Dissertations / Theses on the topic 'Stochastic process'

CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
A volatilidade é um parâmetro importante de modelagem do mercado financeiro. Ela controla a medida de risco associado à dinâmica estocástica de preço do título financeiro, afetando também o preço racional dos derivativos.Existe evidência empírica que a volatilidade é por sua vez também um processo estocástico, subjacente ao dos preços. Assim, a volatilidade não pode ser observada diretamente e tem que ser estimada, constituindo-se de um processo estocástico escondido.Nesta dissertação, consideramos um estimador para a volatilidade diária do índice da BOVESPA, baseado em banco de dados intradiários. Fazemos uma análise estatística descritiva da série temporal obtida, obtendo-se a função densidade de probabilidade, os momentos e as correlações. Comparamos os resultados empíricos com as previsões teóricas de vários modelos de volatilidade estocástica. Consideramos a classe de equações de Itô-Langevin formada por um processo de reversão à média e um processo difusivo de Wiener generalizado, com componentes de ruído multiplicativo e/ou aditivo. A partir dessa análise, é sugerido um modelo para descrever as flutuações de volatilidade dos preços do mercado acionário brasileiro.
Volatility is a key model parameter of the financial market. It controls the risk associated to the stochastic dynamics of the asset prices and also affects the rational price of derivative products. There are empirical evidences that the volatility is also a stochastic process, underlined to the price one. Therefore, the volatility is not directly observed and must be estimated, constituting a hidden stochastic process. In this work, we consider an estimate for the daily volatility of the BOVESPA index, computed from the intraday database. We perform a descriptive statistical analysis of the resulting time series, obtaining the probability density function, moments and correlations. We compare the empirical outcomes with the theoretical forecasts of many stochastic volatility models. We consider the class of Itô-Langevin equations composed by a mean reverting process and a generalized diffusive Wiener process with multiplicative and/or additive noise components. From this analysis, we propose a model that describes the volatility fluctuations of the Brazilian stock market.

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Neste trabalho estudamos a calibração de opções de câmbio no mercado brasileiro utilizando o processo estocástico proposto por Heston [Heston, 1993], como uma alternativa ao modelo de apreçamento de Black e Scholes [Black e Scholes,1973], onde as volatilidades implícitas de opções para diferentes preços de exercícios e prazos são incorporadas ad hoc. Comparamos dois métodos de apreçamento: o método de Carr e Madan [Carr e Madan, 1999], que emprega transfomada rápida de Fourier e função característica, e expansão assintótica para baixos valores de volatilidade da variância. Com a nalidade de analisar o domínio de aplicabilidade deste método, selecionamos períodos de alta volatilidade no mercado, correspondente à crise subprime de 2008, e baixa volatilidade, correspondente ao período subsequente. Adicionalmente, estudamos a incorporação de swaps de variância para melhorar a calibração do modelo
In this work we study the calibration of forex call options in the Brazilian market using the stochastic process proposed by Heston [Heston, 1993], as an alternative to the Black and Scholes [Black e Scholes,1973] pricing model, in which the implied option volatilities related to di erent strikes and maturities are incorporated in an ad hoc manner. We compare two pricing methods: one from Carr and Madan [Carr e Madan, 1999], which uses fast Fourier transform and characteristic function, and asymptotic expantion for low values of the volatility of variance. To analyze the applicability of this method, we select periods of high volatility in the market, related to the subprime crisis of 2008, and of low volatility, correspondent to the following period. In addition, we study the use of variance swaps to improve the calibration of the model

This document presents the construction of a stochastic equation for the process of manufacturing products on a production line. We base our research on the synchronized production line. The minimum size of the inter-operational storage is determined, at which the continuous production is possible. The stochastic equation of the production process is written in canonical form. The definition of the diffusion coefficient for the time of processing of subjects of labour.

Thesis (Ph. D.)--Ohio State University, 2005.
Title from first page of PDF file. Document formatted into pages; contains xvii, 188 p.; also includes graphics Includes bibliographical references (p. 184-188). Available online via OhioLINK's ETD Center

Companies strive to improve their business processes in order to remain competitive. Process mining aims to infer meaningful insights from process-related data and attracted the attention of practitioners, tool-vendors, and researchers in recent years. Traditionally, event logs are assumed to describe the as-is situation. But this is not necessarily the case in environments where logging may be compromised due to manual logging. For example, hospital staff may need to manually enter information regarding the patient’s treatment. As a result, events or timestamps may be missing or incorrect. In this paper, we make use of process knowledge captured in process models, and provide a method to repair missing events in the logs. This way, we facilitate analysis of incomplete logs. We realize the repair by combining stochastic Petri nets, alignments, and Bayesian networks. We evaluate the results using both synthetic data and real event data from a Dutch hospital.
Unternehmen optimieren ihre Geschäftsprozesse laufend um im kompetitiven Umfeld zu bestehen. Das Ziel von Process Mining ist es, bedeutende Erkenntnisse aus prozessrelevanten Daten zu extrahieren. In den letzten Jahren sorgte Process Mining bei Experten, Werkzeugherstellern und Forschern zunehmend für Aufsehen. Traditionell wird dabei angenommen, dass Ereignisprotokolle die tatsächliche Ist-Situation widerspiegeln. Dies ist jedoch nicht unbedingt der Fall, wenn prozessrelevante Ereignisse manuell erfasst werden. Ein Beispiel hierfür findet sich im Krankenhaus, in dem das Personal Behandlungen meist manuell dokumentiert. Vergessene oder fehlerhafte Einträge in Ereignisprotokollen sind in solchen Fällen nicht auszuschließen. In diesem technischen Bericht wird eine Methode vorgestellt, die das Wissen aus Prozessmodellen und historischen Daten nutzt um fehlende Einträge in Ereignisprotokollen zu reparieren. Somit wird die Analyse unvollständiger Ereignisprotokolle erleichtert. Die Reparatur erfolgt mit einer Kombination aus stochastischen Petri Netzen, Alignments und Bayes'schen Netzen. Die Ergebnisse werden mit synthetischen Daten und echten Daten eines holländischen Krankenhauses evaluiert.

The performance modelling of large-scale systems using discrete-state approaches is fundamentally hampered by the well-known problem of state-space explosion, which causes exponential growth of the reachable state space as a function of the number of the components which constitute the model. Because they are mapped onto continuous-time Markov chains (CTMCs), models described in the stochastic process algebra PEPA are no exception. This thesis presents a deterministic continuous-state semantics of PEPA which employs ordinary differential equations (ODEs) as the underlying mathematics for the performance evaluation. This is suitable for models consisting of large numbers of replicated components, as the ODE problem size is insensitive to the actual population levels of the system under study. Furthermore, the ODE is given an interpretation as the fluid limit of a properly defined CTMC model when the initial population levels go to infinity. This framework allows the use of existing results which give error bounds to assess the quality of the differential approximation. The computation of performance indices such as throughput, utilisation, and average response time are interpreted deterministically as functions of the ODE solution and are related to corresponding reward structures in the Markovian setting. The differential interpretation of PEPA provides a framework that is conceptually analogous to established approximation methods in queueing networks based on meanvalue analysis, as both approaches aim at reducing the computational cost of the analysis by providing estimates for the expected values of the performance metrics of interest. The relationship between these two techniques is examined in more detail in a comparison between PEPA and the Layered Queueing Network (LQN) model. General patterns of translation of LQN elements into corresponding PEPA components are applied to a substantial case study of a distributed computer system. This model is analysed using stochastic simulation to gauge the soundness of the translation. Furthermore, it is subjected to a series of numerical tests to compare execution runtimes and accuracy of the PEPA differential analysis against the LQN mean-value approximation method. Finally, this thesis discusses the major elements concerning the development of a software toolkit, the PEPA Eclipse Plug-in, which offers a comprehensive modelling environment for PEPA, including modules for static analysis, explicit state-space exploration, numerical solution of the steady-state equilibrium of the Markov chain, stochastic simulation, the differential analysis approach herein presented, and a graphical framework for model editing and visualisation of performance evaluation results.

