• 대한수학회보
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• 제56권5호
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• pp.1129-1141
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• 2019

We propose a stochastic delay financial model which describes influences driven by historical events. The underlying is modeled by stochastic delay differential equation (SDDE), and the delay effect is modeled by a stopping time in coefficient functions. While this model makes good economical sense, it is difficult to mathematically deal with this. Therefore, we circumvent this model with similar delay effects but mathematically more tractable, which is by the backward time integration. We derive the option pricing equation and provide the option price and the perfect hedging portfolio.

• 정보처리학회논문지A
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• 제8A권3호
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• pp.217-226
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• 2001

본 논문은 클러스터 기반의 분산 구조를 갖는 CCMSS(Clustered Continuous Media Storage Server) 시스템의 미디어 검색 동작에 대해 디스크의 입출력 지연 시간 뿐맘 아니라 내부 네트워크의 통신 지연 시간을 함께 고려한, 열린 큐잉 네트워크 기반의 해석적 모델을 제시하고 이를 이용하여 전체 서비스 지연 시간에 대한 확률적 모델을 정의한다. 그리고 정의된 확률적 모델을 바탕으로 허용된 서비스 실패율 범위에서 최대 서비스 가능한 사용자 요구 수를 구하고 이 값을 이용하여 승인 제어를 수행하는 통합형 통계적 승인 제어 모델을 제안한다. 제안된 승인 제어 기법의 성능 분석을 위해 단순히 디스크 성능만을 고려한 확률적 모델과 본 논문에서 제안한 디스크 성능과 내부 네트워크의 성능을 함께 고려한 확률적 모델을 통해 산출한 마감시간 실패율과 실제 클러스터 기반 서버 환경에서 모의 실험을 통해 얻은 결과를 비교하였으며, 실험 결과에 대한 분석을 통해 제안된 승인 제어 기법이 CCMSS 시스템의 실제 서비스 지연 요소를 정확히 반영하고 있다는 것을 알 수 있었다.

• 대한교통학회지
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• 제9권1호
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• pp.47-56
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• 1991

With respect to stochastic delays at linked signals the solid quantitative information has not been available as yet. On the basis of field data the values of "I" (variance-mean ration of flow) were related with the rate of flow. The stochastic delays with specific "I" values were obtained from the distribution of overflow queue, which were calculated by the use of Markov chains. This examination of the results led to the derivation of a simple method for calculating stochastic dclays through the introduction of "I" into Miller's model. The good agreement was shown between the model and the field. The relationships between the cycle lengths and delays were examinated in a large number of conditions with regard to degree of saturation. signal split and link length. Within the practical range of cycle length uniform delays were dominant and no critical point was found in terms of minimum, delay. In highly saturated conditions however the weight of stochastic delay is noticeable.

• Wind and Structures
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• 제16권5호
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• pp.433-455
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• 2013

A phase delay spectrum model towards the representation of spatial coherence of stochastic wind fields is proposed. Different from the classical coherence functions used in the spectral representation methods, the model is derived from the comprehensive description of coherence of fluctuating wind speeds and from the thorough analysis of physical accounts of random factors affecting phase delay, building up a consistent mapping between the simulated fluctuating wind speeds and the basic random variables. It thus includes complete probabilistic information of spatial stochastic wind fields. This treatment prompts a ready and succinct scheme for the simulation of fluctuating wind speeds, and provides a new perspective to the accurate assessment of dynamic reliability of wind-induced structures. Numerical investigations and comparative studies indicate that the developed model is of rationality and of applicability which matches well with the measured data at spatial points of wind fields, whereby the phase spectra at defined datum mark and objective point are feasibly obtained using the numerical scheme associated with the starting-time of phase evolution. In conjunction with the stochastic Fourier amplitude spectrum that we developed previously, the time history of fluctuating wind speeds at any spatial points of wind fields can be readily simulated.

• 대한교통학회지
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• 제10권3호
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• pp.7-20
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• 1992

The common cycle time for the linded signals is usually determined for the critical intersecion, just because the cpacity of a signalized intersection depends on the cycle time. This may not be optimal since the interactions between the flow and the spatial structure of the route or the area are disregarded in this case. It is common to separate the total delay incurred at signals into two parts, a deterministic or uniform delay and a stochastic or random delay. The deterministic delays and the stochastic delays on the artery particularly related to signal cycle time. For this purpose a microscopic simulation technique is used to evaluate deterministic delays, and a macroscopic simulation technique based on the principles of Markov chains is used to evaluate stochastic delays with over flow queue. As a result of investigating the relations between deterministic delays and cycle time in the various circumstances of spacing of signals and traffic volume. As for stochastic delays the resalts of comparisons of the macroscopic simulation and Newell's approximation with the microscopic simulation indicate that the former is valid for the degree of saturation less than 0.95 and the latter is for that above 0.95. Newell's argument that the total stochastic delay on an arterial is dominated by that at or caused by critical intersection is certified by the simulation experiments. The comprehensive analyses of the values of optimal cycle time with various conditions lead to a model. The cycle time determined by this model shows to be approximately 70% of that calculated by Webster's.

