Skip to content | Change text size
 

Publications

    2009

  • BUCHMANN, B. and Chan, N.H. Integrated functionals of normal and fractional processes. The Annals of Applied Probability 18 (2008). (to appear). - download.

    2008

  • ABRAMOV, V.M. The effective bandwidth problem revisited. Stochastic Models (2008, to appear) - download.
  • ABRAMOV, V.M. Continuity theorems for the M/M/1/n queueing system. Queueing Systems, 59 (2008), 63-86. doi: 10.1007/s11134-008-9076-7 - download.
  • ABRAMOV, V.M. Further analysis of confidence intervals for large client/server computer networks. Reliability and Risk Analysis: Theory and Applications, 1, (2008), Issue 1 (March), 22-28. - download
  • ABRAMOV, V.M. Large closed queueing networks in semi-Markov environment and their applications. Acta Applicandae Mathematicae, 100 (2008), 201-226. - download.
  • ABRAMOV, V.M. and KLEBANER, F.C. Prediction of missing observations by a control method. Advances and Applications in Statistics, 8 (2008), 109-129. - download.
  • BUCHMANN, B., Maller, R. and Szimayer, A. An almost sure functional limit theorem at zero for a class of Levy processes normed by the square root function, and applications. Probability Theory and Related Fields, 142 (2008), 219-247. - download.
  • HAMZA, K. A new mean with inequalities. The Bulletin of the Australian Mathematical Society, (2008), doi:10.1017/S000497270800021X. download.
  • HAMZA, K. An exact test for hazard-similarity. Australian and New Zealand Journal of Statistics, to appear. download.
  • HAMZA, K., Jagers, P., SUDBURY, A. and Tokarev, D. The mixing advantage is less than 2. Extremes, to appear. download.
  • HAMZA, K. and KLEBANER, F.C. On the implicit Black-Scholes formula. Stochastics: An International Journal of Probability and Stochastic Processes [Formerly known as Stochastics and Stochastics Reports], 80 (2008), 97-102. download.
  • KLEBANER, F.C. and Landsman, Z. Option pricing for log-symmetric distributions of returns Methodology and Computing in Applied Probability. (to appear) download.
  • KLEBANER, F.C. and Liptser, R. Large deviations analysis of extinction in branching models, Mathematical Populations Studies, 15 (2008), 55-69.
  • SUDBURY, A. The expected duration of random sequential adsorption. The Annals of Applied Probability, 18 (2008), 100-108. download.
  • SUDBURY, A. Emptiness probabilities in random sequential adsorbtion on the Bethe lattice. Modern Physics Letters, Ser. B. (2008), to appear. download.
  • Thompson, R. and CLARK, R. M. Is spring starting earlier? The Holocene (special issue in honour of F. Oldfield), 18.1 (2008), 95-104.

