Results 71 to 80 of about 63,363 (219)

Fractional models of seismoacoustic and electromagnetic activity

E3S Web of Conferences, 2017
Statistical models of the seismoacoustic and electromagnetic activity caused by deformation disturbances are considered on the basis of compound Poisson process and its fractional generalizations. Wave representations of these processes are used too.
Shevtsov Boris, Sheremetyeva Olga
doaj   +1 more source

Nonparametric Bayesian inference for multidimensional compound Poisson processes

Modern Stochastics: Theory and Applications, 2015
Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density $r_{0}$ and intensity $\lambda _{0}$.
Shota Gugushvili, Frank van der Meulen, Peter Spreij   +2 more
doaj   +1 more source

Exchange Options Under Jump-Diffusion Dynamics [PDF]

Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components.
Carl Chiarella, Gerald H. L. Cheang
core  

A regional compound Poisson process for hurricane and tropical storm damage [PDF]

, 2016
Simon Mak, Derek Bingham, Yi Lu
openalex   +1 more source

Continuous Time Autoregressive Moving Average Processes Driven by Semi-Levy Process

پژوهش‌های ریاضی, 2020
Introduction A flexible and tractable class of linear models is Autoregressive moving average (ARMA) process that are in effect of discrete noises.  The continuous time ARMA (CARMA) processes have wide applications in many data modeling where are more ...
Navideh Modarresi, Saeid Rezakhah, Shirin Shoaee   +2 more
doaj  

On Maximal Inequalities for some Jump Processes [PDF]

We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth
Pavel V. Gapeev
core  

First passage processes in Queuing system MX/Gr/1 with service delay discipline

International Journal of Mathematics and Mathematical Sciences, 1994
This article deals with a general single-server bulk queueing system with a server waiting until the queue will reach level r before it starts processing customers.
Lev Abolnikov, Jewgeni H. Dshalalow, Alexander M. Dukhovny   +2 more
doaj   +1 more source

Confidence bounds for compound Poisson process

Statistical Papers
AbstractThe compound Poisson process (CPP) is a common mathematical model for describing many phenomena in medicine, reliability theory and risk theory. However, in the case of low-frequency phenomena, we are often unable to collect a sufficiently large database to conduct analysis.
Marek Skarupski, Qinhao Wu
openaire   +1 more source

On the Queue Length Distribution in BMAP Systems

Journal of Communications Software and Systems, 2006
Batch Markovian Arrival Process – BMAP – is a teletraffic model which combines high ability to imitate complexstatistical behaviour of network traces with relative simplicity in analysis and simulation.
Andrzej Chydzinski
doaj  

A change of measures technique for compound mixed renewal processes with applications in Risk Theory

Modern Stochastics: Theory and Applications
Given a compound mixed renewal process S under a probability measure P, we provide a characterization of all progressively equivalent martingale probability measures Q on the domain of P, that convert S into a compound mixed Poisson process.
Spyridon M. Tzaninis, Nikolaos D. Macheras   +1 more
doaj   +1 more source