This paper addresses the problem of inventory penalty pricing under the risk-neutral valuation principle. The underlying production-inventory system has a constant replenishment rate and a compound renewal demand stream (i.e., iid demand interarrival times are independent of iid demand sizes), and is subject to underage and overage penalties. Our pricing approach treats the penalties as a serie...

We present a systematic method of analysis of experiments performed with single motor proteins. The use of such a method should allow a more detailed description of the motor's chemical cycle through the precise fitting of the experimental data. We model the dynamics of a processive or rotary molecular motor using a renewal process, in line with the work initiated by Svoboda, Mitra and Block. W...

We address the stochastic characteristics of a recently proposed greedy routing scheme. The behavior of individual hop advancements is examined, and asymptotic expressions for the hop length moments are obtained. The change of the hop distribution as the sink distance is varied is quantified with a Kullback–Leibler analysis. We discuss the effects of the assumptions made, the inherent dependenc...

A recently completed study 1 supported by a Social Security Administration research grant examined the economic, social, and psychological impact of forced relocation upon families displaced by urban renewal. A secondary purpose was to evaluate the effectiveness of a local urban renewal agency in mitigating some of the negative effects anticipated in the relocation process. The presence of two ...

Non-Homogeneous Gamma Process (NHGP) is characterized by an arbitrary trend function and a gamma renewal distribution. In this paper, we estimate the confidence intervals of model parameters of NHGP via two parametric bootstrap methods: simulation-based approach and re-sampling-based approach. For each bootstrap method, we apply three methods to construct the confidence intervals. Through simul...

For a binary stationary time series define σn to be the number of consecutive ones up to the first zero encountered after time n, and consider the problem of estimating the conditional distribution and conditional expectation of σn after one has observed the first n outputs. We present a sequence of stopping times and universal estimators for these quantities which are pointwise consistent for ...

We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also study the survival probability of returns sign and apply a coarse graining procedure to reveal the renewal aspects of the process underlying its dynamics.

We consider a renewal jump-diffusion process, more specifically a renewal insurance risk model with investments in a stock whose price is modeled by a geometric Brownian motion. Using Laplace transforms and regular variation theory, we introduce a transparent and unifying analytic method for investigating the asymptotic behavior of ruin probabilities and related quantities, in models with light...

Assume that the surplus process of an insurance company is described by a general Lévy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. Under this setting we show that the optimal dividend pay-out policy is a band-policy. If the renewal process is a Poisson process, it is further shown tha...