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In this paper, a multidimensional stochastic volatility process is introduced. This process is simpler than existing ones in terms of number of parameters while keeping practical stylized facts like stochastic correlation and volatility. The pricing of two mountain range derivatives, Altavista...
Control charts are the most popular tool for monitoring production quality. In traditional control charts, it is usually supposed that the observations follow a multivariate normal distribution. Nevertheless, there are many practical applications where the normality assumption is not fulfilled....
Software rejuvenation is modeled in a client–server system, which provides resources to priority classes of users. To assure availability, resource reservation policies are adopted for the higher priority classes. In addition software rejuvenation is proposed to optimize resource availability....
It is a long‐accepted tenet of scientific practice that every measurement result ought to include a statement of uncertainty associated with the measured value. Such uncertainty should also be propagated to functions of the measured values. It is also widely recognized that probability...
Discrete autoregressive process of order 1 (DAR(1)) has been used as a popular stochastic model for correlated traffic sources because it parsimoniously uses a single parameter to capture the desirable correlation structure. In contrast with DAR(1), discrete autoregressive process of order 2...
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