Search results for "stochastic modelling"
showing 10 items of 86 documents
Predicting the equilibrium bed slope in natural streams using a stochastic model for incipient sediment motion
2011
In this paper, a method to predict the equilibrium bed slope in natural streams based on the incipient motion criterion is proposed. The method is based on the criterion suggested by Gessler to simulate the grain size distribution of the armour coat using the concept of critical shear stress of a sediment mixture. In particular, a different expression of the probability for a single particle size to be part of the armour coat is firstly proposed; then, a simple two-steps criterion is suggested to estimate the safety factor required by the proposed approach. The method is applied in three different Italian regions (Calabria, Basilicata, and Tuscany) and required several field campaigns invol…
SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES
2003
This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que desc…
An integrated fuzzy-stochastic model for revenue management: The hospitality industry case
2016
Revenue management aims at improving the performance of an organization by selling the right product/service to the right customer at the right time. This task is very dependent on uncontrollable external factors. In the hospitality industry, rooms of the hotel represent perishable assets and fixed capacities at the same time. Therefore, in the case of a stochastic process for customers calling in reservations prior to a particular booking date, a common problem for hotels is to devise a policy for maximizing the total expected profit conditional on the set of bookings. We propose a fuzzy model for the hotel revenue management under an uncertain and vague environment. Fuzziness of objectiv…
Stochastic Fatigue Models for Efficient Planning Inspections in Service of Aircraft Structures
2008
For important fatigue-sensitive structures of aircraft whose breakdowns cause serious accidents, it is required to keep their reliability extremely high. In this paper, we discuss inspection strategies for such important structures against fatigue failure. The focus is on the case when there are fatiguecracks unexpectedly detected in a fleet of aircraft within a warranty period (prior to the first inspection). The paper examines this case and proposes stochastic models for prediction of fatigue-crack growth to determine appropriate inspections intervals. We also do not assume known parameters of the underlying distributions, and the estimation of that is incorporated into the analysis and d…
A stochastic dynamic model to evaluate the influence of economy and well-being on unemployment control
2018
[EN] This paper presents a stochastic dynamic mathematical model to study the evolution of the unemployment rate and other relevant related variables in a country. This model is composed by three basic interrelated subsystems: demographic, economic and wellbeing ones. A key aspect of this model is that it considers three UN well-being variables simultaneously: Human Development Index, Gender Empowerment Index and Gender Differentiation Index. These variables involve key concepts for human development, as Health, Education, Economy and Female Labor. With this model, the most outstanding variables found in the literature in relation with unemployment control can be used to design strategies a…
Weather Derivatives and Stochastic Modelling of Temperature
2011
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Quantitative Analysis of Experimental and Synthetic Microstructures for Sedimentary Rock
1999
A quantitative comparison between the experimental microstructure of a sedimentary rock and three theoretical models for the same rock is presented. The microstructure of the rock sample (Fontainebleau sandstone) was obtained by microtomography. Two of the models are stochastic models based on correlation function reconstruction, and one model is based on sedimentation, compaction and diagenesis combined with input from petrographic analysis. The porosity of all models closely match that of the experimental sample and two models have also the same two point correlation function as the experimental sample. We compute quantitative differences and similarities between the various microstructur…
Updating input–output matrices: assessing alternatives through simulation
2009
A problem that frequently arises in economics, demography, statistics, transportation planning and stochastic modelling is how to adjust the entries of a matrix to fulfil row and column aggregation constraints. Biproportional methods in general and the so-called RAS algorithm in particular, have been used for decades to find solutions to this type of problem. Although alternatives exist, the RAS algorithm and its extensions are still the most popular. Apart from some interesting empirical and theoretical properties, tradition, simplicity and very low computational costs are among the reasons behind the great success of RAS. Nowadays computer hardware and software have made alternative proce…
Stochastic model for the epitaxial growth of two-dimensional islands in the submonolayer regime
2016
The diffusion-based growth of islands composed of clusters of metal atoms on a substrate is considered in the aggregation regime. A stochastic approach is proposed to describe the dynamics of island growth based on a Langevin equation with multiplicative noise. The distribution of island sizes, obtained as a solution of the corresponding Fokker-Planck equation, is derived. The time-dependence of island growth on its fractal dimension is analysed. The effect of mobility of the small islands on the growth of large islands is considered. Numerical simulations are in a good agreement with theoretical results.
Spatio-temporal stochastic modelling: environmental and health processes
2010
Guest editorial