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Properties of the Reflected Ornstein-Uhlenbeck Process
diffusion approximation Ornstein–Uhlenbeck process refl ecting diffusion steady-state
2015/7/8
Consider an Ornstein–Uhlenbeck process with reflection at the origin. Such a process arises as an approximating process both for queueing systems with reneging or state-dependent balking and for multi...
Recurrence Properties of Autoregressive Processes with Super-Heavy-Tailed Innovations
Recurrence Properties Autoregressive Processes Super-Heavy-Tailed Innovations
2015/7/6
This paper studies recurrence properties of autoregressive (AR) processes with `super-heavy-tailed' innovations. Specifically, we study the case where the innovations are distributed, roughly speaking...
Robustness Properties and Confidence Interval Reliability
Robustness Properties Confidence Interval Reliability
2015/7/6
In this chapter, we discuss the robustness and reliability of the estimators of the probability of a rare event (or, more generally, of the expectation of some function of rare events) with respect to...