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Stochastic Models

Short Title: Stoch. Models
Publisher: Taylor & Francis, Philadelphia, PA; Institute for Operations Research and the Management Sciences (INFORMS), Catonsville, MD
ISSN: 1532-6349; 1532-4214/e
Online: http://www.tandfonline.com/loi/lstm20
http://www.ingentaconnect.com/content/tandf/lstm
Predecessor: Communications in Statistics. Stochastic Models
Comments: Indexed cover-to-cover
Documents Indexed: 596 Publications (since 2001)
References Indexed: 561 Publications with 12,301 References.
all top 5

Authors

19 Mandjes, Michel Robertus Hendrikus
11 Latouche, Guy
11 Van Houdt, Benny
10 He, Qi-Ming
10 Resnick, Sidney Ira
9 Telek, Miklós
9 Zhao, Yiqiang Q.
8 Adan, Ivo J. B. F.
8 Stadje, Wolfgang
8 Takine, Tetsuya
7 Ahn, Soohan
7 Bladt, Mogens
7 O’Reilly, Małgorzata M.
7 Perry, David
7 Ramaswami, Vaidyanathan
6 Bean, Nigel G.
6 Blondia, Chris
6 Boxma, Onno Johan
6 Masuyama, Hiroyuki
6 Miyazawa, Masakiyo
6 Nielsen, Bo Friis
6 Taylor, Peter Gerrard
6 Van der Mei, Robert Douwe
6 Yechiali, Uri
5 Asmussen, Søren
5 Daduna, Hans
5 Huillet, Thierry E.
5 Lee, Ho Woo
5 Meini, Beatrice
5 Palmowski, Zbigniew
5 van Leeuwaarden, Johan S. H.
5 Zacks, Shelemyahu
4 Alfa, Attahiru Sule
4 Gonzalez-Velasco, Miguel
4 Guillemin, Fabrice M.
4 Hashorva, Enkelejd
4 Hautphenne, Sophie
4 Li, Hui
4 Rahimov, Ibrahim
4 Rubinstein, Reuven Y.
4 Stanford, David A.
4 Zhang, Hanqin
3 Bhulai, Sandjai
3 Bini, Dario Andrea
3 Blom, Joke G.
3 Borovkov, Konstantin A.
3 Boucherie, Richard J.
3 Breuer, Lothar
3 Bruneel, Herwig
3 Chae, Kyung Chul
3 del Puerto, Inés Maria
3 Falconer, Kenneth J.
3 Fralix, Brian H.
3 Ghosh, Arka Prasanna
3 Glynn, Peter W.
3 Horváth, Gábor
3 Ivanovs, Jevgeņijs
3 Kempa, Wojciech M.
3 Kimura, Tatsuaki
3 Knessl, Charles
3 Kulkarni, Vidyadhar G.
3 Li, Quanlin
3 Liu, Liming
3 López-Mimbela, José Alfredo
3 Molina, Manuel
3 Molnár, Sándor H.
3 Politis, Konstadinos
3 Ren, Jiandong
3 Resing, Jacques A. C.
3 Rolski, Tomasz
3 Rosenthal, Jeffrey S.
3 Ruiz de Chavez, Juan
3 Scheinhardt, Werner R. W.
3 Slavtchova-Bojkova, Maroussia Nikiforova
3 Takahashi, Yutaka
3 Tang, Qihe
3 van der Wal, Jan
3 van Vuuren, Marcel
3 Winands, Erik M. M.
3 Wu, Fuke
3 Zeifman, Alexander Izrailevich
3 Zhu, Lingjiong
3 Zwart, Bert P.
2 Abbas, Karim
2 Aissani, Djamil
2 Akar, Nail
2 Alaya, Mohamed Ben
2 Backhausz, Ágnes M.
2 Basu, Ranojoy
2 Bekker, René
2 Bielecki, Tomasz R.
2 Bierbooms, Remco
2 Bookbinder, James H.
2 Borst, Sem C.
2 Bratiychuk, Mykola S.
2 Cai, Qishu
2 Cui, Lirong
2 da Silva Soares, Ana
2 De Turck, Koen
2 Delong, Łukasz
...and 738 more Authors
all top 5

Fields

548 Probability theory and stochastic processes (60-XX)
219 Operations research, mathematical programming (90-XX)
113 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
79 Statistics (62-XX)
52 Computer science (68-XX)
37 Numerical analysis (65-XX)
27 Biology and other natural sciences (92-XX)
22 Systems theory; control (93-XX)
12 Combinatorics (05-XX)
10 Calculus of variations and optimal control; optimization (49-XX)
8 General and overarching topics; collections (00-XX)
7 Linear and multilinear algebra; matrix theory (15-XX)
7 Ordinary differential equations (34-XX)
7 Statistical mechanics, structure of matter (82-XX)
6 Operator theory (47-XX)
5 Partial differential equations (35-XX)
4 Approximations and expansions (41-XX)
3 History and biography (01-XX)
3 Integral transforms, operational calculus (44-XX)
2 Real functions (26-XX)
2 Measure and integration (28-XX)
2 Special functions (33-XX)
2 Functional analysis (46-XX)
2 Quantum theory (81-XX)
1 Field theory and polynomials (12-XX)
1 Functions of a complex variable (30-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Sequences, series, summability (40-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Integral equations (45-XX)
1 Convex and discrete geometry (52-XX)
1 Mechanics of deformable solids (74-XX)
1 Fluid mechanics (76-XX)
1 Optics, electromagnetic theory (78-XX)
1 Geophysics (86-XX)
1 Information and communication theory, circuits (94-XX)
1 Mathematics education (97-XX)

Publications by Year

Citations contained in zbMATH Open

397 Publications have been cited 2,585 times in 2,078 Documents Cited by Year
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
126
2006
Representations of the first hitting time density of an Ornstein-Uhlenbeck process. Zbl 1083.60064
Alili, L.; Patie, P.; Pedersen, J. L.
