Victor Korolev

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We investigate a class of exponentially weakly ergodic inhomogeneous birth and death processes. We consider special transformations of the reduced intensity matrix of the process and obtain uniform (in time) error bounds of truncations. Our approach also guarantees that we can find limiting characteristics approximately with an arbitrarily fixed error. As(More)
We consider a class of finite Markovian queueing models and obtain uniform approximation bounds of truncations. INTRODUCTION It is well known that explicit expressions for the probability characteristics of stochastic models can be found only in a few special cases, moreover, if we deal with an inhomogeneous Markovian model, then we must approximately(More)
We describe an algorithm to forecast financial risks using parametrized models of normal variance-mean mixtures. The proposed method takes a set of vectors as the input, containing a fixed number of the distribution parameters – the final result of the modified two-step grid-based decomposition algorithm applied to a moving time window. In this article we(More)