Search Results - subject:"matrix analytic methods"

A tollbooth tandem queue with heterogeneous servers

He, Qi-Ming; Chao, Xiuli - In: European Journal of Operational Research 236 (2014) 1, pp. 177-189

collection during rush hours in transportation networks, and we call it a tollbooth tandem queue. We apply matrix-analytic … methods to study this queueing system, and obtain explicit results for various performance measures. Using these results, we …

Persistent link: https://www.econbiz.de/10010753502

Multi-stage stochastic fluid models for congestion control

O'Reilly, Małgorzata M. - In: European journal of operational research : EJOR 238 (2014) 2, pp. 514-526

Persistent link: https://www.econbiz.de/10010400195

A tollbooth tandem queue with heterogeneous servers

He, Qi-ming; Chao, Xiuli - In: European journal of operational research : EJOR 236 (2014) 1, pp. 177-189

Persistent link: https://www.econbiz.de/10010361745

Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach

Herbertsson, Alexander - Nationalekonomiska institutionen, Handelshögskolan - 2007

We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and tranchelets in an intensity-based credit risk model with default contagion. The default dependence is modelled by letting individual intensities jump when other defaults occur. The model is reinterpreted...

Persistent link: https://www.econbiz.de/10005651682

Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach

Herbertsson, Alexander; Rootzén, Holger - Nationalekonomiska institutionen, Handelshögskolan - 2007

the credit portfolio. This makes it possible to use matrix-analytic methods to derive computationally tractable closed …

Persistent link: https://www.econbiz.de/10005190946

Matrix-analytic methods in stochastic models

Latouche, Guy (contributor) - 2013

Persistent link: https://www.econbiz.de/10009669034

Analysis of queueing system with discrete autoregressive arrivals having DML as marginal distribution

Abraham, Bindu; Jose, Kanichukattu Korakutty - In: Statistica 73 (2013) 3, pp. 317-339

system size and the waiting time distribution of an arbitrary packet is obtained with the help of matrix analytic methods and …

Persistent link: https://www.econbiz.de/10010903766

Logarithmic asymptotics for the GI/G/1-type Markov chains and their applications to the BMAP/G/1 queue with vacations

Tai, Yongming; He, Qi-ming - In: INFOR : information systems and operational research 51 (2013) 2, pp. 92-102

Persistent link: https://www.econbiz.de/10010376687

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of Derivatives Research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10008926017

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009272496