Probability and Mathematical Statistics, 37, z. 2, 2017, ss.319

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On the joint distribution of tax payments and capital injections for a Lévy risk model

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.1

AbstractPobierz artykułPobierz artykuł

Two-sided reflection, finite buffer, dividends, net present value, scale functions

The SI and SIR epidemics on general networks

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.2

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SI epidemic, SIR epidemic

Tail asymptotics of light-tailed Weibull-like sums

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.3

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Gumbel MDA, Laplace transform, rareevent simulation, sums of of random variables, Weibull distribution.

Two queues with random time-limited polling

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.4

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Polling model, workload decomposition, heavy traffic, heavy tail asymptotics, singular perturbation analysis, timescale separation, geometric ergodicity

Renewal function asymptotics refined à la Feller

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.5

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Renewal function, asymptotics of refined iterates, moment condition

On extremal index of max-stable stationary pro­cesses

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.6

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Extremal index, mean cluster index, Pickands constant, M3 representation, Brown–Resnick stationary, maxstable process, Gaussian process, Lévy process

Two-dimensional ruin probability for subexponential claim size

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.7

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Two-dimensional risk process, ruin probability, subexponential distribution

Recurrence classification for a family of non-linear storage models

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.8

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Markov chains, storage theory, positive recurrence, Lyapunov functions

Distance covariance for stochastic processes

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.9

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Empirical characteristic function, distance covariance, stochastic process, test of independence

Remarks on Pickands’ theorem

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.10

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Stationary Gaussian process, supremum of a process, Pickands constant, fractional Brownian motion

Martingale approach for tail asymptotic problems in the gener­alized Jackson network

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.11

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Generalized Jackson network, stationary distribution, tail asymptotic, piecewise deterministic Markov process, martingale, change of measure, instability

Tail asymptotics of signal-to-interference ratio dis­tribution in spatial cellular network models

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.12

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Spatial point processes, cellular networks, tail asymptotics, signal-to-interference ratio, determinantal point processes

A note on first passage probabilities of a Lévy process reflected at a general barrier

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.13

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Reflected Lévy process, Central Limit Theorem, asymptotics, first passage probability

A point process approach for spatial stochastic modeling of thunderstorm cells

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.14

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Stochastic modeling, Cox process, cluster process, germ-grain model, Monte Carlo simulation, thunderstorm cell

Heavy-traffic approx­imations for a layered network with limited resources

DOI: http://dx.doi.org/10.19195/0208-4147.37.2.15

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Layered queueing network, limited processor sharing, fluid model, diffusion approximation, heavy traffic

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