This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular array consists of i.i.d. random vectors, whose distribution matches a power law on a ball of radius going to...

AMS classifications: 62G20; 62G32;

Relay nodes in an ad hoc network can be modelled as fluid queues, in which the available service capacity is shared by the input and output. In this paper such a relay node is considered; jobs arrive according to a Poisson process and bring along a random amount of work. The total transmission...

Relay nodes in an ad hoc network can be modelled as fluid queues, in which the available service capacity is shared by the input and output. In this paper such a relay node is considered; jobs arrive according to a Poisson process and bring along a random amount of work. The total transmission...

We study a basic (r, q) system, in which the demand is a Poisson process and the leadtimes are independent, identically-distributed random variables. The key issue is the joint effect of the leadtime variance and the lot size q on performance. We know that, under a simple base-stock policy (with...

This paper considers the problem of pricing discrete barrier options. A discrete barrier option is a barrier option where the barrier is monitored only at specific dates. This paper continues the work initiated by Broadie et al. in [B-G-K] and determine formulas to estimate the price of discrete...

The entropy-maximization paradigm of statistical physics is well known to generate the omnipresent Gauss law. In this paper we establish an analogous socioeconomic model which maximizes social equality, rather than physical disorder, in the context of the distributions of income and wealth in...

The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and...

The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and...