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Asymptotic Results for the Absorption Time of Telegraph Processes with Elastic Boundary at the Origin
We consider a telegraph process with elastic boundary at the origin studied recently in the literature (see e.g. Di Crescenzo et al. (Methodol Comput...
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Delayed Capital Injections for a Risk Process with Markovian Arrivals
In this paper we propose a generalisation to the Markov Arrival Process (MAP) risk model, by allowing for a delayed receipt of required capital...
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Some Results on the Telegraph Process Confined by Two Non-Standard Boundaries
We analyze the one-dimensional telegraph random process confined by two boundaries, 0 and H > 0. The process experiences hard reflection at the...
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Transient and First Passage Time Distributions of First- and Second-order Multi-regime Markov Fluid Queues via ME-fication
We propose a numerical method to obtain the transient and first passage time distributions of first- and second-order Multi-Regime Markov Fluid...
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Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions
We provide quantitative bounds on the convergence to stationarity of real-valued Langevin diffusions with symmetric target densities.
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Markov-Modulated Brownian Motion with Temporary Change of Regime at Level Zero
We determine the stationary distribution of a one-sided Markov-Modulated Brownian Motion (MMBM) of which the behaviour is modified during the...
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Dynamic Measurement of Poverty: Modeling and Estimation
This study presents a model of income evolution from which dynamic versions of commonly used static poverty measures are derived. The dynamic indexes...
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Telegraph Process with Elastic Boundary at the Origin
We investigate the one-dimensional telegraph random process in the presence of an elastic boundary at the origin. This process describes a...
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Approximations for Time-Dependent Distributions in Markovian Fluid Models
In this paper we analyse Markov-modulated fluid processes over finite time intervals. We study the joint distribution of the level at time
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Stationary distribution of the surplus in a risk model with dividends and reinvestments
A continuous time risk model with dividends and reinvestments is considered. We obtain an explicit formula of the stationary distribution of the...
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Rate of Occurrence of Failures (ROCOF) of Higher-Order for Markov Processes: Analysis, Inference and Application to Financial Credit Ratings
In this paper we consider the problem of defining rate of occurrence of failures of higher orders for a system whose states form a finite state...
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Maximum likelihood estimation in the context of a sub-ballistic random walk in a parametric random environment
We consider a one-dimensional sub-ballistic random walk evolving in a parametric i.i.d. random environment. We study the asymptotic properties of the...
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Nonidentifiability of the Two-State BMAP
The capability of modeling non-exponentially distributed and dependent inter-arrival times as well as correlated batches makes the Batch Markovian...
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Asymptotic normality and efficiency of the maximum likelihood estimator for the parameter of a ballistic random walk in a random environment
We consider a one-dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the...
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Introduction to Shape Stability for a Storage Model
We consider a new idea for a storage model on n nodes, namely stability of shape. These nodes support K neighborhoods S i ⊂ {1, ..., n } and items...
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A Double-ended Queue with Catastrophes and Repairs, and a Jump-diffusion Approximation
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by...
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On moment stability properties for a class of state-dependent stochastic networks
We consider a class of stochastic networks with state-dependent arrival and service rates. The state dependency is described via multi-dimensional...
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Approximation in the
M 2/G 2/1 Queue with Preemptive PriorityThe main purpose of this paper is to use the strong stability method to approximate the characteristics of the M 2 / G 2 /1 queue with preemptive...
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Optimal control of the surplus in an insurance policy
A classical continuous time surplus process is modified by adding two actions. If the level of the surplus goes below τ ≥ 0, we increase the level of...