• Proceedings of the Korean Statistical Society Conference
• /
• 2002.11a
• /
• pp.103-108
• /
• 2002

We consider an estimation of discontinuous variance function in nonparametric heteroscedastic random design regression model. We first propose estimators of a change point and jump size in variance function and then construct an estimator of entire variance function. We examine the rates of convergence of these estimators and give results on their asymptotics. Numerical work reveals that the effectiveness of change point analysis in variance function estimation is quite significant.

• Journal of the Korean Statistical Society
• /
• v.33 no.1
• /
• pp.59-78
• /
• 2004

A regression function in generalized linear model may have a discontinuity/change point at unknown location. In order to estimate the location of the discontinuity point and its jump size, the strategy is to use a nonparametric approach based on one-sided kernel weighted local-likelihood functions. Weak convergences of the proposed estimators are established. The finite-sample performances of the proposed estimators with practical aspects are illustrated by simulated examples.

• Communications for Statistical Applications and Methods
• /
• v.11 no.3
• /
• pp.495-501
• /
• 2004

HJM representation of the term structure of interest rates sometimes produces the negative interest rates with positive probability. This paper shows that the condition of positive interest rates can be derived from the jump diffusion process, if a proper positive martingale process with the compensated jump process is chosen. As in Flesaker and Hughston, the condition is incorporated into the bond price process.

• Transactions of the Korean Society of Mechanical Engineers B
• /
• v.22 no.1
• /
• pp.1-11
• /
• 1998

For the analysis of phonon heat transfer within short time and spatial scales, conventional macroscopic heat conduction equations with jump boundary conditions are tried and the results are compared to those of equation of phonon radiative transport(EPRT), which is one of microscopic transport equation. In transient state the macroscopic temperatures show far different behavior from EPRT. In steady state the hyperbolic temperatures with temperature jump at the wall from time relaxation model agrees well with EPRT temperatures. Since EPRT is also an approximate form of microscopic transport equation and there are no experimental results to verify the proposed model in this study, we can not conclude whether the approaching method from this study is valid or not. To the authors' knowledge, there are no experimental results available which can be used to test the validity of these models. Such an experiment, while difficult to conduct, would be invaluable.

• Journal of Electrical Engineering and information Science
• /
• v.3 no.3
• /
• pp.373-384
• /
• 1998

This paper presents a maneuvering target model with the maneuver dynamics modeled as a jump process of Poisson-type. The jump process represents the deterministic maneuver(or pilot commands) and is described by a stochastic differential equation driven by a Poisson process taking values a set of discrete states. Employing the new maneuver model along with the noisy observations described by linear difference equations, the author has developed a new linear, recursive, unbiased minimum variance filter, which is structurally simple, computationally efficient, and hence real-time implementable. Futhermore, the proposed filter does not involve a computationally burdensome technique to compute the filter gains and corresponding covariance matrices and still be able to track effectively a fast maneuvering target. The performance of the proposed filter is assessed through the numerical results generated from the Monte-Carlo simulation.

• Journal of Institute of Control, Robotics and Systems
• /
• v.17 no.2
• /
• pp.139-144
• /
• 2011

We consider the stabilization problem for a class of networked control systems with random delays in the discrete-time domain. The controller-to-actuator and sensor-to-controller time-delays are modeled as two Markov chains, and the resulting closed-loop systems are Markovian jump nonlinear systems with two modes. The T-S (Takagi-Sugeno) fuzzy model is employed to represent a nonlinear system with Markovian jump parameters. The aim is to design a fuzzy controller such that the closed-loop Markovian jump fuzzy system is stochastically stable. The necessary and sufficient conditions on the existence of stabilizing fuzzy controllers are established in terms of LMIs (Linear Matrix Inequalities). It is shown that fuzzy controller gains are mode-dependent. Finally, a simulation example is presented to illustrate the effectiveness of the proposed design method.

• Proceedings of the KSME Conference
• /
• 2003.04a
• /
• pp.2005-2011
• /
• 2003

Introducing the interfacial pressure jump terms based on the surface tension into the momentum equations of two-phase two-fluid model, the system of governing equations is turned mathematically into the hyperbolic system. The eigenvalues of the equation system become always real representing the void wave and the pressure wave propagation speeds as shown in the previous manuscript. To solve the interfacial pressure jump terms with void fraction gradients implicitly, the conventional semi-implicit method should be modified as an intermediate iteration method for void fraction at fractional time step. This advanced semi-implicit method (ASIM) then becomes stable without conventional additive terms. As a consequence, including the interfacial pressure jump terms with the advanced semi-implicit method, the numerical solutions of typical two-phase problems can be more stable and sound than those calculated exclusively by using any other terms like virtual mass, or artificial viscosity.

• Bulletin of the Korean Mathematical Society
• /
• v.47 no.6
• /
• pp.1105-1119
• /
• 2010

We consider jump processes which has only downward jumps with size a fixed fraction of the current process. The jumps of the pro cesses are interpreted as crashes and we assume that the jump intensity is a nondecreasing function of the current process say $\lambda$(X) (X = X(t) process). For the case of $\lambda$(X) = $X^{\alpha}$, $\alpha$ > 0, we show that the process X shold explode in finite time, say $t_e$, conditional on no crash For the case of $\lambda$(X) = (lnX)$^{\alpha}$, we show that $\alpha$ = 1 is the borderline of two different classes of processes. We generalize the model by adding a Brownian noise and examine the blow up properties of the sample paths.

• The Korean Journal of Applied Statistics
• /
• v.29 no.1
• /
• pp.99-112
• /
• 2016

Asymmetric jump-diffusion models are effectively used to model the dynamic behavior of asset prices with abrupt asymmetric upward and downward changes. However, the estimation of their extension to the multivariate asymmetric jump-diffusion model has been hampered by the analytically intractable likelihood function. This article confronts the problem using a data augmentation method and proposes a new Bayesian method for a multivariate asymmetric Laplace jump-diffusion model. Unlike the previous models, the proposed model is rich enough to incorporate all possible correlated jumps as well as mention individual and common jumps. The proposed model and methodology are illustrated with a simulation study and applied to daily returns for the KOSPI, S&P500, and Nikkei225 indices data from January 2005 to September 2015.

• Korean Journal of Mathematics
• /
• v.16 no.2
• /
• pp.233-242
• /
• 2008

We deal with the closed forms of European option pricing for the general class of volatility asset model and the jump-type volatility asset model by several methods.