Given a compensated Poisson process $(X_t)_{t \geq 0}$ based on $(\Omega, \mathcal{F}, \mathbb{P})$, the Wiener-Poisson isomorphism $\mathcal{W} : \mathfrak{F}_+(L^2 (\mathbb{R}_+)) \to L^2 (\Omega, \mathcal{F}, \mathbb{P})$ is constructed. We restrict the isomorphism to $\mathfrak{F}_+(L^2 [0,1])$ and prove some novel properties of the Poisson exponentials $\mathcal{E}(f) := \mathcal{W}(e(f))$. A new proof of the result $\Lambda_t + A_t + A^{\dagger}_t = \mathcal{W}^{-1}\widehat{X_t} \mathcal{W}$ is also given. The analogous results for $\mathfrak{F}_+(L^2 (\mathbb{R}_+))$ are briefly mentioned. The concept of a compensated Poisson process over $\mathbb{R}_+$ is generalised to any measure space $(M, \mathcal{M}, \mu)$ as an isometry $I : L^2(M, \mathcal{M}, \mu) \to L^2 (\Omega,\mathcal{F}, \mathbb{P})$ satisfying certain properties. For such a generalised Poisson process we recall the construction of the generalised Wiener-Poisson isomorphism, $\mathcal{W}_I : \mathfrak{F}_+(L^2(M)) \to L^2 (\Omega, \mathcal{F}, \mathbb{P})$, using Charlier polynomials. Two alternative constructions of $\mathcal{W}_I$ are also provided, the first using exponential vectors and then deducing the connection with Charlier polynomials, and the second using the theory of reproducing kernel Hilbert spaces. Given any measure space $(M, \mathcal{M}, \mu)$, we construct a canonical generalised Poisson process $I : L^2 (M, \mathcal{M}, \mu) \to L^2(\Delta, \mathcal{B}, \mathbb{P})$, where $\Delta$ is the maximal ideal space, with $\mathcal{B}$ the completion of its Borel $\sigma$-field with respect to $\mathbb{P}$, of a $C^*$-algebra $\mathcal{A} \subseteq \mathfrak{B}(\mathfrak{F}_+(L^2(M)))$. The Gelfand transform $\mathcal{A} \to \mathfrak{B}(L^2(\Delta))$ is unitarily implemented by the Wiener-Poisson isomorphism $\mathcal{W}_I: \mathfrak{F}_+(L^2(M)) \to L^2(\Delta)$. This construction only uses operator algebra theory and makes no a priori use of Poisson measures. A new Fock space proof of the quantum Ito formula for $(\Lambda_t + A_t + A^{\dagger}_t)_{0 \leq t \leq 1}$ is given. If $(F_{\ \! \! t})_{0 \leq t \leq 1}$ is a real, bounded, predictable process with respect to a compensated Poisson process $(X_t)_{0 \leq t \leq 1}$, we show that if $M_t = \int_0^t F_s dX_s$, then on $\mathsf{E}_{\mathrm{lb}} := \mathrm{linsp} \{ e(f) : f \in L^2_{\mathrm{lb}}[0,1] \}$, $\mathcal{W}^{-1} \widehat{M_t} \mathcal{W} = \int_0^t \mathcal{W}^{-1} \widehat{F_s} \mathcal{W} (d\Lambda_s + dA_s + dA^{\dagger}_s),$ and that $(\mathcal{W}^{-1} \widehat{M_t} \mathcal{W})_{0 \leq t \leq 1}$ is an essentially self-adjoint quantum semimartingale. We prove, using the classical Ito formula, that if $(J_t)_{0 \leq t \leq 1}$ is a regular self-adjoint quantum semimartingale, then $(\mathcal{W} \widehat{M_t} \mathcal{W}^{-1} + J_t)_{0 \leq t \leq 1}$ is an essentially self-adjoint quantum semimartingale satisfying the quantum Duhamel formula, and hence the quantum Ito formula. The equivalent result for the sum of a Brownian and Poisson martingale, provided that the sum is essentially self-adjoint with core $\mathsf{E}_{\mathrm{lb}}$, is also proved.

The signature of the path provides a top down description of a path in terms of its eects as a control. It is a group-like element in the tensor algebra and is an essential object in rough path theory. When the path is random, the linear independence of the signatures of different paths leads one to expect, and it has been proved in simple cases, that the expected signature would capture the complete law of this random variable. It becomes of great interest to be able to compute examples of expected signatures. In this thesis, we aim to compute the expected signature of various stochastic process solved by a PDE approach. We consider the case for an Ito diffusion process up to a fixed time, and the case for the Brownian motion up to the first exit time from a domain. We manage to derive the PDE of the expected signature for both cases, and find that this PDE system could be solved recursively. Some specific examples are included herein as well, e.g. Ornstein-Uhlenbeck (OU) processes, Brownian motion and Levy area coupled with Brownian motion.

