# zbMATH — the first resource for mathematics

## 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/lstm20http://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.
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#### Latest Issues

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#### 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 Rubinstein, Reuven Y. 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 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 739 more Authors
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#### Fields

 546 Probability theory and stochastic processes (60-XX) 211 Operations research, mathematical programming (90-XX) 100 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 80 Statistics (62-XX) 55 Computer science (68-XX) 36 Numerical analysis (65-XX) 28 Biology and other natural sciences (92-XX) 23 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) 8 Ordinary differential equations (34-XX) 7 Linear and multilinear algebra; matrix theory (15-XX) 7 Statistical mechanics, structure of matter (82-XX) 6 Operator theory (47-XX) 5 Partial differential equations (35-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 Approximations and expansions (41-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)

#### Citations contained in zbMATH Open

405 Publications have been cited 2,633 times in 2,099 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.
2006
Representations of the first hitting time density of an Ornstein-Uhlenbeck process. Zbl 1083.60064
Alili, L.; Patie, P.; Pedersen, J. L.
2005
Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Zbl 1181.62011
Chen, Yiqing; Yuen, Kam C.
2009
Tail probabilities of randomly weighted sums of random variables with dominated variation. Zbl 1095.60008
Wang, Dingcheng; Tang, Qihe
2006
From individual stochastic processes to macroscopic models in adaptive evolution. Zbl 1157.60339
Champagnat, Nicolas; Ferrière, Règis; Méléard, Sylvie
2008
Transient analysis of fluid flow models via stochastic coupling to a queue. Zbl 1038.60086
Ahn, Soohan; Ramaswami, V.
2004
Population dynamics and random genealogies. Zbl 1390.92113
Lambert, Amaury
2008
Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Zbl 1130.60312
Tang, Qihe
2004
Fluid flow models and queues – a connection by stochastic coupling. Zbl 1021.60073
Ahn, Soohan; Ramaswami, V.
2003
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
2001
Algorithms for return probabilities for stochastic fluid flows. Zbl 1064.60162
Bean, Nigel G.; O’Reilly, Małgorzata M.; Taylor, Peter G.
2005
Large deviations of Poisson cluster processes. Zbl 1152.60316
Bordenave, Charles; Torrisi, Giovanni Luca
2007
Finite-time ruin probability with heavy-tailed claims and constant interest rate. Zbl 1132.91502
Wang, D.
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.
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.
2002
Path properties of subdiffusion — a martingale approach. Zbl 1205.60080
Magdziarz, Marcin
2010
Matching three moments with minimal acyclic phase type distributions. Zbl 1069.60013
Bobbio, A.; Horváth, A.; Telek, M.
2005
Stochastic comparison of residual life and inactivity time at a random time. Zbl 1059.60091
Li, Xiaohu; Zuo, Ming J.
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
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
2001
Gaussian approximation of conditional elliptical random vectors. Zbl 1144.60019
Hashorva, Enkelejd
2006
Simulation of the asymptotic constant in some fluid models. Zbl 1039.60040
Dȩbicki, Krzysztof; Michna, Zbigniew; Rolski, Tomasz
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
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
2003
Optimal proportional reinsurance and ruin probability. Zbl 1253.60092
Liang, Zhibin; Guo, Junyi
2007
Limit theorems for marked Hawkes processes with application to a risk model. Zbl 1325.60025
Karabash, Dmytro; Zhu, Lingjiong
2015
$$\beta$$-invariant measures for transition matrices of GI/M/1 type. Zbl 1020.60088
Li, Quan-Lin; Zhao, Yiqiang Q.
2003
The extremal dependence measure and asymptotic independence. Zbl 1054.62063
Resnick, Sidney
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
2004
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.
2003
Copulas: a review and recent developments. Zbl 1120.60006
Kolev, Nikolai; Dos Anjos, Ulisses; Mendes, Beatriz Vaz de M.
2006
A retrial queue with a constant retrial rate, server downs and impatient customers. Zbl 1069.60076
Li, Hui; Zhao, Yiqiang Q.
