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: 640 Publications (since 2001) References Indexed: 604 Publications with 13,376 References. all top 5 Latest Issues 39, No. 1 (2023) 38, No. 4 (2022) 38, No. 3 (2022) 38, No. 2 (2022) 38, No. 1 (2022) 37, No. 3 (2021) 37, No. 2 (2021) 37, No. 1 (2021) 36, No. 4 (2020) 36, No. 3 (2020) 36, No. 2 (2020) 36, No. 1 (2020) 35, No. 4 (2019) 35, No. 3 (2019) 35, No. 2 (2019) 35, No. 1 (2019) 34, No. 4 (2018) 34, No. 3 (2018) 34, No. 2 (2018) 34, No. 1 (2018) 33, No. 4 (2017) 33, No. 3 (2017) 33, No. 2 (2017) 33, No. 1 (2017) 32, No. 4 (2016) 32, No. 3 (2016) 32, No. 2 (2016) 32, No. 1 (2016) 31, No. 4 (2015) 31, No. 3 (2015) 31, No. 2 (2015) 31, No. 1 (2015) 30, No. 4 (2014) 30, No. 3 (2014) 30, No. 2 (2014) 30, No. 1 (2014) 29, No. 4 (2013) 29, No. 3 (2013) 29, No. 2 (2013) 29, No. 1 (2013) 28, No. 4 (2012) 28, No. 3 (2012) 28, No. 2 (2012) 28, No. 1 (2012) 27, No. 4 (2011) 27, No. 3 (2011) 27, No. 2 (2011) 27, No. 1 (2011) 26, No. 4 (2010) 26, No. 3 (2010) 26, No. 2 (2010) 26, No. 1 (2010) 25, No. 4 (2009) 25, No. 3 (2009) 25, No. 2 (2009) 25, No. 1 (2009) 24, No. 4 (2008) 24, No. 3 (2008) 24, No. 2 (2008) 24, No. 1 (2008) 24, Suppl. 1 (2008) 23, No. 4 (2007) 23, No. 3 (2007) 23, No. 2 (2007) 23, No. 1 (2007) 22, No. 4 (2006) 22, No. 3 (2006) 22, No. 2 (2006) 22, No. 1 (2006) 21, No. 4 (2005) 21, No. 2-3 (2005) 21, No. 1 (2005) 20, No. 4 (2004) 20, No. 3 (2004) 20, No. 2 (2004) 20, No. 1 (2004) 19, No. 4 (2003) 19, No. 3 (2003) 19, No. 2 (2003) 19, No. 1 (2003) 18, No. 4 (2002) 18, No. 3 (2002) 18, No. 2 (2002) 18, No. 1 (2002) 17, No. 4 (2001) 17, No. 3 (2001) 17, No. 2 (2001) 17, No. 1 (2001) all top 5 Authors 19 Mandjes, Michel Robertus Hendrikus 12 Latouche, Guy 11 Van Houdt, Benny 10 He, Qi-Ming 10 Resnick, Sidney Ira 10 Telek, Miklós 10 Zhao, Yiqiang Q. 8 Adan, Ivo J. B. F. 8 O’Reilly, Małgorzata M. 8 Stadje, Wolfgang 8 Takine, Tetsuya 7 Ahn, Soohan 7 Bean, Nigel G. 7 Bladt, Mogens 7 Nielsen, Bo Friis 7 Perry, David 7 Ramaswami, Vaidyanathan 6 Blondia, Chris 6 Boxma, Onno Johan 6 Gonzalez-Velasco, Miguel 6 Guillemin, Fabrice M. 6 Huillet, Thierry E. 6 Masuyama, Hiroyuki 6 Miyazawa, Masakiyo 6 Palmowski, Zbigniew 6 Taylor, Peter Gerrard 6 Van der Mei, Robert Douwe 6 Yechiali, Uri 5 Asmussen, Søren 5 Daduna, Hans 5 del Puerto, Inés Maria 5 Hautphenne, Sophie 5 Lee, Ho Woo 5 Meini, Beatrice 5 Rubinstein, Reuven Y. 5 Slavtchova-Bojkova, Maroussia Nikiforova 5 van Leeuwaarden, Johan S. H. 5 Zacks, Shelemyahu 4 Alfa, Attahiru Sule 4 Hashorva, Enkelejd 4 Li, Hui 4 López-Mimbela, José Alfredo 4 Molina, Manuel 4 Rahimov, Ibrahim 4 Simonian, Alain D. 4 Stanford, David A. 4 Zhang, Hanqin 4 Zhu, Lingjiong 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 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 Minuesa, Carmen 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 Takahashi, Yutaka 3 Tang, Qihe 3 van der Wal, Jan 3 van Vuuren, Marcel 3 Winands, Erik M. M. 3 Wu, Fuke 3 Yanev, Nikolay Mihailov 3 Yarovaya, Elena B. 3 Zeifman, Alexander Izrailevich 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 ...and 804 more Authors all top 5 Fields 585 Probability theory and stochastic processes (60-XX) 207 Operations research, mathematical programming (90-XX) 99 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 85 Statistics (62-XX) 57 Computer science (68-XX) 37 Numerical analysis (65-XX) 34 Biology and other natural sciences (92-XX) 26 Systems theory; control (93-XX) 13 Calculus of variations and optimal control; optimization (49-XX) 12 Combinatorics (05-XX) 10 Ordinary differential equations (34-XX) 9 General and overarching topics; collections (00-XX) 7 Linear and multilinear algebra; matrix theory (15-XX) 7 Partial differential equations (35-XX) 7 Statistical mechanics, structure of matter (82-XX) 6 Operator theory (47-XX) 3 History and biography (01-XX) 3 Measure and integration (28-XX) 3 Special functions (33-XX) 3 Integral transforms, operational calculus (44-XX) 2 Real functions (26-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Approximations and expansions (41-XX) 2 Integral equations (45-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 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-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 all cited Publications top 5 cited Publications Citations contained in zbMATH Open 448 Publications have been cited 3,162 times in 2,466 Documents Cited by ▼ Year ▼ Risk measures and comonotonicity: a review. Zbl 1159.91403Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. 