• Journal of Information Processing Systems
• /
• v.7 no.4
• /
• pp.653-678
• /
• 2011

WiMAX is intended for fourth generation wireless mobile communications where a group of users are provided with a connection and a fixed length queue. In present literature traffic of such network is analyzed based on the generator matrix of the Markov Arrival Process (MAP). In this paper a simple analytical technique of the two dimensional Markov chain is used to obtain the trajectory of the congestion of the network as a function of a traffic parameter. Finally, a two state phase dependent arrival process is considered to evaluate probability states. The entire analysis is kept independent of modulation and coding schemes.

• Journal of Communications and Networks
• /
• v.16 no.2
• /
• pp.217-226
• /
• 2014

In this research, we study the problem of opportunistic spectrum access (OSA) in a time-varying environment with fading channels, where the channel state is characterized by both channel quality and the occupancy of primary users (PUs). First, a finite-state Markov channel model is introduced to represent a fading channel. Second, by probing channel quality and exploring the activities of PUs jointly, a two-dimensional partially observable Markov decision process framework is proposed for OSA. In addition, a greedy strategy is designed, where a secondary user selects a channel that has the best-expected data transmission rate to maximize the instantaneous reward in the current slot. Compared with the optimal strategy that considers future reward, the greedy strategy brings low complexity and relatively ideal performance. Meanwhile, the spectrum sensing error that causes the collision between a PU and a secondary user (SU) is also discussed. Furthermore, we analyze the multiuser situation in which the proposed single-user strategy is adopted by every SU compared with the previous one. By observing the simulation results, the proposed strategy attains a larger throughput than the previous works under various parameter configurations.

• Journal of the Chungcheong Mathematical Society
• /
• v.27 no.2
• /
• pp.237-242
• /
• 2014

In this paper we provide a valuation method for multi-asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are affected by an n-dimensional independent Markov regime-switching process.

• Communications of the Korean Mathematical Society
• /
• v.12 no.2
• /
• pp.419-425
• /
• 1997

Consider a d-dimensional domain D that has finite Lebesque measure and a Dirichlet form which has discontinuous coefficient. Then the stationary Markov process corresponding to the given Dirichlet form is a semimartingale under suitable condition for D and the coefficient.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• v.8 no.9
• /
• pp.3110-3125
• /
• 2014

Network coding improves TCP's performance in lossy wireless networks. However, the complex congestion window evolution of network coded TCP (TCP-NC) makes the analysis of end-to-end throughput challenging. This paper analyzes the evolutionary process of TCP-NC against lossy links. An analytic model is established by applying a two-dimensional Markov chain. With maximum window size, end-to-end erasure rate and redundancy parameter as input parameters, the analytic model can reflect window evolution and calculate end-to-end throughput of TCP-NC precisely. The key point of our model is that by the novel definition of the states of Markov chain, both the number of related states and the computation complexity are substantially reduced. Our work helps to understand the factors that affect TCP-NC's performance and lay the foundation of its optimization. Extensive simulations on NS2 show that the analytic model features fairly high accuracy.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.11 no.3
• /
• pp.179-196
• /
• 1986

In this paper, the peformance of a statistical packet voice/data multiplexer is studied. In ths study we assume that in the packet voice/data multiplexer two separate finite queues are used for voice and data traffics, and that voice traffic gets priority over data. For the performance analysis we divide the output link of the multiplexer into a sequence of time slots. The voice signal is modeled as an (M+1) - state Markov process, M being the packet generation period in slots. As for the data traffic, it is modeled by a simple Poisson process. In our discrete time domain analysis, the queueing behavior of voice traffic is little affected by the data traffic since voice signal has priority over data. Therefore, we first analyze the queueing behavior of voice traffic, and then using the result, we study the queueing behavior of data traffic. For the packet voice multiplexer, both inpur state and voice buffer occupancy are formulated by a two-dimensional Markov chain. For the integrated voice/data multiplexer we use a three-dimensional Markov chain that represents the input voice state and the buffer occupancies of voice and data. With these models, the numerical results for the performance have been obtained by the Gauss-Seidel iteration method. The analytical results have been verified by computer simylation. From the results we have found that there exist tradeoffs among the number of voice users, output link capacity, voic queue size and overflow probability for the voice traffic, and also exist tradeoffs among traffic load, data queue size and oveflow probability for the data traffic. Also, there exists a tradeoff between the performance of voice and data traffics for given inpur traffics and link capacity. In addition, it has been found that the average queueing delay of data traffic is longer than the maximum buffer size, when the gain of time assignment speech interpolation(TASI) is more than two and the number of voice users is small.