The mathematical modeling and performance analysis of cellular networks have seen a major paradigm shift with the application of stochastic geometry. The main purpose of stochastic geometry is to endow probability distributions on the locations of the base stations (BSs) and users in a network, which, in turn, provides an analytical handle on the performance evaluation of cellular networks. To preserve the tractability of analysis, the common practice is to assume complete spatial randomness} of the network topology. In other words, the locations of users and BSs are modeled as independent homogeneous Poisson point processes (PPPs). Despite its usefulness, the PPP-based network models fail to capture any spatial coupling between the users and BSs which is dominant in a multi-tier cellular network (also known as the heterogeneous cellular networks (HetNets)) consisting of macro and small cells. For instance, the users tend to form hotspots or clusters at certain locations and the small cell BSs (SBSs) are deployed at higher densities at these locations of the hotspots in order to cater to the high data demand. Such user-centric deployments naturally couple the locations of the users and SBSs. On the other hand, these spatial couplings are at the heart of the spatial models used in industry for the system-level simulations and standardization purposes. This dissertation proposes fundamentally new spatial models based on stochastic geometry which closely emulate these spatial couplings and are conductive for a more realistic and fine-tuned performance analysis, optimization, and design of cellular networks. First, this dissertation proposes a new class of spatial models for HetNets where the locations of the BSs and users are assumed to be distributed as Poisson cluster process (PCP). From the modeling perspective, the proposed models can capture different spatial couplings in a network topology such as the user hotspots and user BS coupling occurring due to the user-centric deployment of the SBSs. The PCP-based model is a generalization of the state-of-the-art PPP-based HetNet model. This is because the model reduces to the PPP-based model once all spatial couplings in the network are ignored. From the stochastic geometry perspective, we have made contributions in deriving the fundamental distribution properties of PCP, such as the distance distributions and sum-product functionals, which are instrumental for the performance characterization of the HetNets, such as coverage and rate. The focus on more refined spatial models for small cells and users brings to the second direction of the dissertation, which is modeling and analysis of HetNets with millimeter wave (mm-wave) integrated access and backhaul (IAB), an emerging design concept of the fifth generation (5G) cellular networks. While the concepts of network densification with small cells have emerged in the fourth generation (4G) era, the small cells can be realistically deployed with IAB since it solves the problem of high capacity wired backhaul of SBSs by replacing the last-mile fibers with mm-wave links. We have proposed new stochastic geometry-based models for the performance analysis of IAB-enabled HetNets. Our analysis reveals some interesting system-design insights: (1) the IAB HetNets can support a maximum number of users beyond which the data rate drops below the rate of a single-tier macro-only network, and (2) there exists a saturation point of SBS density beyond which no rate gain is observed with the addition of more SBSs. The third and final direction of this dissertation is the combination of machine learning and stochastic geometry to construct a new class of data driven network models which can be used in the performance optimization and design of a network. As a concrete example, we investigate the classical problem of wireless link scheduling where the objective is to choose an optimal subset of simultaneously active transmitters (Tx-s) from a ground set of Tx-s which will maximize the network-wide sum-rate. Since the optimization problem is NP-hard, we replace the computationally expensive heuristic by inferring the point patterns of the active Tx-s in the optimal subset after training a determinantal point process (DPP). Our investigations demonstrate that the DPP is able to learn the spatial interactions of the Tx-s in the optimal subset and gives a reasonably accurate estimate of the optimal subset for any new ground set of Tx-s.
Doctor of Philosophy
The high speed global cellular communication network is one of the most important technologies, and it continues to evolve rapidly with every new generation. This evolution greatly depends on observing performance-trends of the emerging technologies on the network models through extensive system-level simulations. Since these simulation models are extremely time-consuming and error prone, the complementary analytical models of cellular networks have been an area of active research for a long time. These analytical models are intended to provide crisp insights on the network behavior such as the dependence of network performance metrics (such as coverage or rate) on key system-level parameters (such as transmission powers, base station (BS) density) which serve as the prior knowledge for more fine-tuned simulations. Over the last decade, the analytical modeling of the cellular networks has been driven by stochastic geometry. The main purpose of stochastic geometry is to endow the locations of the base stations (BSs) and users with probability distributions and then leverage the properties of these distributions to average out the spatial randomness. This process of spatial averaging allows us to derive the analytical expressions of the system-level performance metrics despite the presence of a large number of random variables (such as BS and user locations, channel gains) under some reasonable assumptions. The simplest stochastic geometry based model of cellular networks, which is also the most tractable, is the so-called Poisson point process (PPP) based network model. In this model, users and BSs are assumed to be distributed as independent homogeneous PPPs. This is equivalent to saying that the users and BSs independently and uniformly at random over a plane. The PPP-based model turned out to be a reasonably accurate representation of the yesteryear’s cellular networks which consisted of a single tier of macro BSs (MBSs) intended to provide a uniform coverage blanket over the region. However, as the data-hungry devices like smart-phones, tablets, and application like online gaming continue to flood the consumer market, the network configuration is rapidly deviating from this baseline setup with different spatial interactions between BSs and users (also termed spatial coupling) becoming dominant. For instance, the user locations are far from being homogeneous as they are concentrated in specific areas like residential and commercial zones (also known as hotspots). Further, the network, previously consisting of a single tier of macro BSs (MBSs), is becoming increasingly heterogeneous with the deployment of small cell BSs (SBSs) with small coverage footprints and targeted to serve the user hotspots. It is not difficult to see that the network topology with these spatial couplings is quite far from complete spatial randomness which is the basis of the PPP-based models. The key contribution of this dissertation is to enrich the stochastic geometry-based mathematical models so that they can capture the fine-grained spatial couplings between the BSs and users. More specifically, this dissertation contributes in the following three research directions. Direction-I: Modeling Spatial Clustering. We model the locations of users and SBSs forming hotspots as Poisson cluster processes (PCPs). A PCP is a collection of offspring points which are located around the parent points which belong to a PPP. The coupling between the locations of users and SBSs (due to their user-centric deployment) can be introduced by assuming that the user and SBS PCPs share the same parent PPP. The key contribution in this direction is the construction of a general HetNet model with a mixture of PPP and PCP-distributed BSs and user distributions. Note that the baseline PPP-based HetNet model appears as one of the many configurations supported by this general model. For this general model, we derive the analytical expressions of the performance metrics like coverage probability, BS load, and rate as functions of the coupling parameters (e.g. BS and user cluster size). Direction-II: Modeling Coupling in Wireless Backhaul Networks. While the deployment of SBSs clearly enhances the network performance in terms of coverage, one might wonder: how long network densification with tens of thousands of SBSs can meet the everincreasing data demand? It turns out that in the current network setting, where the backhaul links (i.e. the links between the BSs and core network) are still wired, it is not feasible to densify the network beyond some limit. This backhaul bottleneck can be overcome if the backhaul links also become wireless and the backhaul and access links (link between user and BS) are jointly managed by an integrated access and backhaul (IAB) network. In this direction, we develop the analytical models of IAB-enabled HetNets where the key challenge is to tackle new types of couplings which exist between the rates on the wireless access and backhaul links. Such couplings exist due to the spatial correlation of the signal qualities of the two links and the number of users served by different BSs. Two fundamental insights obtained from this work are as follows: (1) the IAB HetNets can support a maximum number of users beyond which the network performance drops below that of a single-tier macro-only network, and (2) there exists a saturation point of SBS density beyond which no performance gain is observed with the addition of more SBSs. Direction-III: Modeling Repulsion. In this direction, we focus on modeling another aspect of spatial coupling imposed by the intra-point repulsion. Consider a device-to-device (D2D) communication scenario, where some users are transmitting some on-demand content locally cached in their devices using a common channel. Any reasonable multiple access scheme will ensure that two nearly users are never simultaneously active as they will cause severe mutual interference and thereby reducing the network-wide sum rate. Thus the active users in the network will have some spatial repulsion. The locations of these users can be modeled as determinantal point processes (DPPs). The key property of DPP is that it forms a bridge between stochastic geometry and machine learning, two otherwise non-overlapping paradigms for wireless network modeling and design. The main focus in this direction is to explore the learning framework of DPP and bring together advantages of stochastic geometry and machine learning to construct a new class of data-driven analytical network models.

V předložené práci je definována stochastická diferenciální rovnice a jsou uvedeny její základní vlastnosti. Stochastické diferenciální rovnice se používají k popisu fyzikálních jevů, které jsou ovlivněny i náhodnými vlivy. Řešením stochastického modelu je náhodný proces. Cílem analýzy náhodných procesů je konstrukce vhodného modelu, který umožní porozumět mechanismům, na jejichž základech jsou generována sledovaná data. Znalost modelu také umožňuje předvídání budoucnosti a je tak možné kontrolovat a optimalizovat činnost daného systému. V práci je nejdříve definován pravděpodobnostní prostor a Wienerův proces. Na tomto základě je definována stochastická diferenciální rovnice a jsou uvedeny její základní vlastnosti. Závěrečná část práce obsahuje příklad ilustrující použití stochastických diferenciálních rovnic v praxi.

