On double-boundary non-crossing probability for a class of compound processes with applications
DOI10.1016/j.ejor.2019.09.058zbMath1430.90013OpenAlexW2978918598WikidataQ127179519 ScholiaQ127179519MaRDI QIDQ2282550
Dimitrina S. Dimitrova, Zvetan G. Ignatov, Senren Tan, Vladimir K. Kaishev
Publication date: 8 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/22923/1/DIKT%20%282019%29%20EJOR%20On%20Double-Boundary%20Non-Crossing%20Probability.pdf
fast Fourier transformapplied probabilitydoubly stochastic Poisson (Cox) processesfinite-time non-ruin probabilityinventory management under stochastic demand
Inventory, storage, reservoirs (90B05) Sample path properties (60G17) Numerical methods for discrete and fast Fourier transforms (65T50)
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