Compared with the classical Markov repairable system, the Markov repairable system with stochastic regimes switching introduced in the paper provides a more realistic description of the practical system. The system ca...Compared with the classical Markov repairable system, the Markov repairable system with stochastic regimes switching introduced in the paper provides a more realistic description of the practical system. The system can be used to model the dynamics of a repairable system whose performance regimes switch according to the external conditions. For example, to satisfy the demand variation that is typical for the power and communication systems and reduce the cost, these systems usually adjust their operating regimes. The transition rate matrices under distinct operating regimes are assumed to be different and the sojourn times in distinct regimes are governed by a finite state Markov chain. By using the theory of Markov process, Ion channel theory, and Laplace transforms, the up time of the system are studied. A numerical example is given to illustrate the obtained results. The effect of sojourn times in distinct regimes on the availability and the up time are also discussed in the numerical example.展开更多
It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-D...It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.展开更多
The p-th moment and almos t sure st ability with general decay rate of the exact solutions of neutral stochastic differential delayed equations with Markov switching are investigated under given conditions. Two exampl...The p-th moment and almos t sure st ability with general decay rate of the exact solutions of neutral stochastic differential delayed equations with Markov switching are investigated under given conditions. Two examples are provided to support the conclusions.展开更多
In this paper,a stochastic epidemic system with both switching noise and white noise is proposed to research the dynamics of the diseases.Nonlinear incidence and vaccination strategies are also considered in the propo...In this paper,a stochastic epidemic system with both switching noise and white noise is proposed to research the dynamics of the diseases.Nonlinear incidence and vaccination strategies are also considered in the proposed model.By using the method of stochastic analysis,we point out the key parameters that determine the persistence and extinction of the diseases.Specifically,if R0^s is greater than 0,the stochastic system has a unique ergodic stationary distribution;while if R ^* is less than 0,the diseases will be extinct at an exponential rate.展开更多
基金supported by the National Natural Science Foundation of China (71071020 60705036)Beijing Excellent Doctoral Dissertation Instructor Project of Humanities and Social Sciences(yb20091000701)
文摘Compared with the classical Markov repairable system, the Markov repairable system with stochastic regimes switching introduced in the paper provides a more realistic description of the practical system. The system can be used to model the dynamics of a repairable system whose performance regimes switch according to the external conditions. For example, to satisfy the demand variation that is typical for the power and communication systems and reduce the cost, these systems usually adjust their operating regimes. The transition rate matrices under distinct operating regimes are assumed to be different and the sojourn times in distinct regimes are governed by a finite state Markov chain. By using the theory of Markov process, Ion channel theory, and Laplace transforms, the up time of the system are studied. A numerical example is given to illustrate the obtained results. The effect of sojourn times in distinct regimes on the availability and the up time are also discussed in the numerical example.
基金National Natural Science Foundation of China(No.71401144)
文摘It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.
基金The authors would like to thank Professor Chenggui Yuan (Swansea University, UK) for useful suggestions. This work was supported in part by the National Natural Science Foundation of China (Grant No. 11601025)the Beijing Municipal Natural Science Foundation (1192013).
文摘The p-th moment and almos t sure st ability with general decay rate of the exact solutions of neutral stochastic differential delayed equations with Markov switching are investigated under given conditions. Two examples are provided to support the conclusions.
基金Z.Qiu is supported by the National Natural Science Foundation of China(NSFC)grant No.11671206X.Zhao is supported by the Scholarship Foundation of China Scholarship Council grant No.201906840072+2 种基金T.Feng is supported by the Scholarship Foundation of China Scholarship Council grant No.201806840120the Out-standing Chinese and Foreign Youth Exchange Program of China Association of Science and Technologythe Fundamental Research Funds for the Central Universities grant No.30918011339.
文摘In this paper,a stochastic epidemic system with both switching noise and white noise is proposed to research the dynamics of the diseases.Nonlinear incidence and vaccination strategies are also considered in the proposed model.By using the method of stochastic analysis,we point out the key parameters that determine the persistence and extinction of the diseases.Specifically,if R0^s is greater than 0,the stochastic system has a unique ergodic stationary distribution;while if R ^* is less than 0,the diseases will be extinct at an exponential rate.
