This paper defines Structured Markovian Arrival Processes (SMAPs). An SMAP consists of several blocks each being represented by a random variable specifying the duration of staying in that block. Leaving a block indicates an arrival event of the SMAP. The routing between blocks is governed by a stochastic matrix Q. It is shown that the joint moments of the SMAP can be directly determined from t...

This paper examines the numerical implementation of a linear programming (LP) formulation of stochastic control problems involving singular stochastic processes. The decision maker has the ability to influence a diffusion process through the selection of its drift rate (a control that acts absolutely continuously in time) and may also decide to instantaneously move the process to some other lev...

Outliers and influential observations have important effects on the regression analysis. The goal of this paper is to extend the mean-shift model for detecting outliers in case of ridge regression model in the presence of stochastic linear restrictions when the error terms follow by an autoregressive AR(1) process. Furthermore, extensions of measures for diagnosing influential observations are ...