Descriptors for point processes based on runs: The Markovian arrival process.
Diffusion approximations of the geometric Markov renewal processes and option price formulas.
Dynamic analysis of a unified multivariate counting process and its asymptotic behavior.
Factorizations of the sojourn times of semi-Markov random walks.
First excess levels of vector processes.
First passage processes in queueing system with service delay discipline.
Fitting traffic traces with discrete canonical phase type distributions and markov arrival processes
Générateurs infinitésimaux des processus à accroissements semi-markoviens
Identités du type Baxter-Spitzer pour une classe de promenades aléatoires semi-markoviennes
Limit theorems for nonhomogeneous semi-Markov processes
Long-range dependence in a Cox process directed by a Markov renewal process.
On a first passage problem in general queueing systems with multiple vacations.
On a multilevel controlled bulk queueing system .
On a single-server queue with fixed accumulation level, state dependent service, and semi-Markov modulated input flow.
On an invariance principle for phase separation lines
On applications of excess level processes to (N,D)-policy bulk queueing systems.
On applications of Little's formula.
On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.
We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.
On functionals of a marked Poisson process observed by a renewal process.
On intensities of modulated Cox measures.