Optimal processing rate and buffer size of a jump-diffusion processing system
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Cites work
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- A MAP-modulated fluid flow model with multiple vacations
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- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Martingale methods for pricing inventory penalties under continuous replenishment and compound renewal demands
- On first passage times of a hyper-exponential jump diffusion process
- On the Maintenance of Systems Composed of Highly Reliable Components
- On the conditional default probability in a regulated market with jump risk
- On the conditional default probability in a regulated market: a structural approach
- On the optimal maintenance of systems and control of arrivals in queues
- Optimal buffer size for a stochastic processing network in heavy traffic
- Pricing Asian options under a hyper-exponential jump diffusion model
- Queueing model of a hybrid channel with faster link subject to partial and complete failures
- Queues with Lévy input and hysteretic control
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- Some integral functionals of reflected SDEs and their applications in finance
- Subexponential loss rate asymptotics for Lévy processes
- The valuation of Russian options for double exponential jump diffusion processes
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