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Boundedness of oriented walks generated by substitutions

F. M. Dekking, Z.-Y. Wen (1996)

Journal de théorie des nombres de Bordeaux

Let x = x 0 x 1 be a fixed point of a substitution on the alphabet a , b , and let U a = - 1 - 1 0 1 and U b = 1 1 0 1 . We give a complete classification of the substitutions σ : a , b according to whether the sequence of matrices U x 0 U x 1 U x n n = 0 is bounded or unbounded. This corresponds to the boundedness or unboundedness of the oriented walks generated by the substitutions.

Boundedness on stochastic Petri nets.

J. Campos, F. Plo, M. San Miguel (1993)

Revista Matemática de la Universidad Complutense de Madrid

Stochastic Petri nets generalize the notion of queuing systems and are a useful model in performance evaluation of parallel and distributed systems. We give necessary and sufficient conditions for the boundedness of a stochastic process related to these nets.

Bounds and asymptotic expansions for the distribution of the Maximum of a smooth stationary Gaussian process

Jean-Marc Azaïs, Christine Cierco-Ayrolles, Alain Croquette (2010)

ESAIM: Probability and Statistics

This paper uses the Rice method [18] to give bounds to the distribution of the maximum of a smooth stationary Gaussian process. We give simpler expressions of the first two terms of the Rice series [3,13] for the distribution of the maximum. Our main contribution is a simpler form of the second factorial moment of the number of upcrossings which is in some sense a generalization of Steinberg et al.'s formula ([7] p. 212). Then, we present a numerical application and asymptotic expansions...

Bounds for the range of American contingent claim prices in the jump-diffusion model

Aleksander Janicki, Jacek Wybraniec (2005)

Applicationes Mathematicae

The problem of valuation of American contingent claims for a jump-diffusion market model is considered. Financial assets are described by stochastic differential equations driven by Gaussian and Poisson random measures. In such setting the money market is incomplete, thus contingent claim prices are not uniquely defined. For different equivalent martingale measures different arbitrage free prices can be derived. The problem is to find exact bounds for the set of all possible prices obtained in this...

Bounds of general Fréchet classes

Jaroslav Skřivánek (2012)

Kybernetika

This paper deals with conditions of compatibility of a system of copulas and with bounds of general Fréchet classes. Algebraic search for the bounds is interpreted as a solution to a linear system of Diophantine equations. Classical analytical specification of the bounds is described.

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