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Search: subject:"diffusion limits"
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diffusion limits
7
Queueing theory
5
Stochastic process
5
Stochastischer Prozess
5
Warteschlangentheorie
5
ARCH model
3
ARCH-Modell
3
Diffusion limits
3
Markov chain
3
Markov-Kette
3
Volatility
3
Volatilität
3
many-server queues
3
Estimation theory
2
Halfin-Whitt regime
2
Schätztheorie
2
Swap
2
Theorie
2
Theory
2
Variance swaps
2
Weak diffusion limits
2
fluid and diffusion limits
2
square-root staffing
2
Affine GARCH models
1
Analysis of variance
1
CBOE VIX
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CCC
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Concurrent service capabilities
1
Consumer behaviour
1
Correlation
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Customer abandonments
1
Extended Girsanov principle
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Fluid and diffusion limits
1
GARCH
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GARCH diffusion
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Gaussian processes
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General error distribution
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English
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Pender, Jamol
3
Cui, Zhenyu
2
Hafner, Christian M.
2
Ko, Young Myoung
2
Violante, Francesco
2
Andrikopoulos, Alexandru
1
Atar, Rami
1
Badescu, Alexandru
1
Bekker, René
1
Berkelmans, Wouter
1
Borst, Sem
1
Borst, Sem C.
1
Buccheri, Giuseppe
1
Büke, Burak
1
Chen, Yuyu
1
Corsi, Fulvio
1
Couch, Matthew
1
Flandoli, Franco
1
Goldsztajn, Diego
1
Keslassy, Isaac
1
Laurent, Sebastien
1
Laurent, Sébastien
1
Leeuwaarden, Johan S. H. van
1
Livieri, Giulia
1
Mendelson, Gal
1
Mukherjee, Debankur
1
Ortega, Juan-Pablo
1
Perry, Ohad
1
Qin, Wenyi
1
Rand, Richard
1
Reed, Josh
1
Shaki, Yair
1
Storm, Jaap
1
Storm, Pieter Jacob
1
Wesson, Elizabeth
1
Whiting, Philip A.
1
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1
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School of Economics and Management, University of Aarhus
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Mathematics of operations research
5
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CORE discussion papers : DP
1
CREATES Research Papers
1
INFORMS journal on computing : JOC
1
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
14
RePEc
1
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Diffusion-based staffing for multitasking service systems with many servers
Storm, Jaap
;
Berkelmans, Wouter
;
Bekker, René
- In:
Mathematics of operations research
49
(
2024
)
4
,
pp. 2684-2722
Persistent link: https://www.econbiz.de/10015197998
Saved in:
2
Many-server queues with random service rates : a unified framework based on measure-valued processes
Büke, Burak
;
Qin, Wenyi
- In:
Mathematics of operations research
48
(
2023
)
2
,
pp. 748-783
Persistent link: https://www.econbiz.de/10014314900
Saved in:
3
Many-server heavy-traffic limits for queueing systems with perfectly correlated service and patience times
Yu, Lun
;
Perry, Ohad
- In:
Mathematics of operations research
48
(
2023
)
2
,
pp. 1119-1157
Persistent link: https://www.econbiz.de/10014314981
Saved in:
4
Diffusion-level universality of many-server systems with concurrent service
Storm, Pieter Jacob
;
Borst, Sem
- In:
Operations research letters
51
(
2023
)
3
,
pp. 212-219
Persistent link: https://www.econbiz.de/10014374829
Saved in:
5
Self-learning threshold-based load balancing
Goldsztajn, Diego
;
Borst, Sem C.
;
Leeuwaarden, Johan S. …
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
1
,
pp. 39-54
Persistent link: https://www.econbiz.de/10013358837
Saved in:
6
The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Flandoli, Franco
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 655-675
Persistent link: https://www.econbiz.de/10012619254
Saved in:
7
Weak
diffusion
limits
of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
8
A stochastic analysis of queues with customer choice and delayed information
Pender, Jamol
;
Rand, Richard
;
Wesson, Elizabeth
- In:
Mathematics of operations research
45
(
2020
)
3
,
pp. 1104-1126
Persistent link: https://www.econbiz.de/10012293373
Saved in:
9
Weak
diffusion
limits
of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sebastien
;
Violante, …
-
School of Economics and Management, University of Aarhus
-
2015
of the gaps by deriving weak
diffusion
limits
of a modified version of the classical DCC model. The limiting system of …
Persistent link: https://www.econbiz.de/10011122366
Saved in:
10
Variance swaps valuation under non-affine GARCH models and their
diffusion
limits
Badescu, Alexandru
;
Chen, Yuyu
;
Couch, Matthew
;
Cui, Zhenyu
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
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