Том 56, № 1 (2016)

For a boundary controlled dynamic system, algorithms for solving the problem of tracking reference motion and the problem of tracking reference control are described. The algorithms are robust to information noise and computational errors. The solution method is based on the extremal shift method from the theory of positional differential games.

Previous and new results are used to compare two mathematical insurance models with identical insurance company strategies in a financial market, namely, when the entire current surplus or its constant fraction is invested in risky assets (stocks), while the rest of the surplus is invested in a risk-free asset (bank account). Model I is the classical Cramér–Lundberg risk model with an exponential claim size distribution. Model II is a modification of the classical risk model (risk process with stochastic premiums) with exponential distributions of claim and premium sizes. For the survival probability of an insurance company over infinite time (as a function of its initial surplus), there arise singular problems for second-order linear integrodifferential equations (IDEs) defined on a semiinfinite interval and having nonintegrable singularities at zero: model I leads to a singular constrained initial value problem for an IDE with a Volterra integral operator, while II model leads to a more complicated nonlocal constrained problem for an IDE with a non-Volterra integral operator. A brief overview of previous results for these two problems depending on several positive parameters is given, and new results are presented. Additional results are concerned with the formulation, analysis, and numerical study of “degenerate” problems for both models, i.e., problems in which some of the IDE parameters vanish; moreover, passages to the limit with respect to the parameters through which we proceed from the original problems to the degenerate ones are singular for small and/or large argument values. Such problems are of mathematical and practical interest in themselves. Along with insurance models without investment, they describe the case of surplus completely invested in risk-free assets, as well as some noninsurance models of surplus dynamics, for example, charity-type models.

Locally one-dimensional difference schemes are considered as applied to a fractional diffusion equation with variable coefficients in a domain of complex geometry. They are proved to be stable and uniformly convergent for the problem under study.

The convergence of the Galerkin method of solving the Cauchy–Dirichlet problem for the Barenbratt–Gilman equation is studied. On the basis of theoretical results, a numerical algorithm for this problem is developed. Results of a numerical experiment are presented.

Fluid dynamic processes related to mature oil field development are simulated by applying a numerical algorithm based on the gas–liquid mixture flow equations in a reservoir and a wellbore with allowance for the dynamical interaction in the reservoir–well system. Numerical experiments are performed in which well production characteristics are determined from wellhead parameters.

A computer system is said to be algebraic if it contains nodes that implement unconventional computation paradigms based on universal algebra. A category-based approach to modeling such systems that provides a theoretical basis for mapping tasks to these systems’ architecture is proposed. The construction of algebraic models of general-purpose computations involving conditional statements and overflow control is formally described by a reflector in an appropriate category of algebras. It is proved that this reflector takes the modulo ring whose operations are implemented in the conventional arithmetic processors to the Łukasiewicz logic matrix. Enrichments of the set of ring operations that form bases in the Łukasiewicz logic matrix are found.