Search results for "stochastic"
showing 10 items of 1018 documents
Design of Measurement-Based Stochastic Wideband MIMO Channel Simulators
2009
In this paper, we propose a method for designing measurement-based stochastic models for simulating wideband multiple-input multiple-output (MIMO) wireless channels. The proposed method allows synthesizing channel transfer functions with the spatial-temporal-frequency correlation properties approximating those of real-world radio channels. The parameters of a channel simulator are determined by fitting the space-timefrequency cross-correlation matrix of the simulation model to the estimated space-time-frequency cross-correlation matrix of a physical channel. For this purpose, an iterative parameter computation algorithm has been developed. The proposed design method is verified by creating …
Fuzzy Discrete Event Simulation for Fuzzy Production Systems Analysis
1998
Abstract Fuzzy production systems are characterised by vagueness in data and requirements that very often cannot be reduced to stochastic models. Therefore, such production systems cannot be analysed by using classical techniques such as Queue Theory or Discrete Simulation Analysis. On the other hand the great diffusion of Fuzzy Production environments in small and medium enterprises claims for the development of new analysis tools. This paper proposes a new approach to Discrete Event Simulation able to treat with fuzzy variables. A new methodology has been proposed to process fuzzy information within discrete event simulation and a prototype of a Fuzzy Discrete Event Simulator has been dev…
Measuring wage discrimination according to an expected utility approach
2012
Following on from the seminal works by Blinder (1973) and Oaxaca (1973), many methods have been proposed to measure wage discrimination against women. Some of these methods focus on the entire distribution of the discrimination experienced by each woman, underlining a common aspect of poverty and discrimination analysis: the latter two are both based on an idea of deprivation which originates from a poverty line (in the case of poverty) and from the expected wage in the absence of discrimination (in the case of wage discrimination) (Jenkins, 1994; Del Río et al., 2011). These approaches hinge on conditional-to-individual-characteristics expected wages, lacking in any focus regarding the ent…
Analysis of the Past Lifetime in a Replacement Model through Stochastic Comparisons and Differential Entropy
2020
A suitable replacement model for random lifetimes is extended to the context of past lifetimes. At a fixed time u an item is planned to be replaced by another one having the same age but a different lifetime distribution. We investigate the past lifetime of this system, given that at a larger time t the system is found to be failed. Subsequently, we perform some stochastic comparisons between the random lifetimes of the single items and the doubly truncated random variable that describes the system lifetime. Moreover, we consider the relative ratio of improvement evaluated at x &isin
Approximation of exit times for one-dimensional linear diffusion processes
2020
International audience; In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and the Ornstein-Uhlenbeck context, that is for particular time-homogeneous diffusion processes. Here the aim is therefore to generalize this efficient numerical approach in order to obtain an approximation of both the exit time and position for a general linear diffusion. The main challenge of such a generalization is to handle with time-inhomogeneous diffusions. The efficiency of the method is described with particular care through theoretical results and numerical example…
On the fractional probabilistic Taylor's and mean value theorems
2016
In order to develop certain fractional probabilistic analogues of Taylor's theorem and mean value theorem, we introduce the nth-order fractional equilibrium distribution in terms of the Weyl fractional integral and investigate its main properties. Specifically, we show a characterization result by which the nth-order fractional equilibrium distribution is identical to the starting distribution if and only if it is exponential. The nth-order fractional equilibrium density is then used to prove a fractional probabilistic Taylor's theorem based on derivatives of Riemann-Liouville type. A fractional analogue of the probabilistic mean value theorem is thus developed for pairs of nonnegative rand…
Bartlett formalism generating functions and Z-transforms in fluctuation and noise theory
1983
Abstract “La theorie des fonctions generatrices s'adapte elle meme et avec la plus grande generalite aux questions des probabilite les plus difficiles.” (Laplace, 1812) “An important part of probability theory consists of the derivation of the probability distribution of the sum of n random variables, each of which obeys a given probability law, and the development of asymptotic forms of these distributions valid for increasing n. Probability generating functions owe their dominant position to the simplification they permit to both problems. Their employment to obtain the successive moments of a probability distribution and to solve the difference equations of probability theory is ancillar…
Statistical physics: Some basic principles of fluctuation and noise theory
1983
Abstract Models have traditionally played a significant role in statistical mechanics. In view of the complexity of the system which statistical mechanics attempt to describe, this is not at all surprising. The study of simplified models has frequently revealed the underlying mathematical structure of many physical questions and in so doing the study of models has contributed directly to a clarification of several paradoxes which beset statistical mechanics. In this paper some of the models which appear to be useful for the discussion of non-equilibrium phenomena are examined in some detail. As usual these models are extremely simplified versions of the actual situations. It is, finally, as…
Inverted Repeats in Viral Genomes
2004
We investigate 738 complete genomes of viruses to detect the presence of short inverted repeats. The number of inverted repeats found is compared with the prediction obtained for a Bernoullian and for a Markovian control model. We find as a statistical regularity that the number of observed inverted repeats is often greater than the one expected in terms of a Bernoullian or Markovian model in several of the viruses and in almost all those with a genome longer than 30,000 bp.
HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY
2018
This paper studies the price processes of a claim on terminal endowment and of a claim on firm book value when the underlying variables follow a bivariate geometric Brownian motion. If the state-price process is multiplicatively separable into time and endowment functions, our main result shows that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, the endowment function is not a power function. In a pure exchange economy populated by two agents with constant relative risk aversion (CRRA) preferences we confirm the separability, and we show furthermore that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, both agents are he…