On a probability problem connected with railway traffic.
On a queue with correlated arrivals.
On a rarefied renewal process
On a single-server queue with fixed accumulation level, state dependent service, and semi-Markov modulated input flow.
On a stochastic inventory model with deteriorating items.
On a stochastic model of a cascade
On a Transformation of Analytic Characteristic Functions
On a variational problem for an infinite particle system in a random medium.
On adaptive replacement policies
On an asymptotic distribution connected with a loss queueing system
On an invariance principle for phase separation lines
On an queueing system.
On applications of excess level processes to (N,D)-policy bulk queueing systems.
On applications of Little's formula.
On approximation in multistage stochastic programs: Markov dependence
A general multistage stochastic programming problem can be introduced as a finite system of parametric (one-stage) optimization problems with an inner type of dependence. Evidently, this type of the problems is rather complicated and, consequently, it can be mostly solved only approximately. The aim of the paper is to suggest some approximation solution schemes. To this end a restriction to the Markov type of dependence is supposed.
On ballistic diffusions in random environment
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 coarse-grained entropy and mixing in statistical mechanics.
On coincidences in renewal streams
On constrained annealed bounds for pinning and wetting models.