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Quasi-product forms for Lévy-driven fluid networks
16 references·1 citing·39 second hop
Quasi-product forms for Lévy-driven fluid networks (2006)Quasi-product forms for Lévy-driven fluid…Useful Martingales for Stochastic Storage Processes with Lévy-Type Input (2013)Useful Martingales for Stocha…A two-dimensional ruin problem on the positive quadrant (2007)A two-dimensional ruin proble…Overshoots and undershoots of Lévy processes (2006)Overshoots and undershoots of…Overshoots and undershoots of Levy processes (2005)Overshoots and undershoots of…A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes (2004)A Martingale Review of some F…Stochastic Networks and Queues (2003)Stochastic Networks and QueuesApplied Probability and Queues (2003)Applied Probability and QueuesStochastic Storage Processes (1998)Stochastic Storage ProcessesParallel and Tandem Fluid Networks with Dependent Levy Inputs (1993)Parallel and Tandem Fluid Net…Useful martingales for stochastic storage processes with Lévy input (1992)Useful martingales for stocha…Brownian Models of Feedforward Queueing Networks: Quasireversibility and Product Form Solutions (1992)Brownian Models of Feedforwar…The surpluses immediately before and at ruin, and the amount of the claim causing ruin (1988)The surpluses immediately bef…Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian models of open queue…Applied Probability and Queues (1987)Applied Probability and QueuesReflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …The diffusion approximation for tandem queues in heavy traffic (1978)The diffusion approximation f…Lévy-driven queues (2011)Lévy-driven queuesOn the Probability and Severity of Ruin (1987)When does the surplus reach a given target? (1990)On the expected discounted penalty function at ruin of a surplus process with interest (2002)On the discounted penalty function in a Markov-dependent risk model (2005)Stochastic Processes in Queueing Theory (1976)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007)Meromorphic Lévy processes and their fluctuation identities (2012)Exit identities for Lévy processes observed at Poisson arrival times (2016)Networks of Waiting Lines (1957)Open, Closed, and Mixed Networks of Queues with Different Classes of Customers (1975)Brownian Motion and Stochastic Flow Systems. (1987)Planning Queueing Simulations (1989)Discrete Flow Networks: Bottleneck Analysis and Fluid Approximations (1991)Fluctuations of Lévy Processes with Applications (2014)Rate conservation laws: A survey (1994)A generalized impulse control model of cash management (2003)Lévy Processes and Stochastic Calculus (2004)Stochastic Integration and Differential Equations (2005)Gerber–Shiu Risk Theory (2013)Multiple channel queues in heavy traffic. II: sequences, networks, and batches (1970)Multiple channel queues in heavy traffic (1971)On the Distribution of Multidimensional Reflected Brownian Motion (1981)The QNET method for two-moment analysis of open queueing networks (1990)Brownian Models of Performance and Control (2013)Point Processes and Queues (1981)Limit Theorems for Stochastic Processes (1987)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)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)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 proofs of many-server heavy-traffic limits for Markovian queues (2007)Stability of Parallel Queueing Systems with Coupled Service Rates (2007)Asymptotically optimal priority policies for indexable and nonindexable restless bandits (2016)
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References

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  • 1988The surpluses immediately before and at ruin, and the amount of the claim causing ruin108 cited
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  • 2004A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes58 cited
  • 1993

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Parallel and Tandem Fluid Networks with Dependent Levy Inputs
56 cited

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  • 2011Lévy-driven queues12 cited