An open queueing network model (QNM) is proposed for wormhole-routed hypercubes with finite buffers and deterministic routing subject to a compound Poisson arrival process (CPP) with geometrically distributed batches or, equivalently, a generalised exponential (GE) interarrival time distribution. The GE/G/1/K queue and appropriate GE-type flow formulae are adopted, as cost-effective building blocks, in a queue-by-queue decomposition of the entire network. Consequently, analytic expressions for the channel holding time, buffering delay, contention blocking and mean message latency are determined. The validity of the analytic approximations is demonstrated against results obtained through simulation experiments. Moreover, it is shown that the wormholerouted hypercubes suffer progressive performance degradation with increasing traffic variability (burstiness).

In this work we address to the problems of the loan origination decision-making systems. In accordance with the basic principles of the loan origination process we considered the main rules of a clients parameters estimation, a change-point problem for the given data and a disorder moment detection problem for the real-time observations. In the first part of the work the main principles of the parameters estimation are given. Also the change-point problem is considered for the given sample in the discrete and continuous time with using the Maximum likelihood method. In the second part of the work the disorder moment detection problem for the real-time observations is considered as a disorder problem for a non-homogeneous Poisson process. The corresponding optimal stopping problem is reduced to the free-boundary problem with a complete analytical solution for the case when the intensity of defaults increases. Thereafter a scheme of the real time detection of a disorder moment is given.

<p>Society-induced changes to the environment are altering the effectiveness of existing management strategies for sustaining natural and agricultural ecosystem productivity. At the watershed scale, natural and agro-ecosystems represent complex spatiotemporal stochastic processes. In time, they respond to random rainfall events, evapotranspiration and other losses that are spatially variable because of heterogeneities in soil properties, root distributions, topography, and other factors. To quantify the environmental impact of anthropogenic activities, it is essential that we characterize the evolution of space and time patterns of ecosystem fluxes (e.g., energy, water, and nutrients). Such a characterization then provides a basis for assessing and managing future anthropogenic risks to the sustainability of ecosystem productivity.</p><p>To characterize the space and time evolution of watershed scale processes, this dissertation introduces a mean field approach to watershed hydrology. Mean field theory (also known as self-consistent field theory) is commonly used in statistical physics when modeling the space-time behavior of complex systems. The mean field theory approximates a complex multi-component system by considering a lumped (or average) effect of all individual components acting on a single component. Thus, the many body problem is reduced to a one body problem. For watershed hydrology, a mean field theory reduces the numerous point component effects to more tractable watershed averages resulting in a consistent method for linking the average watershed fluxes (evapotranspiration, runoff, etc.) to the local fluxes at each point.</p><p>The starting point for this work is a general point description of the soil moisture, rainfall, and runoff system. For this system, we find the joint PDF that describes the temporal variability of the soil water, rainfall, and runoff processes. Since this approach does not account for the spatial variability of runoff, we introduce a probabilistic storage (ProStor) framework for constructing a lumped (unit area) rainfall-runoff response from the spatial distribution of watershed storage. This framework provides a basis for unifying and extending common event-based hydrology models (e.g. Soil Conservation Service curve number (SCS-CN) method) with more modern semi-distributed models (e.g. Variable Infiltration Capacity (VIC) model, the Probability Distributed (PDM) model, and TOPMODEL). In each case, we obtain simple equations for the fractions of the different source areas of runoff, the spatial variability of runoff and soil moisture, and the average runoff value (i.e., the so-called runoff curve). Finally, we link the temporal and spatial descriptions with a mean field approach for watershed hydrology. By applying this mean field approach, we upscale the point description with the spatial distribution of soil moisture and parameterize the numerous local interactions related to lateral fluxes of soil water in terms of its average. With this approach, we then derive PDFs that represent the space and time distribution of soil water and associated watershed fluxes such as evapotranspiration and runoff.</p> / Dissertation

