Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Djilali Ait Aoudia"'
Autor:
Djilali Ait-Aoudia
Publikováno v:
Abstract and Applied Analysis, Vol 2016 (2016)
This paper investigates the two-sided first exit problem for a jump process having jumps with rational Laplace transform. The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional. Also, we deri
Externí odkaz:
https://doaj.org/article/28a0047c2eaa44759b8d052b93e42b32
Publikováno v:
Statistics & Probability Letters. 119:1-10
Distributional results are obtained for runs of length 2 in Bernoulli arrays X k , j with multinomial distributed rows. These include a multivariate Poisson mixture representation with Dirichlet mixing for the joint distribution of the number of runs
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::df77e0d01020677a751a0b4663a55a8c
https://doi.org/10.1016/j.spl.2016.07.009
https://doi.org/10.1016/j.spl.2016.07.009
Publikováno v:
Applied Mathematical Finance. 23:1-21
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::234e8e173f426e151058d5b93cfb2985
https://doi.org/10.1080/1350486x.2016.1145066
https://doi.org/10.1080/1350486x.2016.1145066
Autor:
Djilali Ait Aoudia, Eric Marchand
Publikováno v:
The American Statistician. 68:170-173
We introduce a family of bivariate discrete distributions whose members are generated by a decreasing mass function p, and with margins given by p. Several properties and examples are obtained, including a family of seemingly novel bivariate Poisson
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3928b5aec89698c015b5f7826c837e88
https://doi.org/10.1080/00031305.2014.904250
https://doi.org/10.1080/00031305.2014.904250
Autor:
Mario Lefebvre, Djilali Ait Aoudia
Publikováno v:
International Journal of Systems Science. 43:1943-1949
Let X t denote the remaining useful lifetime of a machine, and Y t be a standard Brownian motion. Assume that the derivative ρ[ X t , Y t ] of X t is a deterministic function of at least Y t . We consider the two-dimensional degenerate diffusion pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::389561a09c67f13b1eb36128c87362d3
https://doi.org/10.1080/00207721.2011.563870
https://doi.org/10.1080/00207721.2011.563870
Autor:
Djilali Ait Aoudia, François Perron
Publikováno v:
Applied Mathematics. :2118-2122
In this paper, we propose a new class of discrete time stochastic processes generated by a two-color generalized Polya urn, that is reinforced every time. A single urn contains a white balls, b black balls and evolves as follows: at discrete times n=
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1199c2c7413f4bf6f923291f800b055b
https://doi.org/10.4236/am.2012.312a292
https://doi.org/10.4236/am.2012.312a292
Autor:
Djilali Ait Aoudia, Eric Marchand
Publikováno v:
Journal of Applied Probability. 47:367-377
We introduce and motivate the study of (n + 1) × r arrays X with Bernoulli entries X k,j and independently distributed rows. We study the distribution of which denotes the number of consecutive pairs of successes (or runs of length 2) when reading t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3a561044f07edff3f1f2a506ce2d9cf1
https://doi.org/10.1017/s0021900200006690
https://doi.org/10.1017/s0021900200006690
Publikováno v:
Electron. Commun. Probab.
Distributional findings are obtained relative to various quantities arising in Bernoulli arrays $\{ X_{k,j}, k \geq 1, j =1, \ldots, r+1\}$, where the rows $(X_{k,1}, \ldots, X_{k,r+1})$ are independently distributed as $\hbox{Multinomial}(1,p_{k,1},
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e2a16a8ec373734e66c5d9b697e25a18
http://projecteuclid.org/euclid.ecp/1465316710
http://projecteuclid.org/euclid.ecp/1465316710
