We consider residue expansions for survival and density/mass functions of first-passage distributions in finite-state semi-Markov processes (SMPs) in continuous and integer time. Conditions are given which guarantee that the residue expansions for thes…
We consider residue expansions for survival and density/mass functions of first-passage distributions in finite-state semi-Markov processes (SMPs) in continuous and integer time. Conditions are given which guarantee that the residue expansions for thes…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent’s preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonline…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent’s preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonline…
Restless bandits are a class of sequential resource allocation problems concerned with allocating one or more resources among several alternative processes where the evolution of the processes depends on the resources allocated to them. Such models cap…
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random vectors whose components are not always simultaneously large. Various a…
Let be a multivariate process of the form , , killed at some terminal time T, where is a Markov process having only jumps of length smaller than , and is a compound Poisson process with jumps of length bigger than , for some fixed . Under the assump…
The hyperbolic random geometric graph was introduced by Krioukov et al. (Phys. Rev. E82, 2010). Among many equivalent models for the hyperbolic space, we study the d-dimensional Poincaré ball (), with a general connectivity radius. While many phase tra…
The hyperbolic random geometric graph was introduced by Krioukov et al. (Phys. Rev. E82, 2010). Among many equivalent models for the hyperbolic space, we study the d-dimensional Poincaré ball (), with a general connectivity radius. While many phase tra…
We correct typographical errors in our original paper.