144 2006 Representations of the first hitting time density of an Ornstein-Uhlenbeck process. Zbl 1083.60064Alili, L.; Patie, P.; Pedersen, J. L. 86 2005 Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Zbl 1181.62011Chen, Yiqing; Yuen, Kam C. 76 2009 Tail probabilities of randomly weighted sums of random variables with dominated variation. Zbl 1095.60008Wang, Dingcheng; Tang, Qihe 53 2006 From individual stochastic processes to macroscopic models in adaptive evolution. Zbl 1157.60339Champagnat, Nicolas; Ferrière, Règis; Méléard, Sylvie 47 2008 Transient analysis of fluid flow models via stochastic coupling to a queue. Zbl 1038.60086Ahn, Soohan; Ramaswami, V. 45 2004 Large deviations of Poisson cluster processes. Zbl 1152.60316Bordenave, Charles; Torrisi, Giovanni Luca 41 2007 Fluid flow models and queues – a connection by stochastic coupling. Zbl 1021.60073Ahn, Soohan; Ramaswami, V. 38 2003 Population dynamics and random genealogies. Zbl 1390.92113Lambert, Amaury 38 2008 Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Zbl 1130.60312Tang, Qihe 38 2004 Geometric decay of the steady-state probabilities in a quasi-birth-and-death process with a countable number of phases. Zbl 0985.60074Takahashi, Yukio; Fujimoto, Kou; Makimoto, Naoki 37 2001 Algorithms for return probabilities for stochastic fluid flows. Zbl 1064.60162Bean, Nigel G.; O’Reilly, Małgorzata M.; Taylor, Peter G. 37 2005 Finite-time ruin probability with heavy-tailed claims and constant interest rate. Zbl 1132.91502Wang, D. 32 2008 Geometric decay in a QBD process with countable background states with applications to a join-the-shortest-queue model. Zbl 1124.60074Li, Hui; Miyazawa, Masakiyo; Zhao, Yiqiang Q. 30 2007 Stochastic comparison of residual life and inactivity time at a random time. Zbl 1059.60091Li, Xiaohu; Zuo, Ming J. 30 2004 First-exit times for compound Poisson processes for some types of positive and negative jumps. Zbl 0998.60089Perry, D.; Stadje, W.; Zacks, S. 29 2002 Matching three moments with minimal acyclic phase type distributions. Zbl 1069.60013Bobbio, A.; Horváth, A.; Telek, M. 29 2005 Path properties of subdiffusion — a martingale approach. Zbl 1205.60080Magdziarz, Marcin 28 2010 Stochastic properties of residual life and inactivity time at a random time. Zbl 1143.60055Misra, N.; Gupta, N.; Dhariyal, I. Dutt 26 2008 Decompositions of the queue length distributions in the MAP/G/1 queue under multiple and single vacations with \(N\)-policy. Zbl 0986.60089Lee, Ho Woo; Ahn, Boo Yong; Park, No Ik 25 2001 Simulation of the asymptotic constant in some fluid models. Zbl 1039.60040Dȩbicki, Krzysztof; Michna, Zbigniew; Rolski, Tomasz 25 2003 Limit theorems for marked Hawkes processes with application to a risk model. Zbl 1325.60025Karabash, Dmytro; Zhu, Lingjiong 23 2015 Sufficient conditions for a geometric tail in a QBD process with many countable levels and phases. Zbl 1065.60133Haque, Lani; Zhao, Yiqiang Q.; Liu, Liming 23 2005 A unified queue length formula for \(BMAP/G/1\) queue with generalized vacations. Zbl 1013.60063Chang, Seok Ho; Takine, Tetsuya; Chae, Kyung Chul; Lee, Ho Woo 22 2002 Gaussian approximation of conditional elliptical random vectors. Zbl 1144.60019Hashorva, Enkelejd 22 2006 Optimal proportional reinsurance and ruin probability. Zbl 1253.60092Liang, Zhibin; Guo, Junyi 22 2007 Transient analysis of fluid models via elementary level-crossing arguments. Zbl 1350.60095Ahn, Soohan; Ramaswami, V. 21 2006 Parameter estimation for the square-root diffusions: Ergodic and nonergodic cases. Zbl 06117449Ben Alaya, Mohamed; Kebaier, Ahmed 21 2012 A new type of discrete self-decomposability and its application to continuous-time Markov processes for modeling count data time series. Zbl 1022.60075Zhu, Rong; Joe, Harry 21 2003 Matrix-exponential distributions: Calculus and interpretations via flows. Zbl 1020.60005Bladt, Mogens; Neuts, Marcel F. 20 2003 The conditional distribution of the residual service time in the \(M_n/G/1\) queue. Zbl 1155.60040Kerner, Yoav 20 2008 Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals. Zbl 1061.60089Li, Quan-Lin; Cao, Jinhua 20 2004 A retrial queue with a constant retrial rate, server downs and impatient customers. Zbl 1069.60076Li, Hui; Zhao, Yiqiang Q. 20 2005 Copulas: a review and recent developments. Zbl 1120.60006Kolev, Nikolai; Dos Anjos, Ulisses; Mendes, Beatriz Vaz de M. 19 2006 \(\beta\)-invariant measures for transition matrices of GI/M/1 type. Zbl 1020.60088Li, Quan-Lin; Zhao, Yiqiang Q. 19 2003 The extremal dependence measure and asymptotic independence. Zbl 1054.62063Resnick, Sidney 19 