Results 101 to 110 of about 657 (192)

MODELLING OF NON‐MARKOVIAN QUEUING SYSTEMS

Technological and Economic Development of Economy, 2006
The purpose of this paper is to suggest a method and software for evaluating queuing approximations. A numerical queuing model with priorities is used to explore the behaviour of exponential phase‐type approximation of service‐time distribution. The performance of queuing systems described in the event language is used for generating the set of states ...
Mickevičius, Giedrius, Valakevičius, Eimutis, Vilniaus Gedimino technikos universitetas   +2 more
openaire   +4 more sources

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

Asymptotic non-Markovianity

, 2016
The paper contains misleading statements on the behavior of quantum channels in the asymptotic regime, in relation with the enhancement of quantum technology tasks.
Petrillo, Giuseppe, Torre, Gianpaolo, Illuminati, Fabrizio   +2 more
openaire   +2 more sources

Multiple-scale perturbation method on integro-differential equations: Application to continuous-time quantum walks on regular networks in non-Markovian reservoirs

Physical Review Research, 2019
Non-Markovianity may significantly speed up quantum dynamics when the system interacts strongly with an infinite large reservoir, of which the coupling spectrum should be fine-tuned. The potential benefits are evident in many dynamics schemes, especially
Xiangyi Meng, Yang Li, Jian-Wei Zhang, Hong Guo, H. Eugene Stanley   +4 more
doaj   +1 more source

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Catch and release of propagating bosonic field with non-Markovian giant atom

New Journal of Physics
The non-Markovianity of physical systems is considered to be a valuable resource that has potential applications to quantum information processing. The control of traveling quantum fields encoded with information (flying qubit) is crucial for quantum ...
Luting Xu, Lingzhen Guo
doaj   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Never, Ever Getting Started: On Prospect Theory Without Commitment

Mathematical Finance, EarlyView.
ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley   +1 more source

Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling

Mathematical Finance, EarlyView.
ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici, Gianluca Fusai, Anna Maria Gambaro, Daniele Marazzina   +3 more
wiley   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, EarlyView.
ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source