A compensator characterization of point processes on topological lattices.
A completeness theorem for two-parameter stochastic processes
A composite Exponential-Pareto distribution.
A compound of the generalized negative binomial distribution with the generalized beta distribution
This paper presents a compound of the generalized negative binomial distribution with the generalized beta distribution. In the introductory part of the paper, we provide a chronological overview of recent developments in the compounding of distributions, including the Polish results. Then, in addition to presenting the probability function of the compound generalized negative binomial-generalized beta distribution, we present special cases as well as factorial and crude moments of some compound...
A comprehensive proof of localization for continuous Anderson models with singular random potentials
We study continuous Anderson Hamiltonians with non-degenerate single site probability distribution of bounded support, without any regularity condition on the single site probability distribution. We prove the existence of a strong form of localization at the bottom of the spectrum, which includes Anderson localization (pure point spectrum with exponentially decaying eigenfunctions) with finite multiplicity of eigenvalues, dynamical localization (no spreading of wave packets under the time evolution),...
A computational algorithm for the CPP/M/c retrial queue.
A concurrency control problem in a time-sharing system with different job types
A condition for weak disorder for directed polymers in random environment.
A conjecture on a class of matrices
A connection between controlled Markov chains and martingales
A connection between Gaussian processes and Markov processes.
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand.
A conservative evolution of the Brownian excursion.
A Construction of Representing Measures for Elliptic and Parabolic Differential Equations.
A constructive sharp approach to functional quantization of stochastic processes.
A continuous mapping theorem for the argmin-set functional with applications to convex stochastic processes
For lower-semicontinuous and convex stochastic processes and nonnegative random variables we investigate the pertaining random sets of all -approximating minimizers of . It is shown that, if the finite dimensional distributions of the converge to some and if the converge in probability to some constant , then the converge in distribution to in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular, in...
A continuous martingale in the plane that may spiral away to infinity
A continuous-time model for claims reserving
Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in [0,1] according to a Poisson point...
A continuous-time search model with finite horizon
A contractive property in finite state Markov chains