" The author has substantially extended and updated the material to reflect developments
over the period.… The book is mainly aimed at academics and researchers, but should …

Sampling-based computational methods have become a fundamental part of the numerical
toolset of practitioners and researchers across an enormous number of different applied …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

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 …

This monograph aims to provide a concise and comprehensive treatment of the basic theory
of algebraic Riccati equations and a description of both the classical and the more advanced …

We consider a process with reflection at the origin and paths which are piecewise linear or
Brownian, with the drift and variance constants being determined by the state of an …

We consider the nonsymmetric algebraic Riccati equation for which the four coefficient
matrices form an M-matrix. Nonsymmetricalgebraic Riccati equations of this type appear in …

After having worked in the domain of Gaussian queues for about a decade, we got the idea
to look at similar problems, but now in the context of Lévy-driven queues. That step felt as …

In recent years the significance of Gaussian processes to communication networks has
grown considerably. The inherent flexibility of the Gaussian traffic model enables the …

" Constructive Computation in Stochastic Models with Applications: The RG-Factorizations"
provides a unified, constructive and algorithmic framework for numerical computation of …