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Stochastic Models最新文献

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Economic shipping policies for assuring safety integrity level of E/E/PE safety-related software 经济运输政策，确保E/E/PE安全相关软件的安全完整性水平
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-08-09 DOI: 10.1080/15326349.2022.2107667
S. Inoue, S. Yamada, T. Fujiwara
{"title":"Economic shipping policies for assuring safety integrity level of E/E/PE safety-related software","authors":"S. Inoue, S. Yamada, T. Fujiwara","doi":"10.1080/15326349.2022.2107667","DOIUrl":"https://doi.org/10.1080/15326349.2022.2107667","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44822469","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
Joint discrete and continuous matrix distribution modeling 联合离散和连续矩阵分布建模
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-07-04 DOI: 10.1080/15326349.2023.2185257
Martin Bladt, Clara Brimnes Gardner
{"title":"Joint discrete and continuous matrix distribution modeling","authors":"Martin Bladt, Clara Brimnes Gardner","doi":"10.1080/15326349.2023.2185257","DOIUrl":"https://doi.org/10.1080/15326349.2023.2185257","url":null,"abstract":"In this paper we introduce a bivariate distribution on $mathbb{R}_{+} times mathbb{N}$ arising from a single underlying Markov jump process. The marginal distributions are phase-type and discrete phase-type distributed, respectively, which allow for flexible behavior for modeling purposes. We show that the distribution is dense in the class of distributions on $mathbb{R}_{+} times mathbb{N}$ and derive some of its main properties, all explicit in terms of matrix calculus. Furthermore, we develop an effective EM algorithm for the statistical estimation of the distribution parameters. In the last part of the paper, we apply our methodology to an insurance dataset, where we model the number of claims and the mean claim sizes of policyholders, which is seen to perform favorably. An additional consequence of the latter analysis is that the total loss size in the entire portfolio is captured substantially better than with independent phase-type models.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41511202","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
Transient analysis of Markov modulated processes with Erlangization, ME-fication and inverse Laplace transformation 马尔可夫调制过程的Erlangization、me化和拉普拉斯逆变换的瞬态分析
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-06-07 DOI: 10.1080/15326349.2022.2081206
M. Telek
{"title":"Transient analysis of Markov modulated processes with Erlangization, ME-fication and inverse Laplace transformation","authors":"M. Telek","doi":"10.1080/15326349.2022.2081206","DOIUrl":"https://doi.org/10.1080/15326349.2022.2081206","url":null,"abstract":"Abstract The paper investigates the relation of random clock based and numerical inverse Laplace transformation based transient analysis of Continuous time Markov chains (CTMCs) and Markov fluid models (MFMs) and proves that these methods are identical. This identity leads to new intuitive understanding about the analysis approaches.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46544739","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
Asymptotic analysis for optimal dividends in a dual risk model 双风险模型中最优股利的渐近分析
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-06-07 DOI: 10.1080/15326349.2022.2080709
Arash Fahim, Lingjiong Zhu
{"title":"Asymptotic analysis for optimal dividends in a dual risk model","authors":"Arash Fahim, Lingjiong Zhu","doi":"10.1080/15326349.2022.2080709","DOIUrl":"https://doi.org/10.1080/15326349.2022.2080709","url":null,"abstract":"<p><b>Abstract</b></p><p>The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form solutions except in some special cases. In this paper, we study the asymptotics of the optimal dividend problem when the parameters of the model go to either zero or infinity. Our results provide insights to the optimal strategies and the optimal values when the parameters are extreme.</p>","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138536192","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
Stationary workload and service times for some nonwork-conserving M/G/1 preemptive LIFO queues 一些不节省工作的M/G/1抢先后进先出队列的固定工作负载和服务时间
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-05-20 DOI: 10.1080/15326349.2022.2074458
Jacob Bergquist, K. Sigman
{"title":"Stationary workload and service times for some nonwork-conserving M/G/1 preemptive LIFO queues","authors":"Jacob Bergquist, K. Sigman","doi":"10.1080/15326349.2022.2074458","DOIUrl":"https://doi.org/10.1080/15326349.2022.2074458","url":null,"abstract":"Abstract We analyze two nonwork-conserving variations of the M/G/1 preemptive last-in first-out (LIFO) queue with emphasis on deriving explicit expressions for the limiting (stationary) distributions of service times found in service by an arrival, workload and a variety of related quantities of interest. Workload is also used as a tool to derive the proportion of time that the system is busy, and stability conditions. In the first model, known as preemptive-repeat different (PRD), preempted customers are returned to the front of the queue with a new independent and identically distributed service time. In the second, known as preemptive-repeat identical (PRI), they are returned to the front of the queue with their original service time. Our analysis is based on queueing theory methods such as the Rate Conservation Law, PASTA, regenerative process theory and Little’s Law ( ). For the second model we even derive the joint distribution of age and excess of the service time found in service by an arrival, and find they are quite different from what is found in standard work-conserving models. We also give heavy-traffic limits and tail asymptotics for stationary workload for both models, as well as deriving an implicit representation for the distribution of sojourn time by introducing an alternative effective service time distribution.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41961674","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
Queueing with priorities and standard service: Stoppable and unstoppable servers 具有优先级和标准服务的队列:可停止和不可阻挡的服务器
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-05-01 DOI: 10.1080/15326349.2022.2066130
M. Haviv, Yoav Kerner
