational cost compared to standard integral formulations couplingboth the transmitted and scattered waves. Theoreticalaspects of the problem and numerical experiments are reported to analyze the efficiency ofthe method and precise its validity domain.

Explicit expressions are derived for the inverses of operators of a particular class that includes the operator corresponding to a system of coupled integral equations having weighted difference kernels. The inverses are expressed in terms of a finite number of functions and a systematic way of generating different sets of these functions is devised. The theory generalizes those previously derived for a single integral equation and an integral-equation system with pure difference kernels. The connection is made between the finite generation of inverses and embedding.

AMS 2000 Mathematics subject classification: Primary 45A05

We consider an infinite server queueing system. An examination of sample path dynamics allows a straightforward development of integral equations having solutions that give time-dependent occupancy (number of customers) and backlog (unfinished work) distributions (conditioned on the time of the first arrival) for the GI/G/∞ queue. These integral equations are amenable to numerical evaluation and can be generalized to characterize GIX/G/∞ queue. Two examples are given to illustrate the results.

Goovaerts and Kaas (1991) present a recursive scheme, involving Panjer's recursion, to compute the compound generalized Poisson distribution (CGPD). In the present paper, we study the CGPD in detail. First, we express the generating functions in terms of Lambert's W function. An integral equation is derived for the pdf of CGPD, when the claim severities are absolutely continuous, from the basic principles. Also we derive the asymptotic formula for CGPD when the distribution of claim severity satisfies certain conditions. Then we present a recursive formula somewhat different and easier to implement than the recursive scheme of Goovaerts and Kaas (1991), when the distribution of claim severity follows an arithmetic distribution, which can be used to evaluate the CGPD. We illustrate the usage of this formula with a numerical example.

First-exit-time problems for Brownian motion have been studied extensively because of their theoretical importance as well as their practical applications. Except for a very few special cases such as straight-line barriers, the distribution (or density) of the first-exit time cannot be expressed in a closed form. In general the distribution and the density appear as solutions of Volterra integral equations. To solve such an equation analytically, some regularity conditions are needed for the barrier function including differentiability. This paper gives various integral equations involving the distribution and the density of the first-exit time for any sectionally continuous barrier, and then shows how to solve those integral equations numerically.

A system of two parallel queues is considered, where each customer must leave after service through a common gate G. It is assumed that service times at the two stations I and II are independent and identically distributed, and that exit service takes a fixed length of time. A I-customer may be served at station I only if the previous I-customer has completed exit service. Integral equations are formulated from which the distribution of the total service time may be obtained when the two queue sizes are infinite. These equations are solved for exponential and generalized erlangian service times. Extensions to the case of k parallel queues and to the case of Poisson arrivals and finite queue sizes are discussed briefly.

The Palasti conjecture on the asymptotic mean proportion of coverage is verified for the sequential random packing of rectangular cars with sides parallel to rectangular boundaries in the models of Rényi and Solomon. The extension to n dimensions is given. An extension to a random car size model is indicated.

Let X(t), N(t) respectively denote the number of cells alive at t and the total number of cells born by t in a critical age-dependent Bellman-Harris branching process.

The asymptotic behavior of the conditional moments, for 0 < α ≦ 1, E(Nn(αt) | X(t) > 0), E(Nn(t) |X(αt) > 0), is obtained.

Determination of the limiting distributions for a class of mixed-type stochastic processes with state-dependent rates of decline is reduced to the solution of a class of integral equations. For the case where the rate of decline is proportional to the state, some results are obtained by solving the integral equation of the process through Fuchs' method.