    2007

  • ABRAMOV, V.M. Confidence intervals associated with performance analysis of symmetric large closed client/server computer networks. Reliability: Theory and Applications, 2, (2007), Issue 2 (June), 35-42. - download
  • ABRAMOV, V.M. Multiserver queueing systems with retrials and losses. ANZIAM Journal [Formerly known as Journal of the Australian Mathematical Society, Ser. B], 48 (2007), 297-314. - download.
  • ABRAMOV, V.M. Asymptotic analysis of loss probabilities in GI/M/m/n queueing systems as n increases to infinity. Quality Technology and Quantitative Management, 4 (2007), 379-393. - download.
  • ABRAMOV, V.M. Optimal control of a large dam. Journal of Applied Probability, 44 (2007), 249-258. - download.
  • ABRAMOV, V.M. and KLEBANER, F.C. Estimation and prediction of a non-constant volatility. Asia Pacific Financial Markets, 14 (2007), 1-23. - download.
  • Bentsman, J. and MILLER, B. Dynamical systems with active singularities of elastic type: A modelling and control synthesis framework. IEEE Transaction on Automation Control, 52 (2007), 1-18. - download.
  • Bentsman, J., MILLER, B.M., Rubinovich, E.Ya. and Zheng, K. Hybrid dynamical systems with controlled discrete transitions. Nonlinear Analysis: Hybrid Systems, 1 (2007), 466-481. download.
  • Brand, M., Sanjayan, J.G. and SUDBURY, A. Dynamic response of pedestrian bridges for random crowd-loading. Australian Journal of Civil Engineering, Engineers Australia 3 (1) (2007), 27-39.download.
  • Dufour, F. and MILLER, B. Necessary conditions for optimal singular stochastic control problems. Stochastics: An International Journal of Probability and Stochastic Processes [Formerly known as Stochastics and Stochastics Reports], 79 (2007), 469-504. - download.
  • Dufour, F. and MILLER, B. Maximum principle in non-linear optimal stochastic singular control problems. ECC'07 (European Control Conference, Kos, Greece, July, 2007), to appear. - download.
  • Ehrmann, E. H., Messer, H .H. and CLARK, R. M. Flare-ups in endodontics and their relationship to various medications. Australian Endodontics Journal, 33 (3), 119-130. download.
  • HAMZA, K. and KLEBANER, F.C. On one inverse problem in financial mathematics Journal of Uncertain Systems 1 (2007), 246-255, download.
  • HAMZA, K. and KLEBANER, F.C. A family of non-Gaussian martingales with Gaussian marginals. Journal of Applied Mathematics and Stochastic Analysis 2007 (2007), Article ID 92723 - download.
  • Jagers, P., KLEBANER, F.C. and Sagitov, S. On the path to extinction. Proceedings of the National Academy of Sciences of the USA, 104 (2007), 6107-6111. download.
  • Jagers, P., KLEBANER, F.C. and Sagitov, S. Markovian paths to extinction. Advances in Applied Probability, 39 (2007), 569-587. download.
  • KLEBANER, F.C., LIM, A. and Liptser, R. Functional Central Limit Theorem and Moderate Deviation Principle for stochastic Lotka-Volterra model. Acta Applicandae Mathematicae, 97 (2007), 53-68. download.
  • KLEBANER, F.C. and Liptser, R. Cramer's theorem for nonnegative multivariate point processes with independent increments. In: Topics in Stochastic Analysis and Nonparametric Estimation. IMA Volumes in Mathematics and its Applications, v. 145. - download.
  • KLEBANER, F.C., Roesler, U. and Sagitov, S. Transformations of Galton-Watson processes and linear fractional reproduction. Advances in Applied Probability, 39 (2007), 1036-1053. download.
  • MILLER, B.M. and Bentsman, J. Generalized solutions in systems with active unilateral constraints. Nonlinear Analysis: Hybrid Systems, 1 (2007), 510-526. - download.
  • MILLER, B.M. and Rubinovich, E.Ya. Image motion compensation at charge-coupled device photographing in delay-integration mode. Automation and Remote Control, 68 (2007), 564-571. - download.
  • PHATARFOD, R. Some aspects of gambling with the Kelly criterion. The Mathematical Scientist, 32 (2007), 23-31. - download.
  • Risbey, J., HAMZA, K. and Marsden, J. Use of climate scenarious to aid in decision analysis for interannual water supply planning. Water Resources Manage, 21 (2007), 919-932. - download.

