Sökning: "truncated Levy process"
Hittade 2 avhandlingar innehållade orden truncated Levy process.
1. Topics in Simulation and Stochastic Analysis
Sammanfattning : Paper A investigates how to simulate a differentiated mean in cases where interchanging differentiation and expectation is not allowed. Three approaches are available, finite differences (FD's), infinitesimal perturbation analysis (IPA) and the likelihood ratio score function (LRSF) method. LÄS MER
2. Two-Barrier Problems in Applied Probability: Algorithms and Analysis
Sammanfattning : This thesis consists of five papers (A-E). In Paper A, we study transient properties of the queue length process in various queueing settings. We focus on computing the mean and the Laplace transform of the time required for the queue length starting at $x0. We define the loss rate due to the reflection. LÄS MER