马氏风险过程

研究了一般马氏风险过程,它是经典风险过程的拓广．具有大额索赔的风险过程用此马氏风险模型来描述是适合的．在此模型中,索赔到达过程由一点过程来描述,该点过程是一马氏跳过程从0到t时间段内的跳跃次数．主要研究了此风险模型的破产概率,得到了破产概率满足的积分方程,并应用本文引入的广更新方法,得到了破产概率的收敛速度上界．     

Analysis of Data from a Series of Events by a Geometric Process Model

Geometric process was first introduced by Lam.A stochastic process {X_i,i=1,2,...} iscalled a geometric process (GP) if,for some a>0,{a~(i-1)X_i,i=1,2,...} forms a renewal process.In thispaper,the GP is used to analyze the data from a series of events.A nonparametric method is introduced forthe estimation of the three parameters in the GP.The limiting distributions of the three estimators are studied.Through the analysis of some real data sets,the GP model is compared with other three homogeneous andnonhomogeneous Poisson models.It seems that on average the GP model is the best model among these fourmodels in analyzing the data from a series of events.     

A prototype cost model of functional check decisions in reliability-centred maintenance

In this paper, the functional check task specified in reliability-centred maintenance (RCM) is discussed and a general cost model under the assumption of a non-decreasing degradation process is established to jointly optimise the threshold of potential failure and inspection intervals to minimise the expected operating cost per unit time. A gamma process is used to describe a random wear degradation process and illustrate the model.     

Two-phase modeling of batch sedimentation

A two-phase model for the simulation of sedimentation processes is presented. The model solves the continuity and momentum equations for the pure-clear liquid and the sludge phases, and it is verified against a well-known benchmark problem, for which analytical solutions exist. Numerical simulations of a typical 1-D batch sedimentation process for mono-dispersed particles are carried out and results are found to be in satisfactory agreement with experimental data and model predictions of other researchers. A further expansion of the model to two-dimensions leads to predictions of the dynamic behavior of settling tanks and the effect of the inclination angle on the sedimentation process.     

有限状态Q过程波动率与跳组合情形的期权定价

引入了有限状态Q过程随机波动率与复合Poisson过程组合的资产价格动态模型,得到了该组合模型下欧式看涨期权定价的一般公式,推广了Hull和White的结论.最后通过数值模拟,充分体现了期权价格对初始时刻波动率大小的依赖.     

Model based fuzzy control

Fuzzy controllers can be made to adapt to changing process and environment dynamics. This paper presents one methodology to adapt the initial knowledge base to changing operating conditions. The membership functions associated with the process controller output are adjusted in response to future or past performance of the feedback control system. A linearized process model is identified on line and is used to predict the future performance to the controller. This performance index is used to adapt the controller as long as the identified process model is statistically reliable. If the process model is considered unreliable, then an index related to the past performance of the controller is used to make the adjustments.     

The behaviour of a non-differentiable stationary Gaussian process after a level crossing

A model process is obtained for the behaviour of a non-differentiable but continuous stationary Gaussian process after a level crossing. It is shown that the sampled process conditioned on a crossing of a fixed level in Slepian's sense, converges weakly towards the model process, when the sample distance decreases to zero. Further it is noticed that there is no difference between conditioning on a vertical window and on a horizontal window in this case.     

基于跳扩散过程的Omega模型

文章通过在Omega模型中加入布朗运动扰动项,提出了一种跳扩散Omega破产模型.在索赔额为指数分布的情形下,给出了破产率函数是常数时的破产概率函数表达式.文章进一步研究了破产概率和盈余过程的“负占有时”之间的关系,并给出了破产概率函数的第二种推导过程.最后通过两个数值试验,将我们的模型与Albreeher和Lautscham (2013)的Omega模型的破产概率进行了比较分析.     

Hyperbolastic modeling of wound healing

A new mathematical model for wound healing is introduced and applied to three sets of experimental data. The model is easy to implement but can accommodate a wide range of factors affecting the wound healing process. The data sets represent the areas of trace elements, diabetic wounds, growth factors, and nutrition within the field of wound healing. The model produces an explicit function accurately representing the time course of healing wounds from a given data set. Such a function is used to study variations in the healing velocity among different types of wounds and at different stages in the healing process. A new multivariable model of wound healing capable of analyzing the effects of several variables on accelerating the wound healing process is also introduced. Such a model can help to formulate appropriate strategies to treat wounds. It also would enable us to evaluate the efficacy of different treatment modalities during the inflammatory, proliferative, and tissue remodeling phases.     