72
2005
Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Zbl 1181.62011
Chen, Yiqing; Yuen, Kam C.
63
2009
Tail probabilities of randomly weighted sums of random variables with dominated variation. Zbl 1095.60008
Wang, Dingcheng; Tang, Qihe
43
2006
From individual stochastic processes to macroscopic models in adaptive evolution. Zbl 1157.60339
Champagnat, Nicolas; Ferrière, Règis; Méléard, Sylvie
42
2008
Transient analysis of fluid flow models via stochastic coupling to a queue. Zbl 1038.60086
Ahn, Soohan; Ramaswami, V.
38
2004
Population dynamics and random genealogies. Zbl 1390.92113
Lambert, Amaury
36
2008
Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Zbl 1130.60312
Tang, Qihe
35
2004
Geometric decay of the steady-state probabilities in a quasi-birth-and-death process with a countable number of phases. Zbl 0985.60074
Takahashi, Yukio; Fujimoto, Kou; Makimoto, Naoki
34
2001
Fluid flow models and queues – a connection by stochastic coupling. Zbl 1021.60073
Ahn, Soohan; Ramaswami, V.
34
2003
Algorithms for return probabilities for stochastic fluid flows. Zbl 1064.60162
Bean, Nigel G.; O’Reilly, Małgorzata M.; Taylor, Peter G.
29
2005
Large deviations of Poisson cluster processes. Zbl 1152.60316
Bordenave, Charles; Torrisi, Giovanni Luca
28
2007
Finite-time ruin probability with heavy-tailed claims and constant interest rate. Zbl 1132.91502
Wang, D.
28
2008
Geometric decay in a QBD process with countable background states with applications to a join-the-shortest-queue model. Zbl 1124.60074
Li, Hui; Miyazawa, Masakiyo; Zhao, Yiqiang Q.
28
2007
First-exit times for compound Poisson processes for some types of positive and negative jumps. Zbl 0998.60089
Perry, D.; Stadje, W.; Zacks, S.
27
2002
Path properties of subdiffusion — a martingale approach. Zbl 1205.60080
Magdziarz, Marcin
24
2010
Matching three moments with minimal acyclic phase type distributions. Zbl 1069.60013
Bobbio, A.; Horváth, A.; Telek, M.
23
2005
Decompositions of the queue length distributions in the MAP/G/1 queue under multiple and single vacations with \(N\)-policy. Zbl 0986.60089
Lee, Ho Woo; Ahn, Boo Yong; Park, No Ik
22
2001
Stochastic comparison of residual life and inactivity time at a random time. Zbl 1059.60091
Li, Xiaohu; Zuo, Ming J.
22
2004
Sufficient conditions for a geometric tail in a QBD process with many countable levels and phases. Zbl 1065.60133
Haque, Lani; Zhao, Yiqiang Q.; Liu, Liming
22
2005
Gaussian approximation of conditional elliptical random vectors. Zbl 1144.60019
Hashorva, Enkelejd
22
2006
Simulation of the asymptotic constant in some fluid models. Zbl 1039.60040
Dȩbicki, Krzysztof; Michna, Zbigniew; Rolski, Tomasz
21
2003
A unified queue length formula for \(BMAP/G/1\) queue with generalized vacations. Zbl 1013.60063
Chang, Seok Ho; Takine, Tetsuya; Chae, Kyung Chul; Lee, Ho Woo
20
2002
A new type of discrete self-decomposability and its application to continuous-time Markov processes for modeling count data time series. Zbl 1022.60075
Zhu, Rong; Joe, Harry
19
2003
Optimal proportional reinsurance and ruin probability. Zbl 1253.60092
Liang, Zhibin; Guo, Junyi
19
2007
Limit theorems for marked Hawkes processes with application to a risk model. Zbl 1325.60025
Karabash, Dmytro; Zhu, Lingjiong
19
2015
\(\beta\)-invariant measures for transition matrices of GI/M/1 type. Zbl 1020.60088
Li, Quan-Lin; Zhao, Yiqiang Q.
18
2003
Empirical testing of the infinite source Poisson data traffic model. Zbl 1048.62080
Guerin, C. A.; Nyberg, H.; Perrin, O.; Resnick, S.; Rootzén, H.; Stărică, C.
