In this paper, we describe a new algorithmic approach for parameter estimation in Ratcliff’s (1978) diffusion model. This problem, especially if inter-trial variabilities of parameters are included in the model, is computationally very expensive; the parameter estimation procedure often takes a long time even with today’s high-speed computers. The algorithm described here makes the calculation ...

In previous work [Huang et al., PRE 82, 26319, 2010], we found that the passive scalar turbulence field maybe less intermittent than what we believed before. Here we apply the same method, namely arbitrary-order Hilbert spectral analysis, to a passive scalar (temperature) time series with a Taylor’s microscale Reynolds number Reλ ' 3000. We find that with increasing Reynolds number, the discrep...

A new stochastic epidemic model, that is, a general continuous time birth and death chain model, is formulated based on a deterministic model including vaccination. We use continuous time Markov chain to construct the birth and death process. Through the Kolmogorov forward equation and the theory of moment generating function, the corresponding population expectations are studied. The theoretic...

[1] The feasibility of inverse modeling a multicomponent, size-resolved aerosol evolving by condensation/evaporation is investigated. The adjoint method is applied to the multicomponent aerosol dynamic equation in a box model (zero-dimensional) framework. Both continuous and discrete formulations of the model (the forward equation) and the adjoint are considered. A test example is studied in wh...

Factored Edge-Valued Binary Decision Diagrams form an extension to Edge-Valued Binary Decision Diagrams. By associating both an additive and a multiplicative weight with the edges, FEVBDDs can be used to represent a wider range of functions concisely. As a result, the computational complexity for certain operations can be significantly reduced compared to EVBDDs. Additionally, the introduction ...

We consider a signal process X taking values in a complete, separable metric space E. X is assumed to be a Markov process charachterized via the martingale problem for an operator A. In the context of the finitely additive white noise theory of filtering, we show that the optimal filter Γt(y) is the unique solution of the analogue of the Zakai equation for every y, not necessarily continuous. T...

In this study, stochastic modelling and analysis of a repairable 2-out-of-4 system is presented. The system under study is exposed to four types of failures and is attended by four repairmen. The failure and repair time are assumed exponentially distributed. Explicit expressions for mean time to system failure (MTSF), the steady-state availability, and busy period of repairman and profit functi...

In this paper, we show that the calibration to an implied volatility surface and the pricing of contingent claims can be as simple in a jump-diffusion framework as in a diffusion one. Indeed, after defining the jump densities as those of diffusions sampled at independent and exponentially distributed random times, we show that the forward and backward Kolmogorov equations can be transformed int...

We study the model of a strongly non-linear chain of particles coupled to two heat baths at different temperatures. Our main result is the existence and uniqueness of a stationary state at all temperatures. This result extends those of Eckmann, Pillet, Rey-Bellet [EPR99a,EPR99b] to potentials with essentially arbitrary growth at infinity. This extension is possible by introducing a stronger ver...

This investigation deals with transient analysis of cold standby system with n units . Chapman-Kolmogorov equations are developed for repair facility with two repairmen and solved by using matrix technique. Availability and reliability factors have been obtained with probability of the system. A particular case has also been discussed.