Nesta tese é analisado situações onde eventos de interesse podem ocorrer mais que uma vez para o mesmo indivíduo. Embora os estudos nessa área tenham recebido considerável atenção nos últimos anos, as técnicas que podem ser aplicadas a esses casos especiais ainda são pouco exploradas. Além disso, em problemas desse tipo, é razoável supor que existe dependência entre as observações. Uma das formas de incorporá-la é introduzir um efeito aleatório na modelagem da função de risco, dando origem aos modelos de fragilidade. Esses modelos, em análise de sobrevivência, visam descrever a heterogeneidade não observada entre as unidades em estudo. Os modelos estatísticos apresentados neste texto são fundamentalmente modelos de sobrevivência baseados em processos de contagem, onde é representado o problema como um processo de Poisson homogêneo e não-homogêneo com um termo de fragilidade, para o qual um indivíduo com um dado vetor de covariável x é acometido pela ocorrência de eventos repetidos. Esses modelos estão divididos em duas classes: modelos de fragilidade multiplicativos e aditivos; ambos visam responder às diferentes formas de avaliar a influência da heterogeneidade entre as unidades na função de intensidade dos processos de contagem. Até agora, a maioria dos estudos tem usado a distribuição gama para o termo de fragilidade, a qual é matematicamente conveniente. Este trabalho mostra que a distribuição gaussiana inversa tem propriedade igualmente simples à distribuição gama. Consequências das diferentes distribuições são examinadas, visando mostrar que a escolha da distribuição de fragilidade é importante. O objetivo deste trabalho é propor alguns métodos estatísticos para a análise de eventos recorrentes e verificar o efeito da introdução do termo aleatório no modelo por meio do estudo do custo, da estimação dos outros parâmetros de interesse. Também um estudo de simulação bootstrap é apresentado para fazer inferências dos parâmetros de interesse. Além disso, uma abordagem Bayesiana é proposta para os modelos de fragilidade multiplicativos e aditivos. Métodos de simulações são utilizados para avaliar as quantidades de interesse a posteriori. Por fim para ilustrar a metodologia, considera-se um conjunto de dados reais sobre um estudo dos resultados experimentais de animais cancerígenos. / In this thesis we analyse situations where events of interest may occur more than once for the same individual and it is reasonable to assume that there is dependency among the observations. A way of incorporating this dependency is to introduce a random effect in the modelling include a frailty term in the intensity function. The statistical methods presented here are intensity models based, where we represent the problem as a homogeneous and nonhomogeneous Poisson process with a frailty term for which an individual with given fixed covariate vector x has reccurent events occuring. These models are divided into two classes: multiplicative and additive models, aiming to answer the different ways of assessing the influence of heterogeneity among individuals in the intensity function of the couting processes. Until now most of the studies have used a frailty gamma distribution, due to mathematical convenience. In this work however we show that a frailty gaussian inverse distribution has equally simple proprieties when compared to a frailty gamma distribution. Methods for regression analysis are presented where we verify the effect of the frailty term in the model through of the study of the cost of estimating the other parameters of interest. We also use the simulation bootstrap method to make inference on the parameters of interest. Besides we develop a Bayesian approach for the homogeneous and nonhomogeneous Poisson process with multiplicative and additive frailty. Simulation methods are used to assess the posterior quantities of interest. In order to ilustrate our methodology we considere a real data set on results of an experimental animal carcinogenesis study.