17
2003
The extremal dependence measure and asymptotic independence. Zbl 1054.62063
Resnick, Sidney
17
2004
Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals. Zbl 1061.60089
Li, Quan-Lin; Cao, Jinhua
17
2004
A retrial queue with a constant retrial rate, server downs and impatient customers. Zbl 1069.60076
Li, Hui; Zhao, Yiqiang Q.
17
2005
Copulas: a review and recent developments. Zbl 1120.60006
Kolev, Nikolai; Dos Anjos, Ulisses; Mendes, Beatriz Vaz de M.
17
2006
Matrix-exponential distributions: Calculus and interpretations via flows. Zbl 1020.60005
Bladt, Mogens; Neuts, Marcel F.
16
2003
Transient analysis of fluid models via elementary level-crossing arguments. Zbl 1350.60095
Ahn, Soohan; Ramaswami, V.
16
2006
The unreliable \(M/M/1\) retrial queue in a random environment. Zbl 1237.60070
Cordeiro, James D.; Kharoufeh, Jeffrey P.
16
2012
The \(Geo/G/1\) queue with disasters and multiple working vacations. Zbl 1153.60395
Xi, Xeung Won; Kim, Jin Dong; Choi, Dae Won; Chae, Kyung Chul
15
2007
Stochastic properties of residual life and inactivity time at a random time. Zbl 1143.60055
Misra, N.; Gupta, N.; Dhariyal, I. Dutt
15
2008
Perturbation bounds for \(M _{ t }/M _{ t }/N\) queue with catastrophes. Zbl 1243.60076
Zeifman, Alexander; Korotysheva, Anna
15
2012
Non-hyperbolicity of random graphs with given expected degrees. Zbl 1280.05125
Shang, Yilun
15
2013
The conditional distribution of the residual service time in the \(M_n/G/1\) queue. Zbl 1155.60040
Kerner, Yoav
15
2008
Polling with batch service. Zbl 1158.60040
Boxma, Onno; van der Wal, Jan; Yechiali, Uri
14
2008
The effect of new links on Google PageRank. Zbl 1094.68005
Avrachenkov, Konstantin; Litvak, Nelly
14
2006
Self-similarity and Lamperti transformation for random fields. Zbl 1125.60046
Genton, Marc G.; Perrin, Olivier; Taqqu, Murad S.
14
2007
Localizable moving average symmetric stable and multistable processes. Zbl 1221.60049
Falconer, Kenneth J.; Le Guével, Ronan; Lévy-Véhel, Jacques
14
2009
The Geo/G/1 queue with negative customers and disasters. Zbl 1190.60088
Park, Hyun Min; Yang, Won Seok; Chae, Kyung Chul
14
2009
Admission policies for a two class loss system. Zbl 0995.60086
Örmeci, E. Lerzan; Burnetas, Apostolos; van der Wal, Jan
13
2001
On asymptotics of multivariate integrals with applications to records. Zbl 0999.60043
Hashorva, Enkelejd; Hüsler, Jürg
13
2002
Fluid models with jumps. Zbl 1065.60141
Tzenova, Elena I.; Adan, Ivo J. B. F.; Kulkarni, Vidyadhar G.
13
2005
Risk measures and robust optimization problems. Zbl 1211.91151
Schied, Alexander
13
2006
The severity of ruin in a discrete semi-Markov risk model. Zbl 1011.91056
Reinhard, J. M.; Snoussi, M.
12
2002
SDP vs. LP relaxations for the moment approach in some performance evaluation problems. Zbl 1067.60059
Lasserre, Jean-Bernard; Prieto-Rumeau, Tomás
12
2004
Convergence in the Wasserstein metric for Markov chain Monte Carlo algorithms with applications to image restoration. Zbl 1062.60070
Gibbs, Alison L.
12
2004
Queue length analysis of MAP/G/1 queue under \(D\)-policy. Zbl 1073.60088
Lee, Ho Woo; Song, Kyoung Seok
12
2004
Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
12
2005
Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not? Zbl 1235.62056
Chakrabarty, Arijit; Samorodnitsky, Gennady
12
2012
An RG-factorization approach for a BMAP/M/1 generalized processor-sharing queue. Zbl 1069.60077
Li, Quan-Lin; Lian, Zhaotong; Liu, Liming
11
2005
Characterizing the BMAP/MAP/1 departure process via the etaqa truncation. Zbl 1090.90044
Zhang, Qi; Heindl, Armin; Smirni, Evgenia
11
2005
Product form models for queueing networks with an inventory. Zbl 1172.60028
Schwarz, Maike; Wichelhaus, Cornelia; Daduna, Hans
11
2007
Markov repairable systems with history-dependent up and down states. Zbl 1162.90408
Cui, Lirong; Li, Haijun; Li, Jinlin
11
2007
Optimal dividend strategy in the compound Poisson model with constant interest. Zbl 1291.91105
Fang, Ying; Wu, Rong
11
2007
Multivariate matrix-exponential distributions. Zbl 1196.60021
Bladt, Mogens; Nielsen, Bo Friis
11
2010
Multistable processes and localizability. Zbl 1270.60047
Falconer, Kenneth; Liu, Lining
11
2012
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
11
2011
Fitting with matrix-exponential distributions. Zbl 1065.62097
Fackrell, Mark
10
2005
Spectral polynomial algorithms for computing bi-diagonal representations for phase type distributions and matrix-exponential distributions. Zbl 1094.60055
He, Qi-Ming; Zhang, Hanqin
10
2006
Quasi-birth-and-death processes with an explicit rate matrix. Zbl 1115.60070
van Leeuwaarden, J. S. H.; Winands, E. M. M.
