Marginal-sum equations and related fixed-point problems
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
Abstract
A marginal-sum equation of order p<2 is a system of nonlinear equations which in turn are linear equations for polynomials of degree p in p variables. Marginal-sum equations typically arise in the construction of a multiplicative tariff in actuarial mathematics. In the present paper we study the existence and the radial uniqueness of solutions of marginal-sum equations and the possibility of computing solutions by iteration. To this end, we first show that the marginal-sum problem is equivalent to several fixed-point problems and we then study these fixed-point problems and the corresponding fixed-point iterations. We show, as a general result, that a marginal-sum equation always has a solution and that the solution cannot be unique. Moreover, for the case p=2 we show that the solution is radially unique and can be computed by fixed-point iteration with respect to a related fixed-point problem and arbitrary initial values. By contrast, for the case p<3 we present a numerical example in which for certain initial values the fixed-point iteration is cyclic and hence divergent.
Details
Original language | English |
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Pages (from-to) | 6088-6102 |
Number of pages | 15 |
Journal | Nonlinear Analysis, Theory, Methods and Applications |
Volume | 75 |
Issue number | 16 |
Publication status | Published - Nov 2012 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Fixed-point equations, Marginal-sum equations, Nonlinear eigenvalue problems, Nonlinear equations