The Use of Wiener-Hopf Decomposition in the Study of Waiting Time and Busy Period Distribution for the G|G|1 Queue

Autor: Hokstad, Per

Publikováno v: Scandinavian Journal of Statistics, 1976 Jan 01. 3(2), 79-85.

Externí odkaz: https://www.jstor.org/stable/4615614

On the Equation for $f(x)=\underset -\infty \to{\overset \infty \to{\int}}f(x+y\ d\mu (y)$ for x ≥ 0

Autor: Ramachandran, B.

Publikováno v: Sankhyā: The Indian Journal of Statistics, Series A (1961-2002), 1988 Feb 01. 50(1), 44-51.

Externí odkaz: https://www.jstor.org/stable/25050677

Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation

Autor: Gowri Suryanarayana, Robert Scheichl, Albert Ferreiro-Castilla, Andreas E. Kyprianou

Publikováno v: Ferreiro-Castilla, A, Kyprianou, A E, Scheichl, R & Suryanarayana, G 2014, ' Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation ', Stochastic Processes and their Applications, vol. 124, no. 2, pp. 985-1010 . https://doi.org/10.1016/j.spa.2013.09.015

In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Lévy processes that is based on the Wiener–Hopf decomposition. We pursue this idea further by combining their technique with the recently introd

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0ab2dacf02f432d56525c5db1df4f736
https://lirias.kuleuven.be/handle/123456789/426694

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