Keyword: stochastic processes

Found 1442 papers in total
Stationary probabilities of Markov chains with upper Hessenberg transition matrices
Stationary probabilities of Markov chains with upper Hessenberg transition matrices
1997,
In this paper, based on probabilistic arguments, we obtain an explicit solution of the...
On the existence and application of continuous-time threshold autoregressions of order two
On the existence and application of continuous-time threshold autoregressions of order two
1997,
A continuous-time threshold autoregressive process of order two (CTAR(2)) is...
Fleet sizing and empty equipment redistribution for center-terminal transportation networks
Fleet sizing and empty equipment redistribution for center-terminal transportation networks
1997,
Fleet sizing and empty equipment redistribution are important issues in managing...
Periodic pricing of seasonal products in retailing
Periodic pricing of seasonal products in retailing
1997,
This paper studies intertemporal pricing policies when selling seasonal products in...
Second-order fluid flow models: Reflected Brownian motion in a random environment
Second-order fluid flow models: Reflected Brownian motion in a random environment
1995,
This paper considers a stochastic fluid model of a buffer content process that depends...
Anticipative portfolio optimization
Anticipative portfolio optimization
1996,
The authors study a classical stochastic control problem arising in financial...
The range of a simple random walk on ℝ
The range of a simple random walk on ℝ
1996,
Let θ(a) be the first time when the range (R m ;n≥0) is equal to a, R n being...
The throughput rate of interchangeable parallel two-stage tandem queue with correlated service times
The throughput rate of interchangeable parallel two-stage tandem queue with correlated service times
1997,
A parallel two-stage tandem queueing system with no intermediate waiting room is...
Option pricing with stochastic volatility; Information-time vs. calendar-time
Option pricing with stochastic volatility; Information-time vs. calendar-time
1996,
Empirical evidence has shown that subordinated processes represent well the price...
On the regularity of many-particle dynamical systems perturbed by white noise
On the regularity of many-particle dynamical systems perturbed by white noise
1996,
The paper considers a system of finite number of particles that ar moving in R d under...
Stochastic and robust control of nonlinear economic systems
Stochastic and robust control of nonlinear economic systems
1994,
This paper uses a robust policy concept that is an extension to nonlinear systems of...
The structure distribution in a mixed poisson process
The structure distribution in a mixed poisson process
1996,
The authors use a variety of real inversion formulas to derive the structure...
Remarks on the life and research of Ronald Dobrushin
Remarks on the life and research of Ronald Dobrushin
1996,
The life and research work of Professor R.L. Dorbrshin (1929-1995) had a profound...
Flow time distributions in queues with customer batching and setup times
Flow time distributions in queues with customer batching and setup times
1997,
This paper examines the relationship between batch size and flow time in a single...
Risk-sensitivity, large deviations and stochastic control
Risk-sensitivity, large deviations and stochastic control
1994,
An exponential function of cost is adopted as a risk-sensitive criterion, and reasons...
The stochastic economic lot scheduling problem: Cyclical base-stock policies with idle times
The stochastic economic lot scheduling problem: Cyclical base-stock policies with idle times
1996,
In this paper the authors discuss stochastic Economic Lot Scheduling Problems (ELSP),...
A point process model for the reliability of a maintained system subject to general repair
A point process model for the reliability of a maintained system subject to general repair
1996,
A model for the general repair of a system subject to stochastic failure is introduced...
Reliability analysis of a complex one unit system
Reliability analysis of a complex one unit system
1996,
Assuming that the lifetime density and repair rate of system are mixed Erland...
A scaled stochastic approximation algorithm
A scaled stochastic approximation algorithm
1996,
Consider a stochastic system of such complexity that its performance can only be...
Sojourn time analysis for a cyclic-service tandem queueing model with general decrementing service
Sojourn time analysis for a cyclic-service tandem queueing model with general decrementing service
1995,
A sojourn time analysis is provided for a cyclic-service tandem queue with general...
Derivative estimation via stochastic intensities: Event averages in queueing systems
Derivative estimation via stochastic intensities: Event averages in queueing systems
1995,
The paper briefly describes sensitivity analysis methods for simulation via stochastic...
Continuous-time threshold AR(1) processes
Continuous-time threshold AR(1) processes
1996,
A threshold AR(1) process with boundary width 2 δ>0 was defined by Brockwell...
An upper-bound for delay in ATM networks
An upper-bound for delay in ATM networks
1996,
The paper considers the worst case for a queue arising in a multiservice network using...
Phase-type distributions for failure times
Phase-type distributions for failure times
1995,
Phase-type distributions describe the random time taken for a Markov process to reach...
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