10
2006
Limit conditional distributions for bivariate vectors with polar representation. Zbl 1195.60025
Fougères, Anne-Laure; Soulier, Philippe
10
2010
Hidden regular variation and detection of hidden risks. Zbl 1230.91080
Mitra, Abhimanyu; Resnick, Sidney I.
10
2011
A stochastic two-dimensional fluid model. Zbl 1267.60082
Bean, Nigel G.; O’Reilly, Małgorzata M.
10
2013
Stability for fluid queues: characteristic inequalities. Zbl 1271.60097
Govorun, Maria; Latouche, Guy; Remiche, Marie-Ange
10
2013
The Israeli Queue with priorities. Zbl 1274.60277
Perel, Nir; Yechiali, Uri
9
2013
Sojourn times in non-homogeneous QBD processes with processor sharing. Zbl 0994.90052
Núñez-Queija, Rudesindo
9
2001
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
9
2006
Optimal inventory policies under stochastic production and demand rates. Zbl 1274.90035
Yan, K.; Kulkarni, V.
9
2008
Asymptotic behaviors of the loss probability for a finite buffer queue with QBD structure. Zbl 1115.60092
Miyazawa, Masakiyo; Sakuma, Yutaka; Yamaguchi, Shuhei
9
2007
Time to reach buffer capacity in a BMAP queue. Zbl 1127.68011
Chydzinski, Andrzej
9
2007
The uniform local asymptotics of the overshoot of a random walk with heavy-tailed increments. Zbl 1172.60013
Chen, Guochun; Wang, Yuebao; Cheng, Fengyang
9
2009
Two-sided reflection of Markov-modulated Brownian motion. Zbl 1255.60161
D’Auria, B.; Ivanovs, J.; Kella, O.; Mandjes, M.
9
2012
The group inverse of finite homogeneous QBD processes. Zbl 1005.60093
da Silva Soares, Ana; Latouche, Guy
8
2002
Stability and performance of stack algorithms for random access communication modeled as a tree structured QBD Markov chain. Zbl 1017.90009
Van Houdt, B.; Blondia, C.
8
2001
Analysis of a feedback fluid model for heterogeneous TCP sources. Zbl 1024.60040
van Foreest, Nicky; Mandjes, Michel; Scheinhardt, Werner
8
2003
An infinite-phase quasi-birth-and-death model for the non-preemptive priority M/PH/1 queue. Zbl 1009.60080
Isotupa, K. P. Sapna; Stanford, David A.
8
2002
Hitting and ruin probabilities for compound Poisson processes and the cycle maximum of the M/G/1 queue. Zbl 1013.60070
Perry, D.; Stadje, W.; Zacks, S.
8
2002
Optimal routing among \(\cdot\)/M/1 queues with partial information. Zbl 1060.60087
Altman, E.; Jiménez, T.; Núñez-Queija, R.; Yechiali, U.
8
2004
Analysis of queues with Markovian service processes. Zbl 1060.60090
Ozawa, Toshihisa
8
2004
Extremal dependence: internet traffic applications. Zbl 1061.62077
Hernandez-Campos, Felix; Jeffay, Kevin; Park, Cheolwoo; Marron, J. S.; Resnick, Sidney I.
8
2005
BMAP/G/1 queue under \(D\)-policy: queue length analysis. Zbl 1069.60075
Lee, Ho Woo; Baek, Jung Woo
8
2005
\(PH\)-invariant polytopes and Coxian representations of phase type distributions. Zbl 1159.60340
He, Qi-Ming; Zhang, Hanqin
8
2006
A discrete-time priority queue with train arrivals. Zbl 1125.60109
Walraevens, Joris; Wittevrongel, Sabine; Bruneel, Herwig
8
2007
The batch Markovian arrival process subject to renewal generated geometric catastrophes. Zbl 1125.60093
Economou, A.; Gómez-Corral, A.
8
2007
Utility maximization under bounded expected loss. Zbl 1187.91198
Gabih, Abdelali; Sass, Jörn; Wunderlich, Ralf
8
2009
Time-scaling limits for Markov-modulated infinite-server queues. Zbl 1271.60096
Blom, J.; Mandjes, M.; Thorsdottir, H.
8
2013
Optimal multiple trading times under the exponential OU model with transaction costs. Zbl 1337.60074
Leung, Tim; Li, Xin; Wang, Zheng
8
2015
Characterization of matrix-exponential distributions. Zbl 1148.60005
Bean, Nigel G.; Fackrell, Mark; Taylor, Peter
8
2008
A weak convergence criterion for constructing changes of measure. Zbl 1339.60047
Blanchet, Jose; Ruf, Johannes
8
2016
Matrix-geometric analysis of the discrete time GI/G/1 system. Zbl 0990.60091
Alfa, Attahiru Sule; Li, Wei
7
2001
A linear programming approach to the steady-state analysis of reflected Brownian motion. Zbl 0982.62071
Schwerer, Elizabeth
7
2001
First-exit times for Poisson shot noise. Zbl 1009.60031
Perry, D.; Stadje, W.; Zacks, S.
