Zobrazeno 1 - 10
of 38
pro vyhledávání: '"Ludolf Erwin Meester"'
Autor:
Ludolf Erwin Meester, Jasper Anderluh
Publikováno v:
The Journal of Derivatives. 21:75-88
Monte Carlo simulation is generally required when a derivaMonte Carlo simulation is generally required when a derivative’s payoff is path dependent. For many such instruments, the payoff depends on whether the price of the underlying reaches a stop
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9c7de9f1c9e482412b8b8db1994d8c6e
https://doi.org/10.3905/jod.2013.21.2.075
https://doi.org/10.3905/jod.2013.21.2.075
Publikováno v:
Concurrency and Computation: Practice and Experience. 25:899-917
As peer-to-peer (P2P) file-sharing systems revolve around cooperation, the design of upload incentives has been one of the most important topics in P2P research for more than a decade. Several deployed systems, such as private BitTorrent communities,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::162970bc6c377dc56dbd77cfd04a46b2
https://doi.org/10.1002/cpe.2856
https://doi.org/10.1002/cpe.2856
Autor:
Sander Muns, Ludolf Erwin Meester
Publikováno v:
Transportation Research Part B: Methodological. 41:218-230
It is difficult to analyse stochastic models for the propagation of delays in railway networks. It seems that the choice is between very global mathematical (queueing) models at one extreme and simulation models at the other. In this paper we discuss
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62a1258a5c8b990f4253429e11eca5c6
https://doi.org/10.1016/j.trb.2006.02.007
https://doi.org/10.1016/j.trb.2006.02.007
Publikováno v:
Advances in Applied Probability. Volume 35, Number 2 (2003), 363-376.
This paper studies path lengths in random binary search trees under the random permutation model. It is known that the total path length, when properly normalized, converges almost surely to a nondegenerate random variable Z. The limit distribution i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f2b45d56bb7a50090a3d31076cb205d
https://doi.org/10.1239/aap/1051201652
https://doi.org/10.1239/aap/1051201652
Publikováno v:
Mathematics of Operations Research. 24:472-494
This paper presents a general theory of stochastic convexity. The notions of stochastic convexity formulated by Shaked and Shanthikumar (1988a, 1988b, 1990) are defined for general partially ordered spaces. All of the closure properties of the one-di
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f7f99753f4dc088aa7a38ae57780f197
https://doi.org/10.1287/moor.24.2.472
https://doi.org/10.1287/moor.24.2.472
Publikováno v:
Communications in Statistics. Stochastic Models. 14:611-621
This paper provides bounds and approximations for the distribution of the maximum queue length for M/M/s queues, based on an asymptotic analysis involving the extremal index. These results are compared to those by Anderson [1], Serfozo [6] and McCorm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76ac2d2b7f06561748725fbe19412f28
https://doi.org/10.1080/15326349808807491
https://doi.org/10.1080/15326349808807491
Publikováno v:
Journal of Applied Probability. 34:818-822
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::babcedbbee1b0a6d714b45f2fea2466e
https://doi.org/10.1017/s0021900200101494
https://doi.org/10.1017/s0021900200101494
Publikováno v:
Stochastic Processes and their Applications. 65:171-185
We consider extremal properties of Markov chains. Rootzen (1988) gives conditions for stationary, regenerative sequences so that the normalized process of level exceedances converges in distribution to a compound Poisson process. He also provides exp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8fe23f76a2485d170e68bab895d5d39f
https://doi.org/10.1016/s0304-4149(96)00111-1
https://doi.org/10.1016/s0304-4149(96)00111-1
Publikováno v:
Reliability engineering & system safety, 96(2), 278-285. Elsevier
For the reliability analysis of engineering structures a variety of methods is known, of which Monte Carlo (MC) simulation is widely considered to be among the most robust and most generally applicable. To reduce simulation cost of the MC method, var
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4f82ae5e03280a89f5e1f4f9dd10e3e
https://research.utwente.nl/en/publications/3e3d1084-4327-4d24-96e4-586de7219111
https://research.utwente.nl/en/publications/3e3d1084-4327-4d24-96e4-586de7219111
Publikováno v:
Probability in the Engineering and Informational Sciences. 7:343-360
We define a notion of regularity ordering among stochastic processes called directionally convex (dcx) ordering and give examples of doubly stochastic Poisson and Markov renewal processes where such ordering is prevalent. Further-more, we show that t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::024904992ff11343acb31cc671deac1b
https://doi.org/10.1017/s0269964800002965
https://doi.org/10.1017/s0269964800002965