2005
Matrix-exponential distributions: Calculus and interpretations via flows. Zbl 1020.60005
2003
Non-hyperbolicity of random graphs with given expected degrees. Zbl 1280.05125
Shang, Yilun
2013
The unreliable $$M/M/1$$ retrial queue in a random environment. Zbl 1237.60070
Cordeiro, James D.; Kharoufeh, Jeffrey P.
2012
Perturbation bounds for $$M _{ t }/M _{ t }/N$$ queue with catastrophes. Zbl 1243.60076
Zeifman, Alexander; Korotysheva, Anna
2012
Parameter estimation for the square-root diffusions: Ergodic and nonergodic cases. Zbl 06117449
Ben Alaya, Mohamed; Kebaier, Ahmed
2012
Transient analysis of fluid models via elementary level-crossing arguments. Zbl 1350.60095
Ahn, Soohan; Ramaswami, V.
2006
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
2007
Stochastic properties of residual life and inactivity time at a random time. Zbl 1143.60055
Misra, N.; Gupta, N.; Dhariyal, I. Dutt
2008
The conditional distribution of the residual service time in the $$M_n/G/1$$ queue. Zbl 1155.60040
Kerner, Yoav
2008
Avrachenkov, Konstantin; Litvak, Nelly
2006
Polling with batch service. Zbl 1158.60040
Boxma, Onno; van der Wal, Jan; Yechiali, Uri
2008
Localizable moving average symmetric stable and multistable processes. Zbl 1221.60049
Falconer, Kenneth J.; Le Guével, Ronan; Lévy-Véhel, Jacques
2009
The Geo/G/1 queue with negative customers and disasters. Zbl 1190.60088
Park, Hyun Min; Yang, Won Seok; Chae, Kyung Chul
2009
Self-similarity and Lamperti transformation for random fields. Zbl 1125.60046
Genton, Marc G.; Perrin, Olivier; Taqqu, Murad S.
2007
Fluid models with jumps. Zbl 1065.60141
2005
Risk measures and robust optimization problems. Zbl 1211.91151
Schied, Alexander
2006
Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not? Zbl 1235.62056
2012
Admission policies for a two class loss system. Zbl 0995.60086
Örmeci, E. Lerzan; Burnetas, Apostolos; van der Wal, Jan
2001
On asymptotics of multivariate integrals with applications to records. Zbl 0999.60043
Hashorva, Enkelejd; Hüsler, Jürg
2002
SDP vs. LP relaxations for the moment approach in some performance evaluation problems. Zbl 1067.60059
Lasserre, Jean-Bernard; Prieto-Rumeau, Tomás
2004
Convergence in the Wasserstein metric for Markov chain Monte Carlo algorithms with applications to image restoration. Zbl 1062.60070
Gibbs, Alison L.
2004
Queue length analysis of MAP/G/1 queue under $$D$$-policy. Zbl 1073.60088
Lee, Ho Woo; Song, Kyoung Seok
2004
Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
2005
The severity of ruin in a discrete semi-Markov risk model. Zbl 1011.91056
Reinhard, J. M.; Snoussi, M.
2002
Product form models for queueing networks with an inventory. Zbl 1172.60028
Schwarz, Maike; Wichelhaus, Cornelia; Daduna, Hans
2007
Markov repairable systems with history-dependent up and down states. Zbl 1162.90408
Cui, Lirong; Li, Haijun; Li, Jinlin
2007
An RG-factorization approach for a BMAP/M/1 generalized processor-sharing queue. Zbl 1069.60077
Li, Quan-Lin; Lian, Zhaotong; Liu, Liming
2005
Characterizing the BMAP/MAP/1 departure process via the etaqa truncation. Zbl 1090.90044
Zhang, Qi; Heindl, Armin; Smirni, Evgenia
2005
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
2011
Multistable processes and localizability. Zbl 1270.60047
Falconer, Kenneth; Liu, Lining
2012
Multivariate matrix-exponential distributions. Zbl 1196.60021
2010
Quasi-birth-and-death processes with an explicit rate matrix. Zbl 1115.60070
van Leeuwaarden, J. S. H.; Winands, E. M. M.
