Keyword: stochastic processes

Found 1442 papers in total
Modeling Hong Kong’s stock index with the Student t‐mixture autoregressive model
Modeling Hong Kong’s stock index with the Student t‐mixture autoregressive model
2011,
It is well known that financial returns are usually not normally distributed, but...
Long memory or shifting means in geophysical time series?
Long memory or shifting means in geophysical time series?
2011,
In the literature many papers state that long‐memory time series models such as...
GARCH dependence in extreme value models with Bayesian inference
GARCH dependence in extreme value models with Bayesian inference
2011,
This study examines an alternative one stage approach, which makes parameter...
On the stability of two‐chunk file‐sharing systems
On the stability of two‐chunk file‐sharing systems
2011,
We consider five different peer‐to‐peer file‐sharing systems with...
Exponential stability for stochastic reaction–diffusion BAM neural networks with time‐varying and distributed delays
Exponential stability for stochastic reaction–diffusion BAM neural networks with time‐varying and distributed delays
2011,
In this paper we study the stability for a class of stochastic bidirectional...
An approximate Bernoulli process for information propagation along two parallel roads
An approximate Bernoulli process for information propagation along two parallel roads
2011,
This research studies information propagation via inter‐vehicle communication...
Modelling hematopoiesis in health and disease
Modelling hematopoiesis in health and disease
2011,
Hematopoiesis is the process responsible for maintaining the number of circulating...
A study on the life of an innovative product using a Bayesian approach
A study on the life of an innovative product using a Bayesian approach
2011,
In this paper, the life cycle of an innovative product is divided into three stages,...
Service level robustness in stochastic production planning under random machine breakdowns
Service level robustness in stochastic production planning under random machine breakdowns
2011,
In this paper, we consider a multi‐period, multi‐product production...
An Elasticity Approach to the Newsvendor with Price‐Sensitive Demand
An Elasticity Approach to the Newsvendor with Price‐Sensitive Demand
2011,
We introduce a measure of elasticity of stochastic demand, called the elasticity of...
Drift Control with Changeover Costs
Drift Control with Changeover Costs
2011,
We model the problem of managing capacity in a build‐to‐order...
Modelling and simulating non‐stationary arrival processes to facilitate analysis
Modelling and simulating non‐stationary arrival processes to facilitate analysis
2011,
This paper introduces a method to model and simulate non‐stationary,...
Extrapolation methods based on the algorithm of continuous process restoration by the finite number of equidistant samples
Extrapolation methods based on the algorithm of continuous process restoration by the finite number of equidistant samples
2008,
Algorithms are obtained for the calculation of a derivative and extrapolation of a...
On the dynamics of a finite buffer queue conditioned on the amount of loss
On the dynamics of a finite buffer queue conditioned on the amount of loss
2011,
This paper is concerned with computing large‐deviation asymptotics for the loss...
Compound Cycle of a Renewal Process and Applications
Compound Cycle of a Renewal Process and Applications
2010,
This paper presents a generic framework that is common to many stochastic models. For...
Risk Analysis of Collateralized Debt Obligations
Risk Analysis of Collateralized Debt Obligations
2011,
Collateralized debt obligations, which are securities with payoffs that are tied to...
Quasi‐Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
Quasi‐Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
2011,
Quasi‐Monte Carlo (QMC) methods are playing an increasingly important role in...
Optimal Inventory Policies when Purchase Price and Demand Are Stochastic
Optimal Inventory Policies when Purchase Price and Demand Are Stochastic
2011,
In this paper we consider the problem of a firm that faces a stochastic (Poisson)...
P2 hierarchical decomposition procedure: application to irrigation strategies design
P2 hierarchical decomposition procedure: application to irrigation strategies design
2011,
Optimization by simulation of agricultural practices can help to improve irrigation...
A queueing-inventory system with two classes of customers
A queueing-inventory system with two classes of customers
2011,
We consider a queueing-inventory system with two classes of customers. Customers...
Competitive diffusion process of repurchased products in knowledgeable manufacturing
Competitive diffusion process of repurchased products in knowledgeable manufacturing
2011,
This paper presents a diffusion model to explain the competitive diffusion of the...
Maintenance models based on the np control charts with respect to the sampling interval
Maintenance models based on the np control charts with respect to the sampling interval
2011,
This paper develops models for the maintenance of a system based on np control charts...
An Infinite-Dimensional Linear Programming Algorithm for Deterministic Semi-Markov Decision Processes on Borel Spaces
An Infinite-Dimensional Linear Programming Algorithm for Deterministic Semi-Markov Decision Processes on Borel Spaces
2007,
We devise an algorithm for solving the infinite–dimensional linear programs that...
Scaling Limits for Cumulative Input Processes
Scaling Limits for Cumulative Input Processes
2007,
We study different scaling behavior of very general telecommunications cumulative...
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