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Properties of the Reflected Ornstein-Uhlenbeck Process
diffusion approximation Ornstein–Uhlenbeck process refl ecting diffusion steady-state
2015/7/8
Consider an Ornstein–Uhlenbeck process with reflection at the origin. Such a process arises as an approximating process both for queueing systems with reneging or state-dependent balking and for multi...
Measuring the Initial Transient: Reflected Brownian Motion
Measuring Initial Transient Reflected Brownian Motion
2015/7/6
We analyze the convergence to equilibrium of one-dimensional re flected Brownian motion (RBM) and compute a number of related initial transient formulae. These formulae are of interest as approximatio...
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Reflected fractional Ornstein-Uhlenbeck processes fractional Brownian motion frac-tional calculus parameter estimation maximum likelihood estimator sequential maximum likeli-hood estimator
2013/4/28
We consider a reflected Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter $H\in(0,1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\inft...
Control of a finite dam when the input process is either spectrally positive Levy or spectrally positive Levy reflected at its infimum
policies spectrally positive L´ evy processes spectrally pos-itive L´ evy processes reflected at its infimum scale functions exit times α-potentials total discounted and long-run-average costs.
2012/9/18
Baeet al. [6] consider the problem of optimal control of a finite dam usingPMλ,τpolicies, assuming that the input process is a compound Poisson process
with a negative drift. Lam and Lou [8] treat th...
Control of a finite dam when the input process is either spectrally positive Levy or spectrally positive Levy reflected at its infimum
policies spectrally positive L丩evy processes spectrally pos-itive L丩evy processes reflected at its infimum scale functions exit times 兛-potentials total discounted and long-run-average costs.
2012/9/18
Baeet al. [6] consider the problem of optimal control of a finite dam usingPM兩,冄policies, assuming that the input process is a compound Poisson process
with a negative drift. Lam and Lou [8] treat th...
The reflected Brownian motion on the Sierpiński gasket
The reflected Brownian motion the Sierpiński gasket
2009/9/22
The paper identifies the Dirichlet form of the "path- '
wise-defined" reflected Brownian motion on the Sierpiriski gasket with
the Dirichlet form on the Sierpiliski gasket introduced by Fukushima
a...
Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
Backward stochastic differential equation Infinite horizon Reflected barriers
2009/9/22
We prove existence and uniqueness results of the solution
for infinite horizon reflected backward stochastic differential equations
with one or two barriers. We also apply these results to get the
...
Sojourn time of some reflected Brownian motion in the unit disk
reflected Brownian motion boundary value problems fractional linear transformation
2009/9/22
We study the heat diffusion in a domain with an obstacle
inside. More precisely, we are interested in the quantity of heat
in so far as a function of the position of the heat source at time 0. This
...
Reflected BSDE with superlinear quadratic coefficient
Backward stochastic differential equations reflexion viscosity solution American option
2009/9/21
In this paper, we provide existence of a reflected solution
of the one-dimensional backward stochastic differential equation
when the coefficient is continuous, has a superlinear growth in y and
qu...
DISCRETE APPROXIMATIONS OF REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM TERMINAL TIME
Reflected backward stochastic differential equations random terminal time discrete approximation methods
2009/9/18
We study convergence of discrete approximations of reflected
backward stochastic differential equations with random terminal
time in a general convex domain. Applications to investigation of the via...
Some excursion calculations for reflected Lévy processes
Reflected Levy processes symmetric stable processes exursion theory resolvent density
2009/6/15
Using methods analogous to those introduced in Doney (2005),we express the resolvent density of a(killed)reflected Levy prcess in terms of the resolvent density of the (killed)Levy process. As an appl...
First passage of reflected strictly stable processes
Strictly stable processes reected Levy processes overshoot distribution first passage problem
2009/6/12
First passage of reflected strictly stable processes.
Weak Convergence of Reflected Brownian Motions
Brownian Motions Convergence mild technical assumptions
2009/5/8
We show that if a sequence of domains $D_k$ increases to a domain $D$ then the reflected Brownian motions in $D_k$'s converge to the reflected Brownian motion in $D$, under mild technical assumptions....
Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
wedge sum-of-exponential
2009/4/22
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relyin...