7
2001
Explicit formulae for the queue length distribution of batch arrival systems. Zbl 1056.60091
Bratiychuk, M. S.; Kempa, W.
7
2004
Bilateral phase type distributions. Zbl 1069.60011
Ahn, Soohan; Ramaswami, V.
7
2005
Volatility estimation in fractional Ornstein-Uhlenbeck models. Zbl 1437.60023
Bajja, Salwa; Es-Sebaiy, Khalifa; Viitasaari, Lauri
1
2020
A bitcoin-inspired infinite-server model with a random fluid limit. Zbl 1423.60139
Frolkova, Maria; Mandjes, Michel
2
2019
Strong approximations for time-varying infinite-server queues with non-renewal arrival and service processes. Zbl 1391.60224
Ko, Young Myoung; Pender, Jamol
7
2018
On the genealogy and coalescence times of Bienaymé-Galton-Watson branching processes. Zbl 1390.60311
Grosjean, Nicolas; Huillet, Thierry
4
2018
The variance constant for continuous-time level dependent quasi-birth-and-death processes. Zbl 1386.60262
Liu, Yuanyuan; Wang, Pengfei; Zhao, Yiqiang Q.
3
2018
Robustness of power-law behavior in cascading line failure models. Zbl 1386.90038
Sloothaak, F.; Borst, S. C.; Zwart, B.
2
2018
Efficient simulation of tail probabilities in a queueing model with heterogeneous servers. Zbl 1391.60225
Kuhn, Julia; Mandjes, Michel
2
2018
A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068
Asmussen, Søren; Ivanovs, Jevgenijs
1
2018
Self-stabilizing processes. Zbl 1411.60057
Falconer, K. J.; Lévy Véhel, J.
1
2018
Heavy traffic analysis of a polling model with retrials and glue periods. Zbl 1411.90085
Abidini, Murtuza Ali; Dorsman, Jan-Pieter; Resing, Jacques
1
2018
MAP fitting by count and inter-arrival moment matching. Zbl 1403.60080
Nasr, Walid W.; Charanek, Ali; Maddah, Bacel
1
2018
Sojourn time in a \(M^{[X]}/M/1\) processor sharing queue with batch arrivals. Zbl 1403.60077
Guillemin, Fabrice; Quintuna Rodriguez, Veronika Karina; Simonian, Alain
1
2018
Ruin problem of a two-dimensional fractional Brownian motion risk process. Zbl 1386.60138
Ji, Lanpeng; Robert, Stephan
1
2018
Sojourn time in an \(\mathrm{M}/\mathrm{M}/1\) processor sharing queue with permanent customers. Zbl 1386.60317
Guillemin, Fabrice; Slim, Farah
1
2018
Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate. Zbl 1386.93305
Eisenberg, Julia
1
2018
Maximizing survival time in a random walk on an interval. Zbl 1391.60087
Kubicka, Ewa M.; Kubicki, Grzegorz; Kuchta, Małgorzata; Morayne, Michał
1
2018
Cross-infection in epidemics spread by carriers. Zbl 1391.60187
Lefèvre, Claude; Simon, Matthieu
1
2018
Computing the conditional stationary distribution in Markov chains of level-dependent \(\mathrm{M}/\mathrm{G}/1\)-type. Zbl 1391.60223
Kimura, Masatoshi; Takine, Tetsuya
1
2018
Two-queue polling systems with switching policy based on the queue that is not being served. Zbl 1387.60138
Perel, Efrat; Yechiali, Uri
6
2017
A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion. Zbl 1361.60070
Ahn, Soohan; Ramaswami, V.
5
2017
Routing in a queueing system with two heterogeneous servers in speed and in quality of resolution. Zbl 1380.90092
Legros, Benjamin; Jouini, Oualid
5
2017
First hitting time of integral diffusions and applications. Zbl 1380.60073
Cui, Zhenyu; Nguyen, Duy
4
2017
Matrix geometric approach for random walks: stability condition and equilibrium distribution. Zbl 1383.60038
Kapodistria, Stella; Palmowski, Zbigniew
3
2017
Asymptotic normality of in- and out-degree counts in a preferential attachment model. Zbl 1367.05091
Wang, Tiandong; Resnick, Sidney I.
3
2017
Multi-class \(\mathrm{M}/\mathrm{PH}/1\) queues with deterministic impatience times. Zbl 1361.60085
Sakuma, Yutaka; Takine, Tetsuya
3
2017
Stationary analysis of the “shortest queue first” service policy: the asymmetric case. Zbl 1370.60168
Guillemin, Fabrice; Simonian, Alain
2
2017
Slowing time: Markov-modulated Brownian motions with a sticky boundary. Zbl 1370.60138
Latouche, Guy; Nguyen, Giang T.