A Markov chain is introduced to the major steps of the process of learning a subject matter by a group of students in the classroom, in order to obtain a mathematical representation of the above process. A classroom experiment for learning mathematics is also presented illustrating the applicability of our results in practice.

Abstract Artificial Life is an interdisciplinary scientific and engineering enterprise investigating the fundamental properties of living systems through the simulation and synthesis of life-like processes in artificial media. One of the avenues of investigation is autonomous robots and agents. Mimicking of the growth and adaptation of a biological neural circuit in an artificial medium is a challenging task owing to our limited knowledge of the complex process taking place in a living organism. By combining several developmental mechanisms, including the chemical, mechanical, genetic, and electrical, researchers have succeeded in developing networks with interesting topology, morphology, and function within Artificial Computational Chemistry. However, most of these approaches still fail to create neural circuits able to solve real problems in perception and robot control. In this thesis a phenomenological developmental model called a Stochastic Evolutionary Neuron Migration Process (SENMP) is proposed. Employing a spatial encoding scheme with lateral interaction of neurons for artificial neural networks, which represent candidate solutions within a neural network ensemble, neurons of the ensemble form problem-specific spatial patterns with the desired dynamics as they migrate under the selective pressure. The approach is applied to gain new insights into development, adaptation and plasticity in neural networks and to evolve purposeful behaviors for mobile robots. In addition, the approach is used to study the relationship of spatial patterns, composed of interacting entities, and their dynamics. The feasibility and advantages of the approach are demonstrated by evolving neural controllers for solving a non-Markovian double pole balancing problem and by evolving controllers that exhibit navigation behavior for simulated and real mobile robots in complex environments. Preliminary results regarding the behavior of the adapting neural network ensemble are also shown and, particularly, a phenomenon exhibiting Hebbian-like dynamics. This thesis is a step toward a long range goal that aims to create an intelligent robot that is capable of learning complex skills and adapts rapidly to environmental changes.

Nosing is a cold metal-forming process, used during the manufacture of self-lubricating plain spherical aerospace bearings. This process ensures the outer bearing race conforms to the shape of the inner race, with a central composite liner in-between (Figure 1). The outer race, or bearing sleeve, is subject to large plastic deformation during the nosing process which imparts stresses into the sleeve. This can produce any number of failure modes identified. These aerospace bearings must be precision engineered due to the large forces and demanding environments they operate within, yet many companies are still heavily reliant on empirical data and experimental methods; however, FEA simulation can be used to predict and characterise complex material behaviour in forming operations. In this work, the mechanical properties of several materials used in the nosing process are characterised, and tribological testing is conducted in order to establish a pressure versus friction relationship. This data is used to model the nosing process analytically and virtually, in order to provide a better understanding of process parameters, tooling design and the resultant forces which are needed for processing. Virtual models and analytical calculations are validated against experimental data, stochastically, to ensure developed methods are robust. Novel findings from this work include: • Characterisation of the strain-rate sensitivity of 3 bearing high-alloy steels and the effect on flow stress; • A pressure versus friction relationship of the same high-alloy Steels, enabling the development of a dynamic friction model; • Neutron diffraction experimentation to establish residual strains within the outer race of (a) a normally-formed bearing, and (b) an over-formed bearing; in-process tracking of bearings through the manufacturing process to calculate process capability indices and the coefficient of variation for the geometric features on the outer race, acting as 'real-life' inputs for stochastic modelling; • The stochastic finite-element modelling (SFEM) of the nosing process for various bearing models. Ultimately, a costly and time-consuming experimental process can be replaced with a virtual rapid one, in order to mitigate defects, secondary processing and low yield rates experienced in new product introductions.

Orientador: Rogério Rosenfeld
Banca: Mario José de Oliveira
Banca: Marcos Eugênio da Silva
Resumo: Neste trabalho estudamos a calibração de opções de câmbio no mercado brasileiro utilizando o processo estocástico proposto por Heston [Heston, 1993], como uma alternativa ao modelo de apreçamento de Black e Scholes [Black e Scholes,1973], onde as volatilidades implícitas de opções para diferentes preços de exercícios e prazos são incorporadas ad hoc. Comparamos dois métodos de apreçamento: o método de Carr e Madan [Carr e Madan, 1999], que emprega transfomada rápida de Fourier e função característica, e expansão assintótica para baixos valores de volatilidade da variância. Com a nalidade de analisar o domínio de aplicabilidade deste método, selecionamos períodos de alta volatilidade no mercado, correspondente à crise subprime de 2008, e baixa volatilidade, correspondente ao período subsequente. Adicionalmente, estudamos a incorporação de swaps de variância para melhorar a calibração do modelo
Abstract: In this work we study the calibration of forex call options in the Brazilian market using the stochastic process proposed by Heston [Heston, 1993], as an alternative to the Black and Scholes [Black e Scholes,1973] pricing model, in which the implied option volatilities related to di erent strikes and maturities are incorporated in an ad hoc manner. We compare two pricing methods: one from Carr and Madan [Carr e Madan, 1999], which uses fast Fourier transform and characteristic function, and asymptotic expantion for low values of the volatility of variance. To analyze the applicability of this method, we select periods of high volatility in the market, related to the subprime crisis of 2008, and of low volatility, correspondent to the following period. In addition, we study the use of variance swaps to improve the calibration of the model
Mestre

In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. In particular, asymptotic expansions are given for solutions of renewal equations, quasi-stationary distributions for semi-Markov processes, and ruin probabilities for risk processes.

At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 4: Manuscript. Paper 5: Manuscript. Paper 6: Manuscript.

A survey performed over existing two pilot-scale and two full-scale RO desalination facilities to study the current status of boron rejection showed a highest rejection 85% leading to permeate boron concentration of 0.52 mg/L, and recent studies predicted a cost increase due to incorporation of boron reduction systems. Mathematical models were developed to study the process performance and related cost implications. The deterministic process model was verified with pilot-scale experiment performed using a single spiral wound module and was later modified to represent the full-scale design options available to meet the required water quality criteria. Then the selected full-scale design options were simulated to predict their performance in terms of recovery and boron rejection. For cost analysis, to account for uncertainty probability models were developed for stochastic inputs to the cost estimation model and were used with operating parameters from the full-scale simulations to determine the expected total cost of water produced. Later, a sensitivity analysis was performed to observe the effect of change in uncertainty of inputs. Further, the applications of the deterministic process model are suggested.

Thesis (Ph.D)--Chemical Engineering, Georgia Institute of Technology, 2010.
Committee Chair: Jay H. Lee; Committee Member: Alexander Gray; Committee Member: Erik Verriest; Committee Member: Magnus Egerstedt; Committee Member: Martha Grover; Committee Member: Matthew Realff. Part of the SMARTech Electronic Thesis and Dissertation Collection.

