A new formula for some linear stochastic equations with applications
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Publication:968770
DOI10.1214/09-AAP637zbMath1196.60122arXiv1009.3373OpenAlexW3104499980MaRDI QIDQ968770
Publication date: 6 May 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.3373
risk processshot-noise processgeneralized Ornstein-Uhlenbeck processlinear stochastic equationgrowth collapse process
Processes with independent increments; Lévy processes (60G51) Stochastic integral equations (60H20) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (2)
Minimizing a stochastic convex function subject to stochastic constraints and some applications ⋮ Shot-noise queueing models
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