• Journal of the Institute of Electronics Engineers of Korea CI
• /
• v.45 no.5
• /
• pp.125-133
• /
• 2008

In this paper, we propose active queue management mechanism (Active-WRED) to guarantee quality of the high priority service class in multi-class traffic service environment. In congestion situation, this mechanism increases drop probability of low priority traffic and reduces the drop probability of the high priority traffic, therefore it can improve the quality of the high priority service. In order to analyze the performance of our mechanism we introduce the stochastic analysis of a discrete-time queueing systems for the performance evaluation of the Active Queue Management (AQM) based congestion control mechanism called Weighted Random Early Detection (WRED) using a two-state Markov-Modulated Bernoulli arrival process (MMBP-2) as the traffic source. A two-dimensional discrete-time Harkov chain is introduced to model the Active-WRED mechanism for two traffic classes (Guaranteed Service and Best Effort Service) where each dimension corresponds to a traffic class with its own parameters.

• Journal of the Korea Institute of Military Science and Technology
• /
• v.15 no.4
• /
• pp.442-449
• /
• 2012

Cognitive Radio(CR) is the technology that allocates the frequency by using dynamic spectrum access. We proposed a model to calculate the optimal level of the cognitive radiotelegraph, where secondary users opportunistically share the spectrum with primary users through the spectrum sensing. When secondary user with cognitive radio detects the arrival of a primary user in its current channel, the secondary user moves to the idle channel or be placed in the virtual queue. We assume that the primary users have finite buffers and the population of secondary users is finite. Using a two-dimensional Makov model with preemptive priority queueing, we could derive the blocking and waiting probability as well as the optimal level of cognitive radiotelegraph under a various range of parameter circumstances.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.39 no.2
• /
• pp.1-10
• /
• 2016

In this paper, we present a new way to derive the mean cycle time of the G/G/m failure prone queue when the loading of the system approaches to zero. The loading is the relative ratio of the arrival rate to the service rate multiplied by the number of servers. The system with low loading means the busy fraction of the system is low. The queueing system with low loading can be found in the semiconductor manufacturing process. Cluster tools in semiconductor manufacturing need a setup whenever the types of two successive lots are different. To setup a cluster tool, all wafers of preceding lot should be removed. Then, the waiting time of the next lot is zero excluding the setup time. This kind of situation can be regarded as the system with low loading. By employing absorbing Markov chain model and renewal theory, we propose a new way to derive the exact mean cycle time. In addition, using the proposed method, we present the cycle times of other types of queueing systems. For a queueing model with phase type service time distribution, we can obtain a two dimensional Markov chain model, which leads us to calculate the exact cycle time. The results also can be applied to a queueing model with batch arrivals. Our results can be employed to test the accuracy of existing or newly developed approximation methods. Furthermore, we provide intuitive interpretations to the results regarding the expected waiting time. The intuitive interpretations can be used to understand logically the characteristics of systems with low loading.

• Journal of the Korean Mathematical Society
• /
• v.59 no.2
• /
• pp.311-335
• /
• 2022

This paper treats Merton's classical portfolio optimization problem for a market participant who invests in safe assets and risky assets to maximize the expected utility. When the state process is a d-dimensional Markov diffusion, this problem is transformed into a problem of solving a Hamilton-Jacobi-Bellman (HJB) equation. The main purpose of this paper is to solve this HJB equation by a deep learning algorithm: the deep Galerkin method, first suggested by J. Sirignano and K. Spiliopoulos. We then apply the algorithm to get the solution to the HJB equation and compare with the result from the finite difference method.