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...

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...

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...

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...

This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...

In this paper, we propose an analytic analogue to the simulation procedure described in Taylor (1997). We apply the formulas to a Belgian data set and discuss the interaction between a priori and a posteriori ratemakings.

We are dealing with the ruin probability and the expected ruin time in a two state Markov model ...