2006
Optimal dividend strategy in the compound Poisson model with constant interest. Zbl 1291.91105
Fang, Ying; Wu, Rong
2007
Spectral polynomial algorithms for computing bi-diagonal representations for phase type distributions and matrix-exponential distributions. Zbl 1094.60055
He, Qi-Ming; Zhang, Hanqin
2006
Fitting with matrix-exponential distributions. Zbl 1065.62097
Fackrell, Mark
2005
Hidden regular variation and detection of hidden risks. Zbl 1230.91080
Mitra, Abhimanyu; Resnick, Sidney I.
2011
Limit conditional distributions for bivariate vectors with polar representation. Zbl 1195.60025
Fougères, Anne-Laure; Soulier, Philippe
2010
A stochastic two-dimensional fluid model. Zbl 1267.60082
Bean, Nigel G.; O’Reilly, Małgorzata M.
2013
Stability for fluid queues: characteristic inequalities. Zbl 1271.60097
Govorun, Maria; Latouche, Guy; Remiche, Marie-Ange
2013
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
2006
Two-sided reflection of Markov-modulated Brownian motion. Zbl 1255.60161
D’Auria, B.; Ivanovs, J.; Kella, O.; Mandjes, M.
2012
Sojourn times in non-homogeneous QBD processes with processor sharing. Zbl 0994.90052
Núñez-Queija, Rudesindo
2001
Optimal inventory policies under stochastic production and demand rates. Zbl 1274.90035
Yan, K.; Kulkarni, V.
2008
The uniform local asymptotics of the overshoot of a random walk with heavy-tailed increments. Zbl 1172.60013
Chen, Guochun; Wang, Yuebao; Cheng, Fengyang
2009
The Israeli Queue with priorities. Zbl 1274.60277
Perel, Nir; Yechiali, Uri
2013
Asymptotic behaviors of the loss probability for a finite buffer queue with QBD structure. Zbl 1115.60092
Miyazawa, Masakiyo; Sakuma, Yutaka; Yamaguchi, Shuhei
2007
Time to reach buffer capacity in a BMAP queue. Zbl 1127.68011
Chydzinski, Andrzej
2007
Optimal routing among $$\cdot$$/M/1 queues with partial information. Zbl 1060.60087
Altman, E.; Jiménez, T.; Núñez-Queija, R.; Yechiali, U.
2004
Analysis of queues with Markovian service processes. Zbl 1060.60090
Ozawa, Toshihisa
2004
Extremal dependence: internet traffic applications. Zbl 1061.62077
Hernandez-Campos, Felix; Jeffay, Kevin; Park, Cheolwoo; Marron, J. S.; Resnick, Sidney I.
2005
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.
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.
2002
Analysis of a feedback fluid model for heterogeneous TCP sources. Zbl 1024.60040
van Foreest, Nicky; Mandjes, Michel; Scheinhardt, Werner
2003
BMAP/G/1 queue under $$D$$-policy: queue length analysis. Zbl 1069.60075
Lee, Ho Woo; Baek, Jung Woo
2005
Population genetics models with skewed fertilities: a forward and backward analysis. Zbl 1367.92074
Huillet, Thierry; Möhle, Martin
2011
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.
2001
The group inverse of finite homogeneous QBD processes. Zbl 1005.60093
da Silva Soares, Ana; Latouche, Guy
2002
$$PH$$-invariant polytopes and Coxian representations of phase type distributions. Zbl 1159.60340
He, Qi-Ming; Zhang, Hanqin
2006
Characterization of matrix-exponential distributions. Zbl 1148.60005
Bean, Nigel G.; Fackrell, Mark; Taylor, Peter
2008
Utility maximization under bounded expected loss. Zbl 1187.91198
Gabih, Abdelali; Sass, Jörn; Wunderlich, Ralf
2009
Time-scaling limits for Markov-modulated infinite-server queues. Zbl 1271.60096
Blom, J.; Mandjes, M.; Thorsdottir, H.
