A stochastic card balance management problem with continuous and batch-type bilateral transactions
Operations Research Perspectives, 2023 We study a stochastic continuous-review card balance management problem with two transaction patterns, namely, continuous and batch-type bilateral transactions, both in a Markovian environment.
Yonit Barron
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On the relations between increasing functions associated with two-parameter continuous martingales
Stochastic Processes and their Applications, 1990 Let \((\Omega,{\mathcal F},P,({\mathcal F}_ z)_{z\in T})\), \(T=[0,1]^ 2\), be a stochastic two-parameter basis satisfying the usual (F1)-(F4) conditions of Cairoli and Walsh. Let also M be a two-parameter continuous martingale bounded in \(L^ 2\) and null on the axes. Then \(M^ 2\) has the following Doob-Meyer decomposition: \[ M^ 2_{st}=2\int^{s}_{0}\
Nualart, D., Sanz, M., Zakai, M.
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Vector valued unified martingale and ergodic theorems with continuous parameter
, 2020 11 ...
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Local Time for Two-Parameter Continuous Martingales with Respect to the Quadratic Variation
The Annals of Probability, 1988 The author studies the local time for two-parameter continuous martingales M as a density of the ``measure of sojourn time'' with respect to the quadratic variation \(\). First she shows that there exists a process \(\{L(x,s,t);\) \(x\in {\mathbb{R}}\setminus \{0\},\) \((s,t)\in {\mathbb{R}}^ 2_+\}\) satisfying the occupation density formula and which ...
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Stochastic Processes and their Applications, 1994 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Infinite-server systems with Hawkes arrivals and Hawkes services. [PDF]
Queueing Syst, 2022 Selvamuthu D, Tardelli P.
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Dynamical analysis of a stochastic delayed SIR epidemic model with vertical transmission and vaccination. [PDF]
Adv Contin Discret Model, 2022 Zhang X, Liu M.
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Epidemic threshold of a COVID-19 model with gaussian white noise and semi-Markov switching. [PDF]
J Franklin Inst, 2023 Sun Q, Tan D, Zhang S.
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Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes. [PDF]
Entropy (Basel), 2021 Miao L, Liu Z, Hu Y.
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Dynamical Properties of Two Diffusion Sir Epidemic Model with Markovian Switching
, 2023 Milunovic M.
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