Using a method of stochastic perturbation of a Langevin system associated with the non-viscous Burgers equation we introduce a system of PDE that can be considered as a regularization of the pressureless gas dynamics describing sticky particles. By means of this regularization we describe how starting from smooth data a δ-singularity arises in the component of density. Namely, we find the asymptotics of solution at the point of the singularity formation as the parameter of stochastic perturbation tends to zero. Then we introduce a generalized solution in the sense of free particles (FP-solution) as a special limit of the solution to the regularized system. This solution corresponds to a medium consisting of non-interacting particles. The FP-solution is a bridging step to constructing solutions to the Riemann problem for the pressureless gas dynamics describing sticky particles. We analyze the difference in the behavior of discontinuous solutions for these two models and the relations between them. In our framework we obtain a unique entropy solution to the Riemann problem in 1D case.
We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_γ$ featuring the expected earnings yield of portfolio minus a penalty term proportional with a coefficient $γ$ to the variance when we keep the value of the factor levels fixed. The coefficient $γ$ plays the role of a risk-aversion parameter. We find the optimal trading positions that can be obtained as the solution to a maximization problem for $Q_γ$ at any moment of time. The single-factor case is analyzed in more details. We present a simple asset allocation example featuring an interest rate which affects a stock index and also serves as a second investment opportunity. We consider two possibilities: the interest rate for the bank account is governed by Vasicek-type and Cox-Ingersoll-Ross dynamics, respectively. Then we compare our results with the theory of Bielecki and Pliska where the authors employ the methods of the risk-sensitive control theory thereby using an infinite horizon objective featuring the long run expected growth rate, the asymptotic variance, and a risk-aversion parameter similar to $γ$.
We consider the problem of initial conditions that lead to the intersection of a satellite orbit with planetocentric sphere of a radius R. The problem is considered in frame of the satellite version of the double-averaged restricted three body problem with taking into account gravitational perturbations caused by the polar oblateness of the planet. For some integrable cases we provide the boundaries of the manifolds of the initial orbital elements leading (or not leading) to the intersection of the satellite orbit with the planet surface.
The complex Euler group is defined associating to an integer complex number z the multiplicative group of the complex integers residues modulo z , relatively prime to z . This group is calculated for z =(3+0 i ) n : it is isomorphic to the product of three cyclic group or orders (8, 3 n −1 and 3 n −1 ).
We give a simple explanation of numerical experiments of V. Arnold with two sequences of symmetric numerical semigroups, S(4,6+4k,87-4k) and S(9,3+9k,85-9k) generated by three elements. We present a generalization of these sequences by numerical semigroups S(r_1^2,r_1r_2+r_1^2k,r_3-r_1^2k), k\in{\mathbb Z}, r_1,r_2,r_3\in{\mathbb Z}^+, r_1\geq 2 and \gcd(r_1,r_2)=\gcd(r_1,r_3)=1, and calculate their universal Frobenius number Phi(r_1,r_2,r_3) for the wide range of k providing semigroups be symmetric. We show that this kind of semigroups admit also nonsymmetric representatives. We describe the reduction of the minimal generating sets of these semigroups up to {r_1^2,r_3-r_1^2k} for sporadic values of k and find these values by solving the quadratic Diophantine equation.