Propomos o estudo do meio desordenado onde a caminhada determinista parcialmente autorrepulsiva (CDPA) é desenvolvida e o estudo da caminhada aleatória autorrepulsiva (SAW) em rede regular. O meio desordenado na CDPA, gerado por um processo Poissônico espacial, é caracterizado pela estatística de vizinhança e de distâncias. A estatística de vizinhança mede a probabilidade de um ponto ser $m$-ésimo vizinho mais próximo de seu $n$-ésimo vizinho mais próximo. A estatística de distâncias mede a distribuição de distância de um ponto ao seu $k$-ésimo vizinho mais próximo. No problema da estatística de distâncias, calculamos a função densidade de probabilidade (pdf) e estudamos os casos limites de alta ordem de vizinhança e alta dimensionalidade. Um caso particular dessa pdf pode verificar se um conjunto de pontos foi gerado por um processo Poissônico. Na SAW em rede regular, um caminhante escolhe aleatoriamente um sítio adjacente para ser visitado no próximo passo, mas é proibido visitar um sítio duas ou mais vezes. Desenvolvemos uma nova abordagem para estudar grandezas conformacionais por meio do produto escalar entre o vetor posição e vetor deslocamento no $j$-ésimo passo: $\\langle\\vec{R}_{j}\\cdot\\vec{u}_{j}angle_{N}$. Mostramos que para $j=N$ o produto escalar é igual ao comprimento de persistência (projeção do vetor posição na direção do primeiro passo) e que converge para uma constante. Calculamos a distância quadrática média ponta-a-ponta, $\\langle \\vec{R}_{N}^{2}angle_{N}\\sim N^{2 u_{0}}$, como o somatório de $1\\leq j \\leq N$ do produto escalar. Os dados gerados pelo algoritmo de simulação Monte Carlo, codificado em linguagem C e paralelizado em MPI, fornecem o expoente $ u_{0}$ da regra de escala $\\langle \\vec{R}_{j}\\cdot\\vec{u}_{j}angle_{N}\\sim j^{2 u_{0}-1}$, para $1\\leq j \\leq \\Theta(N)$, próximo ao valor esperado. A partir de $\\Theta(N)\\approx N/2$ para rede quadrada e $\\Theta(N)\\approx N/3$ para rede cúbica, a caminhada torna-se mais flexível devido ao maior número de graus de liberdade disponível nos últimos passos. / We propose the study of disordered media where the deterministic partially self-avoiding walk (DPSW) is developed and the study of self-avoiding random walk (SAW) in regular lattices. The disordered media in the DPSW, generated by a spatial Poissonian process, is characterized by neighborhood and distance statistics. Neighborhood statistics quantifies the probability of a point to be the $m$th nearest neighbor of its $n$th nearest neighbor. Distance statistics quantifies the distance distribution of a given point to its $k$th nearest neighbor. For the distance statistics problem, we obtain the probability density function (pdf) and study the high dimensionality and high neighborhood order limits. A particular case of this pdf can verify if a points set is generated by a Poissonian process. In a SAW in regular lattice, the walker randomly chooses an adjacent site to be visited in the next step, but is forbidden to visit a site two or more times. We developed a new approach to study conformational quantities of SAW by means of the scalar product between the position vector and the displacement vector in the $j$th step: $\\langle\\vec{R}_{j}\\cdot\\vec{u}_{j}angle_{N}$. We show that for $j=N$ the scalar product is equal to the persistence length (projection of position vector in the direction of the first step) and that converges to a constant. We compute the square end-to-end distance, $\\langle \\vec{R}_{N}^{2}angle_{N}\\sim N^{2 u_{0}}$, as the summation $1\\leq j \\leq N$ of scalar product. The data generated by Monte Carlo simulation algorithm, coded in C language and parallelized in MPI, provides the exponent $ u_{0}$ of the scaling law $\\langle \\vec{R}_{j}\\cdot\\vec{u}_{j}angle_{N}\\sim j^{2 u_{0}-1}$, for $1\\leq j \\leq \\Theta(N)$, close to the expected value. Starting from $\\Theta(N)\\approx N/2$ for square lattice and $\\Theta(N)\\approx N/3$ for cubic lattice, the walk becomes more flexible due to the large number of degrees of freedom available in the last steps.

