Pricing participating products under a generalized jump-diffusion model.
Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Ching, Wai-Ki, Siu, Tak-Kuen, Li, Li-Min (2007)
Journal of Applied Mathematics and Decision Sciences
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Swishchuk, Anatoliy, Manca, Raimondo (2010)
Mathematical Problems in Engineering
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Siu, Tak Kuen (2010)
International Journal of Stochastic Analysis
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Guglielmo D'Amico (2014)
Applications of Mathematics
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Markov chain usage models were successfully used to model systems and software. The most prominent approaches are the so-called failure state models Whittaker and Thomason (1994) and the arc-based Bayesian models Sayre and Poore (2000). In this paper we propose arc-based semi-Markov usage models to test systems. We extend previous studies that rely on the Markov chain assumption to the more general semi-Markovian setting. Among the obtained results we give a closed form representation...
Melnik, Roderick V.Nicholas (1998)
Discrete Dynamics in Nature and Society
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Christian Paroissin, Bernard Ycart (2004)
ESAIM: Probability and Statistics
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A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications.
Kengo Kamatani (2014)
ESAIM: Probability and Statistics
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We study asymptotic behavior of Markov chain Monte Carlo (MCMC) procedures. Sometimes the performances of MCMC procedures are poor and there are great importance for the study of such behavior. In this paper we call degeneracy for a particular type of poor performances. We show some equivalent conditions for degeneracy. As an application, we consider the cumulative probit model. It is well known that the natural data augmentation (DA) procedure does not work well for this model and the...
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Hao, Ruili, Ye, Zhongxing (2011)
Mathematical Problems in Engineering
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Huang, Guoan, Deng, Guohe, Huang, Lihong (2009)
Journal of Applied Mathematics and Decision Sciences
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Brianzoni, Serena, Mammana, Cristiana, Michetti, Elisabetta, Zirilli, Francesco (2008)
Discrete Dynamics in Nature and Society
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