2004 Polling with batch service. Zbl 1158.60040Boxma, Onno; van der Wal, Jan; Yechiali, Uri 18 2008 The unreliable \(M/M/1\) retrial queue in a random environment. Zbl 1237.60070Cordeiro, James D.; Kharoufeh, Jeffrey P. 18 2012 Non-hyperbolicity of random graphs with given expected degrees. Zbl 1280.05125Shang, Yilun 18 2013 Empirical testing of the infinite source Poisson data traffic model. Zbl 1048.62080Guerin, C. A.; Nyberg, H.; Perrin, O.; Resnick, S.; Rootzén, H.; Stărică, C. 17 2003 The \(Geo/G/1\) queue with disasters and multiple working vacations. Zbl 1153.60395Xi, Xeung Won; Kim, Jin Dong; Choi, Dae Won; Chae, Kyung Chul 17 2007 Convergence in the Wasserstein metric for Markov chain Monte Carlo algorithms with applications to image restoration. Zbl 1062.60070Gibbs, Alison L. 17 2004 Perturbation bounds for \(M _{ t }/M _{ t }/N\) queue with catastrophes. Zbl 1243.60076Zeifman, Alexander; Korotysheva, Anna 17 2012 The effect of new links on Google PageRank. Zbl 1094.68005Avrachenkov, Konstantin; Litvak, Nelly 17 2006 Self-similarity and Lamperti transformation for random fields. Zbl 1125.60046Genton, Marc G.; Perrin, Olivier; Taqqu, Murad S. 16 2007 Localizable moving average symmetric stable and multistable processes. Zbl 1221.60049Falconer, Kenneth J.; Le Guével, Ronan; Lévy-Véhel, Jacques 15 2009 The Geo/G/1 queue with negative customers and disasters. Zbl 1190.60088Park, Hyun Min; Yang, Won Seok; Chae, Kyung Chul 15 2009 The Israeli Queue with priorities. Zbl 1274.60277Perel, Nir; Yechiali, Uri 15 2013 Admission policies for a two class loss system. Zbl 0995.60086Örmeci, E. Lerzan; Burnetas, Apostolos; van der Wal, Jan 14 2001 Risk measures and robust optimization problems. Zbl 1211.91151Schied, Alexander 14 2006 Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not? Zbl 1235.62056Chakrabarty, Arijit; Samorodnitsky, Gennady 14 2012 Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096Thonhauser, Stefan; Albrecher, Hansjörg 14 2011 Multivariate matrix-exponential distributions. Zbl 1196.60021Bladt, Mogens; Nielsen, Bo Friis 14 2010 Fluid models with jumps. Zbl 1065.60141Tzenova, Elena I.; Adan, Ivo J. B. F.; Kulkarni, Vidyadhar G. 14 2005 Characterizing the BMAP/MAP/1 departure process via the etaqa truncation. Zbl 1090.90044Zhang, Qi; Heindl, Armin; Smirni, Evgenia 14 2005 Quasi-birth-and-death processes with an explicit rate matrix. Zbl 1115.60070van Leeuwaarden, J. S. H.; Winands, E. M. M. 13 2006 Hidden regular variation and detection of hidden risks. Zbl 1230.91080Mitra, Abhimanyu; Resnick, Sidney I. 13 2011 On asymptotics of multivariate integrals with applications to records. Zbl 0999.60043Hashorva, Enkelejd; Hüsler, Jürg 13 2002 The severity of ruin in a discrete semi-Markov risk model. Zbl 1011.91056Reinhard, J. M.; Snoussi, M. 13 2002 Markov repairable systems with history-dependent up and down states. Zbl 1162.90408Cui, Lirong; Li, Haijun; Li, Jinlin 13 2007 Queue length analysis of MAP/G/1 queue under \(D\)-policy. Zbl 1073.60088Lee, Ho Woo; Song, Kyoung Seok 13 2004 A stochastic two-dimensional fluid model. Zbl 1267.60082Bean, Nigel G.; O’Reilly, Małgorzata M. 13 2013 Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 13 2005 Fitting with matrix-exponential distributions. Zbl 1065.62097Fackrell, Mark 13 2005 An RG-factorization approach for a BMAP/M/1 generalized processor-sharing queue. Zbl 1069.60077Li, Quan-Lin; Lian, Zhaotong; Liu, Liming 13 2005 Optimal dividend strategy in the compound Poisson model with constant interest. Zbl 1291.91105Fang, Ying; Wu, Rong 12 2007 Characterization of matrix-exponential distributions. Zbl 1148.60005Bean, Nigel G.; Fackrell, Mark; Taylor, Peter 12 2008 Multistable processes and localizability. Zbl 1270.60047Falconer, Kenneth; Liu, Lining 12 2012 Two-sided reflection of Markov-modulated Brownian motion. Zbl 1255.60161D’Auria, B.; Ivanovs, J.; Kella, O.; Mandjes, M. 12 2012 Time to reach buffer capacity in a BMAP queue. Zbl 1127.68011Chydzinski, Andrzej 12 2007 Product form models for queueing networks with an inventory. Zbl 1172.60028Schwarz, Maike; Wichelhaus, Cornelia; Daduna, Hans 12 2007 SDP vs. LP relaxations for the moment approach in some performance evaluation problems. Zbl 1067.60059Lasserre, Jean-Bernard; Prieto-Rumeau, Tomás 12 2004 Strong approximations for time-varying infinite-server queues with non-renewal arrival and service processes. Zbl 1391.60224Ko, Young Myoung; Pender, Jamol 11 2018 Stability for fluid queues: characteristic inequalities. Zbl 1271.60097Govorun, Maria; Latouche, Guy; Remiche, Marie-Ange 11 2013 