Stochastic Models最新文献_第10页

Existence of global solutions of a nonautonomous semilinear equation with varying reaction 一类具有变反应的非自治半线性方程整体解的存在性

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-12-21 DOI: 10.1080/15326349.2021.2005628

E. T. Kolkovska, José Alfredo López Mimbela, José Hermenegildo Ramírez González

引用次数: 0

Harvesting optimization with stochastic differential equations models: is the optimal enemy of the good? 随机微分方程模型的收获优化:最优是好的敌人吗?

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-12-19 DOI: 10.1080/15326349.2021.2006066

N. Brites, C. Braumann

{"title":"Harvesting optimization with stochastic differential equations models: is the optimal enemy of the good?","authors":"N. Brites, C. Braumann","doi":"10.1080/15326349.2021.2006066","DOIUrl":"https://doi.org/10.1080/15326349.2021.2006066","url":null,"abstract":"Abstract We can describe the size evolution of a harvested population in a randomly varying environment using stochastic differential equations. Previously, we have compared the profit performance of four harvesting policies: (i) optimal variable effort policy, based on variable effort; (ii) optimal penalized variable effort policies, penalized versions based on including an artificial running energy cost on the effort; (iii) stepwise policies, staircase versions where the harvesting effort is determined at the beginning of each year (or of each biennium) and kept constant throughout that year (or biennium); (iv) constant harvesting effort sustainable policy, based on constant effort. They have different properties, so it is also worth looking at combinations of such policies and studying the single and cross-effects of the amount of penalization, the absence or presence and type of steps, and the restraints on minimum and maximum allowed efforts. Using data based on a real harvested population and considering a logistic growth model, we perform such a comparison study of pure and mixed policies in terms of profit, applicability, and other relevant properties. We end up answering the question: is the optimal enemy of the good?","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"39 1","pages":"41 - 59"},"PeriodicalIF":0.7,"publicationDate":"2021-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48016426","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Diffusion approximation of controlled branching processes using limit theorems for random step processes 用随机步过程的极限定理对受控分支过程进行扩散逼近

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-12-18 DOI: 10.1080/15326349.2022.2066131

Miguel González, Pedro Martín-Chávez, I. D. del Puerto

引用次数: 1

A fluid approach to total-progeny-dependent birth-and-death processes 对完全依赖子代的生与死过程的一种流体方法

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-12-02 DOI: 10.1080/15326349.2022.2043166

S. Hautphenne, Minyuan Li

引用次数: 1

On stochastic comparisons of finite mixture models 有限混合模型的随机比较

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-10-20 DOI: 10.1080/15326349.2021.1987264

Arindam Panja, Pradip Kundu, B. Pradhan

引用次数: 3

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model CRRA效用准则下具有制度转换的稳健资产负债管理：一个连续时间模型

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-10-17 DOI: 10.1080/15326349.2021.1985520

Xiaowei Chen, F. Huang, Xiufang Li

引用次数: 4

Probability laws of consensus in a broadcast-based consensus-forming algorithm 基于广播的共识形成算法中共识的概率规律

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-10-13 DOI: 10.1080/15326349.2021.1982394

Dai Katoh, S. Shioda

{"title":"Probability laws of consensus in a broadcast-based consensus-forming algorithm","authors":"Dai Katoh, S. Shioda","doi":"10.1080/15326349.2021.1982394","DOIUrl":"https://doi.org/10.1080/15326349.2021.1982394","url":null,"abstract":"Abstract The consensus attained in the consensus-forming algorithm is not generally a constant but rather a random variable, even if the initial opinions are the same. In the present paper, we investigate the probability laws of the consensus in a broadcast-based consensus-forming algorithm. First, we derive a fundamental equation on the time evolution of the opinions of agents. From the derived equation, we show that the consensus attained by the algorithm is given as a fixed-point solution of a linear equation. We then focus on two extreme cases: consensus forming by two agents and consensus forming by an infinite number of agents. In the two-agent case, we derive several properties of the distribution function of the consensus with an algorithm for computing the distribution function of the consensus numerically. In the infinite-number-of-agents case, we show that if the initial opinions follow a stable distribution, then the consensus also follows a stable distribution. In addition, we derive a closed-form expression of the probability density function of the consensus when the initial opinions follow a Gaussian distribution, a Cauchy distribution, or a Lévy distribution.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"38 1","pages":"91 - 115"},"PeriodicalIF":0.7,"publicationDate":"2021-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45127903","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Alternating renewal processes with instantaneous rewards 交替更新过程和即时奖励