2013
A discrete-time priority queue with train arrivals. Zbl 1125.60109
Walraevens, Joris; Wittevrongel, Sabine; Bruneel, Herwig
2007
The batch Markovian arrival process subject to renewal generated geometric catastrophes. Zbl 1125.60093
Economou, A.; Gómez-Corral, A.
2007
Optimal multiple trading times under the exponential OU model with transaction costs. Zbl 1337.60074
Leung, Tim; Li, Xin; Wang, Zheng
2015
A weak convergence criterion for constructing changes of measure. Zbl 1339.60047
Blanchet, Jose; Ruf, Johannes
2016
Explicit formulae for the queue length distribution of batch arrival systems. Zbl 1056.60091
Bratiychuk, M. S.; Kempa, W.
2004
The waiting time distribution of a type $$k$$ customer in a discrete-time $$\text{MMAP} [K]/ \text{PH}[K]/c$$ $$(c=1,2)$$ queue using QBDs. Zbl 1054.60098
Van Houdt, B.; Blondia, C.
2004
Closed form pricing of European options for a family of normal-inverse Gaussian processes. Zbl 1287.91142
Ivanov, Roman V.
2013
Volatility estimation in fractional Ornstein-Uhlenbeck models. Zbl 1437.60023
Bajja, Salwa; Es-Sebaiy, Khalifa; Viitasaari, Lauri
2020
Branching processes in varying environment with generation-dependent immigration. Zbl 07076055
González, M.; Kersting, G.; Minuesa, C.; del Puerto, I.
2019
Multi operator-stable random measures and fields. Zbl 07130986
Kremer, Dustin; Scheffler, Hans-Peter
2019
A bitcoin-inspired infinite-server model with a random fluid limit. Zbl 1423.60139
Frolkova, Maria; Mandjes, Michel
2019
Equivalent measure changes for subordinate diffusions. Zbl 07130984
Li, Lingfei; Mendoza-Arriaga, Rafael
2019
Regularly varying nonstationary second-order Galton-Watson processes with immigration. Zbl 07076054
Bősze, Zsuzsanna; Pap, Gyula
2019
Sample paths of continuous-state branching processes with dependent immigration. Zbl 07076056
Li, Zenghu
2019
Diffusion approximation of near critical branching processes in fixed and random environment. Zbl 07076058
Limnios, Nikolaos; Yarovaya, Elena
2019
Strong approximations for time-varying infinite-server queues with non-renewal arrival and service processes. Zbl 1391.60224
Ko, Young Myoung; Pender, Jamol
2018
On the genealogy and coalescence times of Bienaymé-Galton-Watson branching processes. Zbl 1390.60311
Grosjean, Nicolas; Huillet, Thierry
2018
The variance constant for continuous-time level dependent quasi-birth-and-death processes. Zbl 1386.60262
Liu, Yuanyuan; Wang, Pengfei; Zhao, Yiqiang Q.
2018
Robustness of power-law behavior in cascading line failure models. Zbl 1386.90038
Sloothaak, F.; Borst, S. C.; Zwart, B.
2018
Ruin problem of a two-dimensional fractional Brownian motion risk process. Zbl 1386.60138
Ji, Lanpeng; Robert, Stephan
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
2018
Efficient simulation of tail probabilities in a queueing model with heterogeneous servers. Zbl 1391.60225
Kuhn, Julia; Mandjes, Michel
2018
MAP fitting by count and inter-arrival moment matching. Zbl 1403.60080
Nasr, Walid W.; Charanek, Ali; Maddah, Bacel
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
2018
A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068
Asmussen, Søren; Ivanovs, Jevgenijs
2018
Self-stabilizing processes. Zbl 1411.60057
Falconer, K. J.; Lévy Véhel, J.