In my thesis I study models of G-Networks, encoding them into the Stochastic Process Algebra PEPA. Up to now there was the general belief that G-Networks could not be caught by a traditional stochastic process algebra and my thesis demonstrates the opposite. G-Networks are a specific case in the queues theory and are used to describe, for example, a computer, a network or communication systems. The encoding I propose allows one to analyze the dynamic behavior and then the performance of those networks using the existing tools for PEPA. These analysis are useful in real-life modern systems, whose complexity and size are indeed very large and the corresponding models are huge and complex. With the aid of the stochastic process algebra PEPA, we can apply a compositional approach to perform not only qualitative analysis but also quantitative ones. This approach consists in decomposing the entire system into small and more simple subsystems. The main idea is that "The smaller they are, the more easily they can be modeled and consequently the more easily the analysis can be". In the thesis I will first analyze the current literature on these topics, then model some G-Networks in PEPA proving that my models are coherent with the original analyzed G-Networks. Finally I apply the product form theorem of Harrison to my model and give some guidelines about how a G-Network can be encoded in PEPA.

This master thesis aims to describe and apply in practice solutions of basic tasks in portfolio management- portfolio optimization, portfolio modelling and risk management. As value of financial assets in future is a random variable, it is necessary to use mathematic tools resulting from probability theory and statistics. Basic terms from this area are for example stochastic Wiener process or geometric Brownian motion, which are described in first part of this thesis. Next parts of thesis describe the Markowitz model or method Value at Risk. In the last part of thesis is application of calculation VaR using Monte Carlo simulation for stock portfolio constructed as optimal portfolio according to Markowitz model from real data.

The aim of this thesis is to create an application in MS Excel, which would have been able to count on basic stock models, and Markov decision processes with alternatives. This issue is devoted to the first part of the work. This is the theory needed to understand the basic principles and method of calculation tasks. The second part describes the developed application that can be solved one-product and multiproduct deterministic stock models, stochastic stock models and Markov decision processes with alternatives, and changing valuation of the transition. The description is supplemented with graphic images directly from the application, which makes using applications easier to understand. The part of work is also CD with created application.

Owing to its ability to improve both spectral and energy efficiency of wireless networks, massive multiple-input multiple-output (mMIMO) has become one of the key enablers of the fifth-generation (5G) and beyond communication systems. For successful integration of this promising physical layer technique in the upcoming cellular standards, it is essential to have a comprehensive understanding of its network-level performance. Over the last decade, stochastic geometry has been instrumental in obtaining useful system design insights of wireless networks through accurate and tractable theoretical analysis. Hence, it is only natural to consider modeling and analyzing the mMIMO systems using appropriate statistical constructs from the stochastic geometry literature and gain insights for its future implementation. With this broader objective in mind, we first focus on modeling a cellular mMIMO network that uses fractional pilot reuse to mitigate the sole performance-limiting factor of mMIMO networks, namely, pilot contamination. Leveraging constructs from the stochastic geometry literature, such as Johnson-Mehl cells, we derive analytical expressions for the uplink (UL) signal-to-interference-and-noise ratio (SINR) coverage probability and average spectral efficiency for a random user. From our system analysis, we present a partitioning rule for the number of pilot sequences to be reserved for the cell-center and cell-edge users that improves the average cell-edge user spectral efficiency while achieving similar cell-center user spectral efficiency with respect to unity pilot reuse. In addition, using the analytical approach developed for the cell-center user performance evaluation, we study the performance of a small cell system where user and base station (BS) locations are coupled. The impact of distance-dependent UL power control on the performance of an mMIMO network with unity pilot reuse is analyzed and subsequent system design guidelines are also presented. Next, we focus on the performance analysis of the cell-free mMIMO network, which is a distributed implementation of the mMIMO system that leads to the second and third contributions of this dissertation. Similar to the cellular counterpart, the cell-free systems also suffer from pilot contamination due to the reuse of pilot sequences throughout the network. Inspired by a hardcore point process known as the random sequential adsorption (RSA) process, we develop a new distributed pilot assignment algorithm that mitigates the effect of pilot contamination by ensuring a minimum distance among the co-pilot users. This pilot assignment scheme leads to the construction of a new point process, namely the multilayer RSA process. We study the statistical properties of this point process both in one and two-dimensional spaces by deriving approximate but accurate expressions for the density and pair correlation functions. Leveraging these new results, for a cell-free network with the proposed RSA-based pilot assignment scheme, we present an analytical approach that determines the minimum number of pilots required to schedule a user with probabilistic guarantees. In addition, to benchmark the performance of the RSA-based scheme, we propose two optimization-based centralized pilot allocation schemes using linear programming principles. Through extensive numerical simulations, we validate the efficacy of the distributed and scalable RSA-based pilot assignment scheme compared to the proposed centralized algorithms. Apart from pilot contamination, another impediment to the performance of a cell-free mMIMO is limited fronthaul capacity between the baseband unit and the access points (APs). In our fourth contribution, using appropriate stochastic geometry-based tools, we model and analyze the downlink of such a network for two different implementation scenarios. In the first scenario, we consider a finite network where each AP serves all the users in the network. In the second scenario, we consider an infinite network where each user is served by a few nearby APs in order to limit the load on fronthaul links. From our analyses, we observe that for the finite network, the achievable average system sum-rate is a strictly quasi-concave function of the number of users in the network, which serves as a key guideline for scheduler design for such systems. Further, for the user-centric architecture, we observe that there exists an optimal number of serving APs that maximizes the average user rate. The fifth and final contribution of this dissertation focuses on the potential improvement that is possible by the use of mMIMO in citizen broadband radio service (CBRS) spectrum sharing systems. As a first concrete step, we present comprehensive modeling and analysis of this system with omni-directional transmissions. Our model takes into account the key guidelines by the Federal Communications Commission for co-existence between licensed and unlicensed networks in the 3.5 GHz CBRS frequency band. Leveraging the properties of the Poisson hole process and Matern hardcore point process of type II, a.k.a. ghost RSA process, we analytically characterize the impact of different system parameters on various performance metrics such as medium access probability, coverage probability, and area spectral efficiency. Further, we provide useful system design guidelines for successful co-existence between these networks. Building upon this omni-directional model, we also characterize the performance benefits of using mMIMO in such a spectrum sharing network.
Doctor of Philosophy
The emergence of cloud-based video and audio streaming services, online gaming platforms, instantaneous sharing of multimedia contents (e.g., photos, videos) through social networking platforms, and virtual collaborative workspace/meetings require the cellular communication networks to provide high data-rate as well as reliable and ubiquitous connectivity. These constantly evolving requirements can be met by designing a wireless network that harmoniously exploits the symbiotic co-existence among different types of cutting-edge wireless technologies. One such technology is massive multiple-input multiple-output (mMIMO), whose core idea is to equip the cellular base stations (BSs) with a large number of antennas that can be leveraged through appropriate signal processing algorithms to simultaneously accommodate multiple users with reduced network interference. For successful deployment of mMIMO in the upcoming cellular standards, i.e., fifth-generation (5G) and beyond systems, it is necessary to characterize its performance in a large-scale wireless network taking into account the inherent spatial randomness in the BS and user locations. To achieve this goal, in this dissertation, we propose different statistical methods for the performance analysis of mMIMO networks using tools from stochastic geometry, which is a field of mathematics related to the study of random patterns of points. One of the major deployment issues of mMIMO systems is pilot contamination, which is a form of coherent network interference that degrades user performance. The main reason behind pilot contamination is the reuse of pilot sequences, which are a finite number of known signal waveforms used for channel estimation between a user and its serving BS. Further, the effect of pilot contamination is more severe for the cell-edge users, which are farther from their own BSs. An efficient scheme to mitigate the effect of pilot contamination is fractional pilot reuse (FPR). However, the efficiency of this scheme depends on the pilot partitioning rule that decides the fraction of total pilot sequences that should be used by the cell-edge users. Using appropriate statistical constructs from the stochastic geometry literature, such as Johnson-Mehl cells, we present a partitioning rule for efficient implementation of the FPR scheme in a cellular mMIMO network. Next, we focus on the performance analysis of the cell-free mMIMO network. In contrast to the cellular network, where each user is served by a single BS, in a cell-free network each user can be served by multiple access points (APs), which have less complex hardware compared to a BS. Owing to this cooperative and distributed implementation, there are no cell-edge users. Similar to the cellular counterpart, the cell-free systems also suffer from pilot contamination due to the reuse of pilot sequences throughout the network. Inspired by a hardcore point process known as the random sequential adsorption (RSA) process, we develop a new distributed pilot assignment algorithm that mitigates the effect of pilot contamination by ensuring a minimum distance among the co-pilot users. Further, we show that the performance of this distributed pilot assignment scheme is appreciable compared to different centralized pilot assignment schemes, which are algorithmically more complex and difficult to implement in a network. Moreover, this pilot assignment scheme leads to the construction of a new point process, namely the multilayer RSA process. We derive the statistical properties of this point process both in one and two-dimensional spaces. Further, in a cell-free mMIMO network, the APs are connected to a centralized baseband unit (BBU) that performs the bulk of the signal processing operations through finite capacity links, such as fiber optic cables. Apart from pilot contamination, another implementational issue associated with the cell-free mMIMO systems is the finite capacity of fronthaul links that results in user performance degradation. Using appropriate stochastic geometry-based tools, we model and analyze this network for two different implementation scenarios. In the first scenario, we consider a finite network where each AP serves all the users in the network. In the second scenario, we consider an infinite network where each user is served by a few nearby APs. As a consequence of this user-centric implementation, for each user, the BBU only needs to communicate with fewer APs thereby reducing information load on fronthaul links. From our analyses, we propose key guidelines for the deployment of both types of scenarios. The type of mMIMO systems that are discussed in this work will be operated in the sub-6 GHz frequency range of the electromagnetic spectrum. Owing to the limited availability of spectrum resources, usually, spectrum sharing is encouraged among different cellular operators in such bands. One such example is the citizen broadband radio service (CBRS) spectrum sharing systems proposed by the Federal Communications Commission (FCC). The final contribution of this dissertation focuses on the potential improvement that is possible by the use of mMIMO in the CBRS systems. As our first step, using tools from stochastic geometry, we model and analyze this system with a single antenna at the BSs. In our model, we take into account the key guidelines by the FCC for co-existence between licensed and unlicensed operators. Leveraging properties of the Poisson hole process and hardcore process, we provide useful theoretical expressions for different performance metrics such as medium access probability, coverage probability, and area spectral efficiency. These results are used to obtain system design guidelines for successful co-existence between these networks. We further highlight the potential improvement in the user performance with multiple antennas at the unlicensed BS.