2
2017
A computational algorithm for the loss probability in the \(\mathrm{M}/\mathrm{G}/1+\mathrm{PH}\) queue. Zbl 1361.60083
Inoue, Yoshiaki; Takine, Tetsuya
2
2017
Defective Galton-Watson processes. Zbl 1387.60124
Sagitov, Serik; Minuesa, Carmen
2
2017
On the generalized reward generator for stochastic fluid models: a new equation for \(\Psi\). Zbl 1395.60089
Samuelson, Aviva; O’Reilly, Małgorzata M.; Bean, Nigel G.
1
2017
Stationary distributions for a class of Markov-modulated tandem fluid queues. Zbl 1395.60088
O’Reilly, Małgorzata M.; Scheinhardt, Werner
1
2017
Stochastic monotonicity and comparability of Markov chains with block-monotone transition matrices and their applications to queueing systems. Zbl 1387.90073
Yu, Hai-Bo
1
2017
Ergodicity and truncation bounds for inhomogeneous birth and death processes with additional transitions from and to origin. Zbl 1383.60067
Zeifman, Alexander; Korotysheva, Anna; Satin, Yacov; Razumchik, Rostislav; Korolev, Victor; Shorgin, Sergey
1
2017
Heavy traffic analysis of roving server networks. Zbl 1370.60161
Boon, M. A. A.; van der Mei, R. D.; Winands, E. M. M.
1
2017
On the arbitrage price of European call options. Zbl 1378.91119
Ernst, Philip
1
2017
Infinite-time absolute ruin in dependent renewal risk models with constant force of interest. Zbl 1359.62459
Liu, Jiajun; Yang, Yang
1
2017
A weak convergence criterion for constructing changes of measure. Zbl 1339.60047
Blanchet, Jose; Ruf, Johannes
8
2016
A new look at Markov processes of \(\mathrm{G}/\mathrm{M}/1\)-type. Zbl 1339.60112
Joyner, Jason; Fralix, Brian
4
2016
Reflected BSDE of Wiener-Poisson type in time-dependent domains. Zbl 1339.60075
Nyström, K.; Olofsson, M.
4
2016
Self-exciting threshold models for time series of counts with a finite range. Zbl 1345.60080
Möller, Tobias A.
3
2016
Analysis of some ruin-related quantities in a Markov-modulated risk model. Zbl 1344.60075
Li, Jingchao; Dickson, David C. M.; Li, Shuanming
3
2016
Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: formulas driven by the minimal solution matrix of a Riccati equation. Zbl 1342.60055
Ahn, Soohan
3
2016
Markov-modulated infinite-server queues driven by a common background process. Zbl 1339.60134
Mandjes, Michel; De Turck, Koen
2
2016
The snowball effect of customer slowdown in critical many-server systems. Zbl 1342.60129
Selen, Jori; Adan, Ivo J. B. F.; Kulkarni, Vidyadhar G.; van Leeuwaarden, Johan S. H.
2
2016
On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures. Zbl 1342.60018
Korolev, V. Yu.; Zeifman, A. I.
2
2016
On the use of functional calculus for phase-type and related distributions. Zbl 1348.60120
Bladt, Mogens; Navarro, Azucena Campillo; Nielsen, Bo Friis
1
2016
Further properties of a random graph with duplications and deletions. Zbl 1338.05240
Backhausz, Ágnes; Móri, Tamás F.
1
2016
Delay analysis of a discrete-time \(\mathrm{GI} - \mathrm{GI} - 1\) queue with reservation-based priority scheduling. Zbl 1339.60133
Feyaerts, B.; De Vuyst, S.; Bruneel, H.; Wittevrongel, S.
1
2016
An \((s, k, S)\) fluid inventory model with exponential leadtimes and order cancellations. Zbl 1339.60128
Barron, Y.
1
2016
Affine LIBOR models driven by real-valued affine processes. Zbl 1414.91395
Müller, Wolfgang; Waldenberger, Stefan
1
2016
Stability in distribution of Markov-modulated stochastic differential delay equations with reflection. Zbl 1342.60088
Bo, Lijun; Yuan, Chenggui
1
2016
Prediction in a mixed Poisson cluster model. Zbl 1344.60049
Matsui, Muneya; Rolski, Tomasz
1
2016
Transient analysis of one-sided Lévy-driven queues. Zbl 1342.60070
Starreveld, N. J.; Bekker, R.; Mandjes, M.
1
2016
Persistence and existence of stationary measures for a logistic growth model with predation. Zbl 1343.92434
Pinheiro, Susana
1
2016
A multidimensional ruin problem and an associated notion of duality. Zbl 1415.91161
Ramasubramanian, S.
