Anticipated Backward Stochastic Differential Equation with Reflection

In this article, we deal with anticipated backward stochastic differential equation with reflecting boundary. The existence and uniqueness of solution is obtained for equation with Lipschitz and non-Lipschitz generator.     

Accelerating inference for diffusions observed with measurement error and large sample sizes using approximate Bayesian computation

In recent years, dynamical modelling has been provided with a range of breakthrough methods to perform exact Bayesian inference. However, it is often computationally unfeasible to apply exact statistical methodologies in the context of large data sets and complex models. This paper considers a nonlinear stochastic differential equation model observed with correlated measurement errors and an application to protein folding modelling. An approximate Bayesian computation (ABC)-MCMC algorithm is suggested to allow inference for model parameters within reasonable time constraints. The ABC algorithm uses simulations of ‘subsamples’ from the assumed data-generating model as well as a so-called ‘early-rejection’ strategy to speed up computations in the ABC-MCMC sampler. Using a considerate amount of subsamples does not seem to degrade the quality of the inferential results for the considered applications. A simulation study is conducted to compare our strategy with exact Bayesian inference, the latter resulting two orders of magnitude slower than ABC-MCMC for the considered set-up. Finally, the ABC algorithm is applied to a large size protein data. The suggested methodology is fairly general and not limited to the exemplified model and data.     

Simulating random variables using moment-generating functions and the saddlepoint approximation

When we are given only a transform such as the moment-generating function of a distribution, it is rare that we can efficiently simulate random variables. Possible approaches such as the inverse transform using numerical inversion of the transform are computationally very expensive. However, the saddlepoint approximation is known to be exact for the Normal, Gamma, and inverse Gaussian distribution and remarkably accurate for a large number of others. We explore the efficient use of the saddlepoint approximation for simulating distributions and provide three examples of the accuracy of these simulations.     

Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

This paper presents an efficient Monte Carlo simulation scheme based on the variance reduction methods to evaluate arithmetic average Asian options in the context of the double Heston's stochastic volatility model with jumps. This paper consists of two essential parts. The first part presents a new flexible stochastic volatility model, namely, the double Heston model with jumps. In the second part, by combining two variance reduction procedures via Monte Carlo simulation, we propose an efficient Monte Carlo simulation scheme for pricing arithmetic average Asian options under the double Heston model with jumps. Numerical results illustrate the efficiency of our method.     

The Relationships between Activity and Quality of Life for Older Men and Women at Different Ages in Taiwan

This study investigated the relationships between types of activity and quality of life (QOL) for older men and women at different ages. Based on cross-sectional data that included 220 community-dwelling elderly persons aged 65 and older in southern Taiwan, the results showed that the participation rates in many activities declined with age for both genders. Social activity and solitary leisure activity were significantly associated with QOL for old-old men, but not for young-old men. Only social activity was significantly associated with QOL for young-old women, but there was no significant association between any activity and QOL for old-old women.     

Stochastic comparisons between extreme order statistics from scale models

Stochastic ordering relations between extreme order statistics from exponential, Weibull and gamma distributions have been studied extensively by many researchers in recent years. In this work, we obtain various ordering results for the comparisons of two extreme order statistics from scale models when one set of scale parameters majorizes the other. The new results obtained here are applied when the baseline distributions are exponentiated Weibull or generalized gamma distributions. In this way, we generalize and extend some results established recently in the literature.     

Foodborne Exposure to Pesticides and Methylmercury in the United Arab Emirates

As part of a comprehensive environmental health strategic planning project initiated by the government of Abu Dhabi, we assessed potential dietary exposure in the United Arab Emirates (UAE) to methylmercury (in seafood) and pesticides (in fruits and vegetables) above international guideline levels. We present results for the UAE population by age, gender, and body mass index. Our results show very low daily risks of exposure to pesticides in fruits and vegetables at levels exceeding WHO guidelines even under the conservative assumption that no pesticides are removed during washing and food preparation. Thus, exposure to pesticides on fruits and vegetables does not appear to be a major public health concern in the UAE. The chances of exposure to methylmercury in seafood are much higher; our model estimates a mean 1 in 5 daily risk of exceeding the FAO/WHO provisional tolerable weekly intake. However, great caution should be used in interpreting these results, as we analyzed only the risks and not the substantial benefits of fish consumption. In fact, previous studies have demonstrated that exposure to the n‐3 polyunsaturated fatty acids in fish can increase IQ in developing children, and it can substantially decrease the risk in adults of coronary heart disease and stroke. Further research is warranted to compare the risk of Me‐Hg exposure from fish to the nutritional benefits of fish consumption in the UAE and to determine appropriate methods to communicate risk and benefit information to the UAE population.     

Using Work Values to Predict Post‐Retirement Work Intentions

Work values might be proximal predictors of individuals' late‐career intentions because they serve as guiding principles for the selection, evaluation, and justification of vocational behavior. The purpose of this study was to examine the relationship between work values and post‐retirement work intentions. The authors investigated individual work values within the structure of 4 higher order values elaborated on by Schwartz et al. ( 2012 ). Relationships between work values and 4 types of post‐retirement work intentions were examined. Data from 1,071 employees of a German logistics company were used to test the hypotheses. The results of a structural equation model indicated that work values were differentially related to the 4 types of post‐retirement work intentions. The identified work value–work type combinations add to the literature on post‐retirement work. Practice implications for promoting positive individual and organizational outcomes are drawn from the results.     

Production and changeover control policies of a class of failure prone buffered flow-shops

This article deals with a stochastic optimal control problem for a class of buffered multi-parts flow-shops manufacturing system. The involved machines are subject to random breakdowns and repairs. The flow-shop under consideration is not completely flexible and hence requires setup time and cost in order to switch the production from a part type to another, this changeover is carried on the whole line. Our objective is to find the production plan and the sequence of setups that minimise the cost function, which penalises inventories/backlogs and setups. A continuous dynamic programming formulation of the problem is presented. Then, a numerical scheme is adopted to solve the obtained optimality conditions equations for a two buffered serial machines two parts case. A complete heuristic policy, based on the numerical observations which describe the optimal policies in system states, is developed. It will be shown that the obtained policy is a combination of a KANBAN/CONWIP and a modified hedging corridor policy. Moreover, based on our observations and existent research studies extension to cover more complex flow-shops is henceforth possible. The robustness of such a policy is illustrated through sensitivity analysis.