Reciprocal processes, whose concept can be traced back to E. Schrödinger, form a class of stochastic processes constructed as mixture of bridges, that satisfy a time Markov field property. We discuss here a new unifying approach to characterize several types of reciprocal processes via duality formulae on path spaces: The case of reciprocal processes with continuous paths associated to Brownian diffusions and the case of pure jump reciprocal processes associated to counting processes are treated. This presentation is based on joint works with M. Thieullen, R. Murr and C. Léonard.

Vehicular communication networks are essential to the development of intelligent navigation systems and improvement of road safety. Unlike most terrestrial networks of today, vehicular networks are characterized by stringent reliability and latency requirements. In order to design efficient networks to meet these requirements, it is important to understand the system-level performance of vehicular networks. Stochastic geometry has recently emerged as a powerful tool for the modeling and analysis of wireless communication networks. However, the canonical spatial models such as the 2D Poisson point process (PPP) does not capture the peculiar spatial layout of vehicular networks, where the locations of vehicular nodes are restricted to roadways. Motivated by this, we consider a doubly stochastic spatial model that captures the spatial coupling between the vehicular nodes and the roads and analyze the performance of vehicular communication networks. We model the spatial layout of roads by a Poisson line process (PLP) and the locations of nodes on each line (road) by a 1D PPP, thereby forming a Cox process driven by a PLP or Poisson line Cox process (PLCP). In this dissertation, we develop the theory of the PLCP and apply it to study key performance metrics such as coverage probability and rate coverage for vehicular networks under different scenarios. First, we compute the signal-to-interference plus noise ratio (SINR)-based success probability of the typical communication link in a vehicular ad hoc network (VANET). Using this result, we also compute the area spectral efficiency (ASE) of the network. Our results show that the optimum transmission probability that maximizes the ASE of the network obtained for the Cox process differs significantly from that of the conventional 1D and 2D PPP models. Second, we calculate the signal-to-interference ratio (SIR)-based downlink coverage probability of the typical receiver in a vehicular network for the cellular network model in which each receiver node connects to its closest transmitting node in the network. The conditioning on the serving node imposes constraints on the spatial configuration of interfering nodes and also the underlying distribution of lines. We carefully handle these constraints using various fundamental distance properties of the PLCP and derive the exact expression for the coverage probability. Third, building further on the above mentioned works, we consider a more complex cellular vehicle-to-everything (C-V2X) communication network in which the vehicular nodes are served by roadside units (RSUs) as well as cellular macro base stations (MBSs). For this setup, we present the downlink coverage analysis of the typical receiver in the presence of shadowing effects. We address the technical challenges induced by the inclusion of shadowing effects by leveraging the asymptotic behavior of the Cox process. These results help us gain useful insights into the behavior of the networks as a function of key network parameters, such as the densities of the nodes and selection bias. Fourth, we characterize the load on the MBSs due to vehicular users, which is defined as the number of vehicular nodes that are served by the MBS. Since the limited network resources are shared by multiple users in the network, the load distribution is a key indicator of the demand of network resources. We first compute the distribution of the load on MBSs due to vehicular users in a single-tier vehicular network. Building on this, we characterize the load on both MBSs and RSUs in a heterogeneous C-V2X network. Using these results, we also compute the rate coverage of the typical receiver in the network. Fifth and last, we explore the applications of the PLCP that extend beyond vehicular communications. We derive the exact distribution of the shortest path distance between the typical point and its nearest neighbor in the sense of path distance in a Manhattan Poisson line Cox process (MPLCP), which is a special variant of the PLCP. The analytical framework developed in this work allows us to answer several important questions pertaining to transportation networks, urban planning, and personnel deployment.
Doctor of Philosophy
Vehicular communication networks are essential to the development of intelligent transportation systems (ITS) and improving road safety. As the in-vehicle sensors can assess only their immediate environment, vehicular nodes exchange information about critical events, such as accidents and sudden braking, with other vehicles, pedestrians, roadside infrastructure, and cellular base stations in order to make critical decisions in a timely manner. Considering the time-sensitive nature of this information, it is of paramount importance to design efficient communication networks that can support the exchange of this information with reliable and high-speed wireless links. Typically, prior to actual deployment, any design of a wireless network is subject to extensive analysis under various operational scenarios using computer simulations. However, it is not viable to rely entirely on simulations for the system design of highly complex systems, such as the vehicular networks. Hence, it is necessary to develop analytical methods that can complement simulators and also serve as a benchmark. One of the approaches that has gained popularity in the recent years for the modeling and analysis of large-scale wireless networks is the use of tools from stochastic geometry. In this approach, we endow the locations of wireless nodes with some distribution and analyze various aspects of the network by leveraging the properties of the distribution. Traditionally, wireless networks have been studied using simple spatial models in which the wireless nodes can lie anywhere on the domain of interest (often a 1D or a 2D plane). However, vehicular networks have a unique spatial geometry because the locations of vehicular nodes are restricted to roadways. Therefore, in order to model the locations of vehicular nodes in the network, we have to first model the underlying road systems. Further, we should also consider the randomness in the locations of vehicles on each road. So, we consider a doubly stochastic model called Poisson line Cox process (PLCP), in which the spatial layout of roads are modeled by random lines and the locations of vehicles on the roads are modeled by random set of points on these lines. As is usually the case in wireless networks, multiple vehicular nodes and roadside units (RSUs) operate at the same frequency due to the limited availability of radio frequency spectrum, which causes interference. Therefore, any receiver in the network obtains a signal that is a mixture of the desired signal from the intended transmitter and the interfering signals from the other transmitters. The ratio of the power of desired signal to the aggregate power of the interfering signals, which is called as the signal-to-interference ratio (SIR), depends on the locations of the transmitters with respect to the receiver. A receiver in the network is said to be in coverage if the SIR measured at the location of the receiver exceeds the required threshold to successfully decode the message. The probability of occurrence of this event is referred to as the coverage probability and it is one of the fundamental metrics that is used to characterize the performance of a wireless network. In our work, we have analytically characterized the coverage probability of the typical vehicular node in the network. This was the first work to present the coverage analysis of a vehicular network using the aforementioned doubly stochastic model. In addition to coverage probability, we have also explored other performance metrics such as data rate, which is the number of bits that can be successfully communicated per unit time, and spectral efficiency. Our analysis has revealed interesting trends in the coverage probability as a function of key system parameters such as the density of roads in a region (total length of roads per unit area), and the density of vehicles on the roads. We have shown that the vehicular nodes in areas with high density of roads have lower coverage than those in areas with sparsely distributed roads. On the other hand, the coverage probability of a vehicular node improves as the density of vehicles on the roads increases. Such insights are quite useful in the design and deployment of network infrastructure. While our research was primarily focused on communication networks, the utility of the spatial models considered in these works extends to other areas of engineering. For a special variant of the PLCP, we have derived the distribution of the shortest path distance between an arbitrary point and its nearest neighbor in the sense of path distance. The analytical framework developed in this work allows us to answer several important questions pertaining to infrastructure planning and personnel deployment.