1
2016
Optimal hedging through limit orders. Zbl 1415.91275
Agliardi, Rossella
1
2016
A semi-explicit density function for Kulkarni’s bivariate phase-type distribution. Zbl 1344.60022
Breuer, Lothar
1
2016
On a general mixed priority queue with server discretion. Zbl 1345.60105
Fajardo, Val Andrei; Drekic, Steve
1
2016
Decay property of stopped Markovian bulk-arriving queues with \(c\)-servers. Zbl 1357.60101
Li, Junping; Zhang, Lina
1
2016
Limit theorems for marked Hawkes processes with application to a risk model. Zbl 1325.60025
Karabash, Dmytro; Zhu, Lingjiong
19
2015
Optimal multiple trading times under the exponential OU model with transaction costs. Zbl 1337.60074
Leung, Tim; Li, Xin; Wang, Zheng
8
2015
Tail behavior of weighted sums of order statistics of dependent risks. Zbl 1309.62091
Hashorva, Enkelejd; Li, Jinzhu
5
2015
Dynamic limit growth indices in discrete time. Zbl 1338.91158
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin
4
2015
Queueing systems of INAR(1) processes with compound Poisson arrivals. Zbl 1329.60323
Schweer, Sebastian; Wichelhaus, Cornelia
4
2015
On scaling limits of power law shot-noise fields. Zbl 1328.60024
Baccelli, François; Biswas, Anup
2
2015
A structured Markov chain approach to branching processes. Zbl 1327.60138
Hautphenne, Sophie
2
2015
On a class of growth-maximal hardcore processes. Zbl 1310.60059
Ebert, Sven; Last, Günter
2
2015
Parametric modeling of sparse random trees using 3D copulas. Zbl 1328.60029
Neuhäuser, David; Hirsch, Christian; Gloaguen, Catherine; Schmidt, Volker
1
2015
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models. Zbl 1315.91058
López, Oscar; Serrano, Rafael
1
2015
A constructive proof of the phase-type characterization theorem. Zbl 1315.60030
Horváth, Illés; Telek, Miklós
1
2015
Slow transitions and starvation in dense random-access networks. Zbl 1325.60151
Zocca, A.; Borst, S. C.; van Leeuwaarden, J. S. H.
1
2015
The stationary distribution of a Markov jump process glued together from two state spaces at two vertices. Zbl 1329.60296
Mélykúti, Bence; Pfaffelhuber, Peter
1
2015
Two parallel queues with infinite servers and join the shortest queue discipline. Zbl 1346.68042
Guillemin, F.; Olivier, P.; Simonian, A.; Tanguy, C.
1
2015
Corrigendum to: “Subexponential asymptotics of the stationary distributions of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains.”. Zbl 1330.60111
Kimura, Tatsuaki; Masuyama, Hiroyuki; Takahashi, Yutaka
1
2015
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. Zbl 1345.60062
Delong, Łukasz; Pelsser, Antoon
1
2015
Extremes and first passage times of correlated fractional Brownian motions. Zbl 1319.60081
Hashorva, Enkelejd; Ji, Lanpeng
5
2014
Commuting matrices in the queue length and sojourn time analysis of MAP/MAP/1 queues. Zbl 1318.68061
Horváth, G.; van Houdt, B.; Telek, M.
5
2014
First passage times to congested states of many-server systems in the Halfin-Whitt regime. Zbl 1303.60086
Fralix, Brian; Knessl, Charles; van Leeuwaarden, Johan S. H.
4
2014
Queues and risk processes with dependencies. Zbl 1306.60132
Badila, E. S.; Boxma, O. J.; Resing, J. A. C.
4
2014
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
3
2014
Gambler’s ruin: the duration of play. Zbl 1306.60041
Katriel, Guy
3
2014
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
3
2014
Signatures in Markov-modulated processes. Zbl 1296.60270
Andronov, Alexander; Gertsbakh, I. B.
2
2014
Phase type distributions with finite support. Zbl 1317.60016
Ramaswami, V.; Viswanath, N. C.
2
2014
Corrected phase-type approximations of heavy-tailed queueing models in a Markovian environment. Zbl 1305.60098
Vatamidou, E.; Adan, I. J. B. F.; Vlasiou, M.; Zwart, B.
2
2014
On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process. Zbl 1319.60136
Veestraeten, Dirk
1
2014
Blocking probabilities in Erlang loss queues with advance reservation. Zbl 1303.60088
van de Vrugt, Maartje; Litvak, Nelly; Boucherie, Richard J.
1
2014
Uniform tail asymptotics for the sum of two correlated classes with stochastic returns and dependent heavy tails. Zbl 1404.62105
Fu, Ke-Ang; Ng, Cheuk Yin Andrew
1
2014
Optimal strategies for a long-term static investor. Zbl 1303.91163
Zhu, Lingjiong
1
2014
Critical scale for a continuous AIMD model. Zbl 1323.60120
Grigorescu, Ilie; Kang, Min
1
2014
Non-hyperbolicity of random graphs with given expected degrees. Zbl 1280.05125
Shang, Yilun
15
2013
A stochastic two-dimensional fluid model. Zbl 1267.60082
Bean, Nigel G.; O’Reilly, Małgorzata M.
10
2013
Stability for fluid queues: characteristic inequalities. Zbl 1271.60097
Govorun, Maria; Latouche, Guy; Remiche, Marie-Ange
10
2013
The Israeli Queue with priorities. Zbl 1274.60277
Perel, Nir; Yechiali, Uri
9
2013
Time-scaling limits for Markov-modulated infinite-server queues. Zbl 1271.60096
Blom, J.; Mandjes, M.; Thorsdottir, H.
8
2013
Closed form pricing of European options for a family of normal-inverse Gaussian processes. Zbl 1287.91142
Ivanov, Roman V.
