Results 11 to 20 of about 20,578,832 (349)

On stochastic integration for volatility modulated Levy-driven Volterra processes [PDF]

, 2013
10.08.12 KB. Copyright belongs with authors submitted to arXiv under CC licence. Ok to add to Spiral.This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra () processes.
Barndorff-Nielsen, OE, Veraart, AED, Benth, FE, Pedersen, J   +3 more
core   +1 more source

Detecting an Unknown Abrupt Change in the Band Center of the Fast-Fluctuating Gaussian Random Process

Measurement Science Review, 2020
The generalized maximum likelihood algorithm is introduced for detecting the abrupt change in the band center of a fast-fluctuating Gaussian random process with the uniform spectral density.
Chernoyarov Oleg, Demina Tatiana, Kabanov Yuri, Makarov Alexander   +3 more
doaj   +1 more source

MEXIT : Maximal un-coupling times for stochastic processes [PDF]

, 2018
Classical coupling constructions arrange for copies of the same Markov process started at two dif- ferent initial states to become equal as soon as possible.
Rosenthal, Jeff S., Rosenthal, Jeffrey S., Rosenthal, Jeffrey S, Kendall, Wilfrid S, Ernst, Philip A., Kendall, W. S., Roberts, Gareth O., Jeffrey S. Rosenthal, Philip A. Ernst, Roberts, Gareth O, Kendall, Wilfrid S., Wilfrid S. Kendall, Gareth O. Roberts, Ernst, Philip A   +13 more
core   +1 more source

On Frequency Estimation for Partially Observed System with Small Noises in State and Observation Equations

Communications, 2018
We consider the problem of frequency estimation of the periodic signal multiplied by a Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise.
Oleg V. Chernoyarov, Yury A. Kutoyants, Mariana Marcokova   +2 more
doaj   +1 more source

The number of overtakes in an M/M/2 queue

Operations Research Perspectives, 2018
The phenomenon of overtaking in queueing systems and queueing networks has been addressed by several authors with various motivations in the last decades. Nevertheless, up to now, for the relatively simple M/M/2/FCFS queue, the distribution of the number
Hendrik Baumann, Berenice Anne Neumann
doaj   +1 more source

The expected discrimination frequency for two-server queues

Operations Research Perspectives, 2018
Fairness measures for queues were introduced for measuring the individual satisfaction of human customers with respect to the waiting experience. The measure which performs best in some sense is the expected discrimination frequency (DF).
Berenice Anne Neumann, Hendrik Baumann
doaj   +1 more source

Equilibrium stochastic delay processes

New Journal of Physics, 2022
Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur.
Viktor Holubec, Artem Ryabov, Sarah A M Loos, Klaus Kroy   +3 more
doaj   +1 more source

A posteriori error estimation for stochastic static problems [PDF]

, 2014
To solve stochastic static field problems, a discretization by the Finite Element Method can be used. A system of equations is obtained with the unknowns (scalar potential at nodes for example) being random variables. To solve this stochastic system, the
MAC, Hung, CLENET, Stephane
core   +1 more source

Errata: Communications - Scientific Letters of the University of Zilina, Vol. 20, No.1, 2018, "On Frequency Estimation for Partially Observed System with Small Noises in State and Observation Equations", pp. 67-72.

Communications, 2018
Errata: Communications - Scientific Letters of the University of Zilina, Vol. 20, No.1, 2018, "On Frequency Estimation for Partially Observed System with Small Noises in State and Observation Equations", pp. 67-72. The third author should have the number
Oleg V. Chernoyarov, Yury A. Kutoyants, Mariana Marcokova   +2 more
doaj   +1 more source

Markov processes of cubic stochastic matrices: Quadratic stochastic processes

Linear Algebra and its Applications, 2019
We consider Markov processes of cubic stochastic (in a fixed sense) matrices which are also called quadratic stochastic process (QSPs). A QSP is a particular case of a continuous-time dynamical system whose states are stochastic cubic matrices satisfying an analogue of the Kolmogorov-Chapman equation (KCE).
J.M. Casas, M. Ladra, U.A. Rozikov
openaire   +2 more sources