Journal: Journal of Applied Mathematics and Stochastic Analysis

Found 244 papers in total
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part II
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part II
2007,
This paper is the continuation of the paper entitled ‘Hereditary portfolio...
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part I
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part I
2007,
This is the first of the two companion papers which treat an infinite time horizon...
Analysis of a k-out-of-N system with spares, repairs, and a probabilistic rule
Analysis of a k-out-of-N system with spares, repairs, and a probabilistic rule
2006,
We consider a k-out-of-N reliability system with identical components having...
Characterization of the marginal distributions of Markov processes used in dynamic reliability
Characterization of the marginal distributions of Markov processes used in dynamic reliability
2006,
In dynamic reliability, the evolution of a system is described by a piecewise...
Duality for multiobjective variational control and multiobjective fractional variational control problems with pseudoinvexity
Duality for multiobjective variational control and multiobjective fractional variational control problems with pseudoinvexity
2006,
A class of multiobjective variational control and multiobjective fractional...
Installment options close to expiry
Installment options close to expiry
2006,
We use an asymptotic expansion to study the behavior of installment options close to...
Euler–Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
Euler–Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
2006,
Stochastic differential equations (SDEs) under regime-switching have recently been...
Effective utilization of idle time in an (s,S) inventory with positive service time
Effective utilization of idle time in an (s,S) inventory with positive service time
2006,
We deviate from the Berman et al. models in inventory with positive service time. We...
On (s,S) inventory system with random lead time and repeated demands
On (s,S) inventory system with random lead time and repeated demands
2006,
We consider an (s,S) inventory system with random lead time and repeated demands of...
What random variable generates a bounded potential?
What random variable generates a bounded potential?
2004,
It is known that if a predictable nondecreasing process generates a bounded potential,...
On a Berry–Esseen type bound for the maximum likelihood estimator of a parameter for some stochastic partial differential equations
On a Berry–Esseen type bound for the maximum likelihood estimator of a parameter for some stochastic partial differential equations
2004,
This paper is concerned with the study of the rate of convergence of the distribution...
Optimization in HIV screening problems
Optimization in HIV screening problems
2003,
In this article, the authors use both deterministic and stochastic approaches to the...
The Polya–Aeppli process and ruin problems
The Polya–Aeppli process and ruin problems
2004,
The Polya–Aeppli process as a generalization of the homogeneous Poisson process...
Multi-threshold control of the BMAP/SM/1/K queue with group services
Multi-threshold control of the BMAP/SM/1/K queue with group services
2003,
We consider a finite capacity queue in which arrivals occur according to a batch...
A spectral approach to compute the mean performance measures of the queue with low-order BMAP input
A spectral approach to compute the mean performance measures of the queue with low-order BMAP input
2003,
This paper targets engineers and practitioners who want a simple procedure to compute...
A non-Markovian queueing system with a variable number of channels
A non-Markovian queueing system with a variable number of channels
2003,
In this paper we study a queueing model of type GI/M/∼ma/1 with m parallel...
Asymptotic analysis by the saddle point method of the Anick–Mitra–Sondhi model
Asymptotic analysis by the saddle point method of the Anick–Mitra–Sondhi model
2004,
We consider a fluid queue where the input process consists of N identical sources that...
Recursive estimation of the claim rates and sizes in an insurance model
Recursive estimation of the claim rates and sizes in an insurance model
2004,
It is a common fact that for most classes of general insurance, many possible sources...
Fundamentals of Queueing Networks: Performance, Asymptotics and Optimization
Fundamentals of Queueing Networks: Performance, Asymptotics and Optimization
2002,
Building and Solving Mathematical Programming Models in Engineering and Science
Building and Solving Mathematical Programming Models in Engineering and Science
2002,
Operational behavior of the MAP/G/1 queue under N-policy with a single vacation and set-up
Operational behavior of the MAP/G/1 queue under N-policy with a single vacation and set-up
2002,
This paper considers the MAP/G/1 queue under N -policy with a single vacation and...
Strong consistency of estimators for heteroscedastic partly linear regression model under dependent samples
Strong consistency of estimators for heteroscedastic partly linear regression model under dependent samples
2002,
In this paper we are concerned with the heteroscedastic regression model y i = x i...
Planar random motions with drift
Planar random motions with drift
2002,
In this paper we consider planar random motions with four directions and four...
Free area estimation in a partially observed dynamic germ-grain model
Free area estimation in a partially observed dynamic germ-grain model
2002,
The estimation problem of the expected local fraction of free area function S for a...
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