Results 11 to 20 of about 1,179 (57)
Two‐step procedures in Palm theory
International Journal of Stochastic Analysis, Volume 14, Issue 1, Page 75-92, 2001., 2001 Random time changes (RTCs) are right‐continuous and non‐decreasing random functions passing the zero‐level at 0. The behavior of such systems can be studied from a randomly chosen time‐point and from a randomly chosen level. From the first point of view, the probability characteristics are described by the time‐stationary distribution P.
Gert Nieuwenhuis
wiley +1 more source
The structure distribution in a mixed Poisson process
International Journal of Stochastic Analysis, Volume 9, Issue 4, Page 489-496, 1996., 1996 We use a variety of real inversion formulas to derive the structure distribution in a mixed Poisson process. These approaches should prove to be useful in applications, e.g., in insurance where such processes are very popular. This article is dedicated to the memory of Roland L. Dobrushin.
Jozef L. Teugels, Petra Vynckier
wiley +1 more source
Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps [PDF]
, 2014 In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function ...
Zhu, Lingjiong
core +1 more source
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
Multi-condition of stability for nonlinear stochastic non-autonomous delay differential equation [PDF]
, 2018 A nonlinear stochastic differential equation with the order of nonlinearity higher than one, with several discrete and distributed delays and time varying coefficients is considered.
Shaikhet, Leonid
core +2 more sources
On Markovian traffic with applications to TES processes
International Journal of Stochastic Analysis, Volume 7, Issue 3, Page 373-396, 1994., 1994 Markov processes are an important ingredient in a variety of stochastic applications. Notable instances include queueing systems and traffic processes offered to them. This paper is concerned with Markovian traffic, i.e., traffic processes whose inter‐arrival times (separating the time points of discrete arrivals) form a real‐valued Markov chain.
David L. Jagerman, Benjamin Melamed
wiley +1 more source
Counting processes with Bern\v{s}tein intertimes and random jumps [PDF]
, 2014 We consider here point processes $N^f(t)$, $t>0$, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bern\v{s}tein functions $f$ with L\'evy measure $\nu$.
Orsingher, Enzo, Toaldo, Bruno
core +1 more source
On revelation transforms that characterize probability distributions
International Journal of Stochastic Analysis, Volume 6, Issue 4, Page 345-357, 1993., 1993 A characterization of exponential, geometric and of distributions with almost‐lack‐of‐memory property, based on the “revelation transform of probability distributions” and “relevation of random variables” is discussed. Known characterizations of the exponential distribution on the base of relevation transforms given by Grosswald et al. [4], and Lau and
S. Chukova, B. Dimitrov, J.-P. Dion
wiley +1 more source
Correlated fractional counting processes on a finite time interval [PDF]
, 2014 We present some correlated fractional counting processes on a finite time interval. This will be done by considering a slight generalization of the processes in Borges et al. (2012).
Beghin, Luisa +2 more
core +1 more source
Deterministic Thinning of Finite Poisson Processes [PDF]
, 2009 Let Pi and Gamma be homogeneous Poisson point processes on a fixed set of finite volume. We prove a necessary and sufficient condition on the two intensities for the existence of a coupling of Pi and Gamma such that Gamma is a deterministic function of ...
Angel, Omer +2 more
core +3 more sources