索赔次数为复合Poisson-Geometric过程的风险模型及破产概率

本文引入一类复合Poisson-Geometric分布,这类分布包括两个参数,是普通Poisson分布的一种推广,并在保险中有其实际的应用背景;基于此分布产生一个计数过程,称之为复合Poisson-Geometric过程.本文着重研究了索赔次数为复合Poisson-Geometric过程的风险模型,这种模型是经典风险模型的一个推广.针对此模型,本文给出了破产概率公式及更新方程.作为特例,当索赔额服从指数分布时,给出了破产概率的显式表达式.     

An inference-finite element model for field problems

A semi-stochastic model for field problems is presented. The model uses a correlative scheme for the estimation of physical parameters and an uncertainty finite element analysis to estimate the statistical properties of the solution process. A comparison is made with a regression-finite element model which indicates the superiority of the introduced correlative-finite element uncertainty analysis.     

药动学随机过程模型

用随机过程的方法 ,建立了一种用于分析药物在体内吸收、分布、消除的模型 ,推导了该模型的高阶转移概率矩阵 ,并对应用问题进行了讨论 .     

Enhancing the generality of fuzzy relational models for control

A promising area of research in fuzzy control is the model-based fuzzy controller. At the heart of this approach is a fuzzy relational model of the process to be controlled. Since this model is identified directly from process input-output data it is likely that ‘holes’ will be present in the identified relational model. These holes are real problems when the model is incorporated into a model-based controller since the model will be unable to make any predictions whatsoever if the system drifts into an unknown region. The present work deals with the completeness of the fuzzy relational model which forms the core of the controller. This work proposes a scheme of post-processing to ‘fiil in’ the fuzzy relational model once it has been built and thereby improve its applicability for on-line control. A comparative study of the post-processed model and conventional relational model is presented for Box-Jenkins data identification system and a real-time, highly non-linear application of pH control identification.     

违约风险的交换期权的定价模型与解法

含交易对手违约风险的交换期权采用混合模型定价,借助公司价值模型中的补偿率,同时采用以强度为基础的违约函数来确定违约的发生.假定违约强度遵从均值回复的重随机Poisson过程：且违约强度过程与标的资产,企业价值都相关.利用等价鞅测度变换方法导出含有违约风险的交换期权的价格闭解.     

Modelling maintenance practice of production plant using the delay-time concept

In this paper we present a study carried out for a copper productsmanufacturing company, developing and applying the delay-timemodelling technique to model and thus optimize preventive maintenance(PM) of the plant. A key machine in the plant is used to illustratethe modelling process and management reaction. The parameter values of the process by which faults arise andof the delay-time distribution are estimated from maintenancerecord data of failures and faults found at PM, using the methodof maximum likelihood. A test of the model fit to data is carriedout. Based upon the estimated model parameters and the failuredelay time, an inspection model is proposed to describe therelationship between the total downtime and the PM interval.     

On a model of sequential point patterns

A finite point process motivated by the cooperative sequential adsorption model is proposed. Analytical properties of the point process are considered in details. It is shown that the introduced point process is useful for modeling both aggregated and regular point patterns. A possible scheme of maximum likelihood estimation of the process parameters is briefly discussed. V. Shcherbakov is on leave from Laboratory of Large Random Systems, Faculty of Mathematics and Mechanics, Moscow State University, Moscow.     

Parametric estimation for a simple branching diffusion process

A simple branching diffusion process is given as an elementary model of spatial evolution. A parametric estimation theory is presented for this model. As side results, a spatial central limit theorem and spatial strong law of large numbers are also obtained.     

基于非齐次泊松过程的拖拉机故障规律性研究

进行了拖拉机田间作业故障跟踪试验 ,得到了拖拉机现场使用的故障数据 ,用非齐次泊松过程建立了拖拉机故障过程的数学模型 ,并用神经网络方法给出了模型的参数估计 ,讨论了拖拉机故障过程的改善与劣化与故障强度函数的关系 ,得到了拖拉机使用初期的故障强度曲线 ,给出了平均故障间隔时间的估计值 .     

分装式流水作业加工模型的性质及启发式算法研究

分装式流水作业(简记为TMF)加工模型是从生产实践中提炼出的新型的排序模型。由于文献[1][2]中已经证明该问题在一般情况下是NP-完全问题,没有多项式时间算法。在这篇论文中进一步讨论了该加工模型的性质,并提出了它的启发式算法以及启发式算法在最坏情况下的性能比的上界。