Browsing by Subject "Stochastic models"
Now showing items 1-16 of 16
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Article
Algebraic solution of the Stein-Stein model for stochastic volatility
(2011)We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
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Conference Object
Distributed stochastic power control for time-varying long-term and short-term fading wireless networks
(2007)In this paper, new time-varying wireless channel models that capture both the space and time variations of longterm and short-term fading wireless networks are developed. The proposed models are based on stochastic ...
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Conference Object
Dynamic demographic models and parameter identification: Simulations based on statistical data
(Institute of Electrical and Electronics Engineers Inc., 2014)This paper is concerned with dynamical population models obtained from short and long-term changes in size and age composition due to demographic processes such as births, deaths, migration, etc. Both deterministic and ...
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Conference Object
General non-stationary models for short-term and long-term fading channels
(Institute of Electrical and Electronics Engineers Inc., 2000)This paper discusses the use of stochastic differential equations to model signal envelope variations over large areas, which are subject to long-term fading effects from the transmitter to local areas, followed by short-term ...
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Article
Measuring the impact of adversarial errors on packet scheduling strategies
(2013)In this paper we explore the problem of achieving efficient packet transmission over unreliable links with worst case occurrence of errors. In such a setup, even an omniscient offline scheduling strategy cannot achieve ...
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Article
Measuring the impact of adversarial errors on packet scheduling strategies
(2016)In this paper, we explore the problem of achieving efficient packet transmission over unreliable links with worst-case occurrence of errors. In such a setup, even an omniscient offline scheduling strategy cannot achieve ...
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Article
Modelling precipitation in Sweden using multiple step markov chains and a composite model
(2008)In this paper, we propose a new method for modelling precipitation in Sweden. We consider a chain dependent stochastic model that consists of a component that models the probability of occurrence of precipitation at a ...
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Article
On distributional properties and goodness-of-fit tests for generalized measures of divergence
(2010)The aim of this work is the investigation of a generalized family of measures of divergence which includes the well-known Csiszár's, Cressie and Read's, and the Basu-Harris-Hjort-Jones (Basu et al., 1998) measures. A weakly ...
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Conference Object
On semi-markov modelling and inference for multi-state systems
(Institute of Electrical and Electronics Engineers Inc., 2016)In this work we focus on multi state systems that we model by means of semi-Markov processes. The sojourn times are seen to be independent not identically distributed random variables and assumed to belong to a general ...
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Conference Object
Probability of error bounds for failure diagnosis and classification in hidden Markov models
(2008)In this paper we consider a formulation of the failure diagnosis problem in stochastic systems as a maximum likelihood classification problem: a diagnoser observes the system under diagnosis online and determines which ...
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Article
A spatiotemporal precipitation generator based on a censored latent Gaussian field
(2015)A daily stochastic spatiotemporal precipitation generator that yields precipitation realizations that are quantitatively consistent is described. The methodology relies on a latent Gaussian field that drives both the ...
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Doctoral Thesis Open Access
Statistical inference for multi-state reliability systems
(Πανεπιστήμιο Κύπρου, Σχολή Θετικών και Εφαρμοσμένων Επιστημών / University of Cyprus, Faculty of Pure and Applied Sciences, 2017-01)Η παρούσα διατριβή θα επικεντρωθεί σε multi-state systems (MSS) τα οποία μοντελοποιούμε με τη βοήθεια των ημιμαρκοβιανών διαδικασιών. Για το λόγο αυτό, οι ημιμαρκοβιανές διαδικασίες είναι καταλληλότερες σε μελέτες αξιοπιστίας ...
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Conference Object
Stochastic power control for time-varying flat fading wireless channels
(2005)The performance of stochastic optimal power control of time-varying wireless short-term flat fading channels, in which the evolution of the dynamical channel is described by a stochastic state space representation, is ...
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Article
Stochastic power control for time-varying long-term fading wireless networks
(2006)A new time-varying (TV) long-term fading (LTF) channel model which captures both the space and time variations of wireless systems is developed. The proposed TV LTF model is based on a stochastic differential equation ...
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Article
Symmetry analysis of a model of stochastic volatility with time-dependent parameters
(2011)We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the ...
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Article
The temporal noisy-leaky integrator neuron with additional inhibitory inputs
(1993)The Temporal Noisy-Leaky Integrator (TNU) neuron model with additional inhibitory inputs is presented together with its theoretical mathematical basis. The TNU is a biologically inspired hardware neuron which models ...