    2006

  • ABRAMOV, V.M. Analysis of multiserver retrial queueing system: A martingale approach and an algorithm of solution. Annals of Operations Research 141 (2006) 19-50. - download.
  • ABRAMOV, V.M. Stochastic inequalities for single-server loss queueing systems. Stochastic Analysis and Applications, 24 (2006), 1205-1221. - download.
  • Dufour, F and MILLER, B.M. Maximum principle for singular stachastic control problems. SIAM Journal of Control and Optimization, 48 (2006), 668-698. - download.
  • Fielding, M., KLEBANER, F.C. and Landsman, Z. Random volatility and option prices with the generalized Student t-distribution Advances and Applications in Statistics, 6 (2006), 111-120.
  • HAMZA, K. and KLEBANER, F. Nonexistance of non-constant volatility in the Black-Scholes formula. Discrete and Continuous Dynamic Systems, 6 (2006), 829-834. - download.
  • HAMZA, K. and KLEBANER, F.C. On solutions of first order stochastic partial differential equations. Far East J. Theor. Statist. 1 (2006), 13-25. - download.
  • KLEBANER, F.C., LE, T. and Liptser, R. On estimation of volatility surface and prediction of future spot volatility. Appl. Math. Finance, 13 (2006) 245-263. - download.
  • KLEBANER, F.C. and Liptser, R. Likely path to extinction in simple branching models with large initial population. Journal of Applied Mathamatics and Stochastic Analysis, 1 (2006), 1-23. - download.
  • MILLER, B.M. and Bentsman, J. Optimal control problems in hybrid systems with active singularities. Nonlinear Analysis, 65 (2006), 999-1017. - download.
  • Steif, J.E. and SUDBURY, A. Some results for poisoning in catalytic model. Electronic Communications in Probability, 11 (2006), 168-177. download.
  • Thompson, R. and CLARK, R.M. Spatio-temporal modelling and assessment of within-species phenological variability using thermal time methods. International Journal of Biometeorology, 50 (2006), 312-322 - download.

    2005

  • Goldentayer, L., KLEBANER, F.C. and Liptser, R. Tracking Volatility. Problems of Information Transmission 41 (3) (2005) 212-229 - download.
  • HAMZA, K., Jacka, S. and KLEBANER, F.C. The Equivalent Martingale Measure Conditions in a General Model for Interest Rates. Advances in Applied Probability, 37 (2005), 415-434. - download.
  • LE, T. Stochastic Market Volatility Models. Applied Financial Economics Letters 1 (2005) 177-188 - download.
  • Penrose, M.D. and SUDBURY, A. Exact and approximate results for deposition and annihilation processes on graph. The Annals of Applied Probability 15 (2005), 853-889. - download.
  • KLEBANER, F.C. Behaviour of a dynamic system far from its equilibrium. Complex Analysis and Dynamical Systems. II, 229-231. Contemp. Math., 382, American Mathematical Society, Providence, RI (2005).
  • SUDBURY, A. Rigorous lower bounds for extinction probabilities of the contact process. Journal of Applied Probability 42 (2005), 902-904. - download.

    2004

  • CLARK, R.M. and Thompson, R. Botanical records reveal changing seasons in a warning world Australian Science, (October, 2004) 37-39. .
  • Fock, J., Galea, M.P., Stillman, B.C., Rawicki, B. and CLARK, R.M. Functional outcome following Botulinum toxin A injection to reduce spastic equinus in adults with traumatic brain injury Brain Injury, 18 (1) (2004) 57-63. .download.
  • Jagers, P. and KLEBANER, F.C. Branching processes in near critical random environment. Journal of Applied Probability, 41A (2004), 17-23.
  • SUDBURY, A. The annihilating process on random trees and the square lattice. Journal of Applied Probability 41 (2004), 816-831.
  • Katori, M., Konno, N., SUDBURY, A. and Tanemura, H. Dualities for the Domany-Kinzel model. Journal of Theoretical Probability 17 (2004), 131-144.download.

    Preprints

  • Abramov, V.M. The stability of join-the-shortest-queue models with general input and output processes. arXiv: math/PR 0505040. - download.
  • Abramov, V.M. Losses in M/GI/m/n queues. arXiv: math/PR 0506033. - download.
  • Abramov, V.M. Optimal control of a large dam, taking into account the water costs.arXiv: math/PR 0701458. - download.
  • Abramov, V.M.Effective bandwidth problem revisited. arXiv: math/PR 0604182. - download.
  • Klebaner, F.C. and Liptser, R. Cramer's theorem for nonnegative multivariative point processes with independent increments. arXiv: math/PR 0507258. - download.
  • Klebaner, F.C. and Liptser, R. Ruin analysis in constant elastisity of variance model with large initial funds. arXiv: math/PR 0511116. - download.
  • Sudbury, A. and Gouet, R. Blocking and dimer processes on the Cayley tree. .download.