Search results for "Stochastic process"
showing 10 items of 346 documents
Stochastic dynamical modelling of spot freight rates
2014
Based on empirical analysis of the Capesize and Panamax indices, we propose different continuous-time stochastic processes to model their dynamics. The models go beyond the standard geometric Brownian motion, and incorporate observed effects like heavy-tailed returns, stochastic volatility and memory. In particular, we suggest stochastic dynamics based on exponential Levy processes with normal inverse Gaussian distributed logarithmic returns. The Barndorff-Nielsen and Shephard stochastic volatility model is shown to capture time-varying volatility in the data. Finally, continuous-time autoregressive processes provide a class of models sufficiently rich to incorporate short-term persistence …
Amplification of Interstory Drift and Velocity for the Passive Control of Structural Vibrations
2008
Mitigation of structural damage due to earthquake ground motion may be performed by inserting dampers in the structure. In order to enhance the damping effect various toggle brace configurations have been recently proposed. In this paper these equipments are analyzed in detail and compared with a new one here proposed. The analysis is performed by taking into account the inherent nonlinearities of the damper by means of stochastic analysis and validated by using time histories of recorder accelerograms and by the stochastic analysis using spectrum consistent power spectral density.
Modelling the presence of disease under spatial misalignment using Bayesian latent Gaussian models.
2015
Modelling patterns of the spatial incidence of diseases using local environmental factors has been a growing problem in the last few years. Geostatistical models have become popular lately because they allow estimating and predicting the underlying disease risk and relating it with possible risk factors. Our approach to these models is based on the fact that the presence/absence of a disease can be expressed with a hierarchical Bayesian spatial model that incorporates the information provided by the geographical and environmental characteristics of the region of interest. Nevertheless, our main interest here is to tackle the misalignment problem arising when information about possible covar…
Solving Stochastic Nonlinear Resource Allocation Problems Using a Hierarchy of Twofold Resource Allocation Automata
2010
In a multitude of real-world situations, resources must be allocated based on incomplete and noisy information. However, in many cases, incomplete and noisy information render traditional resource allocation techniques ineffective. The decentralized Learning Automata Knapsack Game (LAKG) was recently proposed for solving one such class of problems, namely the class of Stochastic Nonlinear Fractional Knapsack Problems. Empirically, the LAKG was shown to yield a superior performance when compared to methods which are based on traditional parameter estimation schemes. This paper presents a completely new online Learning Automata (LA) system, namely the Hierarchy of Twofold Resource Allocation …
Inverted and mirror repeats in model nucleotide sequences.
2007
We analytically and numerically study the probabilistic properties of inverted and mirror repeats in model sequences of nucleic acids. We consider both perfect and non-perfect repeats, i.e. repeats with mismatches and gaps. The considered sequence models are independent identically distributed (i.i.d.) sequences, Markov processes and long range sequences. We show that the number of repeats in correlated sequences is significantly larger than in i.i.d. sequences and that this discrepancy increases exponentially with the repeat length for long range sequences.
First passage time distribution of stationary Markovian processes
2010
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes research. They also have relevant applications, for example, in many fields of finance such as the assessment of the default risk for firms' assets. By using some explicit examples, in this paper we will show that the tail of the First Passage Time distribution crucially depends on the correlation properties of the process and it is independent from its stationary distribution. When the process includes an infinite set of time-scales bounded from above, the FPT…
Evaluation of the power quality from a seawave power farm for different interconnection schemes
2007
In this paper we present an approach to the interconnection of a seawave power farm to the grid The generator type used in the farm is a Permanent Magnet (PM) linear generator driven from the seawaves that generates, therefore, highly distorted emfs. We propose and compare two possible ways to interconnect the farm to the grid. One is based on an approach where for each generator there is a conversion subsystem that permits the direct connection of each generator to the a.c. network, the other one is based on an ac.-d.c. converter that is connected to the generator, the converter is connected to a dc link that can receive the power from every unit and that can supply a dc-ac converter direc…
Transient Dynamics of Short Josephson Junctions under the influence of non-Gaussian Noise
2009
We investigate the effects of non-Gaussian white noise source on the transient dynamics of short Josephson junctions. The noise signal is simulated generating standard stable random variables with characteristic function described by Lévy index alpha and asymmetry parameter beta. We study the lifetime of the superconductive state as a function both of the frequency of the external driving bias current and the noise intensity for different values of index alpha. We compare our results with those obtained in the presence of Gaussian white noise. We find the presence of noise induced effects such as resonant activation and noise enhanced stability.
Voltage drop across Josephson junctions for L\'evy noise detection
2020
We propose to characterize L\'evy-distributed stochastic fluctuations through the measurement of the average voltage drop across a current-biased Josephson junction. We show that the noise induced switching process in the Josephson washboard potential can be exploited to reveal and characterize L\'evy fluctuations, also if embedded in a thermal noisy background. The measurement of the average voltage drop as a function of the noise intensity allows to infer the value of the stability index that characterizes L\'evy-distributed fluctuations. An analytical estimate of the average velocity in the case of a L\'evy-driven escape process from a metastable state well agrees with the numerical calc…
Enhancement of stability in systems with metastable states
2007
The investigation of noise‐induced phenomena in far from equilibrium systems is one of the approach used to understand the behaviour of physical and biological complex systems. Metastability is a generic feature of many nonlinear systems, and the problem of the lifetime of metastable states involves fundamental aspects of nonequilibrium statistical mechanics. The enhancement of the life‐time of metastable states through the noise enhanced stability effect and the role played by the resonant activation phenomenon will be discussed in models of interdisciplinary physics: (i) Ising model (ii) Josephson junction; (iii) stochastic FitzHugh‐Nagumo model; (iv) a population dynamics model, and (v) …