VOL. 4 · NO. 2 | 2014
Karthyek R. A. Murthy, Sandeep Juneja, Jose Blanchet
Stoch. Syst. 4 (2), 321-374, (2014) DOI: 10.1214/13-SSY114
KEYWORDS: State-independent importance sampling, rare-event simulation, heavy-tails, Random walks, single-server queue, insurance ruin, 60G50, 60J05, 68W40, 60J20
Arnoud V. den Boer, Bert Zwart
Stoch. Syst. 4 (2), 375-403, (2014) DOI: 10.1214/12-SSY086
KEYWORDS: Quasi-likelihood estimation, strong consistency, mean square convergence rates, 62F12, 62J12
Ning Cai, Chao Shi
Stoch. Syst. 4 (2), 404-448, (2014) DOI: 10.1214/12-SSY094
KEYWORDS: Two-dimensional Laplace inversion, two-sided Laplace transforms, Euler inversion, computable error bounds, discretization errors, truncation errors, option pricing, exotic options, 44A10, 91G20, 91G60
Mathieu Feuillet, Matthieu Jonckheere, Balakrishna Prabhu
Stoch. Syst. 4 (2), 449-478, (2014) DOI: 10.1214/11-SSY053
KEYWORDS: Scaling methods, bnadwidth sharing networks, stochastic averaging, 90B18, 60K35, 90B36
Itai Gurvich, Amy Ward
Stoch. Syst. 4 (2), 479-523, (2014) DOI: 10.1214/13-SSY097
KEYWORDS: Matching queues, optimal control, diffusion approximations, 60K25, 60J70, 60F17
J. Michael Harrison, Chinmoy Mandayam, Devavrat Shah, Yang Yang
Stoch. Syst. 4 (2), 524-555, (2014) DOI: 10.1214/13-SSY130
KEYWORDS: Bandwidth sharing models, dynamic resource allocation, entrainment, heavy traffic analysis, hierarchical, greedy ideal performance, resource sharing networks
Rami Atar, Mark Shifrin
Stoch. Syst. 4 (2), 556-603, (2014) DOI: 10.1214/13-SSY124
KEYWORDS: Multiclass G/G/1 queue, Brownian control problem, the Harrison-Taksar free boundary problem, state dependent priorities, Reiman’s snapshot principle, 60F17, 60J60, 60K25, 93E20
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