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Journal: Stochastic Processes and Their Applications
Found
55 papers
in total
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Approximation of epidemics by inhomogeneous birth-and-death processes
1998,
Clancy Damian
This paper is concerned with the approximation of a class of open population epidemic...
On pathwise analysis and existence of empirical distributions for G/G/1 queues
1997,
Mazumdar Ravi R.
In this paper we study the existence of empirical distributions of G/G/1 queues via a...
Simulated annealing with time-dependent energy function via Sobolev inequalities
1996,
Lwe Matthias
We analyze the simulated annealing algorithm with an energy function U t that depends...
Dynamic-programming equations of stochastic optimal-control in Banach-space
1995,
Ahmed N.U.
In this paper the authors study the dynamic programming equation (Bellman equation) in...
Synthetic replication of American contingent claims when portfolios are constrained
1995,
Bardhan Indrajit
This article studies the problem of synthetically replicating an American Contingent...
Stationary regimes for inventory processes
1995,
Sigman Karl
The inventory equation, Z(t)=X(t)+L(t), where X={X(t):t≥0} is a given netput...
The busy periods of some queueing systems
1995,
Stadje W.
For the queue with deterministic, not necessarily equidistant arrival times and...
The best-choice secretary problem with random freeze on jobs
1995,
Samuel-Cahn Ester
The paper considers the best-choice secretary problem, with a known number, n , of...
Vector-valued Markov decision processes and systems of linear inequalities
1995,
Wakuta Kazuyoshi
For a vector-valued Markov decision process, the paper characterizes optimal...
Large claims approximations for risk processes in a Markovian environment
1994,
Klppelberg Claudia
Let be the probability of ruin for a risk process which has initial reserve u and...
General framework for pricing derivative securities
1995,
Musiela Marek
This article describes a general methodology that can be used for financial risk...
Ergodicity of a polling network
1994,
Schassberger R.
The polling network considered here consists of a finite collection of stations...
The overall sojourn time in tandem queues with identical successive service times and renewal input
1994,
Le Gall Pierre
The paper considers the stochastic behaviour of a tandem queue in the case of a...
Large finite population queueing systems. The single server model
1994,
Louchard G.
Stochastic variables associated to a single-server queueing system with finite...
Large loss networks
1994,
Hunt P.J.
A general loss network is considered in the limit as the arrival rates and link...
Limit distributions for linear programming time series estimators
1994,
Feigin Paul D.
The authors consider stationary autoregressive processes of order p which have...
Statistical inference for detrended point processes
1994,
Pruscha Helmut
The paper considers a multivariate point process with a parametric intensity process...
A control policy of an inventory system with compound Poisson demand
1993,
Kalpakam S.
This papers deals with the problem of controlling the replenishment rates of a single...
Stochastic control methods in optimal design of life testing
1994,
Gerardi A.
The authors infer in this paper a rather general probabilistic stochastic control...
Asymptotic expansions for the maximum of a random number of random variables
1994,
Novak S.Yu.
The paper studies the distribution of the maximum of random variables till the...
On residual sums of squares in non-parametric autoregression
1993,
Cheng B.
By relying on the theory of U-statistics of dependent data, the authors have given a...
Conditional intensities and coincidence properties of stochastic processes with embedded point processes
1993,
Schmidt Volker
The aim of the present paper is to discuss three types of coincidence properties...
Limit theorems for cumulative processes
1993,
Glynn Peter W.
Necessary and sufficient conditions are established for cumulative process (associated...
Finite-stage reward functions having the Markov adequacy property
1993,
Pestien Victor
If X is a countable state space and g is a bounded reward function on X n , then say g...
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