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math.PR2015★ 1 cited
Covariance Kernels of Gaussian Markov Processes
Kerry Fendick
The solution to a multivariate linear Stochastic Differential Equation (SDE) with constant initial state is well known to be a Gaussian Markov process, but its covariance kernel in…
math.PR2011
Queues with Censored Demand and Autoregressive Net Input
Kerry Fendick
We develop methods for simulating a queue with an autoregressive net-input process and for recovering characteristics of such a net-input process from samples of queue lengths. We…
math.PR2011★ 3 cited
Gaussian Fluid Queue with Autocorrelated Input
Kerry Fendick
This paper develops a generalization of Brownian motion with stationary, autocorrelated increments as a tractable model for problems in business and finance. We show that any real…