2018
Heavy traffic analysis of a polling model with retrials and glue periods. Zbl 1411.90085
Abidini, Murtuza Ali; Dorsman, Jan-Pieter; Resing, Jacques
2018
Sojourn time in an $$\mathrm{M}/\mathrm{M}/1$$ processor sharing queue with permanent customers. Zbl 1386.60317
Guillemin, Fabrice; Slim, Farah
2018
Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate. Zbl 1386.93305
Eisenberg, Julia
2018
Maximizing survival time in a random walk on an interval. Zbl 1391.60087
Kubicka, Ewa M.; Kubicki, Grzegorz; Kuchta, Małgorzata; Morayne, Michał
2018
Cross-infection in epidemics spread by carriers. Zbl 1391.60187
Lefèvre, Claude; Simon, Matthieu
2018
Two-queue polling systems with switching policy based on the queue that is not being served. Zbl 1387.60138
Perel, Efrat; Yechiali, Uri
2017
Routing in a queueing system with two heterogeneous servers in speed and in quality of resolution. Zbl 1380.90092
Legros, Benjamin; Jouini, Oualid
2017
A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion. Zbl 1361.60070
Ahn, Soohan; Ramaswami, V.
2017
First hitting time of integral diffusions and applications. Zbl 1380.60073
Cui, Zhenyu; Nguyen, Duy
2017
Matrix geometric approach for random walks: stability condition and equilibrium distribution. Zbl 1383.60038
Kapodistria, Stella; Palmowski, Zbigniew
2017
Asymptotic normality of in- and out-degree counts in a preferential attachment model. Zbl 1367.05091
Wang, Tiandong; Resnick, Sidney I.
2017
Multi-class $$\mathrm{M}/\mathrm{PH}/1$$ queues with deterministic impatience times. Zbl 1361.60085
Sakuma, Yutaka; Takine, Tetsuya
2017
Defective Galton-Watson processes. Zbl 1387.60124
Sagitov, Serik; Minuesa, Carmen
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
2017
Stationary analysis of the “shortest queue first” service policy: the asymmetric case. Zbl 1370.60168
Guillemin, Fabrice; Simonian, Alain
2017
Slowing time: Markov-modulated Brownian motions with a sticky boundary. Zbl 1370.60138
Latouche, Guy; Nguyen, Giang T.
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
2017
On the generalized reward generator for stochastic fluid models: a new equation for $$\Psi$$. Zbl 1395.60089
Samuelson, Aviva; O&rsquo;Reilly, Małgorzata M.; Bean, Nigel G.
2017
Stationary distributions for a class of Markov-modulated tandem fluid queues. Zbl 1395.60088
O&rsquo;Reilly, Małgorzata M.; Scheinhardt, Werner
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
2017
Heavy traffic analysis of roving server networks. Zbl 1370.60161
Boon, M. A. A.; van der Mei, R. D.; Winands, E. M. M.
2017
On the arbitrage price of European call options. Zbl 1378.91119
Ernst, Philip
2017
Infinite-time absolute ruin in dependent renewal risk models with constant force of interest. Zbl 1359.62459
Liu, Jiajun; Yang, Yang
2017
A weak convergence criterion for constructing changes of measure. Zbl 1339.60047
Blanchet, Jose; Ruf, Johannes
2016
A new look at Markov processes of $$\mathrm{G}/\mathrm{M}/1$$-type. Zbl 1339.60112
Joyner, Jason; Fralix, Brian
2016
Reflected BSDE of Wiener-Poisson type in time-dependent domains. Zbl 1339.60075
Nyström, K.; Olofsson, M.
2016
Analysis of some ruin-related quantities in a Markov-modulated risk model. Zbl 1344.60075
Li, Jingchao; Dickson, David C. M.; Li, Shuanming
2016
Self-exciting threshold models for time series of counts with a finite range. Zbl 1345.60080
Möller, Tobias A.
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.
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
2016
Markov-modulated infinite-server queues driven by a common background process. Zbl 1339.60134
Mandjes, Michel; De Turck, Koen
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.