Optimisation in non-life insurance. Zbl 1107.93036Schmidli, Hanspeter 10 2006 The batch Markovian arrival process subject to renewal generated geometric catastrophes. Zbl 1125.60093Economou, A.; Gómez-Corral, A. 10 2007 Limit theorems and absorption problems for one-dimensional correlated random walks. Zbl 1161.60309Konno, Norio 10 2009 Optimal routing among \(\cdot\)/M/1 queues with partial information. Zbl 1060.60087Altman, E.; Jiménez, T.; Núñez-Queija, R.; Yechiali, U. 10 2004 Optimal inventory policies under stochastic production and demand rates. Zbl 1274.90035Yan, K.; Kulkarni, V. 10 2008 Quasi-birth-and-death processes with rational arrival process components. Zbl 1204.60069Bean, N. G.; Nielsen, B. F. 10 2010 Limit conditional distributions for bivariate vectors with polar representation. Zbl 1195.60025Fougères, Anne-Laure; Soulier, Philippe 10 2010 Spectral polynomial algorithms for computing bi-diagonal representations for phase type distributions and matrix-exponential distributions. Zbl 1094.60055He, Qi-Ming; Zhang, Hanqin 10 2006 Asymptotic behaviors of the loss probability for a finite buffer queue with QBD structure. Zbl 1115.60092Miyazawa, Masakiyo; Sakuma, Yutaka; Yamaguchi, Shuhei 9 2007 Measures of dependence for stable AR(1) models with time-varying coefficients. Zbl 1135.60028Nowicka-Zagrajek, J.; Wyłomańska, A. 9 2008 An infinite-phase quasi-birth-and-death model for the non-preemptive priority M/PH/1 queue. Zbl 1009.60080Isotupa, K. P. Sapna; Stanford, David A. 9 2002 Two-queue polling systems with switching policy based on the queue that is not being served. Zbl 1387.60138Perel, Efrat; Yechiali, Uri 9 2017 A weak convergence criterion for constructing changes of measure. Zbl 1339.60047Blanchet, Jose; Ruf, Johannes 9 2016 Sojourn times in non-homogeneous QBD processes with processor sharing. Zbl 0994.90052Núñez-Queija, Rudesindo 9 2001 The group inverse of finite homogeneous QBD processes. Zbl 1005.60093da Silva Soares, Ana; Latouche, Guy 9 2002 \(PH\)-invariant polytopes and Coxian representations of phase type distributions. Zbl 1159.60340He, Qi-Ming; Zhang, Hanqin 9 2006 Extremes of stationary sequences with failures. Zbl 1138.62026Hall, Andreia; Hüsler, Jürg 9 2006 Utility maximization under bounded expected loss. Zbl 1187.91198Gabih, Abdelali; Sass, Jörn; Wunderlich, Ralf 9 2009 The uniform local asymptotics of the overshoot of a random walk with heavy-tailed increments. Zbl 1172.60013Chen, Guochun; Wang, Yuebao; Cheng, Fengyang 9 2009 Analysis of queues with Markovian service processes. Zbl 1060.60090Ozawa, Toshihisa 9 2004 Time-scaling limits for Markov-modulated infinite-server queues. Zbl 1271.60096Blom, J.; Mandjes, M.; Thorsdottir, H. 9 2013 Population genetics models with skewed fertilities: a forward and backward analysis. Zbl 1367.92074Huillet, Thierry; Möhle, Martin 9 2011 Bilateral phase type distributions. Zbl 1069.60011Ahn, Soohan; Ramaswami, V. 9 2005 BMAP/G/1 queue under \(D\)-policy: queue length analysis. Zbl 1069.60075Lee, Ho Woo; Baek, Jung Woo 9 2005 Hitting and ruin probabilities for compound Poisson processes and the cycle maximum of the M/G/1 queue. Zbl 1013.60070Perry, D.; Stadje, W.; Zacks, S. 8 2002 Stability and performance of stack algorithms for random access communication modeled as a tree structured QBD Markov chain. Zbl 1017.90009Van Houdt, B.; Blondia, C. 8 2001 Functional limit theorems for the multi-dimensional elephant random walk. Zbl 1490.60105Bertenghi, Marco 4 2022 Late levels of nested occupancy scheme in random environment. Zbl 1494.60031Iksanov, Alexander; Mallein, Bastien 1 2022 First passage time density of an Ornstein-Uhlenbeck process with broken drift. Zbl 1491.60137Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Dorobantu, Diana; Gay, Laura 1 2022 Double-sided queues with marked Markovian arrival processes and abandonment. Zbl 1469.60295Wu, Haoran; He, Qi-Ming 3 2021 Two queues with time-limited polling and workload-dependent service speeds. Zbl 1469.60283Boxma, O. J.; Saxena, M.; Janssen, A. J. E. M. 2 2021 Growth of common friends in a preferential attachment model. Zbl 1471.91392Das, Bikramjit; Ghosh, Souvik 1 2021 Markov modulated fluid network process: tail asymptotics of the stationary distribution. Zbl 1469.60296Miyazawa, Masakiyo 1 2021 Parameter estimation for multivariate population processes: a saddlepoint approach. Zbl 1473.62291de Gunst, Mathisca; Hautphenne, Sophie; Mandjes, Michel; Sollie, Birgit 1 2021 Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound. Zbl 1434.60217Nie, Yutian; Linetsky, Vadim 6 2020 High order