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Uniform renewal theory with applications to expansions of random geometric sums
11 references·1 citing·36 second hop
Uniform renewal theory with applications to expansions of random geometric sums (2007)Uniform renewal theory with applications …Introduction to Stochastic Processes (2014)Introduction to Stochastic Pr…Applied Probability and Queues (2003)Applied Probability and QueuesSimulation of Ruin Probabilities for Subexponential Claims (1997)Simulation of Ruin Probabilit…Geometric Sums: Bounds for Rare Events with Applications (1997)Geometric Sums: Bounds for Ra…Integration and Probability (1995)Integration and ProbabilityExponential Approximations for Tail Probabilities in Queues, I: Waiting Times (1995)Exponential Approximations fo…Risk theory for the compound Poisson process that is perturbed by diffusion (1991)Risk theory for the compound …Applied Probability and Queues (1987)Applied Probability and QueuesSequential Analysis (1985)Sequential AnalysisApproximations for the probability of ruin within finite time (1984)Approximations for the probab…Corrected diffusion approximations in certain random walk problems (1979)Corrected diffusion approxima…On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case (2011)On the transition from heavy …Actuarial Mathematics. (1986)On the discounted penalty at ruin in a jump-diffusion and the perpetual put option (1998)Strategies for Dividend Distribution: A Review (2009)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Theory, Volume 1, Queueing Systems (1975)New results on the single server queue with a batch markovian arrival process (1991)Asymptotics for M/G/1 low-priority waiting-time tail probabilities (1997)A central-limit-theorem-based approach for analyzing queue behavior in high-speed networks (1998)Appendix: A primer on heavy-tailed distributions (1999)Some Limit Theorems in the Theory of Mass Service (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)Ruin theory with compounding assets — a survey (1998)Simulation and the Monte Carlo Method (1981)Simulating heavy tailed processes using delayed hazard rate twisting (2002)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)Simulation and the Monte Carlo Method (2016)Point Processes and Queues: Martingale Dynamics. (1983)First passage times of a jump diffusion process (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A Re-Evaluation of Fixed Effect(s) Meta-Analysis (2017)Power tailed ruin probabilities in the presence of risky investments (2002)On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications (2004)Processor sharing: A survey of the mathematical theory (2007)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Fast simulation of rare events in queueing and reliability models (1995)A Theory of Trickle-Down Growth and Development (1997)A taxonomy of model structures for economic evaluation of health technologies (2006)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)M/G/1 queue with multiple working vacations (2005)A Stochastic Model for Order Book Dynamics (2010)Martingale representation theorems for initially enlarged filtrations (2000)A Fourier transform method for nonparametric estimation of multivariate volatility (2009)A fourier transform method for nonparametric estimation of multivariate volatility (2012)
this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 2014Introduction to Stochastic Processes2,383 cited
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  • 1985Sequential Analysis781 cited
  • 1991Risk theory for the compound Poisson process that is perturbed by diffusion298 cited
  • 1997Geometric Sums: Bounds for Rare Events with Applications264 cited
  • 1995Integration and Probability203 cited
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  • 1995Exponential Approximations for Tail Probabilities in Queues, I: Waiting Times145 cited
  • 1997Simulation of Ruin Probabilities for Subexponential Claims108 cited
  • 1984Approximations for the probability of ruin within finite time95 cited

Cited by

  • 2011On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case27 cited

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