This paper focuses on numerical evaluation techniques related to fluctuation theory for Lévy processes; they can be applied in various domains, e.g., in finance in the pricing of so-called barrier options. More specifically, with $$\bar{X}_t:= \sup _{0\le s\le t} X_s$$ denoting the running...

The multiple try Metropolis (MTM) method is a generalization of the classical Metropolis–Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show...

Measurement error (errors-in-variables) models are frequently used in various scientific fields, such as engineering, medicine, chemistry, etc. In this work, we consider a new replicated structural measurement error model in which the replicated observations jointly follow scale mixtures of...

For the first time, we propose a flexible cure rate survival model by assuming that the number of competing causes of the event of interest follows the Neyman type A distribution and the time to this event has the beta Weibull distribution. This new model can be used to analyze survival data...

The main goal of this note is to give a counterexample to the Triality Theorem in Gao and Ruan (Math Methods Oper Res 67:479–491, 2008 ). This is done first by considering a more general optimization problem with the aim to encompass several examples from Gao and Ruan (Math Methods Oper Res...

We aim at modeling the survival time of intensive care patients suffering from severe sepsis. The nature of the problem requires a flexible model that allows to extend the classical Cox-model via the inclusion of time-varying and nonparametric effects. These structured survival models are very...

For the exchangeable binary data with random cluster sizes, we develop an approximately optimal non-parametric procedure for obtaining estimates of the moments of all orders. Moreover, based on this procedure, we can also obtain efficient estimates of underlying parameters of moments of all...

A multimove sampling scheme for the state parameters of non-Gaussian and nonlinear dynamic models for univariate time series is proposed. This procedure follows the Bayesian framework, within a Gibbs sampling algorithm with steps of the Metropolis–Hastings algorithm. This sampling scheme...

We extend the theory of penalty functions to stochastic programming problems with nonlinear inequality constraints dependent on a random vector with known distribution. We show that the problems with penalty objective, penalty constraints and chance constraints are asymptotically equivalent...

In this paper, we introduce a class of a directed acyclic graph on the assumption that the collection of random variables indexed by the vertices has a Markov property. We present a flexible approach for the study of the exact distributions of runs and scans on the directed acyclic graph by...