Journal: Communications in Statistics - Stochastic Models

Found 166 papers in total
Optimal control of a deteriorating production process
Optimal control of a deteriorating production process
2001,
We study the optimal control of a production process subject to a deterministic drift...
Approximation of excedence processes in large populations
Approximation of excedence processes in large populations
2001,
We consider a population of n individuals. Each of these individuals generates a...
A transaction cost convergence result for general hedging strategies
A transaction cost convergence result for general hedging strategies
2001,
This paper focuses on the valuation of financial derivatives with transaction costs....
European option pricing with general transaction costs and short-selling constraints
European option pricing with general transaction costs and short-selling constraints
2001,
In this paper, we study the problem of European Option Pricing in a market with...
Modeling service-time distributions with non-exponential tails: Beta mixtures of exponentials
Modeling service-time distributions with non-exponential tails: Beta mixtures of exponentials
1999,
Motivated by interest in probability density functions (pdfs) with nonexponential...
Conditions for quantile process approximations
Conditions for quantile process approximations
1999,
Csörgö and Révész introduced a condition on the density of a...
Hydrodynamical limits for epidemic models
Hydrodynamical limits for epidemic models
1998,
Hydrodynamical limits of a spatial epidemic model are studied through the...
An algorithm to calculate transient distributions of cumulative rate and impulse base reward
An algorithm to calculate transient distributions of cumulative rate and impulse base reward
1998,
Markov reward models have been used to solve a wide variety of problems. In these...
Matrix-geometric invariant measures for GI/M/1 type Markov chains
Matrix-geometric invariant measures for GI/M/1 type Markov chains
1998,
Necessary and sufficient conditions for an irreducible Markov chain of G/M/1 type to...
Pricing of European options when the underlying stock price follows a linear birth–death process
Pricing of European options when the underlying stock price follows a linear birth–death process
1998,
This investigation considers a possible approach to price options if the underlying...
Ergodicity conditions and Cesàro limit results for marked point processes
Ergodicity conditions and Cesàro limit results for marked point processes
1998,
In Palm theory it is very common to consider several distributions to describe the...
Shot noise weighted processes: A new family of spatial point processes
Shot noise weighted processes: A new family of spatial point processes
1998,
This paper proposes a new family of spatial point processes defined by their density...
Point process models for self-similar network traffic, with applications
Point process models for self-similar network traffic, with applications
1998,
Self-similar processes based on fractal point processes (FPPs) provide natural and...
Spatial Delaunay Gibbs point processes
Spatial Delaunay Gibbs point processes
1999,
This paper studies two types of Delaunay Gibbs point processes originally introduced...
Gauss–Galerkin approximation of diffusion processes with boundary conditions
Gauss–Galerkin approximation of diffusion processes with boundary conditions
1999,
The Gauss–Galerkin approximation of the laws of some diffusion processes with...
Dual stochastic orderings describing ageing properties of devices of unknown age
Dual stochastic orderings describing ageing properties of devices of unknown age
1999,
Dual usual stochastic ordering and dual increasing linear ordering are introduced as...
Edge systems of time-dependent incomplete Poisson Voronoi tessellations
Edge systems of time-dependent incomplete Poisson Voronoi tessellations
1999,
This paper studies three families of planar segment processes which are subsets of the...
A branching process version of the Bell–Anderson cell population model
A branching process version of the Bell–Anderson cell population model
1999,
We describe a branching process version of the Bell–Anderson model and discuss...
Decision-theoretic estimation of the offspring mean in mortal branching processes
Decision-theoretic estimation of the offspring mean in mortal branching processes
1999,
The aim of the present paper is to obtain Bayes estimators for the offspring mean of a...
Auto-regressive modular processes and modeling methodology
Auto-regressive modular processes and modeling methodology
1999,
ARM (Auto-Regressive Modular) processes constitute a broad class of nonlinear...
Optimal stopping in a burn-in model
Optimal stopping in a burn-in model
1999,
Burn-in is a widely used procedure for screening out defective items in a production...
First-exit times for increasing compound processes
First-exit times for increasing compound processes
1999,
For a process that increases linearly, with unit slope, between jumps of independent,...
A simple probabilistic representation of the product-sum fuzzy logic controller
A simple probabilistic representation of the product-sum fuzzy logic controller
1999,
The product-sum fuzzy logic controller (FLC) is a tool widely used in many engineering...
A Bayesian evaluation of fuzzy logic in a classification problem
A Bayesian evaluation of fuzzy logic in a classification problem
1999,
Models based on fuzzy sets are increasingly being used in academic and industrial...
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