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Stability problems for stochastic models: Theory and applications / Alexander Zeifman (2021)  

Public Titre : Stability problems for stochastic models: Theory and applications Type de document : Monographie Auteurs : Alexander Zeifman, Éditeur scientifique ; Victor Korolev, Éditeur scientifique ; Alexander Sipin, Auteur Editeur : Bâle [Suisse] : Multidisciplinary Digital Publishing Institute MDPI Année de publication : 2021 Importance : 370 p. Format : 17 x 25 cm ISBN/ISSN/EAN : 978-3-0365-0453-7 Note générale : bibliographie Langues : Anglais (eng) Descripteur : [Vedettes matières IGN] Statistiques [Termes IGN] chaîne de Markov [Termes IGN] intégrale de Laplace [Termes IGN] modèle stochastique [Termes IGN] probabilités [Termes IGN] programmation stochastique [Termes IGN] variable aléatoire Résumé : (éditeur) The aim of this Special Issue of Mathematics is to commemorate the outstanding Russian mathematician Vladimir Zolotarev, whose 90th birthday will be celebrated on February 27th, 2021. The present Special Issue contains a collection of new papers by participants in sessions of the International Seminar on Stability Problems for Stochastic Models founded by Zolotarev. Along with research in probability distributions theory, limit theorems of probability theory, stochastic processes, mathematical statistics, and queuing theory, this collection contains papers dealing with applications of stochastic models in modeling of pension schemes, modeling of extreme precipitation, construction of statistical indicators of scientific publication importance, and other fields. Note de contenu : 1- A Generalized equilibrium transform with application to error boundsin the Renyi theorem with so support constraints 2- Approximations in performance analysis of a controllable queueing system with heterogeneous server 3- Accumulative pension schemes with various decrement factors 4- A priority queue with many customer types, correlated arrivals and changing priorities 5- Highly efficient robust and stable M-estimates of location 6- Local limit theorem for the multiple power series distributions 7- Multivariate scale-mixed stable distributions and related limit theorems 8- On convergence rates of some limits 9- Optimal filtering of Markov jump processes given observations with state-dependent noises: Exact solution and stable numerical schemes 10- On the fractional wave equation 11- Probability models and statistical tests for extreme precipitation based on generalized negative binomial distributions 12- Rates of convergence in Laplace’s integrals and sums and conditional central limit theorems 13- Sensitivity analysis and simulation of a multiserver queueing system with mixed tervice time distribution 14- Statistical indicators of the scientific publications importance: A stochastic model and critical look 15- Second order expansions for high-dimension low-sample-size data statistics in random setting 16- Two approaches to the construction of perturbation bounds for Ccontinuous-time Markov chains 17- The calculation of the density and distribution functions of strictly stable laws 18- Wavelet thresholding risk estimate for the model with random samples and correlated noise Numéro de notice : 28620 Affiliation des auteurs : non IGN Thématique : MATHEMATIQUE Nature : Recueil / ouvrage collectif DOI : 10.3390/books978-3-0365-0453-7 En ligne : https://doi.org/10.3390/books978-3-0365-0453-7 Format de la ressource électronique : URL Permalink : https://documentation.ensg.eu/index.php?lvl=notice_display&id=99519

Stochastic processes / Alexander Zeifman (2019)  

Public Titre : Stochastic processes : Theory and applications Type de document : Monographie Auteurs : Alexander Zeifman, Éditeur scientifique ; Victor Korolev, Éditeur scientifique ; Alexander Sipin, Éditeur scientifique Editeur : Bâle [Suisse] : Multidisciplinary Digital Publishing Institute MDPI Année de publication : 2019 Importance : 216 p. Format : 17 x 25 cm ISBN/ISSN/EAN : 978-3-03921-962-9 Note générale : bibliographie Langues : Anglais (eng) Descripteur : [Vedettes matières IGN] Statistiques [Termes IGN] chaîne de Markov [Termes IGN] champ aléatoire de Markov [Termes IGN] méthode de Monte-Carlo [Termes IGN] modèle dynamique [Termes IGN] modèle stochastique [Termes IGN] processus stochastique [Termes IGN] variable aléatoire Résumé : (auteur) The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance. Note de contenu : 1- A note on a generalized Gerber–Shiu discounted penalty function for a compound Poisson risk model 2- Valuing guaranteed minimum death benefits by cosine series expansion 3- On two interacting Markovian queueing systems 4- On truncation of the matrix-geometric stationary distributions 5- Optimization of queueing model with server heating and cooling 6- Monte Carlo methods and the Koksma-Hlawka inequality 7- Exact time-dependent queue-length solution to a discrete-time geo/D/1 queue 8- Analysis of a semi-open queuing network with a state dependent marked Markovian arrival process, customers retrials and impatience 9- On the rate of convergence and limiting characteristics for a nonstationary queueing model 10- Statistical tests for extreme precipitation volumes 11- Non-parametric threshold estimation for the Wiener–Poisson risk model 12- On the rate of convergence for a characteristic of multidimensional birth-death process 13- Estimating the expected discounted penalty function in a compound Poisson insurance risk model with mixed premium income 14- Monte Carlo algorithms for the parabolic Cauchy problem 15- Cumulative measure of inaccuracy and mutual information in k-th Lower record values Numéro de notice : 25971 Affiliation des auteurs : non IGN Thématique : MATHEMATIQUE Nature : Monographie DOI : 10.3390/books978-3-03921-963-6 En ligne : https://doi.org/10.3390/books978-3-03921-963-6 Format de la ressource électronique : URL Permalink : https://documentation.ensg.eu/index.php?lvl=notice_display&id=96615