Results 21 to 30 of about 13,654 (302)
Optimal control of compound Poisson processes [PDF]
ITM Web of Conferences, 2022 The problem of controlling a compound Poisson process until it leaves an interval is considered. This type of problem is known as a homing problem. To determine the value of the optimal control, we must solve a nonlinear integro-differential equation ...
Lefebvre Mario
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Theorems on large deviations for the sum of random number of summands
Lietuvos Matematikos Rinkinys, 2010 In this paper, we present the rate of convergence of normal approximation and the theorem on large deviations for a compound process Zt = \sumNt i=1 t aiXi, where Z0 = 0 and ai > 0, of weighted independent identically distributed random variables Xi, i =
Aurelija Kasparavičiūtė +1 more
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Modern Stochastics: Theory and Applications, 2020 Generalizing earlier work of Delbaen and Haezendonck for given compound renewal process S under a probability measure P we characterize all probability measures Q on the domain of P such that Q and P are progressively equivalent and S remains a compound ...
Nikolaos D. Macheras +1 more
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Journal of Traffic and Transportation Engineering (English ed. Online), 2022 Existing structures may suffer from resistance deterioration due to repeated attacks. The modeling of resistance deterioration is a critical ingredient in the reliability assessment and service life prediction of these degraded structures. In this paper,
Cao Wang
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Wavelet Compressibility of Compound Poisson Processes
CoRR, 2020 In this paper, we precisely quantify the wavelet compressibility of compound Poisson processes. To that end, we expand the given random process over the Haar wavelet basis and we analyse its asymptotic approximation properties. By only considering the nonzero wavelet coefficients up to a given scale, what we call the greedy approximation, we exploit ...
Shayan Aziznejad, Julien Fageot
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Spatial modelling of claim frequency and claim size in insurance [PDF]
, 2005 In this paper models for claim frequency and claim size in non-life insurance are considered. Both covariates and spatial random e ects are included allowing the modelling of a spatial dependency pattern.
Gschlößl, Susanne, Czado, Claudia
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Zanco Journal of Humanity Sciences, 2022 In this research we have dealt with the number of customers (cars) arrive at Periodic vehicles Inspection (PVI) company in Erbil city according to poisson process, service time follows an exponential distribution and the number of cars that require ...
Bestun Merza Abdul-Kareem +1 more
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Compositions of Poisson and Gamma processes
Modern Stochastics: Theory and Applications, 2017 In the paper we study the models of time-changed Poisson and Skellam-type processes, where the role of time is played by compound Poisson-Gamma subordinators and their inverse (or first passage time) processes.
Khrystyna Buchak, Lyudmyla Sakhno
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Properties of Poisson processes directed by compound Poisson-Gamma subordinators [PDF]
Modern Stochastics: Theory and Applications, 2018 Published at https://doi.org/10.15559/18-VMSTA101 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)
Khrystyna Buchak, Lyudmyla Sakhno
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Variance Gamma (nonlocal) equations
Modern Stochastics: Theory and Applications, 2023 Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case ...
Fausto Colantoni
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