generalized wiener process
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2017 ◽  
Vol 94 ◽  
pp. 57-72 ◽  
Author(s):  
Junxing Li ◽  
Zhihua Wang ◽  
Yongbo Zhang ◽  
Huimin Fu ◽  
Chengrui Liu ◽  
...  

2016 ◽  
Vol 33 (4) ◽  
pp. 693-708 ◽  
Author(s):  
Zhihua Wang ◽  
Junxing Li ◽  
Xiaobing Ma ◽  
Yongbo Zhang ◽  
Huimin Fu ◽  
...  

2016 ◽  
Vol 2016 ◽  
pp. 1-11 ◽  
Author(s):  
Zhen Chen ◽  
Shuo Li ◽  
Ershun Pan

Accelerated degradation test (ADT) has been widely used to assess highly reliable products’ lifetime. To conduct an ADT, an appropriate degradation model and test plan should be determined in advance. Although many historical studies have proposed quite a few models, there is still room for improvement. Hence we propose a Nonlinear Generalized Wiener Process (NGWP) model with consideration of the effects of stress level, product-to-product variability, and measurement errors for a higher estimation accuracy and a wider range of use. Then under the constraints of sample size, test duration, and test cost, the plans of constant-stress ADT (CSADT) with multiple stress levels based on the NGWP are designed by minimizing the asymptotic variance of the reliability estimation of the products under normal operation conditions. An optimization algorithm is developed to determine the optimal stress levels, the number of units allocated to each level, inspection frequency, and measurement times simultaneously. In addition, a comparison based on degradation data of LEDs is made to show better goodness-of-fit of the NGWP than that of other models. Finally, optimal two-level and three-level CSADT plans under various constraints and a detailed sensitivity analysis are demonstrated through examples in this paper.


2015 ◽  
Vol 772 ◽  
pp. 546-551 ◽  
Author(s):  
Catalin Cioaca ◽  
Sebastian Pop ◽  
Elena Corina Boscoianu ◽  
Mircea Boscoianu

The objective of this contribution is to explore innovative ways to increase the efficiency of large scale photovoltaic systems (LSPVS) in the medium term through effective management of operating, monitoring and maintenance (OMM) costs based on aerial surveillance with small multi-rotor flight robot (s-MRFR). An effective solution of OMM cost assessment must capture the dynamic interaction between energy market developments, technological progress and investor tolerance to the risk posed by climate changes. The valuation method for OMM cost-risk analysis is based on generalized Wiener process with stochastic jumps. The interest is to increase the value of the investment by using innovative but efficient procedures of PV systems inspection based on aerial infrared thermography. The results are encouraging because the total costs of s-MRFR monitoring are very low compared to the benefits.


2013 ◽  
Vol 2013 ◽  
pp. 1-10
Author(s):  
James J. Kung

This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX) when both domestic and foreign spot rates follow a generalized Wiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our FX option model as a yardstick, we find that the traditional Garman-Kohlhagen FX option model, which assumes constant spot rates, values incorrectly calls and puts for different values of the ratio of exchange rate to exercise price. Specifically, it undervalues calls when the ratio is between 0.70 and 1.08, and it overvalues calls when the ratio is between 1.18 and 1.30, whereas it overvalues puts when the ratio is between 0.70 and 0.82, and it undervalues puts when the ratio is between 0.86 and 1.30.


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