This thesis is dedicated to the development of statistical and computational methods for the analysis of DNA sequences and gene expression time series.

First we study a parsimonious Markov model called Mixture Transition Distribution (MTD) model which is a mixture of Markovian transitions. The overly high number of constraints on the parameters of this model hampers the formulation of an analytical expression of the Maximum Likelihood Estimate (MLE). We propose to approach the MLE thanks to an EM algorithm. After comparing the performance of this algorithm to results from the litterature, we use it to evaluate the relevance of MTD modeling for bacteria DNA coding sequences in comparison with standard Markovian modeling.

Then we propose two different approaches for genetic regulation network recovering. We model those genetic networks with Dynamic Bayesian Networks (DBNs) whose edges describe the dependency relationships between time-delayed genes expression. The aim is to estimate the topology of this graph despite the overly low number of repeated measurements compared with the number of observed genes.

To face this problem of dimension, we first assume that the dependency relationships are homogeneous, that is the graph topology is constant across time. Then we propose to approximate this graph by considering partial order dependencies. The concept of partial order dependence graphs, already introduced for static and non directed graphs, is adapted and characterized for DBNs using the theory of graphical models. From these results, we develop a deterministic procedure for DBNs inference.

Finally, we relax the homogeneity assumption by considering the succession of several homogeneous phases. We consider a multiple changepoint
regression model. Each changepoint indicates a change in the regression model parameters, which corresponds to the way an expression level depends on the others. Using reversible jump MCMC methods, we develop a stochastic algorithm which allows to simultaneously infer the changepoints location and the structure of the network within the phases delimited by the changepoints.

Validation of those two approaches is carried out on both simulated and real data analysis.

Markov chains offer a rigorous mathematical framework to describe systems that exhibit stochastic behaviour, as they are supported by a plethora of methodologies to analyse their properties. Stochastic process algebras are high-level formalisms, where systems are represented as collections of interacting components. This compositional approach to modelling allows us to describe complex Markov chains using a compact high-level specification. There is an increasing need to investigate the properties of complex systems, not only in the field of computer science, but also in computational biology. To explore the stochastic properties of large Markov chains is a demanding task in terms of computational resources. Approximating the stochastic properties can be an effective way to deal with the complexity of large models. In this thesis, we investigate methodologies to approximate the stochastic behaviour of Markovian process algebra models. The discussion revolves around two main topics: approximate state-space aggregation and stochastic simulation. Although these topics are different in nature, they are both motivated by the need to efficiently handle complex systems. Approximate Markov chain aggregation constitutes the formulation of a smaller Markov chain that approximates the behaviour of the original model. The principal hypothesis is that states that can be characterised as equivalent can be adequately represented as a single state. We discuss different notions of approximate state equivalence, and how each of these can be used as a criterion to partition the state-space accordingly. Nevertheless, approximate aggregation methods typically require an explicit representation of the transition matrix, a fact that renders them impractical for large models. We propose a compositional approach to aggregation, as a means to efficiently approximate complex Markov models that are defined in a process algebra specification, PEPA in particular. Regarding our contributions to Markov chain simulation, we propose an accelerated method that can be characterised as almost exact, in the sense that it can be arbitrarily precise. We discuss how it is possible to sample from the trajectory space rather than the transition space. This approach requires fewer random samples than a typical simulation algorithm. Most importantly, our approach does not rely on particular assumptions with respect to the model properties, in contrast to otherwise more efficient approaches.

The system of three differential equations describing the stochastic condensation process under quasiequilibrium equilibrium conditions is constructed taking into account the additive and multiplicative components. The phase diagram of the system states was constructed and analyzed. The domains of the existence of the condensation processes, disassembly of previously deposited material, and the complete evaporation were determined. The distribution density of the concentration of adsorbed atoms was defined. When you are citing the document, use the following link http://essuir.sumdu.edu.ua/handle/123456789/34910

Markov modulation and stochastic processes with regime-switching and jumps have been widely employed in various fields of application, such as finance, economics, information and computer sciences, operations research, healthcare, and bio-medicines, whereas the additional modeling flexibility comes at the cost of demanding computation and complex inference procedure. We establish a novel theoretical framework in which weak approximation can be conducted in an iterative and convergent manner for a large class of multivariate inhomogeneous Markov modulation and stochastic differential equations with regime-switching and jumps of general time-state dependent intensity. The proposed iteration scheme is built on a sequence of approximate solutions, each of which makes use of a jump (or switching) time of the underlying dynamics as an information relay point in passing the past on to a previous iteration step to fill in the missing information on the unobserved trajectory ahead. We prove that the proposed iteration scheme is convergent and can be represented in a similar form to Picard iterates under the probability measure with its jump (and switching) component suppressed. On the basis of the approximate solution at each iteration step, we construct upper and lower bounding functions that are convergent towards the true solution as the iterations proceed. We provide illustrative examples so as to examine our theoretical findings and demonstrate the effectiveness of the proposed theoretical framework and the resulting iterative weak approximation scheme.