concentrated matrix-exponential distributions. Zbl 1448.60034Horváth, Gábor; Horváth, Illés; Telek, Miklós 6 2020 Modeling and analysis of block arrival times in the bitcoin blockchain. Zbl 1468.60059Bowden, R.; Keeler, H. P.; Krzesinski, A. E.; Taylor, P. G. 4 2020 Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps. Zbl 1451.60087Palmowski, Zbigniew; Vatamidou, Eleni 3 2020 Volatility estimation in fractional Ornstein-Uhlenbeck models. Zbl 1437.60023Bajja, Salwa; Es-Sebaiy, Khalifa; Viitasaari, Lauri 2 2020 A further study of some Markovian bitcoin models from Göbel et al. Zbl 1443.60072Javier, Kayla; Fralix, Brian 2 2020 Ruin probabilities for risk processes in a bipartite network. Zbl 1468.60058Behme, Anita; Klüppelberg, Claudia; Reinert, Gesine 2 2020 Separable models for interconnected production-inventory systems. Zbl 1440.60081Otten, Sonja; Krenzler, Ruslan; Daduna, Hans 1 2020 Nonparametric relative recursive regression estimators for censored data. Zbl 1466.62279Slaoui, Yousri 1 2020 Lundberg-type inequalities for non-homogeneous risk models. Zbl 1465.91034Zhou, Qianqian; Sakhanenko, Alexander; Guo, Junyi 1 2020 A central limit theorem for punctuated equilibrium. Zbl 1469.60072Bartoszek, K. 1 2020 Branching processes in varying environment with generation-dependent immigration. Zbl 1478.60234González, M.; Kersting, G.; Minuesa, C.; del Puerto, I. 4 2019 Multi operator-stable random measures and fields. Zbl 1472.60032Kremer, Dustin; Scheffler, Hans-Peter 3 2019 A bitcoin-inspired infinite-server model with a random fluid limit. Zbl 1423.60139Frolkova, Maria; Mandjes, Michel 3 2019 The covariance of the backward and forward recurrence times in a renewal process: the stationary case and asymptotics for the ordinary case. Zbl 1488.60210Losidis, Sotirios; Politis, Konstadinos 2 2019 On the lifetime of a size-dependent branching process. Zbl 1481.60179Högnäs, Göran 2 2019 Sample paths of continuous-state branching processes with dependent immigration. Zbl 1481.60180Li, Zenghu 2 2019 Poisson random measures and critical Sevastyanov branching processes. Zbl 1477.60130Slavtchova-Bojkova, Maroussia; Yanev, Nikolay M. 2 2019 Branching random walks and their applications for epidemic modeling. Zbl 1479.60182Ermakova, Elizaveta; Makhmutova, Polina; Yarovaya, Elena 2 2019 Equivalent measure changes for subordinate diffusions. Zbl 07130984Li, Lingfei; Mendoza-Arriaga, Rafael 1 2019 Finite horizon optimal execution with bounded rate of transaction. Zbl 1430.91102Yang, Yipeng 1 2019 Asymptotic degree distribution in preferential attachment graph models with multiple type edges. Zbl 1427.05206Backhausz, Agnes; Rozner, Bence 1 2019 Regularly varying nonstationary second-order Galton-Watson processes with immigration. Zbl 1503.60118Bősze, Zsuzsanna; Pap, Gyula 1 2019 Diffusion approximation of near critical branching processes in fixed and random environment. Zbl 1478.60236Limnios, Nikolaos; Yarovaya, Elena 1 2019 Forefather distribution in a variant of Galton-Watson branching process. Zbl 1479.60178Laha, Arnab Kumar; Yadav, Sumit Kumar 1 2019 Multi-type age-dependent branching processes as models of metastasis evolution. Zbl 1466.60181Slavtchova-Bojkova, Maroussia; Vitanov, Kaloyan 1 2019 Ancestral inference for branching processes in random environments and an application to polymerase chain reaction. Zbl 1426.62248Vidyashankar, Anand N.; Li, Lei 1 2019 Strong approximations for time-varying infinite-server queues with non-renewal arrival and service processes. Zbl 1391.60224Ko, Young Myoung; Pender, Jamol 11 2018 A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068Asmussen, Søren; Ivanovs, Jevgenijs 5 2018 On the genealogy and coalescence times of Bienaymé-Galton-Watson branching processes. Zbl 1390.60311Grosjean, Nicolas; Huillet, Thierry 5 2018 Ruin problem of a two-dimensional fractional Brownian motion risk process. Zbl 1386.60138Ji, Lanpeng; Robert, Stephan 5 2018 Sojourn time in a \(M^{[X]}/M/1\) processor sharing queue with batch arrivals. Zbl 1403.60077Guillemin, Fabrice; Quintuna Rodriguez, Veronika Karina; Simonian, Alain 4 2018 The variance constant for continuous-time level dependent quasi-birth-and-death processes. Zbl 1386.60262Liu, Yuanyuan; Wang, Pengfei; Zhao, Yiqiang Q. 4 2018 Computing the conditional stationary distribution in Markov chains of level-dependent \(\mathrm{M}/\mathrm{G}/1\)-type. Zbl 1391.60223Kimura, Masatoshi; Takine, Tetsuya 4 2018 MAP fitting by count and inter-arrival moment matching. Zbl 1403.60080Nasr, Walid W.; Charanek, Ali; Maddah, Bacel 3 2018 Robustness of power-law