• 한국습지학회지
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• 제5권2호
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• pp.1-13
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• 2003

In Korea, most of the rainfalls have been concentrated in the flood season and the flood study has received more attention than low flow analysis. One of the reasons that the analysis of low flows has less attention is the lacks of the required data like daily rainfall and so we have used the stochastic processes such as pulse noise, exponential distribution, and state model of Markov chain for the rainfall simulation in short term such as daily. Especially this study will pay attention to the state model of Markov chain. The previous study had performed the simulation study by the state model without considerations of the flood and non-flood periods and without consideration of the frequency of rainfall for the period of a state. Therefore this study considers afore mentioned two cases and compares the results with the known state model. As the results, the RMSEs of the suggested and known models represent the similar results. However, the PRE(relative percentage error) shows the suggested model is better results.

• Management Science and Financial Engineering
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• 제14권2호
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• pp.105-118
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• 2008

There are many debates on the topic of the relationship between oil prices and economic growth. Through the repeated processes of conformations and contractions on the subject, two main issues are developed; one is how to define and drive oil shocks from oil prices, and the other is how to specify an econometric model to reflect the asymmetric relations between oil prices and output growth. The study, thus, introduces the unobserved component model to pick up the oil shocks and a first-order Markov switching model to reflect the asymmetric features. We finally employ unique oil shock variables from the stochastic trend components of oil prices and adapt four lags of the mean growth Markov Switching model. The results indicate that oil shocks exert more impact to recessionary state than expansionary state and the supply-side oil shocks are more persistent and significant than the demand-side shocks.

• 대한산업공학회지
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• 제16권2호
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• pp.1-9
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• 1990

The control of deterioration processes for which only incomplete state information is available is examined in this study. When the deterioration is governed by a Markov process, such processes are known as Partially Observable Markov Decision Processes (POMDP) which eliminate the assumption that the state or level of deterioration of the system is known exactly. This research investigates a two state partially observable Markov chain in which only deterioration can occur and for which the only actions possible are to replace or to leave alone. The goal of this research is to develop a new jump algorithm which has the potential for solving system problems dealing with continuous state space Markov chains.

• Management Science and Financial Engineering
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• 제19권2호
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• pp.37-42
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• 2013

This paper suggests a numerical method for valuation of European and American options under the two L$\acute{e}$vy Processes, Normal Inverse Gaussian Model and the Variance Gamma model. The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the existing numerical method, the lattice-based method.

• Industrial Engineering and Management Systems
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• 제15권2호
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• pp.131-142
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• 2016

We consider a multi-server queueing system without buffer and with two types of customers as a model of operation of a mobile network cell. Customers arrive at the system in the marked Markovian arrival flow. The service times of customers are exponentially distributed with parameters depending on the type of customer. A part of the available servers is reserved exclusively for service of first type customers. Customers who do not receive service upon arrival, can make repeated attempts. The system operation is influenced by random factors, leading to a change of the system parameters, including the total number of servers and the number of reserved servers. The behavior of the system is described by the multi-dimensional Markov chain. The generator of this Markov chain is constructed and the ergodicity condition is derived. Formulas for computation of the main performance measures of the system based on the stationary distribution of the Markov chain are derived. Numerical examples are presented.

• Journal of Information Processing Systems
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• 제7권4호
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• pp.653-678
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• 2011

WiMAX is intended for fourth generation wireless mobile communications where a group of users are provided with a connection and a fixed length queue. In present literature traffic of such network is analyzed based on the generator matrix of the Markov Arrival Process (MAP). In this paper a simple analytical technique of the two dimensional Markov chain is used to obtain the trajectory of the congestion of the network as a function of a traffic parameter. Finally, a two state phase dependent arrival process is considered to evaluate probability states. The entire analysis is kept independent of modulation and coding schemes.

