A fast EM algorithm for fitting marked Markovian arrival processes with a new special structure [PDF]
, 2013 This paper presents an EM algorithm for fitting traces with Markovian arrival processes (MAPs). The proposed algorithm operates on a special subclass of MAPs.
Horváth, Gábor
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Finite dimensional Markovian realizations for stochastic volatility forward rate models [PDF]
We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process.
Björk, Tomas +2 more
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Stability criteria for controlled queueing networks [PDF]
, 2006 We give criteria for the stability of a very general queueing model under different levels of control. A complete classification of stability (or positive recurrence), transience and null-recurrence is presented for the two queue model. The stability and
Müller, Lisa Johanna
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Spatial Synchronous Markovian Arrival Orocess (Spatial SynchMAP)
This paper introduces and analyzes the Spatial Synchronous Markovian Arrival Process (Spatial SynchMAP), a novel extension of classical Markovian arrival processes that simultaneously captures temporal dynamics through a finite state space {1, ...,K ...
Dinata Syalam Ali Wira
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On Filtering in Markovian Term Structure Models (An Approximation Approach) [PDF]
We study a nonlinear filtering problem to estimate, on the basis of noisy observations of forward rates, the market price of interest rate risk as well as the parameters in a particular term structure model within the Heath-Jarrow-Morton family.
Sara Pasquali +2 more
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Reliability and performance modeling of an M[X]/G(a,b)/1 retrial queue with re-service and Balking behavior under working vacation policy. [PDF]
PLoS OneS S, S N.
europepmc +1 more source
Output stream analysis in a queueing model with working vacation mechanism as a power reduction strategy. [PDF]
PLoS OneKobielnik M, Kempa WM.
europepmc +1 more source
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model [PDF]
In this paper, a class of forward rate dependent Markovian transformations of the Heth-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations.
Oh-Kang Kwon, Carl Chiarella
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Flips reveal the universal impact of memory on random explorations. [PDF]
Nat CommunBrémont J +4 more
europepmc +1 more source
Departure Process of Actively Managed Queue with Dependent Job Sizes. [PDF]
Entropy (Basel)Chydzinski A.
europepmc +1 more source