Geometric／G／1休假随机服务系统

本文讨论服务员休假的离散时间Geonletric/G/1排队系统。在多级适应性休假规则下,给出稳态队长、等待时间的分布和随机分解,也研究了忙期、全假期、在线期的分布。多重休假、单重休假、启动时间规则,都是本文中模型的特例。     

具有不同到达率的带有启动时间的多级适应性休假M^ξ／G／1排队模型

本文研究具有不同到达率的带有启动时间的多级适应性休假M^ξ/G/1排队模型，应用嵌入马尔可夫链方法推导出了稳态队长和等待时间（先到先服务规则）分布，并验证了稳态队长和稳态等待时间具有随机分解性，而且给出了忙期分布．许多关于M^ξ/G/1的排队模型都可以看作是此模型的特例．     

启动时间的GI／G／1排队系统的非平衡理论

本文利用侯振挺等提出的马尔可夫骨架过程理论讨论了启动时间的GI/G/I排队系统，得到了此系统到达过程，队长，及等待时间的概率分布/     

相型同步启动时间的M／M／c排队系统

本文研究带有同步启动时间的Ｍ／Ｍ／ｃ系统，其中启动时间是相型变量，给出了稳态和等待时间分布等结果。     

同步休假M／M／c排队系统的PH结构

对同步多重、单重休假和启动时间M／M／c排队，若休假（启动）时间是m阶PH变量，证明了稳态排队顾客N_q、等待时间W是m＋1阶离散的和连续的PH变量，并给出简明直观的PH表示。     

带有N策略,启动时间和服务台故障的M/M/1排队的均衡策略

本文考虑带有N策略,启动时间和服务台故障的M/M/1排队的顾客的策略行为.当系统为空时服务台关闭,并且只有当系统中的顾客数达到一个给定的阈值时才会被激活,启动时间服从指数分布.服务台在工作时可能会故障,一旦发生故障,它立即被维修,维修的时间服从指数分布.我们得到了不同状态的均衡到达率并且给出了均衡社会收益函数.最后对均衡到达率和均衡社会收益进行了数值研究.     

对带启动时间和可变服务率的M/M/1休假排队的分析

收稿讨论了带启动时间和可变服务率的M/M/1休假排队.利用拟生灭过程与矩阵几何解方法导出了稳态队长和稳态等待时间分布.进一步,得到稳态指标的随机分解结果及附加队长和附加延迟的分布.最后,给出当启动率趋于无穷大时收稿模型特例的性能指标的分析结果,以揭示收稿模型应用的广泛性.     

具有不同到达率的带有启动时间及不耐烦策略的多级适应性休假M/G/1排队

研究了具有不同到达率的带有启动时间及不耐烦策略的多级适应性休假M/G/1排队模型,给出了稳态队长的母函数,等待时间的LST及其随机分解结果,并推导出忙期、全忙期及在线期均值.     

M／M／1／N多重工作休假排队系统的性能分析

本文研究M/M/1/N多重工作休假排队系统,简记为M/M/1/N(WV).利用马尔科夫过程理论和矩阵解法求出了稳态概率的矩阵解,并得到了系统的平均队长、平均等待队长以及顾客的消失概率等性能指标.最后通过数值例子我们分析了系统的参数,休假时的工作率μν和休假率θ对平均队长的影响.     

带启动时间的Geom/Geom/1多重工作休假排队

本文中研究了一个带有启动时间的Geom/Geom/1多重工作休假排队模型。服务台在休假期间,不停止服务,而是以较低的服务率为顾客提供服务。运用拟生灭过程和矩阵几何解的方法,给出了该模型的稳态队长分布,并求出了平均队长以及顾客的平均逗留时间。     

Limiting Connection between Discrete and Continuous Time Forward Interest Rate Curve Models

We study discrete time Heath–Jarrow–Morton (HJM) type of interest rate curve models, where the forward interest rates – in contrast to the classical HJM models – are driven by a random field. Our main aim is to investigate the relationship between the discrete time forward interest rate curve model and its continuous time counterpart. We derive a general result on the convergence of discrete time models and we give special focus on the nearly unit root spatial autoregression model.     

