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PE
2008
Springer
173views Optimization» more  PE 2008»
13 years 7 months ago
M/G/1 queue with deterministic reneging times
We consider single-server and multi-server queues with deterministic reneging times motivated by the timeout mechanisms used in application servers.. A Volterra integral equation ...
Wei Xiong, David L. Jagerman, Tayfur Altiok
SIAMSC
2011
126views more  SIAMSC 2011»
13 years 2 months ago
Fast Structured AMG Preconditioning for the Bidomain Model in Electrocardiology
The electrical activity of the heart may be modeled by a non-linear system of partial differential equations known as the bidomain model. Due to the rapid variations in the electr...
Micol Pennacchio, Valeria Simoncini
SIAMSC
2008
143views more  SIAMSC 2008»
13 years 7 months ago
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
Jari Toivanen
FS
2010
105views more  FS 2010»
13 years 6 months ago
Local time and the pricing of time-dependent barrier options
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
Aleksandar Mijatovic
AMC
2008
108views more  AMC 2008»
13 years 7 months ago
Improved exponential stability for time-varying systems with nonlinear delayed perturbations
In this paper, a new sufficient delay dependent exponential stability condition for a class of linear time-varying systems with nonlinear delayed perturbations is derived by using...
P. Niamsup, K. Mukdasai, V. N. Phat