Search Results - subject:"Poisson Process"

Cerqueti, Roy; Ventura, Marco - Istituto Nazionale di Statistica (ISTAT) - 2009

This article evaluates patents in a stochastic discrete time framework following the real options approach. By modeling the dynamics of the underlying as a spatial point process both size and time of the jumps can be treated as random variables. The propagation of the jumps from the underlying...

Persistent link: https://www.econbiz.de/10008501689

Probability of ruin for a dependent, two-dimensional poisson process

Heilpern, Stanislaw - In: Operations Research and Decisions 1 (2009), pp. 77-90

A two-dimensional, dependent Poisson risk process is investigated in the paper. Claims are divided into two classes. Within each class claims have the same distribution, but claims belonging to different classes can have different distributions and the corresponding counting processes can be...

Persistent link: https://www.econbiz.de/10008777194

Strategic experimentation with poisson bandits

Keller, Godfrey; Rady, Sven - 2009

according to a Poisson process. Its intensity is either high or low, and unknown to the players. We consider Markov perfect …

Persistent link: https://www.econbiz.de/10003951715

Strategic experimentation with poisson bandits

Keller, Godfrey; Rady, Sven - 2009 - This version: April 8, 2009

according to a Poisson process. Its intensity is either high or low, and unknown to the players. We consider Markov perfect … experimentation with two-armed bandits where the risky arm distributes lump-sum payoffs according to a Poisson process. Its intensity … until another player takes over. Keywords: Strategic Experimentation, Two-Armed Bandit, Poisson Process, Bayesian Learning …

Persistent link: https://www.econbiz.de/10003848865

Multifractional Poisson process, multistable subordinator and related limit theorems

Molchanov, Ilya; Ralchenko, Kostiantyn - In: Statistics & Probability Letters 96 (2015) C, pp. 95-101

-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and … establish the convergence of a continuous-time random walk to the multifractional Poisson process. …

Persistent link: https://www.econbiz.de/10011115950

Emergency lateral transshipments in a two-location inventory system with positive transshipment leadtimes

Olsson, Fredrik - In: European Journal of Operational Research 242 (2015) 2, pp. 424-433

We consider a single-echelon continuous review inventory system for spare parts with two parallel locations. Each location faces independent Poisson demand and backorders are allowed. In this paper we consider the possibility of lateral transshipments between the locations. The transshipment...

Persistent link: https://www.econbiz.de/10011190775