Journal: Journal of Applied Mathematics and Stochastic Analysis

Found 244 papers in total
Multiobjective duality with ρ–(η, θ)-invexity
Multiobjective duality with ρ–(η, θ)-invexity
2005,
Under ρ–(η, θ)-invexity assumptions on the functions involved,...
A finite capacity bulk service queue with single vacation and Markovian arrival process
A finite capacity bulk service queue with single vacation and Markovian arrival process
2004,
Vacation time queues with Markovian arrival process (MAP) are mainly useful in...
Using factorization in analyzing D-BMAP/G/1 queues
Using factorization in analyzing D-BMAP/G/1 queues
2005,
We demonstrate how one can use the factorization property to derive the queue-length...
Transient analysis of a fluid queue driven by a birth and death process suggested by a chain sequence
Transient analysis of a fluid queue driven by a birth and death process suggested by a chain sequence
2005,
We analyse the transient behaviour of a fluid queue driven by a birth and death...
Complete analysis of MAP/G/1/n queue with single (multiple) vacation(s) under limited service discipline
Complete analysis of MAP/G/1/n queue with single (multiple) vacation(s) under limited service discipline
2005,
We consider a finite-buffer single-server queue with Markovian arrival process (MAP)...
Itô–Skorohod stochastic equations and applications to finance
Itô–Skorohod stochastic equations and applications to finance
2004,
We prove an existence and uniqueness theorem for a class of Itô–Skorohod...
Recursive smoothers for hidden discrete-time Markov chains
Recursive smoothers for hidden discrete-time Markov chains
2005,
We consider a discrete-time Markov chain observed through another Markov chain. The...
A Stroock formula for a certain class of Lévy processes and applications to finance
A Stroock formula for a certain class of Lévy processes and applications to finance
2005,
We find a Stroock formula in the setting of generalized chaos expansion introduced by...
On a multidimensional oil exploration problem
On a multidimensional oil exploration problem
2005,
This paper is concerned with optimal strategies for drilling in an oil exploration...
Linear filtering of systems with memory and application to finance
Linear filtering of systems with memory and application to finance
2006,
We study the linear filtering problem for systems driven by continuous Gaussian...
Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
2006,
We show the existence of a solution for the double-barrier reflected BSDE when the...
Free area estimation in a dynamic germ-grain model with renewal dropping process
Free area estimation in a dynamic germ-grain model with renewal dropping process
2006,
A partially observed dynamic germ-grain model with renewal dropping process is...
On the mixed fractional Brownian motion
On the mixed fractional Brownian motion
2006,
The mixed fractional Brownian motion is used in mathematical finance, in the modelling...
A semimartingale characterization of average optimal stationary policies for Markov decision processes
A semimartingale characterization of average optimal stationary policies for Markov decision processes
2006,
This paper deals with discrete-time Markov decision processes with Borel state and...
Exact transient solution of a state-dependent birth–death process
Exact transient solution of a state-dependent birth–death process
2006,
A power series expression in closed form for the transient probabilities of a...
Fluid limits of optimally controlled queueing networks
Fluid limits of optimally controlled queueing networks
2007,
We consider a class of queueing processes represented by a Skorokhod problem coupled...
Sample-path analysis of the proportional relation and its constant for discrete-time single-server queues
Sample-path analysis of the proportional relation and its constant for discrete-time single-server queues
2006,
In the previous work, the authors have considered a discrete-time queueing system and...
Stability of retrial queues with versatile retrial policy
Stability of retrial queues with versatile retrial policy
2006,
We consider in this paper the stability of retrial queues with a versatile retrial...
The single server queue and the storage model: Large deviations and fixed points
The single server queue and the storage model: Large deviations and fixed points
2006,
We consider the coupling of a single server queue and a storage model defined as a...
Option pricing in a regime-switching model using the fast Fourier transform
Option pricing in a regime-switching model using the fast Fourier transform
2006,
This paper is concerned with fast Fourier transform (FFT) approach to option...
On changes of measure in stochastic volatility models
On changes of measure in stochastic volatility models
2006,
Pricing in mathematical finance often involves taking expected values under different...
Bond portfolio's duration and investment term-structure management problem
Bond portfolio's duration and investment term-structure management problem
2006,
In the considered bond market, there are N zero-coupon bonds transacted continuously,...
Stock market dynamics created by interacting agents
Stock market dynamics created by interacting agents
2006,
We study a stock market model, consisting in a large number of agents, going...
Optimal contracts in continuous-time models
Optimal contracts in continuous-time models
2006,
We present a unified approach to solving contracting problems with full information in...
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