Results 221 to 230 of about 259,656 (266)

The probability of ruin in a process with dependent increments

Insurance: Mathematics and Economics, 1991
\textit{H. U. Gerber} [ibid. 1, 177-184 (1982; Zbl 0505.62086)] developed some ruin theory in models where the periodic gains are not independent, but it is assumed that the underlying random variables are bounded. It is the main aim of the present paper to remove this boundedness restriction.
S. David Promislow
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CONVERGENCE TO A PROCESS WITH INDEPENDENT INCREMENTS IN A SCHEME OF INCREASING SUMS OF DEPENDENT RANDOM VARIABLES

Mathematics of the USSR-Sbornik, 1974
This article derives conditions under which a sequence of random set functions on subsets of a finite-dimensional space constructed in terms of increasing sums of dependent nonnegative random variables converges (in the sense of convergence of finite-dimensional distributions) to a random set function with independent increments which have infinitely ...
V G Mihaĭlov
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Parameter Estimation in Damage Processes: Dependent Observation of Damage Increments and First Passage Time

, 1998
Waltraud Kahle, Axel Lehmann
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Reliability analysis for systems subject to mutually dependent degradation and shock processes

Proceedings of the Institution of Mechanical Engineers. Part O, Journal of risk and reliability, 2021
This paper studies the reliability problem for systems subject to two types of dependent competing failure processes, that is, soft failure and hard failure processes.
Lina Bian, G. Wang, Fengjun Duan
semanticscholar   +1 more source

Queues with path-dependent arrival processes

Journal of Applied Probability, 2021
We study the transient and limiting behavior of a queue with a Pólya arrival process. The Pólya process is interesting because it exhibits path-dependent behavior, e.g.
K. Fendick, W. Whitt
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Anomalous diffusion and nonergodicity for heterogeneous diffusion processes with fractional Gaussian noise.

Physical Review E, 2020
Heterogeneous diffusion processes (HDPs) feature a space-dependent diffusivity of the form D(x)=D_{0}|x|^{α}. Such processes yield anomalous diffusion and weak ergodicity breaking, the asymptotic disparity between ensemble and time averaged observables ...
Wei Wang, Andrey G. Cherstvy, Xianbin Liu, R. Metzler   +3 more
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Fractional a-stable process with dependent increments and its application to network traffic modeling

, 2011
D’Apice C, Khokhlov Y, PAGANO, MICHELE, Sidorova O.   +3 more
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BROWNIAN MOTION MINUS THE INDEPENDENT INCREMENTS: REPRESENTATION AND QUEUING APPLICATION

Probability in the engineering and informational sciences (Print), 2020
This paper relaxes assumptions defining multivariate Brownian motion (BM) to construct processes with dependent increments as tractable models for problems in engineering and management science.
K. Fendick
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Elementary renewal theorems for widely dependent random variables with applications to precise large deviations

Communications in Statistics - Theory and Methods, 2020
On the basis of Wang and Cheng (J. Math. Anal. Appl. 384 (2011) 597–606), this paper further investigates elementary renewal theorems for counting processes generated by random walks with widely orthant dependent increments.
Yuebao Wang, Dongya Cheng
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Estimation of model parameters of dependent processes constructed using Lévy Copulas

Communications in statistics. Simulation and computation, 2019
The degradations of engineering components can be dependent. This study considers that a d-dimensional subordinator constructed based on Lévy copula can be used to model the dependency.
Wenjun Jiang, H. Hong, Jiandong Ren
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