Keyword: Brownian motion

Found 20 papers in total
Stationary distribution of a two‐dimensional SRBM: geometric views and boundary measures
Stationary distribution of a two‐dimensional SRBM: geometric views and boundary measures
2013,
We present three sets of results for the stationary distribution of a...
Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
2012,
Let Z = { Z ( t ), t ≥ 0} be a semimartingale reflecting Brownian motion that lives...
Stochastic Analysis of Shell Sort
Stochastic Analysis of Shell Sort
2001,
We analyze the Shell Sort algorithm under the usual random permutation model. Using...
Positive recurrence for reflecting Brownian motion in higher dimensions
Positive recurrence for reflecting Brownian motion in higher dimensions
2011,
Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with state...
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
2011,
We use Malliavin calculus and the Clark–Ocone formula to derive the hedging...
Conjectures on tail asymptotics of the marginal stationary distribution for a multidimensional SRBM
Conjectures on tail asymptotics of the marginal stationary distribution for a multidimensional SRBM
2011,
We are concerned with the stationary distribution of a d ‐dimensional...
Kunita–Watanabe inequalities and Tanaka formula for multi‐dimensional G‐Brownian motion
Kunita–Watanabe inequalities and Tanaka formula for multi‐dimensional G‐Brownian motion
2011,
In this paper, some new properties and interesting estimations of mutual variation...
Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
2010,
We introduce a method for generating ( W x , T ( μ , σ ) , m x , T ( μ ,...
Workload Interpretation for Brownian Models of Stochastic Processing Networks
Workload Interpretation for Brownian Models of Stochastic Processing Networks
2007,
Brownian networks are a class of stochastic system models that can arise as heavy...
Heavy-Traffic Limits of Queueing Networks with Polling Stations: Brownian Motion in a Wedge
Heavy-Traffic Limits of Queueing Networks with Polling Stations: Brownian Motion in a Wedge
2008,
We consider two serial single–server stations in heavy traffic. There are two...
An overview of Brownian and non-Brownian FCLTs for the single-server queue
An overview of Brownian and non-Brownian FCLTs for the single-server queue
2000,
We review functional central limit theorems (FCLTs) for the queue-content process in a...
Theory of valuation of options in stochastic finance models
Theory of valuation of options in stochastic finance models
2003,
In this paper the concepts and main results of stochastic mathematical finance are...
Brownian approximations of multiclass open-queueing networks
Brownian approximations of multiclass open-queueing networks
2002,
We study a multiclass open-queueing network with a set of single-server stations that...
An invariance principle for semimartingale reflecting Brownian motions in an orthant
An invariance principle for semimartingale reflecting Brownian motions in an orthant
1998,
Semimartingale reflecting Brownian motions in an orthant (SRBMs) are of interest in...
Periodic load balancing
Periodic load balancing
1998,
Multiprocessor load balancing aims to improve performance by moving jobs from highly...
On tail probabilities and first passage times for fractional Brownian motion
On tail probabilities and first passage times for fractional Brownian motion
1999,
In the paper we present a method of simulation of ruin probability over infinite...
Estimating the point availability with right-censored data
Estimating the point availability with right-censored data
1999,
The point availability of a one-unit system at a specified time is defined as the...
Strong approximations of irreducible closed queueing networks
Strong approximations of irreducible closed queueing networks
1997,
A sequence of irreducible closed queueing networks is considered in this paper. We...
Brownian excursions and Parisian barrier options
Brownian excursions and Parisian barrier options
1997,
In this paper we study a new kind of option, called hereinafter a Parisian barrier...
Bisexual branching diffusions
Bisexual branching diffusions
1995,
The authors study the limiting behaviour of large systems of two types of Brownian...
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