This thesis deals with the reliability and maintenance of structures that are damaged by shocks arriving randomly in time. The degradation is modeled as a cumulative stochastic point process. Previous studies mostly adopted expected cost rate criterion for optimizing the maintenance policies, which ignores practical implications of discounting of maintenance cost over the life cycle of the system.Therefore, detailed analysis of expected discounted cost criterion has been done, which provides a more realistic basis for optimizing the maintenance. Examples of maintenance policies combining preventive maintenance with age- based replacement are analyzed. Derivation for general cases involving preventive maintenance damage level have been discussed. Special cases are also considered.

This thesis deals with the reliability and maintenance of structures that are damaged by shocks arriving randomly in time. The degradation is modeled as a cumulative stochastic point process. Previous studies mostly adopted expected cost rate criterion for optimizing the maintenance policies, which ignores practical implications of discounting of maintenance cost over the life cycle of the system.Therefore, detailed analysis of expected discounted cost criterion has been done, which provides a more realistic basis for optimizing the maintenance. Examples of maintenance policies combining preventive maintenance with age- based replacement are analyzed. Derivation for general cases involving preventive maintenance damage level have been discussed. Special cases are also considered.

We study the properties of thinning and Markov chain thinning of renewal processes. Among others, we investigate whether some special renewal processes can be obtained through Markov chain thinning.

In this paper, we investigate the problem of estimating the autocorrelation of squared returns modeled by diffusion processes with data observed at non-equi-spaced discrete times. Throughout, we will suppose that the stock price processes evolve in continuous time as the Heston-type stochastic volatility processes and the transactions arrive randomly according to a Poisson process. In order to estimate the autocorrelation at a fixed delay, the original non-equispaced data will be synchronized. When imputing missing data, we adopt the previous-tick interpolation scheme. Asymptotic property of the sample autocorrelation of squared returns based on the previous-tick synchronized data will be investigated. Simulation studies are performed and applications to real examples are illustrated.

Stochastic hybrid dynamic systems that incorporate both continuous and discrete dynamics have been an area of great interest over the recent years. In view of applications, stochastic hybrid dynamic systems have been employed to diverse fields of studies, such as communication networks, air traffic management, and insurance risk models. The aim of the present study is to investigate properties of some classes of stochastic hybrid dynamic systems. The class of stochastic hybrid dynamic systems investigated has random jumps driven by a non-homogeneous Poisson process and deterministic jumps triggered by hitting the boundary. Its real-valued continuous dynamic between jumps is described by stochastic differential equations of the It\^o-Doob type. Existing results of piecewise deterministic models are extended to obtain the infinitesimal generator of the stochastic hybrid dynamic systems through a martingale approach. Based on results of the infinitesimal generator, some stochastic stability results are derived. The infinitesimal generator and stochastic stability results can be used to compute the higher moments of the solution process and find a bound of the solution. Next, the study focuses on a class of multidimensional stochastic hybrid dynamic systems. The continuous dynamic of the systems under investigation is described by a linear non-homogeneous systems of It\^o-Doob type of stochastic differential equations with switching coefficients. The switching takes place at random jump times which are governed by a non-homogeneous Poisson process. Closed form solutions of the stochastic hybrid dynamic systems are obtained. Two important special cases for the above systems are the geometric Brownian motion process with jumps and the Ornstein-Uhlenbeck process with jumps. Based on the closed form solutions, the probability distributions of the solution processes for these two special cases are derived. The derivation employs the use of the modal matrix and transformations. In addition, the parameter estimation problem for the one-dimensional cases of the geometric Brownian motion and Ornstein-Uhlenbeck processes with jumps are investigated. Through some existing and modified methods, the estimation procedure is presented by first estimating the parameters of the discrete dynamic and subsequently examining the continuous dynamic piecewisely. Finally, some simulated stochastic hybrid dynamic processes are presented to illustrate the aforementioned parameter-estimation methods. One simulated insurance example is given to demonstrate the use of the estimation and simulation techniques to obtain some desired quantities.