Journal: Journal of Applied Mathematics and Stochastic Analysis

Found 244 papers in total
Remembering Wim Cohen
Remembering Wim Cohen
2001,
This article is a short biographical account on deceased Jacob Willem Cohen.
Linear-implicit strong schemes for Itô–Galerkin approximations of parabolic stochastic partial differential equations
Linear-implicit strong schemes for Itô–Galerkin approximations of parabolic stochastic partial differential equations
2001,
Linear-implicit versions of strong Taylor numerical schemes for finite dimensional...
Waiting time analysis for MX/G/1 priority queues with/without vacations under random order of service discipline
Waiting time analysis for MX/G/1 priority queues with/without vacations under random order of service discipline
2000,
We study M X /G/1 nonpreemptive and preemptive-resume priority queues with/without...
On finite capacity queueing systems with a general vacation policy
On finite capacity queueing systems with a general vacation policy
2000,
We consider a Poisson arrival queueing system with finite capacity and a general...
Complex-analytic and matrix-analytic solutions for a queueing system with group service controlled by arrivals
Complex-analytic and matrix-analytic solutions for a queueing system with group service controlled by arrivals
2000,
A bulk M/G/1 system is considered that responds to large increases (decreases) of the...
Single server queueing networks with varying service times and renewal input
Single server queueing networks with varying service times and renewal input
2000,
Using recent results in tandem queues and queueing networks with renewal input, when...
Parallelization algorithms for modeling ARM processes
Parallelization algorithms for modeling ARM processes
2000,
AutoRegressive Modular (ARM) processes are a new class of nonlinear stochastic...
A model for a dynamic preventive maintenance policy
A model for a dynamic preventive maintenance policy
2000,
This paper exhibits a stochastic model which describes the evolution of a material...
On filtering over Îto–Volterra observations
On filtering over Îto–Volterra observations
2000,
In this paper, the Kalman–Bucy filter is designed for an...
Topics in random polynomials
Topics in random polynomials
2000,
Quasi-Feller Markov chains
Quasi-Feller Markov chains
2000,
We consider the class of Markov kernels for which the weak or strong Feller property...
Essentials of Stochastic Finance
Essentials of Stochastic Finance
2000,
Random mappings with a single absorbing center and combinatorics of discretizations of the logistic mapping
Random mappings with a single absorbing center and combinatorics of discretizations of the logistic mapping
1999,
Distributions of basic characteristics of random mappings with a single absorbing...
Exact solution of the Bellman equation for a β-discounted reward in a two-armed bandit with switching arms
Exact solution of the Bellman equation for a β-discounted reward in a two-armed bandit with switching arms
1999,
We consider the symmetric Poissonian two-armed bandit problem. For the case of...
Robust option replication for a Black–Scholes model extended with nondeterministic trends
Robust option replication for a Black–Scholes model extended with nondeterministic trends
1999,
Statistical analysis on various stocks reveals long range dependence behavior of the...
A queueing system with queue length dependent service times, with applications to cell discarding in ATM networks
A queueing system with queue length dependent service times, with applications to cell discarding in ATM networks
1999,
A queueing system (M/G 1 , G 2 /1/K) is considered in which the service time of a...
An Mx/GI/1/N queue with close-down and vacation times
An Mx/GI/1/N queue with close-down and vacation times
1999,
An M x /GI/1/ N finite capacity queue with close-down time, vacation time and...
Linear filtering with fractional Brownian motion in the signal and observation processes
Linear filtering with fractional Brownian motion in the signal and observation processes
1999,
Integral equations for the mean-square estimate are obtained for the linear filtering...
A stochastic inventory model with perishable and ageing items
A stochastic inventory model with perishable and ageing items
1999,
In this paper, we propose a single-product, discrete time inventory model for...
Self-similar processes in collective risk theory
Self-similar processes in collective risk theory
1998,
Collective risk theory is concerned with random fluctuations of the total assets and...
Analysis of the asymmetrical shortest two-server queueing model
Analysis of the asymmetrical shortest two-server queueing model
1998,
This study presents the analytic solution for an asymmetrical two-server queueing...
The stationary G/G/s queue with non-identical servers
The stationary G/G/s queue with non-identical servers
1998,
We extend a recently developed factorization method to the case of the G/G/s queue...
On the approximation of an integral by a sum of random variables
On the approximation of an integral by a sum of random variables
1998,
We approximate the integral of a smooth function of [0, 1], where values are only...
A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process
A system of functional-differential equations associated with the optimal detection problem for jump-times of a Poisson process
1998,
The value function in the optimal detection problem for jump-times of a Poisson...
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