2016
On the use of functional calculus for phase-type and related distributions. Zbl 1348.60120
Bladt, Mogens; Navarro, Azucena Campillo; Nielsen, Bo Friis
2016
Further properties of a random graph with duplications and deletions. Zbl 1338.05240
Backhausz, Ágnes; Móri, Tamás F.
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.
2016
An $$(s, k, S)$$ fluid inventory model with exponential leadtimes and order cancellations. Zbl 1339.60128
Barron, Y.
2016
Affine LIBOR models driven by real-valued affine processes. Zbl 1414.91395
Müller, Wolfgang; Waldenberger, Stefan
2016
Stability in distribution of Markov-modulated stochastic differential delay equations with reflection. Zbl 1342.60088
Bo, Lijun; Yuan, Chenggui
2016
Prediction in a mixed Poisson cluster model. Zbl 1344.60049
Matsui, Muneya; Rolski, Tomasz
2016
Transient analysis of one-sided Lévy-driven queues. Zbl 1342.60070
Starreveld, N. J.; Bekker, R.; Mandjes, M.
2016
Persistence and existence of stationary measures for a logistic growth model with predation. Zbl 1343.92434
Pinheiro, Susana
2016
A multidimensional ruin problem and an associated notion of duality. Zbl 1415.91161
Ramasubramanian, S.
2016
Optimal hedging through limit orders. Zbl 1415.91275
Agliardi, Rossella
2016
A semi-explicit density function for Kulkarni’s bivariate phase-type distribution. Zbl 1344.60022
Breuer, Lothar
2016
On a general mixed priority queue with server discretion. Zbl 1345.60105
Fajardo, Val Andrei; Drekic, Steve
2016
Decay property of stopped Markovian bulk-arriving queues with $$c$$-servers. Zbl 1357.60101
Li, Junping; Zhang, Lina
2016
Limit theorems for marked Hawkes processes with application to a risk model. Zbl 1325.60025
Karabash, Dmytro; Zhu, Lingjiong
2015
Optimal multiple trading times under the exponential OU model with transaction costs. Zbl 1337.60074
Leung, Tim; Li, Xin; Wang, Zheng
2015
Tail behavior of weighted sums of order statistics of dependent risks. Zbl 1309.62091
Hashorva, Enkelejd; Li, Jinzhu
2015
Dynamic limit growth indices in discrete time. Zbl 1338.91158
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin
2015
Queueing systems of INAR(1) processes with compound Poisson arrivals. Zbl 1329.60323
Schweer, Sebastian; Wichelhaus, Cornelia
2015
On a class of growth-maximal hardcore processes. Zbl 1310.60059
Ebert, Sven; Last, Günter
2015
On scaling limits of power law shot-noise fields. Zbl 1328.60024
Baccelli, François; Biswas, Anup
2015
A structured Markov chain approach to branching processes. Zbl 1327.60138
Hautphenne, Sophie
2015
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. Zbl 1345.60062
Delong, Łukasz; Pelsser, Antoon
2015
Parametric modeling of sparse random trees using 3D copulas. Zbl 1328.60029
Neuhäuser, David; Hirsch, Christian; Gloaguen, Catherine; Schmidt, Volker
2015
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models. Zbl 1315.91058
López, Oscar; Serrano, Rafael
2015
A constructive proof of the phase-type characterization theorem. Zbl 1315.60030
Horváth, Illés; Telek, Miklós
2015
Slow transitions and starvation in dense random-access networks. Zbl 1325.60151
Zocca, A.; Borst, S. C.; van Leeuwaarden, J. S. H.
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
2015
Two parallel queues with infinite servers and join the shortest queue discipline. Zbl 1346.68042
Guillemin, F.; Olivier, P.; Simonian, A.; Tanguy, C.
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
2015
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.
2014
Extremes and first passage times of correlated fractional Brownian motions. Zbl 1319.60081
Hashorva, Enkelejd; Ji, Lanpeng
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.
