摘要:

A two dimensional stochastic process is developed to model exchange rate dynamics. We incorporate the non random walk influence of pur–chasing power parity, to synthesise the theories of international trade and foreign currency options. Our results, which include a closed form expression for the transition density function of the exchange rate and an exact formula to price currency options, offer a theoretical framework for further study of foreign exchange markets

ISSN:0736-2994    

DOI:10.1080/07362999408809343

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

The extended compound renewal process, a generalization of the concept of filtered Poisson process, is introduced. It is shown that its characteristic function is expressible as the solution of a second type Volterua integral equation is solved for some special cases. Moreover, the equation is used to find the first moment and a recursive relationship for the higher order raw moment of the process. Finally, several areas of applications to theGIx/G/∞queue are investigates including the size of the system, the queue output and the total backlog

ISSN:0736-2994    

DOI:10.1080/07362999408809344

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

The Concept of Compound point(or counting)process is generalized to account for situations in which the compound events are described by a stochastic process rather than a random variable. Quasi–closed form expressions for the mean and the variance of this extended compounded point process are obtained in terms of the first two moments of the underlying point process and of the process describing the compound events. An expression for the higher moments is also obtained. The results are applied to obtain the mean and variance of the number of busy channels in appx/G/∞queue. (PP=point process) which generalises results of theM(t)x/G/∞ andGIx/G/∞queue. Other applications include the derivation of the first two moments of the total backlog and of the revenues from telephone traffic in aPP/G/∞queue. Finally, a special empirical model is considered

ISSN:0736-2994    

DOI:10.1080/07362999408809345

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

Uniqueness in law is proved for a stochastic semilinear evolution equation with additive noise and continuous nonlinearity. We apply here an infinite dimensional version of a method due to Stroock and Varadhan

ISSN:0736-2994    

DOI:10.1080/07362999408809346

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

Stopping time and supremum comparisons known as “Prophet inequalities” are made for products of finite sequences of non–negative integrable random variables under various restrictions on the class of distributions governing these random variables. for example it is shown that for X0= constant > 0, andnon-nagative integrable random variables, that the expected maximum of the product variables, that the expected maximum of the product sequenceis no more that n+1 times the value of the product sequence when stopped by non-anticipating stopping times

ISSN:0736-2994    

DOI:10.1080/07362999408809347

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

The paper describes a paradigm in which the Dempster-shafer method of combining evidence from independent sources is used for two distinct but closely related purposes. The first of these is to obtain the answer to a specific query, while the second is to define a dynamic policy for parallel accessing of relevant knowledge systems. The access policy is determined by a sequence of goals which are themselves subdivided into control characteristics of potential knowledge systems

ISSN:0736-2994    

DOI:10.1080/07362999408809348

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

This paper presents the large deviation principle for stochastic evolution equation driven by gaussian martingales taking values in duals of nuclear Frechet spaces

ISSN:0736-2994    

DOI:10.1080/07362999408809349

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

Optimal or approximately optimal control problem for a discrete stochastic singular system is considered. The driving wide band noise is state dependent and the dynamics is non–smooth. It is shown that the interpolated sequence converge weakly to a singularly controlled diffusion process. The optima or “nearly optima” controls of the limit diffusion are shown to be “nearly optima” for the actual system. Weak convergence analysis is used via a combination of Skorohod and pseudo path topology. Discounted cost criterion is considered

ISSN:0736-2994    

DOI:10.1080/07362999408809350

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362999408809342

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor