scholarly journals Cumulant generating function formula of heat transfer in ballistic systems with lead-lead coupling

2012 ◽  
Vol 86 (16) ◽  
Author(s):  
Huanan Li ◽  
Bijay Kumar Agarwalla ◽  
Jian-Sheng Wang
1997 ◽  
Vol 13 (2) ◽  
pp. 170-184 ◽  
Author(s):  
John L. Knight ◽  
Stephen E. Satchell

This paper deals with the use of the empirical cumulant generating function to consistently estimate the parameters of a distribution from data that are independent and identically distributed (i.i.d.). The technique is particularly suited to situations where the density function is unknown or unbounded in parameter space. We prove asymptotic equivalence of our technique to that of the empirical characteristic function and outline a six-step procedure for its implementation. Extensions of the approach to non-i.i.d. situations are considered along with a discussion of suitable applications and a worked example.


2019 ◽  
Vol 51 (01) ◽  
pp. 268-299 ◽  
Author(s):  
Andrew Daw ◽  
Jamol Pender

AbstractThe nonstationary Erlang-A queue is a fundamental queueing model that is used to describe the dynamic behavior of large-scale multiserver service systems that may experience customer abandonments, such as call centers, hospitals, and urban mobility systems. In this paper we develop novel approximations to all of its transient and steady state moments, the moment generating function, and the cumulant generating function. We also provide precise bounds for the difference of our approximations and the true model. More importantly, we show that our approximations have explicit stochastic representations as shifted Poisson random variables. Moreover, we are also able to show that our approximations and bounds also hold for nonstationary Erlang-B and Erlang-C queueing models under certain stability conditions.


2009 ◽  
Vol 46 (03) ◽  
pp. 629-650 ◽  
Author(s):  
Michael R. Tehranchi

This note explores the behaviour of the implied volatility of a European call option far from maturity. Asymptotic formulae are derived with precise control over the error terms. The connection between the asymptotic implied volatility and the cumulant generating function of the logarithm of the underlying stock price is discussed in detail and illustrated by examples.


1974 ◽  
Vol 11 (4) ◽  
pp. 809-813 ◽  
Author(s):  
S. D. Durham

For the general age-dependent branching process subject to an arbitrary pattern of immigration asymptotic distributions are studied in the supercritical and critical cases. In the supercritical case a new functional form is given for the limiting cumulant-generating function and in the critical case moment conditions are given under which a randomized gamma limit law prevails. The age-structure is also considered.


1974 ◽  
Vol 11 (04) ◽  
pp. 809-813
Author(s):  
S. D. Durham

For the general age-dependent branching process subject to an arbitrary pattern of immigration asymptotic distributions are studied in the supercritical and critical cases. In the supercritical case a new functional form is given for the limiting cumulant-generating function and in the critical case moment conditions are given under which a randomized gamma limit law prevails. The age-structure is also considered.


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