behavior in cascading line failure models. Zbl 1386.90038Sloothaak, F.; Borst, S. C.; Zwart, B. 3 2018 Self-stabilizing processes. Zbl 1411.60057Falconer, K. J.; Lévy Véhel, J. 2 2018 Heavy traffic analysis of a polling model with retrials and glue periods. Zbl 1411.90085Abidini, Murtuza Ali; Dorsman, Jan-Pieter; Resing, Jacques 2 2018 Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate. Zbl 1386.93305Eisenberg, Julia 2 2018 Maximizing survival time in a random walk on an interval. Zbl 1391.60087Kubicka, Ewa M.; Kubicki, Grzegorz; Kuchta, Małgorzata; Morayne, Michał 2 2018 Efficient simulation of tail probabilities in a queueing model with heterogeneous servers. Zbl 1391.60225Kuhn, Julia; Mandjes, Michel 2 2018 Control of a tandem queue with a startup cost for the second server. Zbl 1403.60078Hristov, A.; Bhulai, S.; van der Mei, R. D.; Bosman, J. W. 1 2018 Cross-infection in epidemics spread by carriers. Zbl 1391.60187Lefèvre, Claude; Simon, Matthieu 1 2018 Sojourn time in an \(\mathrm{M}/\mathrm{M}/1\) processor sharing queue with permanent customers. Zbl 1386.60317Guillemin, Fabrice; Slim, Farah 1 2018 Two-queue polling systems with switching policy based on the queue that is not being served. Zbl 1387.60138Perel, Efrat; Yechiali, Uri 9 2017 A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion. Zbl 1361.60070Ahn, Soohan; Ramaswami, V. 7 2017 Asymptotic normality of in- and out-degree counts in a preferential attachment model. Zbl 1367.05091Wang, Tiandong; Resnick, Sidney I. 6 2017 Matrix geometric approach for random walks: stability condition and equilibrium distribution. Zbl 1383.60038Kapodistria, Stella; Palmowski, Zbigniew 5 2017 Routing in a queueing system with two heterogeneous servers in speed and in quality of resolution. Zbl 1380.90092Legros, Benjamin; Jouini, Oualid 5 2017 Multi-class \(\mathrm{M}/\mathrm{PH}/1\) queues with deterministic impatience times. Zbl 1361.60085Sakuma, Yutaka; Takine, Tetsuya 5 2017 Slowing time: Markov-modulated Brownian motions with a sticky boundary. Zbl 1370.60138Latouche, Guy; Nguyen, Giang T. 5 2017 First hitting time of integral diffusions and applications. Zbl 1380.60073Cui, Zhenyu; Nguyen, Duy 4 2017 Ergodicity and truncation bounds for inhomogeneous birth and death processes with additional transitions from and to origin. Zbl 1383.60067Zeifman, Alexander; Korotysheva, Anna; Satin, Yacov; Razumchik, Rostislav; Korolev, Victor; Shorgin, Sergey 3 2017 Defective Galton-Watson processes. Zbl 1387.60124Sagitov, Serik; Minuesa, Carmen 3 2017 Perturbation analysis of Markov modulated fluid models. Zbl 1383.60075Dendievel, Sarah; Latouche, Guy 2 2017 On the generalized reward generator for stochastic fluid models: a new equation for \(\Psi\). Zbl 1395.60089Samuelson, Aviva; O’Reilly, Małgorzata M.; Bean, Nigel G. 2 2017 Stationary distributions for a class of Markov-modulated tandem fluid queues. Zbl 1395.60088O’Reilly, Małgorzata M.; Scheinhardt, Werner 2 2017 A computational algorithm for the loss probability in the \(\mathrm{M}/\mathrm{G}/1+\mathrm{PH}\) queue. Zbl 1361.60083Inoue, Yoshiaki; Takine, Tetsuya 2 2017 Heavy traffic analysis of roving server networks. Zbl 1370.60161Boon, M. A. A.; van der Mei, R. D.; Winands, E. M. M. 2 2017 Stationary analysis of the “shortest queue first” service policy: the asymmetric case. Zbl 1370.60168Guillemin, Fabrice; Simonian, Alain 2 2017 Stochastic monotonicity and comparability of Markov chains with block-monotone transition matrices and their applications to queueing systems. Zbl 1387.90073Yu, Hai-Bo 1 2017 On the arbitrage price of European call options. Zbl 1378.91119Ernst, Philip 1 2017 Infinite-time absolute ruin in dependent renewal risk models with constant force of interest. Zbl 1359.62459Liu, Jiajun; Yang, Yang 1 2017 A delayed dual risk model. Zbl 1360.91098Zhu, Lingjiong 1 2017 A weak convergence criterion for constructing changes of measure. Zbl 1339.60047Blanchet, Jose; Ruf, Johannes 9 2016 Analysis of some ruin-related quantities in a Markov-modulated risk model. Zbl 1344.60075Li, Jingchao; Dickson, David C. M.; Li, Shuanming 7 2016 A new look at Markov processes of \(\mathrm{G}/\mathrm{M}/1\)-type. Zbl 1339.60112Joyner, Jason; Fralix, Brian 7 2016 Reflected BSDE of Wiener-Poisson type in time-dependent domains. Zbl 1339.60075Nyström, K.; Olofsson, M. 4 2016 Self-exciting threshold models for time series of counts with a finite range. Zbl 1345.60080Möller, Tobias A. 4 2016 The snowball effect of customer slowdown in critical many-server systems. Zbl 1342.60129Selen, Jori; Adan, Ivo J. B. F.; Kulkarni, Vidyadhar G.; van Leeuwaarden, Johan S. H. 3 2016 On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures. Zbl 1342.60018Korolev, V. Yu.; Zeifman, A. I. 