保险公司在固定利率下的离散型破产概率

本提出并讨论了在固有利率下含投资因素、红利分配因素的两种离散型破产模型，分别得出了相应模型下关于保险公司的破产概率、期望寿命的结论，推广散没有考虑利率因素的离散型破产模型的有关结论。     

A Theory of Complexity for Continuous Time Systems

We present a model of computation with ordinary differential equations (ODEs) which converge to attractors that are interpreted as the output of a computation. We introduce a measure of complexity for exponentially convergent ODEs, enabling an algorithmic analysis of continuous time flows and their comparison with discrete algorithms. We define polynomial and logarithmic continuous time complexity classes and show that an ODE which solves the maximum network flow problem has polynomial time complexity. We also analyze a simple flow that solves the Maximum problem in logarithmic time. We conjecture that a subclass of the continuous P is equivalent to the classical P.     

Hamiltonian Systems on Time Scales

Linear and nonlinear Hamiltonian systems are studied on time scales . We unify symplectic flow properties of discrete and continuous Hamiltonian systems. A chain rule which unifies discrete and continuous settings is presented for our so-called alpha derivatives on generalized time scales. This chain rule allows transformation of linear Hamiltonian systems on time scales under simultaneous change of independent and dependent variables, thus extending the change of dependent variables recently obtained by Do lý and Hilscher. We also give the Legendre transformation for nonlinear Euler–Lagrange equations on time scales to Hamiltonian systems on time scales.     

Discrete Time Age Replacement Policies

Age replacement problems were discussed by Barlow and Proschan in 1965 and based on continuous time failure distributions. The aims in this tutorial note are (1) to convert a typical age replacement model to a model in discrete time, and (2) to extend it to a similar model with discounting.     

Using Discrete Distributions to Approximate General Service Time Distributions in Queueing Models

In solving discrete time queueing models by numerical techniques, the computational requirements (computer memory and time) are a practical limitation and are particularly dependent on the number of discrete time intervals required in the discrete distribution chosen to match the general service distribution. This paper shows that the minimum number of points required for matching to the first two moments depends on the size of the discrete interval relative to the mean and also on the coefficient of variation. Equations and graphs are provided that will enable the OR practitioner to select the discrete distribution to be used as an approximation. Additionally, it is concluded that discrete time modelling, using these approximations to model service time, now provides a practical means to model both steady-state measures and transient behaviour of M/G/c, M(t)/G/c and M(t)/G/c(t) queueing systems on a personal computer.     

A Note on Time Regularity for Discrete Time Heat Kernels

We offer a new, simple method of deriving time regularity estimates for discrete time "heat kernels". Our method applies, for example, to suitable Markov chains and to random walks on weighted graphs, and provides Gaussian estimates or L^p off-diagonal estimates for time differences of the iterated kernels.     

Option Replication in Discrete Time with Illiquidity

Abstract

This article studies a replication of a contingent claim in an illiquid market. We represent the liquidity as a supply curve in a discrete time model. Because the trade price of the illiquid asset is a function of the trade size in this model, it is important whether the contingent claim is physically settled or settled in cash. In both cases, we give a condition where a replication strategy exists uniquely and show some properties of the replication strategy. Further we analyse the liquidity cost numerically.     

离散时间的双Poisson模型的破产概率

本文在离散复合Poisson风险模型的基础上,研究保费的收取也为一个Poisson过程的模型, 在保费收取量和理赔量都离散取整数值时,我们运用转移概率推导出了保险公司在有限时间内破产的概率以及最终破产概率的级数表达式和矩阵表达式.     

Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance

Abstract

In this article, we study a continuous time optimal filter and its various numerical approximations. This filter arises in an optimal allocation problem in the particular context of a non-stationary economy. We analyse the rates of convergence of the approximations of the filter when the model is misspecified and when the observations can only be made at discrete times. We give bounds that are uniform in time. Numerical results are presented.