In this paper, we present a bounding methodology that allows to compute a tight lower boundon the cycle time of fork--join queueing networks with blocking and with general service timedistributions. The methodology relies on two ideas. First, probability masses fitting (PMF)discretizes the...

In recent years, the performance-based approach to contracting for medical services has been gaining popu-larity across different healthcare delivery systems, both in the US (under the name of "Pay-for-Performance",or P4P), and abroad ("Payment-by-Results", or PbR, in the UK). One common element...

Die Geschäftsstellen müssen für die Zeitspanne der Euro-Bargeld-Einführung(17.12.2001 bis 28.02.2002) mit einem deutlich höheren Kunden- und Transaktionsaufkommenim Kassengeschäft rechnen. Damit weder chaotische Zuständemit langen Warteschlangen noch hohe Zusatzkosten die Folgen sind,...

A set of agents with possibly different waiting costs have to receive the same service one after theother. Efficiency requires to maximize total welfare. Equity requires to at least treat equal agentsequally. One must form a queue, set up monetary transfers to compensate agents having to...

This paper explains regionally differentiated patterns of structural change based on a theoreticalframework dealing with strategic interaction of farms on the land market. The main research questionfocuses on the causes of regionally persistent structures. An empirical Markov chain model is...

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...

The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one dimensional parametrized...