2014
Queues and risk processes with dependencies. Zbl 1306.60132
Badila, E. S.; Boxma, O. J.; Resing, J. A. C.
2014
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
2014
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
2014
Gambler’s ruin: the duration of play. Zbl 1306.60041
Katriel, Guy
2014
Phase type distributions with finite support. Zbl 1317.60016
Ramaswami, V.; Viswanath, N. C.
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.
2014
Signatures in Markov-modulated processes. Zbl 1296.60270
Andronov, Alexander; Gertsbakh, I. B.
2014
On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process. Zbl 1319.60136
Veestraeten, Dirk
2014
Blocking probabilities in Erlang loss queues with advance reservation. Zbl 1303.60088
van de Vrugt, Maartje; Litvak, Nelly; Boucherie, Richard J.
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
2014
Optimal strategies for a long-term static investor. Zbl 1303.91163
Zhu, Lingjiong
2014
Critical scale for a continuous AIMD model. Zbl 1323.60120
Grigorescu, Ilie; Kang, Min
2014
Non-hyperbolicity of random graphs with given expected degrees. Zbl 1280.05125
Shang, Yilun
2013
A stochastic two-dimensional fluid model. Zbl 1267.60082
Bean, Nigel G.; O&rsquo;Reilly, Małgorzata M.
2013
Stability for fluid queues: characteristic inequalities. Zbl 1271.60097
Govorun, Maria; Latouche, Guy; Remiche, Marie-Ange
2013
The Israeli Queue with priorities. Zbl 1274.60277
Perel, Nir; Yechiali, Uri
2013
...and 305 more Documents
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#### Cited by 2,439 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 14 Zeifman, Alexander Izrailevich 13 Dhaene, Jan 13 Gupta, Umesh Chandra 13 Meini, Beatrice 13 O’Reilly, Małgorzata M. 13 Rodríguez García, José Manuel 12 Bean, Nigel G. 12 Jiang, Tao 12 Miyazawa, Masakiyo 12 Ramaswami, Vaidyanathan 12 Takine, Tetsuya 12 Telek, Miklós 12 Vanduffel, Steven 12 Wang, Kaiyong 12 Zhu, Lingjiong 11 Korolev, Viktor Yur’evich 11 Krishnamoorthy, Achyutha 11 Liu, Liwei 11 Masuyama, Hiroyuki 11 Palmowski, Zbigniew 11 Pap, Gyula 11 Perry, David 11 Stadje, Wolfgang 11 Zacks, Shelemyahu 10 Cheung, Eric C. K. 10 Cui, Lirong 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 ...and 2,339 more Authors
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#### Cited in 303 Journals

 162 Stochastic Models 127 Queueing Systems 112 Insurance Mathematics & Economics 74 Statistics & Probability Letters 68 Journal of Applied Probability 56 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 31 Scandinavian Actuarial Journal 30 Journal of Mathematical Analysis and Applications 29 The Annals of Applied Probability 24 Operations Research Letters 24 Stochastic Analysis and Applications 22 Mathematical Problems in Engineering 21 Journal of Statistical Physics 20 Journal of Mathematical Biology 20 Mathematical Methods of Operations Research 19 Lithuanian Mathematical Journal 19 Bernoulli 19 Probability in the Engineering and Informational Sciences 17 Applied Mathematics and Computation 17 Computers & Operations Research 17 Applied Mathematical Modelling 17 ASTIN Bulletin 17 Journal of Industrial and Management Optimization 16 Journal of Statistical Planning and Inference 15 Top 14 Journal of Multivariate Analysis 13 Journal of the Korean Statistical Society 12 Journal of Theoretical Probability 12 Quantitative Finance 11 Opsearch 11 Asia-Pacific Journal of Operational Research 11 North American Actuarial Journal 10 Operations Research 10 Acta Mathematicae Applicatae Sinica. English Series 10 Linear Algebra and its Applications 9 Computers & Mathematics with Applications 9 Automation and Remote Control 9 Computational Statistics and Data Analysis 9 Mathematical Finance 9 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 9 Applied Stochastic Models in Business and