Search Results - "Methodology and computing in applied probability"

Sojourn-time Distribution for M/Ga/1 Queue with Batch Service of Fixed Size - Revisited by Goswami, Veena, Chaudhry, Mohan, Banik, Abhijit Datta

“… (Methodology and Computing in Applied Probability 20(4):1503–1514,  2018 ). We obtain two closed-form expressions for probability density functions by using the inside and outside roots of the underlying characteristic equation…”
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The stochastic linear combination of Dirichlet distributions by Homei, Hazhir

“… Methodology and Computing in Applied Probability 20:799-810] stochastic linear combinations of some random vectors are studied where the distribution of the random vectors and the joint distribution of their coefficients have Dirichlet distributions…”
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Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments by Arbenz, Philipp

“… ” by Luciana Dalla Valle, published in 2009 in volume 11, number 1 of “Methodology and Computing in Applied Probability…”
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Some properties of exponential trees by Aguech, Rafik, Bose, Sudip, Mahmoud, Hosam, Zhang, Yi

“… Methodology and Computing in Applied Probability (accepted) 2021). In that reference, the author investigates the order and node profile of these species…”
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Option Pricing for Symmetric Lévy Returns with Applications by Hamza, Kais, Klebaner, Fima C., Landsman, Zinoviy, Tan, Ying-Oon

“… Such a market affords many equivalent martingale measures (EMM). However we argue (as in the discrete-time setting of Klebaner and Landsman in Methodology and Computing in Applied Probability, 2007 , doi…”
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IPA derivatives for a discrete model of make-to-stock production-inventory systems with backorders by Melamed, Benjamin, Fan, Yihong, Zhao, Yao, Wardi, Yorai

“… In a previous paper of Zhao and Melamed ( Methodology and Computing in Applied Probability 8:191–222, 2006 ), the Infinitesimal Perturbation Analysis…”
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Applied diffusion processes from engineering to finance by Janssen, Jacques, Manca, Oronzio, Manca, Raimondo

“…The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in…”
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Bounds and approximations for continuous-time Markovian transition probabilities and large systems by Mercier, Sophie

“… The bounding and approximating procedures have been exposed in another paper [S. Mercier, Numerical bounds for semi-Markovian quantities and applications to reliability, in revision for Methodology and Computing in Applied Probability…”
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Duality Between the Local Score of One Sequence and Constrained Hidden Markov Model by Mercier, Sabine, Nuel, Grégory

“…We are interested here in a theoretical and practical approach for detecting atypical segments in a multi-state sequence. We prove in this article that the…”
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VaR Methodology for Non-Gaussian Finance by Habart-Corlosquet, Marine, Janssen, Jacques, Manca, Raimondo

“…With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading…”
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A Robust Wald-Type Test for Testing the Equality of Two Means from Log-Normal Samples by Basu, Ayanendranath, Mandal, Abhijit, Martín, Nirian, Pardo, Leandro

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A Random Shock Model with Mixed Effect, Including Competing Soft and Sudden Failures, and Dependence by Mercier, Sophie, Pham, Hai Ha

“…A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from…”
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Complete Analysis of $$M/G_{r}^{(a,b)}/1/N$$ Queue with Second Optional Service by Banerjee, Anuradha, Lata, Priti

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Analysis of Two-Way Communication in $$M_1^X, M_2/G_1,G_2/1$$ Retrial Queue Under the Constant Retrial Policy by Rashmi, KM, Samanta, S. K.

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Branching Random Walks on $$\mathbb {Z}$$ with One Particle Generation Center and Symmetrically Located Absorbing Sources by Filichkina, Elena, Yarovaya, Elena

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A Cyclic Random Motion in $$\mathbb {R}^3$$ Driven by Geometric Counting Processes by Iuliano, Antonella, Verasani, Gabriella

“…We consider the random motion of a particle that moves with constant velocity in $$\mathbb {R}^3$$ R 3 . The particle can move along four different directions…”
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Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications by Bachouch, Achref, Huré, Côme, Langrené, Nicolas, Pham, Huyên

“…This paper presents several numerical applications of deep learning-based algorithms for discrete-time stochastic control problems in finite time horizon that…”
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Correction to: Distributions of the Number of Records and the Waiting time Distributions for the Rth Record by Chang, Yung-Ming, Fu, James C., Wu, Tung-Lung

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Vessels Arrival Process and its Application to the SHIP/M/$$\infty$$ Queue by Di Crescenzo, Antonio, Martinucci, Barbara, Paraggio, Paola

“…In modeling of port dynamics it seems reasonable to assume that the ships arrive on a somewhat scheduled basis and that there is a constant lay period during…”
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SupOU-based and Related Fractal Activity Time Models for Risky Assets with Dependence by Leonenko, Nikolai N., Liu, Anqi, Shchestyuk, Nataliya

“…We propose several new models in ecophysics known as the Fractal Activity Time Geometric Brownian Motion (FATGBM) models with Student marginals. We summarize…”
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