• Journal of the Chungcheong Mathematical Society
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• v.24 no.1
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• pp.45-57
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• 2011

We study the stochastic integral of an operator valued process against with a Banach space valued regular process. We establish the existence and uniqueness of solution of the stochastic differential equation for a Banach space valued regular process under the certain conditions. As an application of it, we study a noncommutative stochastic differential equation.

• East Asian Economic Review
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• v.21 no.2
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• pp.167-197
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• 2017

I build a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model to investigate the effect of a heterogeneous wage contract between regular and temporary workers on a macroeconomic volatility in a financially fragile economy. The imperfect financial market condition is captured by a quadratic financial adjustment cost for borrowing foreign assets, and the labor market friction is captured by a Nash bargaining process which is only available to the regular workers when they negotiate their wages with the firms while the temporary workers are given their wage which simply equals the marginal cost. As a result of impulse responsesto a domestic productivity shock, the higher elasticity of substitution between two types of workers and the lower weight on the regular workers in the firm's production process induce the higher volatilities in most variables. This is reasoned that the higher substitutability creates more volatile wage determination process while the lower share of the regular workers weakens their Nash bargaining power in the contract process.

• International Journal of Control, Automation, and Systems
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• v.1 no.4
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• pp.431-443
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• 2003

This paper presents an efficient method to evaluate the performance of an extended stochastic Petri net by simple algebraic operations. The reachability graph is derived from an extended stochastic Petri net, and then converted to a timed stochastic state machine, using a semi-Markov process. The n-th moments of the performance index are derived by algebraic manipulations with each of the n-th moments of transition time and transition probability. For the derivation, three reduction rules are introduced on the transition trajectories in a well-formed regular expression. Efficient computation algorithms are provided to automate the suggested method. The presented method provides a proficient means to derive both the numerical and the symbolic solutions for the performance of an extended stochastic Petri net by simple algebraic manipulations.

• Journal of applied mathematics & informatics
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• v.17 no.1_2_3
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• pp.457-473
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• 2005

In each step of the quasi-minimal residual (QMR) method which uses a look-ahead variant of the nonsymmetric Lanczos process to generate basis vectors for the Krylov subspaces induced by A, it is necessary to decide whether to construct the Lanczos vectors $v_{n+l}\;and\;w{n+l}$ as regular or inner vectors. For a regular step it is necessary that $D_k\;=\;W^{T}_{k}V_{k}$ is nonsingular. Therefore, in the floating-point arithmetic, the smallest singular value of matrix $D_k$, ${\sigma}_min(D_k)$, is computed and an inner step is performed if $\sigma_{min}(D_k)<{\epsilon}$, where $\epsilon$ is a suitably chosen tolerance. In practice it is absolutely impossible to choose correctly the value of the tolerance $\epsilon$. The subject of this paper is to show how discrete stochastic arithmetic remedies the problem of this tolerance, as well as the problem of the other tolerances which are needed in the other checks of the QMR method with the estimation of the accuracy of some intermediate results. Numerical examples are used to show the good numerical properties.

• Journal of the Korean Statistical Society
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• v.24 no.1
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• pp.149-160
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• 1995

We consider the problem of optimal adaptive estiamtion of the euclidean parameter vector $\theta$ of the univariate non-linerar autogressive time series model ${X_t}$ which is defined by the following system of stochastic difference equations ; $X_t = \sum^p_{i=1} \theta_i \cdot T_i(X_{t-1})+e_t, t=1, \cdots, n$, where $\theta$ is the unknown parameter vector which descrives the deterministic dynamics of the stochastic process ${X_t}$ and ${e_t}$ is the sequence of white noises with unknown density $f(\cdot)$. Under some general growth conditions on $T_i(\cdot)$ which guarantee ergodicity of the process, we construct a sequence of adaptive estimatros which is locally asymptotic minimax (LAM) efficient and also attains the least possible covariance matrix among all regular estimators for arbitrary symmetric density.

• Ocean Systems Engineering
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• v.4 no.1
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• pp.21-37
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• 2014

This paper provides a practical stochastic method by which the burial and scour depths of truncated cones exposed to long-crested (2D) and short-crested (3D) nonlinear random waves can be derived. The approach is based on assuming the waves to be a stationary narrow-band random process, adopting the Forristall (2000) wave crest height distribution representing both 2D and 3D nonlinear random waves. Moreover, the formulas for the burial and the scour depths for regular waves presented by Catano-Lopera et al. (2011) for truncated cones are used. An example of calculation is also presented.

• Ocean Systems Engineering
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• v.2 no.4
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• pp.257-269
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• 2012

This paper provides a practical stochastic method by which the maximum equilibrium scour depth around spherical bodies exposed to long-crested (2D) and short-crested (3D) nonlinear random waves can be derived. The approach is based on assuming the waves to be a stationary narrow-band random process, adopting the Forristall (2000) wave crest height distribution representing both 2D and 3D nonlinear random waves, and using the regular wave formulas for scour and self-burial depths by Truelsen et al. (2005). An example calculation is provided.

• Journal of KIISE:Information Networking
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• v.34 no.3
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• pp.156-167
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• 2007

In this paper, we develop the model based prediction algorithm for Variable-Bit-Rate(VBR) video traffic with regular Group of Picture(GOP) pattern. We use multiplicative ARIMA process called GOP ARIMA (ARIMA for Group Of Pictures) as a base stochastic model. Kalman Filter based prediction algorithm consists of two process: GOP ARIMA modeling and prediction. In performance study, we produce three video traces (news, drama, sports) and we compare the accuracy of three different prediction schemes: Kalman Filter based prediction, linear prediction, and double exponential smoothing. The proposed prediction algorithm yields superior prediction accuracy than the other two. We also show that confidence interval analysis can effectively detect scene changes of the sample video sequence. The Kalman filter based prediction algorithm proposed in this work makes significant contributions to various aspects of network traffic engineering and resource allocation.

• Journal of the Korean Society of Marine Environment & Safety
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• v.3 no.1
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• pp.33-49
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• 1997

One of the most important missons that are imposed on merchant ship at sea is to accomplish the safe transportation of cargo loaded. Recently, a study on the seakeeping performance has been carried out on the development of evaluation system related to the synthetic safety of a ship at sea. The seakeeping performance is the ship's ability sailing at, and executing its misson against adverse environmental factors successfully and safely. Until now, however, there has not been any method of quantitative evaluation on the dynamic safety of the ship's cargo loaded. In this regards, this paper has introduced the evaluation method of dynamic safety of the ship's cargo. In order to evaluate the dynamic safety of cargo, the vertical and lateral acceleration which causes the collapse, racking and local structure failure of cargo was adopted as the evaluation factors in the ship's motions. The response amplitude of ship's motions in regular waves is manipulated by NSM (New Strip Method) on a given 2,700 TEU full container vessel under the wind forces of 7, 8 and 9 Beaufort scale. Each response of ship's motions induced by NSM was applied to short-crested irregular waves for stochastic process on evaluation factors and then vertical and lateral acceleration of each cargo was compared with significant amplitude of each acceleration. A representative dangerous factor was determined by comparing permissible values of stacking and racking forces occurred typically to the vertical and transverse directions with the container strength required on ISO 1496 at the positions of forecastle, poop and ship's midship respectively. Through the occurrence probability of the determined factor by Rayleigh's probability density function, the dangerousness which limits loads on container's side wall as an evaluation was applied in judging of the danger of the ship's cargo loaded.