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1

Numerical Evaluation of Dynamic Behavior of Ornstein–Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options

Jun-ya Gotoh, Hui Jin, Ushio Sumita

Journal:

Methodology and Computing in Applied Probability

Year:

2011

Language:

english

File:

PDF, 699 KB

english, 2011

2

A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions

Jin, Hui, Gotoh, Jun-Ya, Sumita, Ushio

Journal:

The Journal of Derivatives

Year:

2007

Language:

english

File:

PDF, 1.81 MB

english, 2007

3

Enhancement of e-commerce via mobile accesses to the Internet

Ushio Sumita, Jun Yoshii

Journal:

Electronic Commerce Research and Applications

Year:

2010

Language:

english

File:

PDF, 599 KB

english, 2010

4

Pricing collateralized debt obligations with Markov-modulated Poisson processes

Takada, Hideyuki, Sumita, Ushio, Takahashi, Kazuki

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 478 KB

english, 2011

5

Distribution Properties of the System Failure Time in a General Shock Model

J. G. Shanthikumar and Ushio Sumita

Journal:

Advances in Applied Probability

Year:

1984

Language:

english

File:

PDF, 979 KB

english, 1984

6

Lumpability and time reversibility in the aggregation-disaggregation method for large markov chains

Sumita, Ushio, Rieders, Maria

Journal:

Communications in Statistics Stochastic Models

Year:

1989

Language:

english

File:

PDF, 632 KB

english, 1989

7

A Useful Generalization of Renewal Theory: Counting Processes Governed by Non-Negative Markovian Increments

Masaaki Kijima and Ushio Sumita

Journal:

Journal of Applied Probability

Year:

1986

Language:

english

File:

PDF, 1.18 MB

english, 1986

8

A hybrid simulation/analytic approach for computer communication systems via exponential limit theorems

Ushio Sumita, J.George Shanthikumar

Journal:

Microelectronics Reliability

Year:

1988

Language:

english

File:

PDF, 385 KB

english, 1988

9

Development of performance functions for communication/computer systems and its application to dynamic performance analysis

Ushio Sumita, Yasushi Masuda, Peter Kubat

Journal:

Microelectronics Reliability

Year:

1989

Language:

english

File:

PDF, 669 KB

english, 1989

10

The matrix Laguerre transform

Journal:

Applied Mathematics and Computation

Year:

1984

Language:

english

File:

PDF, 1.11 MB

english, 1984

11

Studies in Applied Probability || Aspects of Lagrangian Probability Distributions

Masaaki Sibuya, Norihiko Miyawaki and Ushio Sumita

Journal:

Journal of Applied Probability

Year:

1994

Language:

english

File:

PDF, 1.09 MB

english, 1994

12

Importance of policy for energy system transformation: Diffusion of PV technology in Japan and Germany

Chowdhury, Sanjeeda, Sumita, Ushio, Islam, Ashraful, Bedja, Idriss

Journal:

Year:

2014

Language:

english

File:

PDF, 833 KB

english, 2014

13

A Class of Correlated Cumulative Shock Models

Ushio Sumita and J. George Shanthikumar

Journal:

Advances in Applied Probability

Year:

1985

Language:

english

File:

PDF, 1.27 MB

english, 1985

14

First Passage Times and Lumpability of Semi-Markov Processes

Ushio Sumita and Maria Rieders

Journal:

Journal of Applied Probability

Year:

1988

Language:

english

File:

PDF, 993 KB

english, 1988

15

On conditional passage time structure of birth-death processes

Journal:

Journal of Applied Probability

Year:

1984

File:

PDF, 953 KB

1984

16

A general Laguerre transform and a related distance between probability measures

Julian Keilson, Ushio Sumita

Journal:

Journal of Mathematical Analysis and Applications

Year:

1986

Language:

english

File:

PDF, 886 KB

english, 1986

17

Analysis of query processing in distributed database systems with fully replicated files: A hierarchical approach

Ushio Sumita, Olivia R Liu Sheng

Journal:

Performance Evaluation

Year:

1988

Language:

english

File:

PDF, 1.22 MB

english, 1988

18

Structural properties of optimal tool replacement policy in a machining center

Qiu-Sheng Liu, Katsuhisa Ohno, Ushio Sumita

Journal:

Operations Research Letters

Year:

1992

Language:

english

File:

PDF, 422 KB

english, 1992

19

On first passage time structure of random walks

Ushio Sumita, Yasushi Masuda

Journal:

Stochastic Processes and their Applications

Year:

1985

Language:

english

File:

PDF, 813 KB

english, 1985

20

On pulse analysis of GX/G/∞ queues in tandem with correlated service times

Ushio Sumita, Yasushi Masuda

Journal:

Computers & Industrial Engineering

Year:

1994

Language:

english

File:

PDF, 168 KB

english, 1994

21

Optimal allocation and backup of computer resources under asymmetric information and incentive incompatibility

Hsing K. Cheng, Marshall Freimer, William B. Richmond, Ushio Sumita

Journal:

European Journal of Operational Research

Year:

1996

Language:

english

File:

PDF, 992 KB

english, 1996

22

Credit risk model with contagious default dependencies affected by macro-economic condition

Hideyuki Takada, Ushio Sumita

Journal:

European Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 1.34 MB

english, 2011

23

Optimal repair of degrading computers under asymmetric information and incentive incompatibility

Hsing K. Cheng, Marshall Freimer, William B. Richmond, Ushio Sumita

Journal:

Computers & Operations Research

Year:

1998

Language:

english

File:

PDF, 282 KB

english, 1998

24

Optimal internal pricing and capacity planning for service facility with finite buffer

Ushio Sumita, Yasushi Masuda, Shigetaka Yamakawa

Journal:

European Journal of Operational Research

Year:

2001

Language:

english

File:

PDF, 340 KB

english, 2001

25

A decomposition of the beta distribution, related order and asymptotic behavior

Julian Keilson, Ushio Sumita

Journal:

Annals of the Institute of Statistical Mathematics

Year:

1983

Language:

english

File:

PDF, 457 KB

english, 1983

26

Development of Computational Algorithms for Evaluating Option Prices Associated with Square-Root Volatility Processes

Hideyuki Takada, Ushio Sumita, Hui Jin

Journal:

Methodology and Computing in Applied Probability

Year:

2009

Language:

english

File:

PDF, 403 KB

english, 2009

27

Analysis of multivariate Markov modulated Poisson processes

Ushio Sumita, Yasushi Masuda

Journal:

Operations Research Letters

Year:

1992

Language:

english

File:

PDF, 375 KB

english, 1992

28

Numerical analysis of gracefully degrading fault-tolerant computer systems: Semi-markov and laguerre transform approach

Yasushi Masuda, Ushio Sumita

Journal:

Computers & Operations Research

Year:

1991

Language:

english

File:

PDF, 1.08 MB

english, 1991

29

Optimal threshold analysis of segmentation methods for identifying target customers

Makoto Mizuno, Akira Saji, Ushio Sumita, Hideo Suzuki

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 473 KB

english, 2008

30

On sums of independent logistic and folded logistic variants †

Journal:

Journal of Statistical Computation and Simulation

Year:

1983

Language:

english

File:

PDF, 726 KB

english, 1983

31

Analysis of channel and disk subsystems in computer systems

Bezalel Gavish, Ushio Sumita

Journal:

Queueing Systems

Year:

1988

Language:

english

File:

PDF, 1.08 MB

english, 1988

32

Analysis of effective service time with age dependent interruptions and its application to optimal rollback policy for database management

Ushio Sumita, Naoto Kaio, Paulo B. Goes

Journal:

Queueing Systems

Year:

1989

Language:

english

File:

PDF, 948 KB

english, 1989

33

The impact of mobile access to the internet on information search completion time and customer conversion

Ushio Sumita, Jinshui Zuo

Journal:

Electronic Commerce Research and Applications

Year:

2010

Language:

english

File:

PDF, 496 KB

english, 2010

34

A Software Reliability Model with Multiple-Error Introduction & Removal

Sumita, Ushio, Shanthikumar, J. George

Journal:

IEEE Transactions on Reliability

Year:

1986

Language:

english

File:

PDF, 729 KB

english, 1986

35

Uniform Stochastic Ordering and Related Inequalities

Julian Keilson and Ushio Sumita

Journal:

Canadian Journal of Statistics

Year:

1982

Language:

english

File:

