• Journal of the Korean Data and Information Science Society
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• 제8권2호
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• pp.119-125
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• 1997

We handle the stochastic processes of independent and identically distributed random variables. But random variables are usually dependent among themselves in actual life. So in this paper, we find out a new process not satisfying Markov property. We investigate the probability mass functions and study on the probability of the first-passage time. Also we find out the average frequency of continuous successes in from 0 to n time.

• Journal of the Korean Statistical Society
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• 제26권1호
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• pp.75-88
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• 1997

In this paper, a two-parameter version of Ikeda-Watanabe's mollifiers approximation of the Brownian motion is considered, and an approximation theorem corresponding to the one parameter case is proved. Using this approximation, we formulate Wong-Zakai type theorem is a Stochastic Differential Equation (SDE) driven by a two-parameter Wiener process.

• Communications for Statistical Applications and Methods
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• 제5권1호
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• pp.239-263
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• 1998

In this paper, we consider a multistate survival model which incorporates covariates and contains two illness states and two death states. The underlying stochastic process is assumed to follow nonhomogeneous Markov process. The estimates of survival, transition and competing risks probabilities are given via the methods of partial likelihood and nonparametric maximum likelihood. Our discussion is based on the statistical theory of counting process. An illustration is given to the data of patients in a heart transplant program. The goodness of fit procedures are also discussed to check the adequacy of the model.

• Communications for Statistical Applications and Methods
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• 제3권2호
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• pp.77-83
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• 1996

This paper is concerned with an estimation problem for the AR(1) process $Y_t, t=0, {\pm}1, {\cdots}$with time carying autoregressive coefficient, where coefficient itself is also stochastic process. Attention is directed to the problem of finding a consistent estimator of ${\Phi}$, the mean level of autoregressive coefficient. The asymptotic distribution of the resulting consistent estimator of ${\Phi}$, is them discussed. We do not assume any time series model for the time varying autoregressive coefficient.

• Journal of Advanced Marine Engineering and Technology
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• 제25권5호
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• pp.1058-1064
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• 2001

In this paper, the development of probability distribution estimation program for fatigue crack growth lives was summarize. The probability distribution estimation program of life was developed to increase the reliability of life estimation. In this study, it is considered that the cause of scatter in fatigue crack growth data is due to material inhomogeneity. The material resistance to fatigue crack growth is modelled as a spatial stochastic process, which varies randomly along the crack path. We developed the GUI program to estimate the probability distribution and reliability using the non-Gaussian stochastic process method. This program can be used for the reliability assessment.

• Journal of Korean Institute of Industrial Engineers
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• 제31권1호
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• pp.27-35
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• 2005

Due to the importance of lead time demand in the design of inventory management systems, researchers and practitioners have paid continuous attention and a few analytic models using the compound distribution approach have been reported. However, since the nature of compound distributions is hardly amenable, the analytic models have been done by non‐recognition of the compound nature of some components to reduce the analytic task. This study concerns some of the important aspects in the analytic models. Through the theoretic examination of the analytic model approach and the comparison with the rigid compound stochastic process approach, this study clarifies the assumptions implicitly made by the analytic models and provides some precautions in using the analytic models. Illustrative examples are also presented.

• Journal of Korean Institute of Industrial Engineers
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• 제43권1호
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• pp.30-38
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• 2017

Contingent convertible (Coco) bonds have been issued in 2009 after financial crisis for improvement of capital structure in international banks. With more focuses on coco bonds in financial market, academic fields have paid attention to the instrument for optimal structure for issuers and rational pricing methodologies. However, there is a crucial discrepancy in prevailing pricing model and their target subjects. Though most of the coco bonds have been issued based on accounting triggers, many of existing models are based on market prices and therefore exhibit limitations in practical use. In this paper, a more practical pricing method for accounting triggered coco bonds is proposed using stochastic equity ratio process. Empirical results tested on coco bond issued by JB financial group supported the proposed approach with favorable performance in tracking actual market prices.

• 제어로봇시스템학회:학술대회논문집
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• 제어로봇시스템학회 2000년도 제15차 학술회의논문집
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• pp.192-192
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• 2000

In this paper, a platoon merging is considered as a remote-controlled system with the state represented by a stochastic process. In this system, it becomes to encounter situations where a single decision maker controls a large number of subsystems, and observation and control signals are sent over a communication channel with finite capacity and significant transmission delays. Unlike classical estimation problem in which the observation is a continuous process corrupted by additive noise, there is a constraint that the observation must be coded and transmitted over a digital communication channel with finite capaci쇼. A recursive coder-estimator sequence is a state estimation scheme based on observations transmitted with finite communication capacity constraint. Using the coder-estimator sequence, the remote control station designs a feedback controller. In this paper, we introduce a stochastic model for the lead vehicle in a platoon of vehicles considering the angle between a road surface and a horizontal plane as a stochastic process. The simulation results show that the inter-vehicle distance and the deviation from the desired inter-vehicle distance are well regulated.

• Journal of Korean Society of Industrial and Systems Engineering
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• 제35권4호
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• pp.1-9
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• 2012

Decisions on reliability screening rules and burn-in policies are determined based on the estimated reliability. The variability in a semiconductor manufacturing process does not only causes quality problems but it also makes reliability estimation more complicated. This study investigates the nonuniformity characteristics of integrated circuit reliability according to defect density distribution within a wafer and between wafers then develops optimal burn-in policy based on the estimated reliability. New reliability estimation model based on yield information is developed using a spatial stochastic process. Spatial defect density variation is reflected in the reliability estimation, and the defect densities of each die location are considered as input variables of the burn-in optimization. Reliability screening and optimal burn-in policy subject to the burn-in cost minimization is examined, and numerical experiments are conducted.

• Structural Engineering and Mechanics
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• 제63권6호
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• pp.703-712
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• 2017

The composite blades of offshore wind turbines accumulate structural damage such as fatigue cracking due to harsh operation environments during their service time, leading to premature structural failures. This paper investigates various fatigue crack models for reproducing crack development in composite blades and proposes a stochastic approach to predict fatigue crack evolution and to analyse failure probability for the composite blades. Three typical fatigue models for the propagation of fatigue cracks, i.e., Miner model, Paris model and Reifsnider model, are discussed to reproduce the fatigue crack evolution in composite blades subjected to cyclical loadings. The lifetime probability of fatigue failure of the composite blades is estimated by stochastic deterioration modelling such as gamma process. Based on time-dependent reliability analysis and lifecycle cost analysis, an optimised maintenance policy is determined to make the optimal decision for the composite blades during the service time. A numerical example is employed to investigate the effectiveness of predicting fatigue crack growth, estimating the probability of fatigue failure and evaluating an optimal maintenance policy. The results from the numerical study show that the stochastic gamma process together with the proper fatigue models can provide a useful tool for remaining useful life predictions and optimum maintenance strategies of the composite blades of offshore wind turbines.