7
2013
Rare event analysis of Markov-modulated infinite-server queues: a Poisson limit. Zbl 1284.60159
Blom, Joke; De Turck, Koen; Mandjes, Michel
5
2013
Subexponential asymptotics of the stationary distributions of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains. Zbl 1271.60099
Kimura, Tatsuaki; Masuyama, Hiroyuki; Takahashi, Yutaka
4
2013
Heavy-tailed branching process with immigration. Zbl 1306.60123
Basrak, Bojan; Kulik, Rafał; Palmowski, Zbigniew
4
2013
Comparative estimation for discrete fractional Ornstein-Uhlenbeck process. Zbl 1401.60065
Rifo, Laura; Torres, Soledad; Tudor, Ciprian A.
2
2013
...and 297 more Documents
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Cited by 2,414 Authors

40 Hashorva, Enkelejd
35 Mandjes, Michel Robertus Hendrikus
25 Resnick, Sidney Ira
21 Zhao, Yiqiang Q.
20 Ahn, Soohan
19 Šiaulys, Jonas
19 Wang, Yuebao
18 Bruneel, Herwig
18 Latouche, Guy
17 Boxma, Onno Johan
17 Lee, Ho Woo
17 Yuen, Kam Chuen
16 Adan, Ivo J. B. F.
16 He, Qi-Ming
16 Tang, Qihe
15 Cheung, Ka Chun
15 Dębicki, Krzysztof
15 Leipus, Remigijus
15 Li, Quanlin
15 Magdziarz, Marcin
14 Bini, Dario Andrea
14 Gao, Qingwu
14 Taylor, Peter Gerrard
14 Yin, Chuancun
13 Dhaene, Jan
13 Meini, Beatrice
13 O’Reilly, Małgorzata M.
13 Zeifman, Alexander Izrailevich
12 Bean, Nigel G.
12 Jiang, Tao
12 Miyazawa, Masakiyo
12 Ramaswami, Vaidyanathan
12 Rodríguez García, José Manuel
12 Telek, Miklós
12 Vanduffel, Steven
12 Wang, Kaiyong
12 Zhu, Lingjiong
11 Krishnamoorthy, Achyutha
11 Liu, Liwei
11 Masuyama, Hiroyuki
11 Palmowski, Zbigniew
11 Pap, Gyula
11 Perry, David
11 Stadje, Wolfgang
11 Takine, Tetsuya
11 Zacks, Shelemyahu
10 Cheung, Eric C. K.
10 Cui, Lirong
10 Korolev, Viktor Yur’evich
10 Lee, Se Won
10 Wang, Dingcheng
10 Weiß, Christian H.
10 Wittevrongel, Sabine
9 Avram, Florin
9 Badescu, Andrei L.
9 Baek, Jung Woo
9 Banik, Abhijit Datta
9 Barczy, Mátyás
9 Blom, Joke G.
9 Chaudhry, Mohan L.
9 De Turck, Koen
9 Di Crescenzo, Antonio
9 Guo, Junyi
9 Ji, Lanpeng
9 Kempa, Wojciech M.
9 Leung, Tim
9 Li, Jinzhu
9 Van Houdt, Benny
9 Walraevens, Joris
8 Albrecher, Hansjörg
8 Alfa, Attahiru Sule
8 Dshalalow, Jewgeni H.
8 Glynn, Peter W.
8 Guillemin, Fabrice M.
8 Huillet, Thierry E.
8 Lambert, Amaury
8 Liang, Zhibin
8 Liu, Zaiming
8 Méléard, Sylvie
8 Pender, Jamol
8 Seol, Youngsoo
8 Steyaert, Bart
7 Ghosh, Souvik
7 Horváth, Gábor
7 Ivanov, Roman V.
7 Kapodistria, Stella
7 Lo, Ambrose
7 Martinucci, Barbara
7 Resing, Jacques A. C.
7 Sakuma, Yutaka
7 Shajin, Dhanya
7 Tang, Yinghui
7 Yang, Hailiang
6 Asimit, Alexandru V.
6 Barron, Yonit
6 Bernard, Carole
6 Bladt, Mogens
6 Chen, Yu
6 Chydzinski, Andrzej
6 De Vuyst, Stijn
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Cited in 302 Journals

162 Stochastic Models
127 Queueing Systems
112 Insurance Mathematics & Economics
74 Statistics & Probability Letters
68 Journal of Applied Probability
53 Advances in Applied Probability
53 Annals of Operations Research
52 Methodology and Computing in Applied Probability
51 Stochastic Processes and their Applications
39 European Journal of Operational Research
34 Communications in Statistics. Theory and Methods
33 Journal of Computational and Applied Mathematics
33 Extremes
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30 Journal of Mathematical Analysis and Applications
29 The Annals of Applied Probability
24 Operations Research Letters
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22 Mathematical Problems in Engineering
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19 Bernoulli
19 Probability in the Engineering and Informational Sciences
17 Lithuanian Mathematical Journal
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16 Journal of Statistical Planning and Inference
16 ASTIN Bulletin
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13 Journal of the Korean Statistical Society
12 Journal of Theoretical Probability
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11 Opsearch
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9 Computers & Mathematics with Applications
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9 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
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6 Applied Mathematics and Optimization
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4 Theoretical Population Biology
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3 Indian Journal of Pure & Applied Mathematics
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