Results 11 to 20 of about 86 (86)
A nonuniform bound for the approximation of Poisson binomial by Poisson distribution
International Journal of Mathematics and Mathematical Sciences, Volume 2003, Issue 48, Page 3041-3046, 2003., 2003 It is well known that Poisson binomial distribution can be approximated by Poisson distribution. In this paper, we give a nonuniform bound of this approximation by using Stein‐Chen method.
K. Neammanee
wiley +1 more source
New continuity estimates of geometric sums
International Journal of Stochastic Analysis, Volume 15, Issue 3, Page 219-233, 2002., 2002 The paper deals with sums of a random number of independent and identically distributed random variables. More specifically, we compare two such sums, which differ from each other in the distributions of their summands. New upper bounds (inequalities) for the uniform distance between distributions of sums are established.
Evgueni Gordienko, Juan Ruiz de Chávez
wiley +1 more source
International Journal of Stochastic Analysis, Volume 9, Issue 4, Page 415-426, 1996., 1996 Let {ζ(u), u ≥ 0} be a stochastic process with state space A ∪ B where A and B are disjoint sets. Denote by β(t) the total time spent in state B in the interval (0, t). This paper deals with the problem of finding the distribution of β(t) and the asymptotic distribution of β(t) as t → ∞ for various types of stochastic processes.
Lajos Takács
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International Journal of Stochastic Analysis, Volume 7, Issue 3, Page 215-237, 1994., 1994 This paper, written in honor of the 70th birthday of Lajos Takács, addresses his life and work, and includes some personal observations and appreciation of his contributions. In particular, it includes a short biography, an informal discussion of some of his major research areas (queueing, fluctuations, waiting time processes, and random rooted trees),
Jewgeni H. Dshalalow, Ryszard Syski
wiley +1 more source
An edgeworth expansion for a sum of M‐Dependent random variables
International Journal of Mathematics and Mathematical Sciences, Volume 8, Issue 3, Page 563-569, 1985., 1985 Given a sequence X1, X2, …, Xn of m‐dependent random variables with moments of order 3 + α (0 < α≦1), we give an Edgeworth expansion of the distribution of Sσ−1(S = X1 + X2 + …+Xn, σ2 = ES2) under the assumption that E[exp(it Sσ1)] is small away from the origin. The result is of the best possible order.
Wan Soo Rhee
wiley +1 more source
A discrete Itô calculus approach to He’s framework for multi-factor discrete markets [PDF]
Discrete Itô formula, Finite difference scheme, Discrete-time multi-asset market, Primary 91B28, Secondary 60G50, 65C20, 60F99,
Jirô Akahori
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Time spent in a ball by a critical branching random walk [PDF]
, 2022 We study a critical branching random walk on Z d. We focus on the tail of the time spent in a ball, and our study, in dimension four and higher, sheds new light on the recent result of Angel, Hutchcroft and Jarai [AHJ21], in particular on the special ...
Schapira, Bruno, Asselah, Amine
core
On the Local Time of Anisotropic Random Walk on Z2 [PDF]
We study the local time of the anisotropic random walk on the two-dimensional lattice Z2 , by establishing the exact asymptotic behavior of the N- step return probability to the origin.
Csáki, Endre, Földes, Antónia
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Large deviations for heavy-tailed random sums in compound renewal [PDF]
, 2020 In the present paper we investigate the precise large deviations for heavy-tailed random sums. First, we obtain a result which improves the relative result in Kl uppelberg and Mikosch (J. Appl. Probab. 34 (1997) 293).
Tao Jiang +3 more
core
A law of the iterated logarithm for small counts in Karlin’s occupancy scheme
Modern Stochastics: Theory and ApplicationsIn the Karlin infinite occupancy scheme, balls are thrown independently into an infinite array of boxes $1,2,\dots $ , with probability ${p_{k}}$ of hitting the box k.
Alexander Iksanov, Valeriya Kotelnikova
doaj +1 more source