• Communications of the Korean Mathematical Society
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• v.10 no.2
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• pp.409-417
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• 1995

We consider the $R^k$-valued $(k \geq 1)$ process ${X_n}$ generated by $X_n + 1 = f(X_n)+e_{n+1}$, where $f(x) = (h(x),x^{(1)},x^{(1)},\cdots,x{(k-1)})'$. We assume that h is a real-valued measuable function on $R^k$ and that $e_n = (e'_n,0,\cdot,0)'$ where ${e'_n}$ are independent and identically distributed random variables. We obtained a practical criteria guaranteeing a given process to be geometrically ergodic. Sufficient condition for transience is also given.

• Journal of the Korean Data and Information Science Society
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• v.22 no.2
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• pp.353-360
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• 2011

We consider an asymmetric power transformed threshold GARCH(1.1) process and find sufficient conditions for the existence of a strictly stationary solution, geometric ergodicity and ${\beta}$-mixing property. Moments conditions are given. Box-Cox transformed threshold GARCH(1.1) is also considered as a special case.

• ETRI Journal
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• v.19 no.1
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• pp.13-25
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• 1997

In this paper, we propose a new queuing model, MMDP/MMDP/1/K, for an asynchronous transfer mode(ATM) multiplexer with multiple quality of service(QoS) variable bit rate (VBR) traffic in broadband-integrated services digital network (B-ISDN). We use the Markov Modulated Deterministic Process(MMDP) to approximate the actual arrival process and another MMDP for service process Using queuing analysis, we derive a formula for the cell loss probability of the ATM multiplexer in terms of the limiting probabilities of a Markov chain. The cell loss probability can be used for connection admission control in ATM multiplexer and the calculation of equivalent bandwidth for arrival traffic, The major advantages of this approach are simplicity in analysis, accuracy of analysis by comparison of simulation, and numerical stability.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.18 no.4
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• pp.295-304
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• 2014

We analyze theMMPP/G/1/K queue with a modified state-dependent service rate. The service time of customers upon service initiation is changed if the number of customers in the system reaches a threshold. Then, the changed service time is continued until the system becomes empty completely, and this process is repeated. We analyze this system using an embedded Markov chain and a supplementary variable method, and present the queue length distributions at a customer's departure epochs and then at an arbitrary time.

• Journal of Korean Society for Quality Management
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• v.31 no.3
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• pp.126-135
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• 2003

A basic assumption in standard applications of control charts is that the observations are statistically independent. However, this assumption is often violated from processes in many industries. The presence of autocorrelation has a serious impact on the performance of control charts, causing a dramatic increase in the frequency of false alarms. This paper considers a process in which the observations can be modeled as a first order autoregressive(AR(1)) process, and develops (equation omitted) charts with the variable sample size(VSS) scheme for monitoring the mean of this process.

• Journal of applied mathematics & informatics
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• v.28 no.1_2
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• pp.153-162
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• 2010

The finite buffer GI/G/1/K system is set up by using an unconventional arrangement of the state space, in which the remaining interarrival time or service time is chosen as the level. The stationary distributions of resulting Markov chain can be explicitly determined, and the chain is positive recurrent without any restriction. This is an advantage of this method, compared with that using the elapsed time approach [2].

• Journal of applied mathematics & informatics
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• v.31 no.1_2
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• pp.241-246
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• 2013

Choi [1] identified and characterized the limiting diffusion of this diploid model by defining discrete generator for the rescaled Markov chain. In this note, we define the operator of projection $S_t$ on limiting diffusion and new measure $dQ=S_tdP$. We show the martingale property on this operator and measure. Also we conclude that the martingale problem for diffusion operator of projection is well-posed.

• IE interfaces
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• v.15 no.1
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• pp.1-9
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• 2002

Tandem AGV system is obtained by partitioning all workstations into multiple zones assigning a single vehicle to each zone. In this paper, we propose an analytical model to design a tandem AGV system with multi-load AGVs. Using simulation, the performance of the proposed model is shown by comparing a conventional multi-load AGV system.

• Management Science and Financial Engineering
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• v.19 no.1
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• pp.37-41
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• 2013

This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely liquid KOSPI 200 futures market.

• Journal of Korean Society of Forest Science
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• v.31 no.1
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• pp.62-77
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• 1976

One of the most important tasks of planned forest management is the determination of the allowable cut. There are therefore many methods of forest regulation which have been applied by the various administrations of Germany, France, and other countries. However, most of the older methods of forest regulation have little or no application in Europe. In this paper, a new method of forest regulation is introduced. It has been developed mainly by Dr. T. Suzuki who is a prefessor of Nagoya University. It is felt that the material covered in this paper is appropriate for use in forest management courses at the senior or first-year-graduate level.