Zobrazeno 1 - 10 of 156 pro vyhledávání: '"Bert Zwart"'
1
Akademický článek
Mean square convergence rates for maximum quasi-likelihood estimator
Autor: Arnoud V. den Boer, Bert Zwart
Publikováno v: Stochastic Systems, Vol 4, Iss 2, Pp 375-403 (2015)
In this note we study the behavior of maximum quasilikelihood estimators (MQLEs) for a class of statistical models, in which only knowledge about the first two moments of the response variable is assumed. This class includes, but is not restricted to
Externí odkaz: https://doaj.org/article/007f40b298ae4ed89464fb15b11b64d3
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2
Akademický článek
Wiener-Hopf factorizations for a multidimensional Markov additive process and their applications to reflected processes
Autor: Masakiyo Miyazawa, Bert Zwart
Publikováno v: Stochastic Systems, Vol 2, Iss 1, Pp 67-114 (2012)
We extend the framework of Neuts' matrix analytic approach to a reflected process generated by a discrete time multidimensional Markov additive process. This Markov additive process has a general background state space and a real vector valued additi
Externí odkaz: https://doaj.org/article/4d6f5625f47a4b6b9413faccf16826e8
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3
Modeling and demonstrating the effect of human decisions on the distribution grid
Autor: Sjoerd C. Doumen, Jens Hönen, Phuong Nguyen, Johann L. Hurink, Bert Zwart, Koen Kok
Demand-side management methods such as flexibility and local electricity market studies often do not include varying human decisions, guided by behavior and preference, and the effect these have on the markets and, consequently, on the load of the di
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65d2eb2937b9e0b151a28093429949e0
https://ir.cwi.nl/pub/32993
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4
A classification scheme for local energy trading
Autor: Jens Hönen, Johann L. Hurink, Bert Zwart
Publikováno v: OR Spectrum, 45, 85-118. Springer
OR Spectrum, 45, 85-118
The current trend towards more renewable and sustainable energy generation leads to an increased interest in new energy management systems and the concept of a smart grid. One important aspect of this is local energy trading, which is an extension of
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::083aa16f60d10d3f8269e3131065ffe2
https://research.utwente.nl/en/publications/4ec65347-4c44-4477-a72c-ea4242aa8ddb
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6
A Fluid Model of an Electric Vehicle Charging Network
Autor: Angelos Aveklouris, Maria Vlasiou, Bert Zwart
Publikováno v: Stochastic systems, 12(2), 151-180. INFORMS Institute for Operations Research and the Management Sciences
Pure TUe
Maria Vlasiou
Stochastic Systems, 12(2), 151-180
arXiv, 2020:2004.05637. Cornell University Library
Stochastic Systems, 12(2), 151-180. INFORMS Institute for Operations Research and the Management Sciences
We develop and analyze a measure-valued fluid model keeping track of parking and charging requirements of electric vehicles in a local distribution grid. We show how this model arises as an accumulation point of an appropriately scaled sequence of st
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f40146ccd53b3be1399ee9323c36730
https://research.utwente.nl/en/publications/88613c1d-2351-4469-9344-929b9006fbb2
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7
Large fork-join queues with nearly deterministic arrival and service times
Autor: Dennis Schol, Maria Vlasiou, Bert Zwart
Publikováno v: Mathematics of Operations Research, 47(2), 1335-1364. INFORMS Institute for Operations Research and the Management Sciences
Mathematics of Operations Research, 47(2), 1335-1364
Mathematics of operations research, 47(2), 1335-1364. INFORMS Institute for Operations Research and the Management Sciences
In this paper, we study an $N$ server fork-join queue with nearly deterministic arrival and service times. Specifically, we present a fluid limit for the maximum queue length as $N\to\infty$. This fluid limit depends on the initial number of tasks. I
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f4ad0adb72ff1db3b22b5690a77b9e4
https://research.tue.nl/nl/publications/4ea5c801-d9e0-4509-86ae-29aefc48bb3a
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8
Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
Autor: Ayan Bhattacharya, Zbigniew Palmowski, Bert Zwart
Publikováno v: Electronic Journal of Probability, 27, 1-25
We consider the sample average of a centered random walk in $\mathbb{R}^d$ with regularly varying step size distribution. For the first exit time from a compact convex set $A$ not containing the origin, we show that its tail is of lognormal type. Mor
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2395e7ff547474d1f0e5c0fb49d4e547
https://ir.cwi.nl/pub/31629
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9
Sample path large deviations for Lévy processes and random walks with Weibull increments
Autor: Bert Zwart, Jose Blanchet, Chang-Han Rhee, Mihail Bazhba
Publikováno v: Ann. Appl. Probab. 30, no. 6 (2020), 2695-2739
Annals of Applied Probability, 30(6), 2695-2739. Institute of Mathematical Statistics
Annals of Applied Probability, 30(6), 2695-2739
We study sample-path large deviations for Levy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. Our main results include an extended form of an LDP (large deviations principle) in the J1 topology, and a f
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::55465138f1b3eef44876f847f0fc85df
https://ir.cwi.nl/pub/30412
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10
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Autor: Bert Zwart, Eleni Vatamidou, Bohan Chen, Hansjörg Albrecher
Publikováno v: Journal of Applied Probability, 57(2), 513-530. University of Sheffield
Journal of Applied Probability, 57(2), 513-530
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show that for regularly varying claim sizes the probability of ruin after rei
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::94bb96557c61ce847247c5126a92aa67
https://doi.org/10.1017/jpr.2020.8
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