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 1342.60055Ahn, Soohan 3 2016 Markov-modulated infinite-server queues driven by a common background process. Zbl 1339.60134Mandjes, Michel; De Turck, Koen 3 2016 An \((s, k, S)\) fluid inventory model with exponential leadtimes and order cancellations. Zbl 1339.60128Barron, Y. 3 2016 Stability in distribution of Markov-modulated stochastic differential delay equations with reflection. Zbl 1342.60088Bo, Lijun; Yuan, Chenggui 2 2016 Transient analysis of one-sided Lévy-driven queues. Zbl 1342.60070Starreveld, N. J.; Bekker, R.; Mandjes, M. 2 2016 Delay analysis of a discrete-time \(\mathrm{GI} - \mathrm{GI} - 1\) queue with reservation-based priority scheduling. Zbl 1339.60133Feyaerts, B.; De Vuyst, S.; Bruneel, H.; Wittevrongel, S. 2 2016 Further properties of a random graph with duplications and deletions. Zbl 1338.05240Backhausz, Ágnes; Móri, Tamás F. 2 2016 Prediction in a mixed Poisson cluster model. Zbl 1344.60049Matsui, Muneya; Rolski, Tomasz 1 2016 Persistence and existence of stationary measures for a logistic growth model with predation. Zbl 1343.92434Pinheiro, Susana 1 2016 A multidimensional ruin problem and an associated notion of duality. Zbl 1415.91161Ramasubramanian, S. 1 2016 Optimal hedging through limit orders. Zbl 1415.91275Agliardi, Rossella 1 2016 A semi-explicit density function for Kulkarni’s bivariate phase-type distribution. Zbl 1344.60022Breuer, Lothar 1 2016 On a general mixed priority queue with server discretion. Zbl 1345.60105Fajardo, Val Andrei; Drekic, Steve 1 2016 Decay property of stopped Markovian bulk-arriving queues with \(c\)-servers. Zbl 1357.60101Li, Junping; Zhang, Lina 1 2016 Affine LIBOR models driven by real-valued affine processes. Zbl 1414.91395Müller, Wolfgang; Waldenberger, Stefan 1 2016 On the use of functional calculus for phase-type and related distributions. Zbl 1348.60120Bladt, Mogens; Navarro, Azucena Campillo; Nielsen, Bo Friis 1 2016 Diffusion approximations for insurance risk processes. Zbl 1337.60184Basu, Ranojoy 1 2016 Limit theorems for marked Hawkes processes with application to a risk model. Zbl 1325.60025Karabash, Dmytro; Zhu, Lingjiong 23 2015 Optimal multiple trading times under the exponential OU model with transaction costs. Zbl 1337.60074Leung, Tim; Li, Xin; Wang, Zheng 8 2015 Queueing systems of INAR(1) processes with compound Poisson arrivals. Zbl 1329.60323Schweer, Sebastian; Wichelhaus, Cornelia 6 2015 Dynamic limit growth indices in discrete time. Zbl 1338.91158Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin 5 2015 ...and 348 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,885 Authors 42 Hashorva, Enkelejd 38 Mandjes, Michel Robertus Hendrikus 33 Yang, Yang 26 Resnick, Sidney Ira 24 Zhao, Yiqiang Q. 22 Latouche, Guy 22 Šiaulys, Jonas 21 Ahn, Soohan 21 Boxma, Onno Johan 20 Jiang, Tao 20 Yuen, Kam Chuen 19 Bruneel, Herwig 19 Wang, Yuebao 18 Lee, Ho Woo 18 Li, Quanlin 17 Adan, Ivo J. B. F. 17 Dębicki, Krzysztof 17 Gupta, Umesh Chandra 17 He, Qi-Ming 17 Telek, Miklós 16 Bean, Nigel G. 16 Gao, Qingwu 16 Leipus, Remigijus 16 O’Reilly, Małgorzata M. 16 Tang, Qihe 15 Bini, Dario Andrea 15 Cheung, Ka Chun 15 Magdziarz, Marcin 15 Zeifman, Alexander Izrailevich 14 Dhaene, Jan 14 Krishnamoorthy, Achyutha 14 Meini, Beatrice 14 Taylor, Peter Gerrard 14 Wang, Dingcheng 14 Wang, Kaiyong 14 Yin, Chuancun 13 Albrecher, Hansjörg 13 Cheung, Eric C. K. 13 Palmowski, Zbigniew 13 Rodríguez García, José Manuel 13 Takine, Tetsuya 13 Vanduffel, Steven 13 Zhu, Lingjiong 12 Cui, Lirong 12 Masuyama, Hiroyuki 12 Miyazawa, Masakiyo 12 Pap, Gyula 12 Perry, David 12 Ramaswami, Vaidyanathan 12 Stadje, Wolfgang 11 Barczy, Mátyás 11 Guillemin, Fabrice M. 11 Ji, Lanpeng 11 Korolev, Viktor Yur’evich 11 Li, Jinzhu 11 Liu, Liwei 11 Van Houdt, Benny 11 Zacks, Shelemyahu 10 Badescu, Andrei L. 10 Baek, Jung Woo 10 Banik, Abhijit Datta 10 Barron, Yonit 10 Bladt, Mogens 10 Guo, Junyi 10 Kempa, Wojciech M. 10 Lee, Se Won 10 Walraevens, Joris 10 Weiß, Christian H. 10 Wittevrongel, Sabine 9 Avram, Florin 9 Blom, Joke G. 9 Chaudhry, Mohan L. 9 De Turck, Koen 9 Di Crescenzo, Antonio 9 Fu, Ke’ang 9 Horváth, Gábor 9 Huillet, Thierry E. 9 Leung, Tim 9 Liu, Zaiming 9 Méléard, Sylvie 9 Nguyen, Giang Thu 9 Pender, Jamol 9 Seol, Youngsoo 9 Yechiali, Uri 8 Alfa, Attahiru Sule 8 Chydzinski, Andrzej 8 Dshalalow, Jewgeni H. 8 Fei, Weiyin 8 Ghosh, Souvik 8 Glynn, Peter W. 8 