• Journal of applied mathematics & informatics
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• 제27권5_6호
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• pp.1033-1047
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• 2009

In this paper, we consider a m-type risk model with Markov-modulated premium rate. A integral equation for the conditional ruin probability is obtained. A recursive inequality for the ruin probability with the stationary initial distribution and the upper bound for the ruin probability with no initial reserve are given. A system of Laplace transforms of non-ruin probabilities, given the initial environment state, is established from a system of integro-differential equations. In the two-state model, explicit formulas for non-ruin probabilities are obtained when the initial reserve is zero or when both claim size distributions belong to the $K_n$-family, n $\in$ $N^+$ One example is given with claim sizes that have exponential distributions.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제8권12호
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• pp.4324-4342
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• 2014

Previous papers analyzed the throughput performance of the CDMA ALOHA system in Rayleigh fading channel, but they assume that the channel coefficient of Rayleigh fading was the same in the whole packet, which is not realistic. We recently proposed the finite-state Markov channel (FSMC) model to the throughput analysis of DS uncoded CDMA/unslotted ALOHA networks for fixed length data traffic in the mobile environment. We now propose the FSMC model to the throughput analysis of coded DS CDMA/unslotted ALOHA networks with variable length data traffic and one or two user classes in the mobile environment. The proposed DS CDMA/unslotted ALOHA wireless networks for two user classes with access control can maintain maximum throughput for the high priority user class under high message arrival per packet duration.

• 대한기계학회논문집A
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• 제20권4호
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• pp.1241-1250
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• 1996

The characteristics of fatigue cumulative damage and fatigue life of 8-harness satin woven CFRP composites with a circular hole under constant amplitude and 2-level block loading are estimated by Stochastic Makov chain model. It is found in this study that the fatigue damage accumulation behavior is very random and the fatigue damage is accumulated as two regions under constant amplitude fatigue loading. In constant amplitude fatigue loading the predicted mean number of cycles to a specified damage state by Markov chain model shows a good agreement with the test result. The predicted distribution of the fatigue cumulative damage by Markov chain model is similar to the test result. The fatigue life predictions under 2-level block loading by Markov chain model revised are good fitted to the test result more than by 2-parameter Weibull distribution function using percent failure rule.

• 물과 미래
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• 제29권6호
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• pp.179-188
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• 1996

수자원의 주공급원인 강수는 현상의 발생여부에 따라 건조일과 습윤일이 교대로 반복되는 과정으로 구성되어 있으며, 특히, 일강수계열의 습윤일에 발생되는 강수량의 크기는 매우 다양한 형태를 지니고 있어 이 과정을 모형화 하는데는 복잡한 확률과정이 수반된다. 본 연구에서는 일강수계열의 발생과정을 건조일, 습윤일로 구분하고 습윤일의 강수량을 상태별로 분류하여 각 상태별 천이확률을 계산함으로써 이를 장래에 발생 가능한 강수사상의 모의발생에 이용하였다. 본 모형은 수문사상의 발생과 비발생만을 구분하던 2-state Markov 연쇄모형에 강수의 발생시 강수량의 크기에 따라 상태를 여러 개로 구분하여 강수량을 추정할 수 있도록 수정한 것으로 간헐 수문사상인 일강수계열의 구성성분인 건조일과 습윤일, 건조, 습윤 지속기간 및 습윤일의 강수량을 Markov 연쇄에 의해 동시에 발생있도록 한 것이며 다른 모형에 비해 사용이 비교적 용이하다. 본 연구에서 제안한 multi-state Markov 연쇄모형의 적용 가능성을 검토하기 위하여 비교적 장기간의 자료를 보유하고 있는 관측소의 강수자료를 이용하였으며 그 결과를 강수량, 건조, 습윤일수 및 건조, 습윤계속기간의 분포를 실제자료와 비교하여 모형의 적합도를 평가하였다. 이를 토대로 홍수 및 한발기간의 추정과 모의발생에 의한 자료 확장으로 중장기 수자원 계획 및 운영에 효율적으로 이용될 수 있을 것으로 판단된다.