Industry 9 Stochastics 8 Theory of Probability and its Applications 8 Applied Mathematics. Series B (English Edition) 8 International Journal of Theoretical and Applied Finance 8 Journal of Theoretical Biology 7 Discrete Event Dynamic Systems 7 Journal of Statistical Computation and Simulation 7 International Journal of Applied Mathematics and Computer Science 7 RAIRO. Operations Research 7 Journal of Systems Science and Complexity 7 Journal of Applied Mathematics and Computing 7 Stochastic Systems 7 Modern Stochastics. Theory and Applications 6 Applied Mathematics and Optimization 6 Optimization 6 Communications in Statistics. Simulation and Computation 6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 6 Discrete Dynamics in Nature and Society 6 Acta Mathematica Sinica. English Series 6 Frontiers of Mathematics in China 6 Statistics and Computing 5 Discrete Applied Mathematics 5 Physica A 5 Journal of Optimization Theory and Applications 5 Numerische Mathematik 5 Probability and Mathematical Statistics 5 Acta Applicandae Mathematicae 5 Cybernetics and Systems Analysis 5 Electronic Journal of Probability 5 Finance and Stochastics 5 Abstract and Applied Analysis 5 International Journal of Stochastic Analysis 5 Journal of Probability and Statistics 5 Symmetry 5 European Actuarial Journal 5 Statistics & Risk Modeling 4 Mathematical Biosciences 4 The Annals of Probability 4 Mathematics of Operations Research 4 SIAM Journal on Control and Optimization 4 Theoretical Population Biology 4 Applied Numerical Mathematics 4 Statistics 4 Probability Theory and Related Fields 4 Mathematical and Computer Modelling 4 SIAM Review 4 SIAM Journal on Scientific Computing 4 The ANZIAM Journal 4 4OR 4 Journal of Statistical Mechanics: Theory and Experiment 4 Mathematical Biosciences and Engineering 4 ALEA. Latin American Journal of Probability and Mathematical Statistics ...and 203 more Journals
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#### Cited in 48 Fields

 1,482 Probability theory and stochastic processes (60-XX) 594 Operations research, mathematical programming (90-XX) 544 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 453 Statistics (62-XX) 145 Computer science (68-XX) 142 Numerical analysis (65-XX) 120 Biology and other natural sciences (92-XX) 99 Systems theory; control (93-XX) 53 Partial differential equations (35-XX) 36 Linear and multilinear algebra; matrix theory (15-XX) 34 Calculus of variations and optimal control; optimization (49-XX) 33 Combinatorics (05-XX) 32 Statistical mechanics, structure of matter (82-XX) 18 Dynamical systems and ergodic theory (37-XX) 17 Ordinary differential equations (34-XX) 16 Operator theory (47-XX) 12 Measure and integration (28-XX) 12 Integral transforms, operational calculus (44-XX) 12 Integral equations (45-XX) 10 Information and communication theory, circuits (94-XX) 7 Real functions (26-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 6 Functional analysis (46-XX) 6 Fluid mechanics (76-XX) 5 Special functions (33-XX) 4 Number theory (11-XX) 4 Functions of a complex variable (30-XX) 4 Approximations and expansions (41-XX) 4 Quantum theory (81-XX) 3 Sequences, series, summability (40-XX) 3 Convex and discrete geometry (52-XX) 3 Differential geometry (53-XX) 2 Associative rings and algebras (16-XX) 2 Geometry (51-XX) 2 General topology (54-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Optics, electromagnetic theory (78-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Geophysics (86-XX) 1 Mathematical logic and foundations (03-XX) 1 Field theory and polynomials (12-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Topological groups, Lie groups (22-XX) 1 Potential theory (31-XX) 1 Difference and functional equations (39-XX) 1 Algebraic topology (55-XX) 1 Mechanics of deformable solids (74-XX)