Traditional approaches to theoretical ecology have focused on the behavior of observable patterns. Presumably, the observed pattern reflects a statistical characterization of the underlying processes. I apply probability theory to model species-area curves and population dynamics. In both cases, new insights result connecting details of lower level process to higher order pattern. Chapter 1 details the development and testing of a new theory species-area curves (SPARs). The new theory predicts z-values near 0.77 while previous theory claims z-values of about 0.26. We arrived at our prediction using two independent methods: we performed computer simulations of the scheme and we derived its analytical equation. However, although logically accurate, the new theory has an empirical problem: real SPARs tend to have z-values in the interval 0.1-0.2. To obtain these, we assumed that range size and abundance are positively correlated according to a power function. Chapter 2 examines a real data set for the power function assumed in chapter 1. Using data from the North American Breeding Bird Survey (BBS) project, I found that both least squares regression and principal components analysis (PCA) discover a significant positive correlation between range size and abundance. From the BBS data I fit this power function to the data and estimate the value of the relationship's parameter to be c = 0.27. The resulting fit accounts for 91% of the variance in the data. In the final chapter of the dissertation, I use stochastic processes to model both the spatial distribution and the birth and survival mechanism of individuals living in an environment of identical, but independent patches. It turns out that linear individual level density dependence easily produces non linear population level dependence. I present the first derivation of the Ricker map and show that patch number interacts with recruitment and survival to generate the carrying capacity parameter. Finally, I combine Monte Carlo simulations and Markov chain theory to study statistical properties population dynamics such as mean time to extinction.

Customer lifetime value (CLV) is a forecasted expectation of the future value of a customer to the firm. There are two customer behavioral components of CLV that represent a particular modeling challenge: 1) how many transactions we expect from a customer in the future, and 2) how likely it is the customer remains active. Existing CLV models like the Pareto/NBD are valuable managerial tools because they are able to provide forward-looking estimates of transaction patterns and customer churn when the event of a customer leaving is unobservable, which is typical for most noncontractual goods and services. The CLV model literature has for the most part maintained its original assumption that the number of customer transactions follows a stable transaction process. Yet there are many categories of noncontractual goods and services where the stable transaction rate assumption is violated, particularly seasonal purchase patterns. CLV model estimates are further biased when there is an excess of customers with no repeat transactions. To address these modeling challenges, within this thesis I develop a generalized CLV modeling framework that combines three elements necessary to reduce bias in model estimates: 1) the incorporation of time-varying covariates to model data with transaction rates that change over time, 2) a zero-inflated model specification for customers with no repeat transactions, and 3) generalizes to different transaction process distributions to better fit diverse customer transaction patterns. This CLV modeling framework provides firms better estimates of the future activity of their customers, a critical CRM application.

The aim of this research is to study and extend the Black-Scholes model framework. The research consists of three parts. The first part is to derive the Black-Scholes type models under different application perspective. The second part is to develop a European option pricing model taking into account stochastic earning yield. The third part is to validate the new option price model. Numerical simulation results show that our new model out-performs others.

Motor proteins are microscopic biological machines that convert chemical energy into mechanical motion and work. They power a diverse range of biological processes, for example the swimming and crawling motion of bacteria, intracellular transport, and muscle contraction. Understanding the physical basis of these processes is interesting in its own right, but also has an interesting potential for applications in medicine and nanotechnology. The ongoing rapid developments in single molecule experimental techniques make it possible to probe these systems on the single molecule level, with increasing temporal and spatial resolution. The work presented in this thesis is concerned with physical modeling of motor proteins on the molecular scale, and with theoretical challenges in the interpretation of single molecule experiments. First, we have investigated how a small groups of elastically coupled motors collaborate, or fail to do so, when producing strong forces. Using a simple model inspired by the motor protein PilT, we find that the motors counteract each other if the density becomes higher than a certain threshold, which depends on the asymmetry of the system. Second, we have contributed to the interpretation of experiments in which the stepwise motion of a motor protein is followed in real time. Such data is naturally interpreted in terms of first passage processes. Our main conclusions are (1) Contrary to some earlier suggestions, the stepping events do not correspond to the cycle completion events associated with the work of Hill and co-workers. We have given a correct formulation. (2) Simple kinetic models predict a generic mechanism that gives rise to correlations in step directions and waiting times. Analysis of stepping data from a chimaeric flagellar motor was consistent with this prediction. (3) In the special case of a reversible motor, the chemical driving force can be extracted from statistical analysis of stepping trajectories.
QC 20100820

Stochastic hybrid dynamic systems that incorporate both continuous and discrete dynamics have been an area of great interest over the recent years. In view of applications, stochastic hybrid dynamic systems have been employed to diverse fields of studies, such as communication networks, air traffic management, and insurance risk models. The aim of the present study is to investigate properties of some classes of stochastic hybrid dynamic systems. The class of stochastic hybrid dynamic systems investigated has random jumps driven by a non-homogeneous Poisson process and deterministic jumps triggered by hitting the boundary. Its real-valued continuous dynamic between jumps is described by stochastic differential equations of the It\^o-Doob type. Existing results of piecewise deterministic models are extended to obtain the infinitesimal generator of the stochastic hybrid dynamic systems through a martingale approach. Based on results of the infinitesimal generator, some stochastic stability results are derived. The infinitesimal generator and stochastic stability results can be used to compute the higher moments of the solution process and find a bound of the solution. Next, the study focuses on a class of multidimensional stochastic hybrid dynamic systems. The continuous dynamic of the systems under investigation is described by a linear non-homogeneous systems of It\^o-Doob type of stochastic differential equations with switching coefficients. The switching takes place at random jump times which are governed by a non-homogeneous Poisson process. Closed form solutions of the stochastic hybrid dynamic systems are obtained. Two important special cases for the above systems are the geometric Brownian motion process with jumps and the Ornstein-Uhlenbeck process with jumps. Based on the closed form solutions, the probability distributions of the solution processes for these two special cases are derived. The derivation employs the use of the modal matrix and transformations. In addition, the parameter estimation problem for the one-dimensional cases of the geometric Brownian motion and Ornstein-Uhlenbeck processes with jumps are investigated. Through some existing and modified methods, the estimation procedure is presented by first estimating the parameters of the discrete dynamic and subsequently examining the continuous dynamic piecewisely. Finally, some simulated stochastic hybrid dynamic processes are presented to illustrate the aforementioned parameter-estimation methods. One simulated insurance example is given to demonstrate the use of the estimation and simulation techniques to obtain some desired quantities.

The system availability process indicates whether or not the interconnection of components is operating as intended at each time instant. It is shown that a 2-states system availability process that results from a transformation of a Markov chain is not a Markov chain. The probabilistic characterization of the system availability process is given.