PDF, 840 KB

english, 1982

36

Strategic Flexibility in Exploiting Economies of Scope on 70-30 Principle: A Case Study of Japanese Electronics Industry

Ushio Sumita, Jun Yoshii

Journal:

Global Journal of Flexible Systems Management

Year:

2013

Language:

english

File:

PDF, 1.03 MB

english, 2013

37

The Depletion Time for M/G/1 Systems and a Related Limit Theorem

Julian Keilson and Ushio Sumita

Journal:

Advances in Applied Probability

Year:

1983

Language:

english

File:

PDF, 1.60 MB

english, 1983

38

Analysis of a Counting Process Associated with a Semi-Markov Process: Number of Entries into a Subset of State Space

Yasushi Masuda and Ushio Sumita

Journal:

Advances in Applied Probability

Year:

1987

Language:

english

File:

PDF, 1.05 MB

english, 1987

39

The Bivariate Laguerre Transform and Its Applications: Numerical Exploration of Bivariate Processes

Ushio Sumita and Masaaki Kijima

Journal:

Advances in Applied Probability

Year:

1985

Language:

english

File:

PDF, 2.14 MB

english, 1985

40

Classes of Probability Density Functions Having Laplace Transforms with Negative Zeros and Poles

Ushio Sumita and Yasushi Masuda

Journal:

Advances in Applied Probability

Year:

1987

Language:

english

File:

PDF, 1.51 MB

english, 1987

41

An Age-Dependent Counting Process Generated from a Renewal Process

Ushio Sumita and J. George Shanthikumar

Journal:

Advances in Applied Probability

Year:

1988

Language:

english

File:

PDF, 1.17 MB

english, 1988

42

A Closed Queueing Network Model to Evaluate the Impact of Recovery Operations on the Performance of Database Servers

Paulo B. Goes and Ushio Sumita

Journal:

Journal of the Operational Research Society

Year:

1996

Language:

english

File:

PDF, 346 KB

english, 1996

43

Approximations for the time spent in a dynamic job shop with applications to due-date assignment

SHANTHIKUMAR, J. GEORGE, SUMITA, USHIO

Journal:

International Journal of Production Research

Year:

1988

Language:

english

File:

PDF, 680 KB

english, 1988

44

Evaluation of minimum and maximum of a correlated pair of random variables via the bivariate laguerre transform

Sumita, Ushio, Kijima, Masaaki

Journal:

Stochastic Models

Year:

1986

Language:

english

File:

PDF, 758 KB

english, 1986

45

Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions

Huang, Jia-Ping, Sumita, Ushio

Journal:

Applied Mathematics and Computation

Year:

2015

Language:

english

File:

PDF, 609 KB

english, 2015

46

Analysis of software availability/reliability under the influence of hardware failures

Sumita, Ushio, Masuda, Yasushi

Journal:

IEEE Transactions on Software Engineering

Year:

1986

Language:

english

File:

PDF, 1.77 MB

english, 1986

47

Development of Enhanced Marketing Flexibility by Optimally Allocating Sales Campaign Days for Maximizing Total Expected Sales

Nour, Sharkasi, Sumita, Ushio, Yoshii, Jun

Journal:

Global Journal of Flexible Systems Management

Year:

2015

Language:

english

File:

PDF, 819 KB

english, 2015

48

Buffers and backup machines in automatic transfer lines

KUBAT, PETER, SUMITA, USHIO

Journal:

International Journal of Production Research

Year:

1985

Language:

english

File:

PDF, 318 KB

english, 1985

49

An alternative approach to the analysis of finite semi-markov and related processes

Ushio, Sumita, Yasushi, Masuda

Journal:

Communications in Statistics Stochastic Models

Year:

1987

Language:

english

File:

PDF, 646 KB

english, 1987

50

DYNAMIC ANALYSIS OF A MULTIVARIATE REWARD PROCESS DEFINED ON THE UMCP WITH APPLICATION TO OPTIMAL PREVENTIVE MAINTENANCE POLICY PROBLEMS IN MANUFACTURING

Huang, Jia-Ping, Sumita, Ushio

Journal:

Probability in the Engineering and Informational Sciences

Year:

2013

Language:

english

File:

PDF, 660 KB

english, 2013