• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 1989년도 한국자동제어학술회의논문집; Seoul, Korea; 27-28 Oct. 1989
• /
• pp.733-743
• /
• 1989

This paper deals with the control of system with controlled jump Markov disturbances. A such formulation was used by Boukas to model the planning production and maintenance of a FMS with failure machines. The optimal control problem of systems with controlled jump Markov process is addressed. This problem describes the planning production and preventive maintenance of production systems. The optimality conditions in both cases finite and infinite horizon, are derived. A numerical example is presented to validate the proposed results.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제19권1호
• /
• pp.23-45
• /
• 2015

We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors' default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copula-dependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.

• 대한산업공학회지
• /
• 제16권2호
• /
• pp.1-9
• /
• 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.

• 충청수학회지
• /
• 제26권4호
• /
• pp.787-791
• /
• 2013

In this paper we present one factor model of commodity prices with a single jump regime-switching process. And we derive an analytic formula for pricing futures contracts when the parameters of commoditiy process have governed by a Markov regime-switching process.

• 충청수학회지
• /
• 제27권2호
• /
• pp.237-242
• /
• 2014

In this paper we provide a valuation method for multi-asset derivatives with single jump regime-switching volatilities. We suppse that volatilities of assets are affected by an n-dimensional independent Markov regime-switching process.

• 응용통계연구
• /
• 제27권6호
• /
• pp.959-973
• /
• 2014

자산가격의 비대칭적 변동을 설명하기 위해 최근 비대칭적 점프확산 모형이 제안되었다. 본 논문에서는 이러한 자산가격 모형을 분석하는데 사용되는 효율적인 베이지안 방법을 제안한다. 본 논문에서 제안되는 방법은 모형 요소가 쉽게 추출되는 편의성을 희생하지 않으면서도 조건부 분포들간의 함수적 비호환성을 통해 효율성을 향상시킬 수 있는 부분붕괴 깁스 샘플러를 고안함으로써 개발되었다. 제안된 방법은 모의실험 자료에 적용되어 그 효율성을 검증하였고 1980년 9월부터 2014년 8월까지 관찰된 일별 S&P 500 자료에 적용되었다.

• 한국지능시스템학회논문지
• /
• 제19권4호
• /
• pp.464-469
• /
• 2009

본 논문은 네트워크 상에서 구현되는 불확실 Takagi-Sugeno (T-S) 퍼지 시스템의 관측기 기반 강인 안정화를 논의한다. 네트워크 기반 시스템에서 입력 지연은 필연적으로 발생하며 마코프 (Markov) 확률 과정으로 표현함을 가정한다. 강인 퍼지 관측기 기반 샘플치 제어기를 설계하기 위하여 입출력 단에 영차의 샘플/홀드를 가정하여 T-S 퍼지 시스템을 이산화하고 확률적 과정에 따라 변화하는 도약 시스템으로 표현한다. 확률적 강인 안정 가능성 조건은 선형 행렬 부등식으로 표현된다.