Recently, Cai et al. (2015) proposed closed-form double transform approxima- tion formulas for prices of both discretely and continuously monitored Asian options under the setting of a general continuous-time Markov chain. In this note, we analytically invert the Z−transform and the Laplace...

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally unknown. We propose an importance sampling approach with an...

We first consider a multi-dimensional reflected fractional Brownian motion process on the positive orthant with the Hurst parameter H∈(0,1). In particular, when H1/2, this model serves to approximate fluid stochastic network models fed by a big number of heavy tailed ON/OFF sources in heavy...

In recent years, increasing numbers of businesses worldwide have standardized their governance practices in an attempt to improve control over their corporate assets. The term “IT Governance (ITG)” indicates businesses' growing need to find a balance between the conformance (or conformity to...

We analyze a sequence of single-server queueing systems with impatient customers in heavy traffic. Our state process is the offered waiting time, and the customer arrival process has a state dependent intensity. Service times and customer patient-times are independent; i.i.d. with general...

We study long time asymptotic properties of constrained diffusions that arise in the heavy traffic analysis of multiclass queueing networks. We first consider the classical diffusion model with constant coefficients, namely a semimartingale reflecting Brownian motion (SRBM) in a d-dimensional...