• Steel and Composite Structures
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• 제11권2호
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• pp.115-130
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• 2011

Considering the randomness of material parameters in the laminated composite plate, a scheme of stochastic finite element method to analyze the displacement response variability is suggested. In the formulation we adopted the concept of the weighted integral where the random variable is defined as integration of stochastic field function multiplied by a deterministic function over a finite element. In general the elastic modulus of composite materials has distinct value along an individual axis. Accordingly, we need to assume 5 material parameters as random. The correlations between these random parameters are modeled by means of correlation functions, and the degree of correlation is defined in terms of correlation coefficients. For the verification of the proposed scheme, we employ an independent analysis of Monte Carlo simulation with which statistical results can be obtained. Comparison is made between the proposed scheme and Monte Carlo simulation.

• 국제학술발표논문집
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• The 1th International Conference on Construction Engineering and Project Management
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• pp.881-885
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• 2005

Scheduling repetitive projects under limitations on the amounts of available resources (labor and equipment) has been an active subject because of its practical relevance. Traditionally, the limitation is specified as a deterministic (fixed) number, such as 1000 labor-hours. The limitation, however, is often exposed to uncertainty and variability, especially when the project is lengthy. This paper presents a stochastic optimization model to treat the situations where the limitations of resources are expressed as probability functions in lieu of deterministic numbers. The proposed model transfers each deterministic resource constraint into a corresponding stochastic one and then solves the problem by the use of a chance-constrained programming technique. The solution is validated by comparison with simulation results to show that it can satisfy the resource constraints with a probability beyond the desired confidence level.

• 인터넷정보학회논문지
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• 제16권5호
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• pp.59-66
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• 2015

확률적 워크플로우 모델링 방법은 워크플로우 인텔리전스를 지원하기 위한 수학적 방법으로서 워크플로우 모델의 분석 및 시뮬레이션에 널리 사용되고 있다. 그동안에 다양한 확률적 모델링 방법이 제안되었지만, 본 논문에서는 자원관점의 모델링 방법으로서 워크플로우 기반 소셜 네트워크를 구성하는 수행자간의 업무전달 관계를 확률적으로 나타내는 모델을 제안한다. 업무전달 관계의 확률은 단위업무 사이의 제어흐름에서 발생하는 업무전이 확률과 업무와 수행자간의 할당 확률에 의해 결정된다. 이를 위해, 본 논문에서는 정보제어넷을 기반으로 확률적 워크플로우 모델과 확률적 업무전달 관계 모델을 정형적으로 정의하고, 이를 추출하기 위한 알고리즘에 대하여 설명한다. 결과적으로 제안 모델은 조직 및 자원관점의 워크플로우 시뮬레이션 및 사후 모델-로그 비교분석에 적용될 것으로 기대된다.

• Structural Engineering and Mechanics
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• 제33권4호
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• pp.407-428
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• 2009

The effects of the uniform and spatially varying ground motions on the stochastic response of fluid-structure interaction system during an earthquake are investigated by using the displacement based fluid finite elements in this paper. For this purpose, variable-number-nodes two-dimensional fluid finite elements based on the Lagrangian approach is programmed in FORTRAN language and incorporated into a general-purpose computer program SVEM, which is used for stochastic dynamic analysis of solid systems under spatially varying earthquake ground motion. The spatially varying earthquake ground motion model includes wave-passage, incoherence and site-response effects. The effect of the wave-passage is considered by using various wave velocities. The incoherence effect is examined by considering the Harichandran-Vanmarcke and Luco-Wong coherency models. Homogeneous medium and firm soil types are selected for considering the site-response effect where the foundation supports are constructed. A concrete gravity dam is selected for numerical example. The S16E component recorded at Pacoima dam during the San Fernando Earthquake in 1971 is used as a ground motion. Three different analysis cases are considered for spatially varying ground motion. Displacements, stresses and hydrodynamic pressures occurring on the upstream face of the dam are calculated for each case and compare with those of uniform ground motion. It is concluded that spatially varying earthquake ground motions have important effects on the stochastic response of fluid-structure interaction systems.

• KDI Journal of Economic Policy
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• 제40권4호
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• pp.1-22
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• 2018

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the implied volatility of short-dated at-the-money option prices. We conduct MLE in order to estimate the parameters of the stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not available for any of the models in this paper. Therefore, the TPDFs are approximated using the irreducible method introduced in Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for the Korean and US stock markets, respectively. There exist relatively strong leverage effects in both countries. Despite the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either market, the speeds of the mean reversion parameters are statistically significant and meaningful in both markets. The IV is found to return to its long-run mean value more rapidly in Korea than in the US. All parameters related to the volatility function of the IV are statistically significant. Although the volatility of the IV is more elastic in the US stock market, the volatility itself is greater in Korea than in the US over the range of the observed IV.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.685-695
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• 2021

This study explores the impact of stochastic volatility in option pricing. To be more specific, we compare the option pricing performance between stochastic volatility option pricing model, namely, Heston option pricing model and standard Black-Scholes option pricing. Our finding, based on the market price of SET50 index option between May 2011 and September 2020, demonstrates stochastic volatility of underlying asset return for all level of moneyness. We find that both deep in the money and deep out of the money option exhibit higher volatility comparing with out of the money, at the money, and in the money option. Hence, our finding confirms the existence of volatility smile in Thai option markets. Further, based on calibration technique, the Heston option pricing model generates smaller pricing error for all level of moneyness and time to expiration than standard Black-Scholes option pricing model, though both Heston and Black-Scholes generate large pricing error for deep-in-the-money option and option that is far from expiration. Moreover, Heston option pricing model demonstrates a better pricing accuracy for call option than put option for all level and time to expiration. In sum, our finding supports the outperformance of the Heston option pricing model over standard Black-Scholes option pricing model.

• 대한수학회보
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• 제50권4호
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• pp.1079-1086
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• 2013

This paper is devoted to solving one dimensional backward stochastic differential equations (BSDEs). We prove the existence of the solutions to BSDEs if the generator satisfies the general growth and discontinuous conditions.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1989년도 한국자동제어학술회의논문집; Seoul, Korea; 27-28 Oct. 1989
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• pp.437-440
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• 1989

In the paper a failure detection and diagnosis method of a stochastic system is proposed. It is based on the comparison of the moving averages generated from outputs of the real plant and a modeled normal plant. The proposed method allows us to locate the failed sensor and can be efficiently used for the failure detection and diagnosis of a plant with many sensors.

• Communications for Statistical Applications and Methods
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• 제16권6호
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• pp.1023-1029
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• 2009

Oh (2009) has proposed a likelihood ratio test for comparing two agreements for dependent observations based on the concept of marginal homogeneity and marginal stochastic ordering. In this paper we consider the comparison of more than two agreement measures. Simple ordering and simple tree ordering among agreement measures are investigated. Some test procedures, including likelihood ratio test, are discussed.

• International Journal of Reliability and Applications
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• 제8권2호
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• pp.175-182
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• 2007

In this note, some comments concerning the testing procedures for the problems of stochastic comparison, testing IFR and testing NBU ageing properties are presented showing that the tests proposed in Belzunce, Candel and Ruiz(1998) are cumbersome to calculate and do not have as good asymptotic Pittman efficacies as simpler others already in the literature. This is done via new presentations of the measures on which Belzunce et al. base their tests.