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.
On modulated random measures.
On self-optimizing control of Markov processes
On the large deviations of a class of modulated additive processes
We prove that the large deviation principle holds for a class of processes inspired by semi-Markov additive processes. For the processes we consider, the sojourn times in the phase process need not be independent and identically distributed. Moreover the state selection process need not be independent of the sojourn times. We assume that the phase process takes values in a finite set and that the order in which elements in the set, called states, are visited is selected stochastically. The sojourn...
On the large deviations of a class of modulated additive processes
We prove that the large deviation principle holds for a class of processes inspired by semi-Markov additive processes. For the processes we consider, the sojourn times in the phase process need not be independent and identically distributed. Moreover the state selection process need not be independent of the sojourn times. We assume that the phase process takes values in a finite set and that the order in which elements in the set, called states, are visited is selected stochastically. The sojourn...
On the number of collisions in lambda-coalescents.
On truncations for weakly ergodic inhomogeneous birth and death processes