Søren Asmussen - researchr alias

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Viewing Publication 1 - 32 from 32

2025

Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing modelsSøren Asmussen. questa, 109(4):30, December 2025. [doi]

Matrix representations of Wiener-Hopf factorisations for Lévy processesSøren Asmussen, Mogens Bladt. jap, 62(3):1028-1043, 2025. [doi]

2022

From PH/MAP to ME/RAPSøren Asmussen, Mogens Bladt. questa, 100(3-4):173-175, 2022. [doi]

2018

Discretization error for a two-sided reflected Lévy processSøren Asmussen, Jevgenijs Ivanovs. questa, 89(1-2):199-212, 2018. [doi]

Stability and busy periods in a multiclass queue with state-dependent arrival ratesPhilip A. Ernst, Søren Asmussen, John J. Hasenbein. questa, 90(3-4):207-224, 2018. [doi]

2017

On preemptive-repeat LIFO queuesSøren Asmussen, Peter W. Glynn. questa, 87(1-2):1-22, 2017. [doi]

2014

Obituary: Marcel F. Neuts 1935-2014Søren Asmussen, Bo Friis Nielsen. jap, 51(4):895-897, 2014. [doi]

Checkpointing in Failure Recovery in Computing and Data TransmissionSøren Asmussen, Lester Lipsky, Stephen Thompson. asmta 2014: 253-272 [doi]

Editor's prefaceSøren Asmussen, Peter Jagers, Ilya S. Molchanov, Chris Rogers. jap, 51(A), 2014. [doi]

On Exceedance Times for Some Processes with Dependent IncrementsSøren Asmussen, Sergey Foss. jap, 51(1):136-151, 2014. [doi]

2013

The M/M/1 queue with inventory, lost sale, and general lead timesMohammad Saffari, Søren Asmussen, Rasoul Haji. questa, 75(1):65-77, 2013. [doi]

2012

On error rates in rare event simulation with heavy tailsSøren Asmussen, Dominik Kortschak. wsc 2012: 38 [doi]

2011

A Note on Skewness in Regenerative SimulationSøren Asmussen, Tobias Rydén. cssc, 40(1):45-57, 2011. [doi]

Efficient simulation of tail probabilities of sums of correlated lognormalsSøren Asmussen, Jose H. Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa. anor, 189(1):5-23, 2011. [doi]

2007

Stochastic simulation - algorithms and analysisSøren Asmussen, Peter W. Glynn. Volume 57 of Stochastic modeling and applied probability, Springer, 2007.

Efficient simulation of finite horizon problems in queueing and insurance riskLeonardo Rojas-Nandayapa, Søren Asmussen. questa, 57(2-3):85-97, 2007. [doi]

2006

On the completion time distribution for tasks that must restart from the beginning if a failure occursRobert Sheahan, Lester Lipsky, Pierre M. Fiorini, Søren Asmussen. sigmetrics, 34(3):24-26, 2006. [doi]

2004

Transient Properties of Many-Server Queues and Related QBDsSøren Asmussen, Mats Pihlsgård. questa, 46(3-4):249-270, 2004. [doi]

Pricing of Some Exotic Options with NIG-Lévy InputSebastian Rasmus, Søren Asmussen, Magnus Wiktorsson. iccS 2004: 795-802 [doi]

2002

Exact Buffer Overflow Calculations for Queues via MartingalesSøren Asmussen, Manfred R. Jobmann, Hans-Peter Schwefel. questa, 42(1):63-90, 2002.

2001

Ruin probabilitiesSøren Asmussen. Volume 2 of Advanced series on statistical science and applied probability, World Scientific, 2001.

Calculation of the Steady State Waiting Time Distribution in GI/PH/c and MAP/PH/c QueuesSøren Asmussen, Jakob R. Møller. questa, 37(1/3):9-29, 2001.

2000

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporationSøren Asmussen, Bjarne Højgaard, Michael Taksar. fs, 4(3):299-324, 2000. [doi]

1999

Tail Asymptotics for M/G/1 Type Queueing Processes with Subexponential IncrementsSøren Asmussen, Jakob R. Møller. questa, 33(1-3):153-176, 1999.

1998

An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory ModelSøren Asmussen, David Perry. mor, 23(1):166-176, 1998. [doi]

A Probabilistic Look at the Wiener-Hopf EquationSøren Asmussen. siamrev, 40(2):189-201, 1998. [doi]

1995

Rejection rules in the::::M/G::::/1 queueDavid Perry, Søren Asmussen. questa, 19(1-2):105-130, 1995. [doi]

1994

Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's InequalitySøren Asmussen, Tomasz Rolski. mor, 19(2):410-433, 1994. [doi]

Poisson s equation for queues driven by a Markovian marked point processSøren Asmussen, Mogens Bladt. questa, 17(1-2):235-274, 1994. [doi]

1992

Queueing Simulation in Heavy TrafficSøren Asmussen. mor, 17(1):84-111, 1992. [doi]

Stationarity Detection in the Initial Transient ProblemSøren Asmussen, Peter W. Glynn, Hermann Thorisson. tomacs, 2(2):130-157, 1992. [doi]

1986

Über eine Stetigkeitsfrage betreffend das Bedienungssystem GI/GI/sSøren Asmussen, Helle Johansen. eik, 22(10/11):565-570, 1986.

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