{"title":"Queueing with priorities and standard service: Stoppable and unstoppable servers","authors":"M. Haviv, Yoav Kerner","doi":"10.1080/15326349.2022.2066130","DOIUrl":"https://doi.org/10.1080/15326349.2022.2066130","url":null,"abstract":"Abstract We derive the mean waiting times in an M/G/1 priority queue when the decision who receives the current completed service (production) is determined at the end of the service period. We consider two variations of this scheme. The first is when the server works only when customers are present, while the second is when the server works on a nonstop basis but scraps its work if production is completed when there are no customers in line. We show that for the former variant (whose overall mean is as in the standard head-of-the-line (HOL) priority model), the gain from this scheme in comparison with the HOL case is monotone increasing with the priority level (being positive for the higher classes and negative for the lower classes).","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43798461","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
Reliability analysis for systems with interactive competing degradation processes and mixed shock effects 具有交互竞争退化过程和混合冲击效应的系统可靠性分析
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-04-28 DOI: 10.1080/15326349.2022.2066128
Lina Bian, G. Wang, Peng Liu
{"title":"Reliability analysis for systems with interactive competing degradation processes and mixed shock effects","authors":"Lina Bian, G. Wang, Peng Liu","doi":"10.1080/15326349.2022.2066128","DOIUrl":"https://doi.org/10.1080/15326349.2022.2066128","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45818031","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
Stochastic models of stem cells and their descendants under different criticality assumptions 不同临界假设下干细胞及其后代的随机模型
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-04-25 DOI: 10.1080/15326349.2022.2093374
N. H. Nguyen, M. Kimmel
{"title":"Stochastic models of stem cells and their descendants under different criticality assumptions","authors":"N. H. Nguyen, M. Kimmel","doi":"10.1080/15326349.2022.2093374","DOIUrl":"https://doi.org/10.1080/15326349.2022.2093374","url":null,"abstract":"Abstract We study time continuous branching processes with exponentially distributed lifetimes, with two types of cells that proliferate according to binary fission. A range of possible system dynamics are considered, each of which is characterized by the mutation rate of the original cells and the survival probability of the altered cells’ progeny. For each system, we derive a closed-form expression for the joint probability generating function of cell counts, and perform asymptotic analysis on the behaviors of the cell population with particular focus on probability of extinction. Part of our results confirms known properties of branching processes using a different approach while other are original. While the model is best suited for modeling the fate of differentiating stem cells, we discuss other scenarios in which these system dynamics may be applicable in real life. We also discuss the history of the subject.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43314445","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
Bernstein polynomial of recursive regression estimation with censored data 截尾数据下递归回归估计的Bernstein多项式
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-04-15 DOI: 10.1080/15326349.2022.2063335
Y. Slaoui
{"title":"Bernstein polynomial of recursive regression estimation with censored data","authors":"Y. Slaoui","doi":"10.1080/15326349.2022.2063335","DOIUrl":"https://doi.org/10.1080/15326349.2022.2063335","url":null,"abstract":"Abstract In this paper, we deal with the problem of the regression estimation near the edges under censoring. For this purpose, we consider a new recursive estimator based on the stochastic approximation algorithm and Bernstein polynomials of the regression function when the response random variable is subject to random right censoring. We give the central limit theorem and the strong pointwise convergence rate for our proposed nonparametric recursive estimators under some mild conditions. Finally, we provide pointwise moderate deviation principles (MDP) for the proposed estimators. We corroborate these theoretical results through simulations as well as the analysis of a real data set.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44025412","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
Coalescence in branching processes with age dependent structure in population 种群中具有年龄依赖结构的分支过程的聚结
IF 0.7 4区 数学
Stochastic Models Pub Date : 2022-04-06 DOI: 10.1080/15326349.2022.2055073
S. Yadav, A. Laha
{"title":"Coalescence in branching processes with age dependent structure in population","authors":"S. Yadav, A. Laha","doi":"10.1080/15326349.2022.2055073","DOIUrl":"https://doi.org/10.1080/15326349.2022.2055073","url":null,"abstract":"Abstract Branching process and their variants are a widely used mathematical model in the study of population dynamics, in which all individuals in a given generation produces some random number of individuals for the next generation. In the recent past, branching process has also found applications in areas like operations research, marketing, finance, genetics etc. A problem that has caught attention in the context of coalescence in branching process is as follows: Assume that the branching process is started by one individual in 0th generation and the population size of the tree obtained by branching process in generation n is greater than 1. Next, pick two individuals from n th generation at random and trace their lines of descent back till they meet. Call that random generation by Xn . The objective is to study the properties of Xn . While this problem has been studied by many authors for simple and multitype discrete time branching processes, not much attention has been given for the realistic extension when one individual is allowed to survive for more than one generation and can also give birth more than once. We study this problem for some deterministic and random cases. Explicit expressions about some mathematical properties of Xn have been derived for broad classes of deterministic trees. For random trees, we provide explicit expression for some special cases. We also derive properties of Xn as n goes to infinity. Additionally, simulation analysis has also been performed and some interesting insights are discussed.","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2022-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48088010","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
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