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-10-05 DOI: 10.1080/15326349.2021.1975548

Suyono, Ibnu Hadi, Mulyono

引用次数: 0

Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective 具有预定边际和创新分布的整数值自回归过程:一个新的视角

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-09-26 DOI: 10.1080/15326349.2021.1977141

Matheus B. Guerrero, W. Barreto‐Souza, H. Ombao

{"title":"Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective","authors":"Matheus B. Guerrero, W. Barreto‐Souza, H. Ombao","doi":"10.1080/15326349.2021.1977141","DOIUrl":"https://doi.org/10.1080/15326349.2021.1977141","url":null,"abstract":"Abstract Integer-valued autoregressive (INAR) processes are generally defined by specifying the thinning operator and either the innovations or the marginal distributions. The major limitations of such processes include difficulties in deriving the marginal properties and justifying the choice of the thinning operator. To overcome these drawbacks, we propose a novel approach for building an INAR model that offers the flexibility to prespecify both marginal and innovation distributions. Thus, the thinning operator is no longer subjectively selected but is rather a direct consequence of the marginal and innovation distributions specified by the modeler. Novel INAR processes are introduced following this perspective; these processes include a model with geometric marginal and innovation distributions (Geo-INAR) and models with bounded innovations. We explore the Geo-INAR model, which is a natural alternative to the classical Poisson INAR model. The Geo-INAR process has interesting stochastic properties, such as MA( ) representation, time reversibility, and closed forms for the -order transition probabilities, which enables a natural framework to perform coherent forecasting. To demonstrate the real-world application of the Geo-INAR model, we analyze a count time series of criminal records in sex offenses using the proposed methodology and compare it with existing INAR and integer-valued generalized autoregressive conditional heteroscedastic models.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"38 1","pages":"70 - 90"},"PeriodicalIF":0.7,"publicationDate":"2021-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46384180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Symmetric branching random walks in random media: comparing theoretical and numerical results 随机介质中的对称分支随机游动：理论与数值结果的比较

IF 0.7 4区数学

Stochastic Models Pub Date : 2021-09-19 DOI: 10.1080/15326349.2022.2047073

Vladimir Kutsenko, E. Yarovaya

{"title":"Symmetric branching random walks in random media: comparing theoretical and numerical results","authors":"Vladimir Kutsenko, E. Yarovaya","doi":"10.1080/15326349.2022.2047073","DOIUrl":"https://doi.org/10.1080/15326349.2022.2047073","url":null,"abstract":"Abstract We consider a continuous-time branching random walk on a multidimensional lattice in a random branching medium. It is theoretically known that, in such branching random walks, large rare fluctuations of the medium may lead to anomalous properties of a particle field, e.g., such as intermittency. However, the time intervals on which this intermittency phenomenon can be observed are very difficult to estimate in practice. In this paper, branching media containing only a finite and non-finite number of branching sources are considered. The evolution of the mean number of particles with a random point perturbation and one initial ancestor particle at a lattice point is described by an appropriate Cauchy problem for the evolutionary operator. We review some previous results about the long-time behavior of the medium-averaged moments for the particle population at every lattice point as well as the total one over the lattice and present an algorithm for the simulation of branching random walks under various assumptions about the medium, including the medium randomness. The effects arising in random non-homogeneous and homogeneous media are then compared and illustrated by simulations based on the potential with Weibull-type upper tail. A wide range of models under different assumptions on a branching medium, a configuration of branching sources, and a lattice dimension were considered during the comparison. The simulation results indicate that intermittency can be observed in random media even over finite time intervals.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"39 1","pages":"60 - 79"},"PeriodicalIF":0.7,"publicationDate":"2021-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43418438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0