We study the one-sided limit order book corresponding to limit sell orders and model it as a
measure-valued process. Limit orders arrive to the book according to a Poisson process and …

Given a two-dimensional correlated diffusion process, we determine the joint density of the
first passage times of the process to some constant boundaries. This quantity depends on …

We consider a class of one-dimensional (1D) reflected stochastic differential equations
(SDEs). Such reflected SDE models arise as the key approximating processes in a regulated …

Since diffusion processes arise in so many different fields, efficient technics for the
simulation of sample paths, like discretization schemes, represent crucial tools in applied …

Patients with type 2 diabetes need to closely monitor blood sugar levels as their routine
diabetes self-management. Although many treatment agents aim to tightly control blood …

We propose an analytical approach to study non-Markov random walks by employing an
exact enumeration method. Using the method, we derive an exact expansion for the first …

We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion
X (t) reflected between two boundaries a and b, which starts from a random position η. Let …

Continuous-time stochastic processes play an important role in the description of random
phenomena. It is therefore important to study particular stopping times dependent on the …

This paper considers asset dynamics in a regulated (controlled) market, where the
macroeconomic environment is taken into account. A regime-switching reflected stochastic …

We study a single-server Markovian queueing model with N customer classes in which
priority is given to the shortest queue. Under a critical load condition, we establish the …