In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time. The problem reduces to that of solving a Volterra integral equation of the first kind, where a recursive solution is consequently obtained. The advantage of this new method as compared to that...

Mit einem Markov-Switching-Modell können die monatlichen Veränderungen des ifo Geschäftsklimas in Wahrscheinlichkeiten für die beiden konjunkturellen Regime »Expansion« bzw. «Kontraktion« umgesetzt werden. Diese Wahrscheinlichkeiten – abgebildet in der ifo Konjunkturampel – liefern...

Suppose that the agents of a matching market contact each other randomly and form new pairs if is in their interest. Does such a process always converge to a stable matching if one exists? If so, how quickly? Are some stable matchings more likely to be obtained by this process than others? In...

Time series of coalitions (so-called scenarios) are studied that describe processes of coalition formation where several players may enter or leave the current coalition at any point in (discrete) time and convergence to the grand coalition is not necessarily prescribed. Transitions from one...

We present an algorithm to find the determinant and its first and second derivatives of a rank-one corrected generator matrix of a doubly stochastic Markov chain. The motivation arises from the fact that the global minimiser of this determinant solves the Hamiltonian cycle problem. It is...

One of the central considerations in the theory of Markov chains is their convergence to an equilibrium. Coefficients of ergodicity provide an efficient method for such an analysis. Besides giving sufficient and sometimes necessary conditions for convergence, they additionally measure its rate....

Metropolitan areas consist of complicated systems of interconnected infrastructures that are highly interdependent. Disruption of one infrastructure may induce disruption in other interconnected ones. The results from analysis of one infrastructure as an independent system are not realistic...

A multiplicative relationship, drought magnitude (M)=drought intensity (I) × drought duration or length (L) is used as a basis for predicting the largest expected value of hydrological drought magnitude, E(M <Subscript> T </Subscript>) over a period of T-year (or month). The prediction of E(M <Subscript> T </Subscript>) is carried out in...</subscript></subscript>

A variety of indices for characterising hydrological drought have been devised which, in general, are data demanding and computationally intensive. On the contrary, for meteorological droughts very simple and effective indices such as the Standardised Precipitation Index (SPI) have been used. A...

Comparability analyses are performed to investigate similarities/differences of the standard precipitation index (SPI) and the reconnaissance drought index (RDI), respectively, utilizing precipitation and ratio of precipitation over potential evapotranspiration (ET <Subscript>0</Subscript>). Data are from stations...</subscript>