Search results for "stochastic model"
showing 10 items of 109 documents
Dynamic Portfolio Optimization with Stochastic Programming
2010
A stochastic model of mutant growth
1987
Statistical Analysis of Biological Models with Uncertainty
2020
In this contribution relevant biological models, based on random differential equations, are studied. For the sake of generality, we assume that the initial condition and the biological model parameters are dependent random variables with arbitrary probability distributions. We present a general methodology that enables us to provide a full probabilistic description of the solution stochastic process for each stochastic model. The statistical analysis is performed through the calculation of the first probability function by applying the random variable transformation technique. From the first probability density function, we can calculate any one-dimensional moment of the solution, includin…
The Multiscale Stochastic Model of Fractional Hereditary Materials (FHM)
2013
Abstract In a recent paper the authors proposed a mechanical model corresponding, exactly, to fractional hereditary materials (FHM). Fractional derivation index 13 E [0,1/2] corresponds to a mechanical model composed by a column of massless newtonian fluid resting on a bed of independent linear springs. Fractional derivation index 13 E [1/2, 1], corresponds, instead, to a mechanical model constituted by massless, shear-type elastic column resting on a bed of linear independent dashpots. The real-order of derivation is related to the exponent of the power-law decay of mechanical characteristics. In this paper the authors aim to introduce a multiscale fractance description of FHM in presence …
Statistical Techniques for Validation of Simulation and Analytic Stochastic Models
2014
In this paper, we consider the problem of statistical validation of multivariate stationary response simulation and analytic stochastic models of observed systems (say, transportation or service systems), which have p response variables. The problem is reduced to testing the equality of the mean vectors for two multivariate normal populations. Without assuming equality of the covariance matrices, it is referred to as the Behrens–Fisher problem. The main purpose of this paper is to bring to the attention of applied researchers the satisfactory tests that can be used for testing the equality of two normal mean vectors when the population covariance matrices are unknown and arbitrary. To illus…
Cancer growth dynamics: stochastic models and noise induced effects
2009
In the framework of the Michaelis‐Menten (MM) reaction kinetics, we analyze the cancer growth dynamics in the presence of the immune response. We found the coexistence of noise enhanced stability (NES) and resonant activation (RA) phenomena which act in an opposite way with respect to the extinction of the tumor. The role of the stochastic resonance (SR) in the case of weak cancer therapy has been analyzed. The evolutionary dynamics of a system of cancerous cells in a model of chronic myeloid leukemia (CML) is investigated by a Monte Carlo approach. We analyzed the effects of a targeted therapy on the evolutionary dynamics of normal, first‐mutant and cancerous cell populations. We show how …
Gain-scheduled H-infinity observer design for nonlinear stochastic systems with time-delay and actuator saturation
2012
In this paper, we propose a method for designing continuous gain-scheduled robust H ∞ observer on a class of extended stochastic nonlinear systems subject to time delay and actuator saturation. Initially, gradient linearization procedure is applied to describe such extended nonlinear systems into several model-based linear systems. Next, a robust linear H ∞ observer is designed to such linear stochastic models. Subsequently, a convex hull set is investigated and sufficient condition is derived in terms of feedback observer to determine whether a given initial condition belongs to an ellipsoid invariant set. Finally, continuous gain-scheduled approach is employed to design continuous nonline…
The kinetics of defect aggregation: A novel lattice formalism
1995
We introduce a stochastic model for the A + B → O reaction on a discrete lattice. The system may include mono- and bimolecular steps (i. e. reaction and diffusion steps). The resulting infinite chain of equations is truncated at a certain level via a modified Kirkwood approximation.
Stochastic 0-dimensional Biogeochemical Flux Model: Effect of temperature fluctuations on the dynamics of the biogeochemical properties in a marine e…
2021
Abstract We present a new stochastic model, based on a 0-dimensional version of the well known biogeochemical flux model (BFM), which allows to take into account the temperature random fluctuations present in natural systems and therefore to describe more realistically the dynamics of real marine ecosystems. The study presents a detailed analysis of the effects of randomly varying temperature on the lower trophic levels of the food web and ocean biogeochemical processes. More in detail, the temperature is described as a stochastic process driven by an additive self-correlated Gaussian noise. Varying both correlation time and intensity of the noise source, the predominance of different plank…
Stochastic seismic analysis of hydrodynamic pressure in dam reservoir systems
2002
Hydrodynamic seismic-induced pressure requires careful consideration in the aseismic design of dams. Effects induced by earthquake excitation may cause many-fold increments of hydrostatic pressure. In this study earthquake excitation has been modelled by means of random process theory obtaining the response statistics of a dam-reservoir dynamical system. The analysis has been conducted assuming a rigid retaining wall of the reservoir and dissipative fluid. Copyright © 2002 John Wiley & Sons, Ltd.