Guo, Fenglong 8 Ivanovs, Jevgeņijs 8 Lambert, Amaury 8 Liang, Zhibin 8 Nielsen, Bo Friis 8 Sakuma, Yutaka 8 Shajin, Dhanya 8 Steyaert, Bart 8 Wang, Ruodu 8 Wyłomańska, Agnieszka ...and 2,785 more Authors all top 5 Cited in 343 Journals 175 Stochastic Models 145 Queueing Systems 128 Insurance Mathematics & Economics 82 Statistics & Probability Letters 73 Methodology and Computing in Applied Probability 72 Journal of Applied Probability 68 Communications in Statistics. Theory and Methods 63 Advances in Applied Probability 61 Annals of Operations Research 61 Stochastic Processes and their Applications 44 European Journal of Operational Research 36 Journal of Computational and Applied Mathematics 36 Extremes 33 Scandinavian Actuarial Journal 32 The Annals of Applied Probability 30 Journal of Mathematical Analysis and Applications 29 Probability in the Engineering and Informational Sciences 27 Operations Research Letters 26 Stochastic Analysis and Applications 24 Journal of Statistical Physics 24 Applied Mathematics and Computation 24 Journal of Industrial and Management Optimization 22 Bernoulli 22 Mathematical Problems in Engineering 22 Mathematical Methods of Operations Research 20 Journal of Mathematical Biology 20 Lithuanian Mathematical Journal 20 Computers & Operations Research 17 Journal of Multivariate Analysis 17 Applied Mathematical Modelling 17 ASTIN Bulletin 17 Stochastics 16 Journal of Statistical Planning and Inference 15 Top 15 Journal of the Korean Statistical Society 13 Journal of Theoretical Probability 13 Communications in Statistics. 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Series B (English Edition) 8 Electronic Journal of Probability 8 Discrete Dynamics in Nature and Society 8 International Journal of Theoretical and Applied Finance 8 Journal of Theoretical Biology 7 Applied Mathematics and Optimization 7 Optimization 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 Statistics and Computing 6 Probability and Mathematical Statistics 6 Statistics 6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 6 Acta Mathematica Sinica. English Series 6 ALEA. Latin American Journal of Probability and Mathematical Statistics 6 Frontiers of Mathematics in China 6 European Actuarial Journal 6 Statistics & Risk Modeling 5 Discrete Applied Mathematics 5 Annals of the Institute of Statistical Mathematics 5 Journal of Optimization Theory and Applications 5 Numerische Mathematik 5 Theoretical Population Biology 5 Acta Applicandae Mathematicae 5 SIAM Review 5 Cybernetics and Systems Analysis 5 SIAM Journal on Scientific Computing 5 INFORMS Journal on Computing 5 Finance and Stochastics 5 Abstract and Applied Analysis 5 Journal of Inequalities and Applications 5 Quantum Information Processing 5 4OR 5 Electronic Journal of Statistics 5 International Journal of Stochastic Analysis 5 Journal of Probability and Statistics 5 Symmetry 5 Open Mathematics 4 Mathematical Biosciences 4 The Annals of Probability 4 Ricerche di Matematica ...and 243 more Journals all top 5 Cited in 48 Fields 1,724 Probability theory and stochastic processes (60-XX) 674 Operations research, mathematical programming (90-XX) 632 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 553 Statistics (62-XX) 170 Computer science (68-XX) 160 Numerical analysis (65-XX) 136 Biology and other natural sciences (92-XX) 115 Systems theory; control (93-XX) 60 Partial differential equations (35-XX) 45 Combinatorics (05-XX) 40 Linear and multilinear algebra; matrix theory (15-XX) 40 Calculus of variations and optimal control; optimization (49-XX) 40 Statistical mechanics, structure of matter (82-XX) 24 Dynamical systems and ergodic theory (37-XX) 22 Ordinary differential equations (34-XX) 17 Operator theory (47-XX) 16 Integral equations (45-XX) 14 Integral transforms, operational calculus (44-XX) 14 Information and communication theory, circuits (94-XX) 13 Measure and integration (28-XX) 9 Special functions (33-XX) 9 Fluid mechanics (76-XX) 8 Harmonic analysis on Euclidean spaces (42-XX) 7 Real functions (26-XX) 7 Functional analysis (46-XX) 7 Quantum theory (81-XX) 6 Number theory (11-XX) 4 Functions of a complex variable (30-XX) 4 Approximations and expansions (41-XX) 3 Difference and functional equations (39-XX) 3 Sequences, series, summability (40-XX) 3 Convex and discrete geometry (52-XX) 3 Differential geometry (53-XX) 3 General topology (54-XX) 2 Associative rings and algebras (16-XX) 2 Geometry (51-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 Algebraic topology (55-XX) 1 Mechanics of deformable solids (74-XX) Citations by Year