A Markovian Defaultable Term Structure Model with State Dependent Volatilities [PDF]
The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, jarrow and Morton (1992) framework where jumps in the defaultable term structure f d(t, T) cause jumps and defaults to the defaultable ...
Christina Nikitopoulos-Sklibosios +2 more
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Robust normalization and guaranteed cost control for a class of uncertain singular Markovian jump systems via hybrid impulsive control [PDF]
, 2013 This paper investigates the problem of robust normalization and guaranteed cost control for a class of uncertain singular Markovian jump systems. The uncertainties exhibit in both system matrices and transition rate matrix of the Markovian chain.
Yan, Xinggang, Zhang, Qingling, Lv, Hui
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A Fluid Queue Driven by a Markovian Queue
, 1997 We consider a fluid queue receiving its input from the output of a Markovian queue with finite or infinite waiting room. The input rate of the fluid queue is characterized by a Markov modulated rate process. We derive a new approach for the computation of the stationary buffer content. This approach leads to a numerically stable algorithm for which the
Sericola, Bruno, Tuffin, Bruno
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Setting staffing requirements for time-dependent queueing networks: the case of accident and emergency departments [PDF]
, 2012 An incentive scheme aimed at reducing patients’ waiting times in accident and emergency departments was introduced by the UK government in 2000. It requires 98% of patients to be discharged, transferred, or admitted to inpatient care within 4 hours of ...
Dave Worthington +6 more
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On Markov Chains with Uncertain Data [PDF]
In this paper, a general method is described to determine uncertainty intervals for performance measures of Markov chains given an uncertainty region for the parameters of the Markov chains.
Blanc, J.P.C., Hertog, D. den
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Order Book Queue Hawkes Markovian Modeling
SIAM Journal on Financial MathematicsThis article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price changes after their arrivals.
Philip Protter +2 more
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Queue lengths and waiting times in the two-class two-server queue with nonpreemptive heterogeneous priority structures. [PDF]
Our aim is to analyze a multiserver queue with nonpreemptive heterogeneous priority structures, which arises in the performance evaluation of batch initiator settings n MVS.
Leemans, Herlinde, Dedene, Guido
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On the Overflow Process from a Finite Markovian Queue
Performance Evaluation, 1984 The distribution time between overflows for a single server Markovian queueing system with finite waiting room and state-dependent service and arrival rates is determined. The result is used to analyze a GI/M/\(\infty\) system where the arrival process is the over flow from the M/M/\({\mathcal A}/r\) queue.
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Superinfection and the hypnozoite reservoir for Plasmodium vivax: a general framework. [PDF]
J Math Biol, 2023 Mehra S, McCaw JM, Taylor PG.
europepmc +1 more source
A matrix-geometric solution for the multiserver nonpreemptive priority queueing model with mixed priorities. [PDF]
This paper describes the analysis of multiserver queues with nonpreemptive mixed priorities. Such priority structures occur, for example, in initiator settings within the mainframe operating system MVS: job classes have to be assigned to initiators and ...
Leemans, Herlinde, Dedene, Guido
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