• Journal of applied mathematics & informatics
• /
• v.31 no.3_4
• /
• pp.457-467
• /
• 2013

There exist many deterministic models for signaling pathways in systems biology. However the models do not consider the stochastic properties of the pathways, which means the models fit well with experimental data in certain situations but poorly in others. Incorporating stochasticity into deterministic models is one way to handle this problem. In this paper the way is used to produce stochastic models based on the deterministic differential equations for the published extracellular signal-regulated kinase (ERK) pathway. We consider strong convergence and stability of the numerical approximations for the stochastic models.

• Communications for Statistical Applications and Methods
• /
• v.28 no.2
• /
• pp.171-188
• /
• 2021

Due to an increased demand for longevity risk analysis, various stochastic models have been suggested to evaluate uncertainly in estimated life expectancy and the associated value of future annuity payments. Recently updated data allow us to analyze mortality for a longer historical period and extended age ranges. This study followed up previous case studies using up-to-date empirical data on Korean mortality and the recently developed R package StMoMo for stochastic mortality models analysis. The suitability of stochastic mortality models, focusing on retirement ages, was investigated with goodness-of-fit, validity of models, and ability of generating reasonable sets of simulation paths of future mortality. Comparisons were made across various types of models. Based on the selected models, the variability of important estimated measures associated with pension, annuity, and reverse mortgage were quantified using simulations.

• Communications for Statistical Applications and Methods
• /
• v.29 no.3
• /
• pp.353-371
• /
• 2022

This paper analyzes death counts after World War II of several countries to identify and to compare their stochastic structures. The stochastic structures that this paper entertains are three structural time series models, a local level with a random walk model, a fixed local linear trend model and a local linear trend model. The structural time series models assume that a time series can be formulated directly with the unobserved components such as trend, slope, seasonal, cycle and daily effect. Random effect of each unobserved component is characterized by its own stochastic structure and a distribution of its irregular component. The structural time series models use the Kalman filter to estimate unknown parameters of a stochastic model, to predict future data, and to do filtering data. This paper identifies the best-fitted stochastic model for three types of death counts (Female, Male and Total) of each country. Two diagnostic procedures are used to check the validity of fitted models. Three criteria, AIC, BIC and SSPE are used to select the best-fitted valid stochastic model for each type of death counts of each country.

• Korean Management Science Review
• /
• v.11 no.1
• /
• pp.107-115
• /
• 1994

Stochastic manufacturing systems are generally formulated as performance models of discrete event systems. In this paper, logical models(as opposed to performance models) of kanban systems are presented which are deterministic and untimed but not stochastic and timed. As a result, the first and second order properties of kanban systems are showed which can be fruitfully applied to the analysis and design of kanban systems.

• Proceedings of the IEEK Conference
• /
• 2003.11c
• /
• pp.183-186
• /
• 2003

In this paper, performance evaluation of HNCP home network is using stochastic activity network models is proposed. HNCP is a home network protocol for controling and monitoring home appliances using power line communication. a CSMA/CA with packet drop method is used in HNCP MAC layer. Using the proposed stochastic activity network models. performances of HNCP home networks with error-free environment and error environment are evaluated.

• Wind and Structures
• /
• v.38 no.1
• /
• pp.1-13
• /
• 2024

In order to effectively simulate nonstationary stochastic turbulent wind fields, four separation hybrid (SEP-H) models are proposed in the present study. Based on the assumption that the lateral turbulence component at one single-point is uncorrelated with the longitudinal and vertical turbulence components, the fluctuating wind is separated into 2nV-1D and nV1D nonstationary stochastic vector processes. The first process can be expressed as double proper orthogonal decomposition (DPOD) or proper orthogonal decomposition and spectral representation method (POD-SRM), and the second process can be expressed as POD or SRM. On this basis, four SEP-H models of nonstationary stochastic turbulent wind fields are developed. In addition, the orthogonal random variables in the SEP-H models are presented as random orthogonal functions of elementary random variables. Meanwhile, the number theoretical method (NTM) is conveniently adopted to select representative points set of the elementary random variables. The POD-FFT (Fast Fourier transform) technique is introduced in frequency to give full play to the computational efficiency of the SEP-H models. Finally, taking a long-span bridge as the engineering background, the SEP-H models are compared with the dimension-reduction DPOD (DR-DPOD) model to verify the effectiveness and superiority of the proposed models.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2010.05a
• /
• pp.283-287
• /
• 2010

Stochastic simulation of hydrologic data has been widely developed for several decades. However, despite the several advances made in literature still a number of limitations and problems remain. In the current study, some stochastic simulation approaches tackling some of the existing problems are discussed. The presented models are based on nonparametric techniques such as block bootstrapping, and K-nearest neighbor resampling (KNNR), and kernel density estimate (KDE). Three different types of the presented stochastic simulation models are (1) Pilot Gamma Kernel estimate with KNNR (a single site case) and (2) Enhanced Nonparametric Disaggregation with Genetic Algorithm (a disaggregation case). We applied these models to one of the most challenging and critical river basins in USA, the Colorado River. These models are embedded into the hydrological software package, Pros and cons of the models compared with existing models are presented through basic statistics and drought and storage-related statistics.

• Bulletin of the Korean Mathematical Society
• /
• v.46 no.2
• /
• pp.209-227
• /
• 2009

We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2006.05a
• /
• pp.354-359
• /
• 2006

The analysis of large-scale water resources systems is often complicated by the presence of multiple reservoirs and diversions, the uncertainty of unregulated inflows and demands, and conflicting objectives. Reinforcement learning is presented herein as a new approach to solving the challenging problem of stochastic optimization of multi-reservoir systems. The Q-Learning method, one of the reinforcement learning algorithms, is used for generating integrated monthly operation rules for the Keum River basin in Korea. The Q-Learning model is evaluated by comparing with implicit stochastic dynamic programming and sampling stochastic dynamic programming approaches. Evaluation of the stochastic basin-wide operational models considered several options relating to the choice of hydrologic state and discount factors as well as various stochastic dynamic programming models. The performance of Q-Learning model outperforms the other models in handling of uncertainty of inflows.

• Structural Engineering and Mechanics
• /
• v.6 no.5
• /
• pp.473-484
• /
• 1998

The first and second moments of response variables for SDOF systems with hysteretic nonlinearity are obtained by a direct linearization procedure. This adaptation in the implementation of well-known statistical linearization methods, provides concise, model-independent linearization coefficients that are well-suited for numerical solution. The method may be applied to systems which incorporate any hysteresis model governed by a differential constitutive equation, and may be used for zero or non-zero mean random vibration. The implementation eliminates the effort of analytically deriving specific linearization coefficients for new hysteresis models. In doing so, the procedure of stochastic analysis is made independent from the task of physical modeling of hysteretic systems. In this study, systems with three different hysteresis models are analyzed under various zero and non-zero mean Gaussian White noise inputs. Results are shown to be in agreement with previous linearization studies and Monte Carlo Simulation.