Search
Search Results
-
Diffusion Approximation of Branching Processes in Semi-Markov Environment
We consider continuous-time Markov branching processes in semi-Markov random environment and obtain diffusion approximation results for the near...
-
Stochastic Modelling of Big Data in Finance
We present a new approach to study big data in finance (specifically, in limit order books), based on stochastic modelling of price changes...
-
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...
-
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...
-
Error Bounds for Cumulative Distribution Functions of Convolutions via the Discrete Fourier Transform
In statistical theory, convolutions are often avoided in favor of asymptotic approximation or simulation. Much of this is due to the fact that...
-
A Renewal Generated Geometric Catastrophe Model with Discrete-Time Markovian Arrival Process
Any event that results in sudden change of the normal functioning of a system may be thought of as a catastrophe. Stochastic processes involving...
-
Reliability and Survival Analysis for Drifting Markov Models: Modeling and Estimation
In this work we focus on multi-state systems modeled by means of a particular class of non-homogeneous Markov processes introduced in Vergne (Stat...
-
On the Existence and Uniqueness of Solution of MRE and Applications
In this paper, we study the existence and uniqueness of the solution for Markov renewal equation (MRE) of a semi-Markov process with countable state...
-
Some Results and Applications of Geometric Counting Processes
Among Mixed Poisson processes, counting processes having geometrically distributed increments can be obtained when the mixing random intensity is...
-
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...
-
Asymptotic Expansions for Stationary Distributions of Nonlinearly Perturbed Semi-Markov Processes. 1
New algorithms for construction of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes with finite...
-
Asymptotic Expansions for Stationary Distributions of Nonlinearly Perturbed Semi-Markov Processes. 2
Asymptotic expansions with explicit upper bounds for remainders are given for stationary distributions of nonlinearly perturbed semi-Markov processes...
-
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...
-
Reward Algorithms for Semi-Markov Processes
New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes are developed. The...
-
The Quality of Life Via Semi Markov Reward Modelling
The quality of life is recognized as an important element which is generally treated at least as primary or secondary criterion in most clinical...
-
Semi-Markov Modelling for Multi-State Systems
In this work we focus on multi state systems that we model by means of semi-Markov processes. The sojourn times are seen to be independent not...
-
Quasi-Stationary Asymptotics for Perturbed Semi-Markov Processes in Discrete Time
We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is...
-
Nonparametric estimation of interval reliability for discrete-time semi-Markov systems
In this article, we consider a repairable discrete-time semi-Markov system with finite state space. The measure of the interval reliability is given...
-
Estimation for Discrete-time Semi-Markov Reward Processes: Analysis and Inference
In this paper, the moments of a class of reward processes defined on a discrete-time semi-Markov process and the asymptotic behaviors of the...
-
Performance Analysis of Second Order Semi-Markov Chains: An Application to Wind Energy Production
In this paper a general second order semi-Markov reward model is presented. Equations for the higher order moments of the reward process are...