We study a piece-wise deterministic Markov process having jumps of i.i.d. sizes with a constant intensity and decaying at a constant rate (a special case of a storage process with a general release rule). Necessary and ...
The paper deals with the problem of finding an optimal one-time rebalancing strategy assuming that in the BlackâScholes model the drift term of the stock may change its value spontaneously at some random non-observable ...
We study entanglement-assisted quantum and classical communication over a single use of a quantum channel, which itself can correspond to a finite number of uses of a channel with arbitrarily correlated noise. We obtain ...
In this paper, we use Fredholm second kind integral equations method to solve the corresponding Average Run Length (ARL), when the observations of a random process are serially-correlated. We derive explicit expressions ...
Sukparungsee, S; Novikov, A(King Mongkut's Institute of Technology, Ladkrabang, Thailand, 2006-01)
Using martingale technique wepresent analytic approximation and exact lower bounds for the expectation of the first passage times of an Exponentially Weighted Moving Average (EWMA) procedure used for monitoring changes in ...
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption ...
We consider a parametrization of the Heath-Jarrow-Morton (HJM) family of term structure of interest rate models that allows a finite-dimensional Markovian representation of the stochastic dynamics. This parametrization ...
This is an expos\'e on the use of O'Sullivan penalised splines in contemporary semiparametric regression, including mixed model and Bayesian formulations. O'Sullivan penalised splines are similar to P-splines, but have an ...
The Region Connection Calculus (RCC) is perhaps the most influential topological relation calculus. Based on the first-order logic, the RCC, however, does not fully meet the needs of applications where the vagueness of ...
Li, W; Rychlik, M; Szidarovszky, F; Chiarella, C(2003-06)
The attractivity properties of the set of equilibria of a special class of homogeneous dynamic economic systems are examined. The nonlinearity of the models and the presence of eigenvalues with zero real parts make the ...
Regions of anomalous localized resonance, such as occurring near superlenses, are shown to lead to cloaking effects. This occurs when the resonant field generated by a polarizable line or point dipole acts back on the ...
The importance of relational methods in temporal and spatial reasoning has been widely recognised in the last two decades. A quite large part of contemporary spatial reasoning is concerned with the research of relation ...
Linear bilevel programming theory has been studied for many years by a number of researchers from different aspects, yet it still remains to some extent unsatisfactory and incomplete. The main challenge is how to solve a ...
In this paper distributions are identified which suitably fit log-returns of the world stock index when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized ...