• Journal of the Korean Data and Information Science Society
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• v.7 no.1
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• pp.69-78
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• 1996

Consider a natural model for stochastic flow systems is Brownian motion, which is Brownian motion on the positive real line with constant drift and constant diffusion coefficient, modified by an impenetrable reflecting barrier at $x_{0}$. In this paper, we investigate the joint distribution functions and study on the distribution of the first-passage time. Also we find out the distribution of ${\mu}-RBMPx_{0}$.

• East Asian mathematical journal
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• v.24 no.3
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• pp.275-287
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• 2008

In this paper, using large deviation results for Gaussian processes, we establish some functional limit theorems for increments of a fractional Brownian motion in the usual sup-norm via estimating large deviation probabilities for increments of a fractional Brownian motion.

• Journal of the Korean Mathematical Society
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• v.55 no.5
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• pp.1063-1073
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• 2018

We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

• Communications for Statistical Applications and Methods
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• v.28 no.5
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• pp.477-491
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• 2021

The Markov modulated Brownian motion is a substantial generalization of the classical Brownian Motion. On the other hand, the Markovian arrival process (MAP) is a point process whose family is dense for any stochastic point process and is used to approximate complex stochastic counting processes. In this paper, we consider a superposition of the Markov modulated Brownian motion (MMBM) and the Markovian arrival process of jumps which are distributed as the bilateral ph-type distribution, the class of which is also dense in the space of distribution functions defined on the whole real line. In the model, we assume that the inter-arrival times of the MAP depend on the underlying Markov process of the MMBM. One of the subjects of this paper is introducing how to obtain the first passage probabilities of the superposed process using a stochastic doubling algorithm designed for getting the minimal solution of a nonsymmetric algebraic Riccatti equation. The other is to provide eigenvalue and eigenvector results on the superposed process to make it possible to apply the GTH-like algorithm, which improves the accuracy of the doubling algorithm.

• Journal of the Korean Statistical Society
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• v.34 no.4
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• pp.281-295
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• 2005

We investigate the rate of convergence of the distribution of the maximum likelihood estimator (MLE) of an unknown parameter in the drift coefficient of a stochastic process described by a linear stochastic differential equation driven by a fractional Brownian motion (fBm). As a special case, we obtain the rate of convergence for the case of the fractional Ornstein- Uhlenbeck type process studied recently by Kleptsyna and Le Breton (2002).

• Communications of the Korean Mathematical Society
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• v.11 no.2
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• pp.471-480
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• 1996

Consider a strong Markov process $X^0$ that has continuous sample paths in the closed cone $\bar{G}$ in $R^d(d \geq 3)$ such that the process behaves like a ordinary Brownian motion in the interior of the cone, reflects instantaneously from the boundary of the cone and is absorbed at the vertex of the cone. It is shown that $X^0(t)$ has a representation $R(t) \ominus (t)$ where $R(t) \in [0, \infty)$ and $\ominus(t) \in S^{d-1}$, the surface of the unit ball.

• Proceedings of the Korean Statistical Society Conference
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• 2003.10a
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• pp.1-8
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• 2003

The traffic patterns of today's IP networks exhibit two important properties: self-similarity and long-range dependence. The fractional Brownian motion is widely used for representing the traffic model with the properties. We consider a single server fluid queueing system with input process of a fractional Brownian motion type. Formulas for effective bandwidth are derived in a single source and multiple source cases.

• Journal of the Korean Statistical Society
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• v.28 no.1
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• pp.1-19
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• 1999

In this paper we establish some limit theorems for a two-parameter fractional Levy Brownian motion on rectangles in the Euclidean plane via estimating upper bounds of large deviation probabilities on suprema of the two-parameter fractional Levy Brownian motion.

• Bulletin of the Korean Mathematical Society
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• v.37 no.3
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• pp.619-631
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• 2000

We study a class of catalytic super Brownian motion X in 1-dimension. We show under some conditions of catalyst, the process X is absolutely continuous and we get a stochastic partial differential equation for X.

• Korean Journal of Mathematics
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• v.11 no.1
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• pp.17-30
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• 2003

In this paper, we use a generalized Brownian motion process to define a translation theorem. First we establish the translation theorem for function space integrals. We then obtain the general translation theorem for functionals on function space.