[图书][B] Fluctuations of Lévy processes with applications: Introductory Lectures
AE Kyprianou - 2014 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
[图书][B] Introductory lectures on fluctuations of Lévy processes with applications
AE Kyprianou - 2006 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
[图书][B] Stochastic storage processes: queues, insurance risk, and dams, and data communication
NU Prabhu - 1998 - books.google.com
This is a revised and expanded version of the earlier edition. The new material is on Markov-
modulated storage processes arising from queueing and data commu nication models. The …
modulated storage processes arising from queueing and data commu nication models. The …
Fluctuation theory in continuous time
NH Bingham - Advances in Applied Probability, 1975 - cambridge.org
Our aim here is to give a survey of that part of continuous-time fluctuation theory which can
be approached in terms of functionals of Lévy processes, our principal tools being Wiener …
be approached in terms of functionals of Lévy processes, our principal tools being Wiener …
Limit theorems in fluctuation theory
NH Bingham - Advances in Applied Probability, 1973 - cambridge.org
We shall be concerned here with limit theorems arising in the fluctuation theory of random
walks, processes with stationary independent increments, recurrent events and regenerative …
walks, processes with stationary independent increments, recurrent events and regenerative …
On level crossings and cycles in dam processes
JW Cohen, M Rubinovitch - Mathematics of Operations …, 1977 - pubsonline.informs.org
The classical dam with input according to a process with stationary, independent increments
and output at unit rate is considered. The stochastic properties of level crossings, ie up-and …
and output at unit rate is considered. The stochastic properties of level crossings, ie up-and …
Wiener-Hopf techniques in queueing theory
NU Prabhu - … Methods in Queueing Theory: Proceedings of a …, 1974 - Springer
Abstract In queueing theory Wiener-Hopf techniques were first used in a non-probabilistic
context by WL Smith, and later in a probabilistic context by F. Spitzer. The specific problem …
context by WL Smith, and later in a probabilistic context by F. Spitzer. The specific problem …
[图书][B] Cambridge Tracts in Mathematics
J Bertoin - 1996 - books.google.com
This is an up-to-date and comprehensive account of the theory of Lévy processes. This
branch of modern probability theory has been developed over recent years and has many …
branch of modern probability theory has been developed over recent years and has many …
Further results for ladder processes in continuous time
NU Prabhu, M Rubinovitch - Stochastic Processes and their Applications, 1973 - Elsevier
The distribution of ladder variables is obtained for the class of processes with stationary
independent increments for which they are almost surely positive. This result is used to …
independent increments for which they are almost surely positive. This result is used to …
Queues with random service output: the case of Poisson arrivals
J Grinstein, M Rubinovitch - Journal of Applied Probability, 1974 - cambridge.org
A general class of single server queueing models is formulated. They distinguish between
two factors that may influence the duration of service times: variability in the service …
two factors that may influence the duration of service times: variability in the service …