• 대한수학회지
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• 제58권1호
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• pp.45-67
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• 2021

In this paper, a mathematical dynamical system involving both deterministic (with or without delay) and stochastic "SIR" epidemic model with nonlinear incidence rate in a continuous reactor is considered. A profound qualitative analysis is given. It is proved that, for both deterministic models, if ��d > 1, then the endemic equilibrium is globally asymptotically stable. However, if ��d ≤ 1, then the disease-free equilibrium is globally asymptotically stable. Concerning the stochastic model, the Feller's test combined with the canonical probability method were used in order to conclude on the long-time dynamics of the stochastic model. The results improve and extend the results obtained for the deterministic model in its both forms. It is proved that if ��s > 1, the disease is stochastically permanent with full probability. However, if ��s ≤ 1, then the disease dies out with full probability. Finally, some numerical tests are done in order to validate the obtained results.

• 한국지능시스템학회:학술대회논문집
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• 한국퍼지및지능시스템학회 2001년도 추계학술대회 학술발표 논문집
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• pp.153-156
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• 2001

This paper discusses a stochastic stabilization of Takagi-Sugeno (75) fuzzy system with Markovian input delay. The finite Markovian process is adopted to model the input delay of the overall control system. It is assumed that the zero and hold devices are used for control input. The continuous-time 75 fuzzy system with the Markovian input delay is discretized for easy handling delay, accordingly, the discretized 75 fuzzy system is represented by a discrete-time 75 fuzzy system with jumping parameters. The stochastic stabilizibility of the jump 75 fuzzy system is derived and formulated in terms of linear matrix inequalities (LMls).

• 한국지능시스템학회논문지
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• 제14권3호
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• pp.298-303
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• 2004

본 논문은 임의의 입력지연을 갖는 Takagi-Sugeno (T-S) 퍼지 시스템의 관측기 기반 출력궤환 제어 시스템을 논의한다. 설계된 연속시간 T-S 퍼지 관측기 시스템을 영차의 샘플/홀드 함수를 이용하여 이산시간 관측기를 설계한다. 이때 플랜트와 관측기의 출력에러가 제어기를 통하여 궤환되기 때문에 이산화 과정에서 발생한 에러를 보정할 수 있다. 여기에서 시스템의 제어 입력은 임의로 변화하는 유한개의 상태를 갖는 마코프 확률과정으로 표현한다. 생성된 시스템의 확률적 안정 가능성 조건은 선형 행렬 부등식의 형태로 표현한다. 이러한 결과를 2자유도 헬리콥터의 모델에 대한 모의실험을 통하여 효용성을 확인한다.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 1997년도 한국자동제어학술회의논문집; 한국전력공사 서울연수원; 17-18 Oct. 1997
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• pp.1504-1507
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• 1997

In this paper, we investigate a traffic flow modeled by stochastic Petri nets. The model consists of two parts : the traffic flow model and signal controller model. These models are used for analyzing the flow of the traffic intersection. The results of the evaluation are derived from a Petri Net-based simulation package, Greatspn. Through simulation we compare the performances of the pretimed signal controller with those of the trafic-adaptive signal controller.

• 한국국방경영분석학회지
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• 제31권2호
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• pp.28-44
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• 2005

The previous studies approach the field artillery fire scheduling problem as deterministic and do not explicitly include information on the potential scenario changes. Unfortunately, the effort used to optimize fire sequences and reduce the total time of engagement is often inefficient as the collected military intelligence changes. Instead of modeling the fire sequencing problem as deterministic model, we consider a stochastic artillery fire scheduling model and devise a solution methodology to integrate possible enemy attack scenarios in the evaluation of artillery fire sequences. The goal is to use that information to find robust solutions that withstand disruptions in a better way, Such an approach is important because we can proactively consider the effects of certain unique scheduling decisions. By identifying more robust schedules, cascading delay effects will be minimized. In this paper we describe our stochastic model for the field artillery fire sequencing problem and offer revised robust stochastic model which considers worst scenario first. The robust stochastic model makes the solution more stable than the general two-stage stochastic model and also reduces the computational cost dramatically. We present computational results demonstrating the effectiveness of our proposed method by EVPI, VSS, and Variances.