Institute of Mathematics and Statistics
University of Kent
Canterbury, CT2 7NF, UK
office hours (E227) for the spring term 2010: Monday 10.30 and Tuesday 11.00
e-mail: L.Breuer@kent.ac.uk
Course Material on Nonparametric Methods:
Course Material on Risk Theory:
Course Material on Stochastic Processes:
Selected Publications
Queueing theory
Spatial Queues, PhD Thesis, University of Trier, 2000.
The Periodic BMAP/PH/c Queue, Queueing Systems 38 (2001), pp.67-76.
Operator-Geometric Solutions for the M/G/k Queue and its Variants, presented at the INFORMS conference in New York, July 2001.
The Inhomogeneous BMAP/G/infinity Queue, in: B. Haverkort (ed.): ''Proceedings of the 11th GI/ITG Conference on Measuring, Modelling and Evaluation of Computer and Communication Systems'', VDE Verlag, Germany, pp.209-223.
A Retrial BMAP/PH/N System, Queueing Systems 40 (2002), pp.431--455.
On the MAP/G/1 Queue with Lebesgue--dominated Service Time Distribution and LCFS Preeemptive Repeat Service Discipline, Stochastic Models 18 (2002), pp.589--595
"From Markov jump processes to spatial queues", Springer, 2003
Two Examples for Computationally Tractable Periodic Queues, International Journal of Simulation 3 (2003), pp.15--24
Transient and Stationary Distributions for the GI/G/k Queue with Lebesgue-Dominated Inter-Arrival Time Distribution, Queueing Systems 45 (2003), pp.47-57
"An Introduction to Queueing Theory and Matrix-Analytic Methods", Springer, 2005
"Applying Foster´s criteria to a GI/PH/1 queueing system", Cybernetics and Systems Analysis 42(3), pp.433-439, 2006
"Continuity of the M/G/c queue", Queueing Systems 58:321-331, 2008
The Total Overflow during a Busy Cycle in a Markov-Additive Finite Buffer System, B. Muller-Clostermann, K. Echtle, E. Rathgeb (Eds.): MMB & DFT 2010, LNCS 5987, pp. 198--211. Springer, Heidelberg (2010)
Statistics
An EM algorithm for Batch Markovian Arrival Processes and its comparison to a simpler estimation procedure, Annals of Operations Research 112 (2002), pp.123--138
"An EM algorithm for platoon arrival processes in discrete time", Operations Research Letters 33, pp.535-543, 2005
An EM algorithm for Markovian arrival processes observed at discrete times, B. Muller-Clostermann, K. Echtle, E. Rathgeb (Eds.): MMB & DFT 2010, LNCS 5987, pp. 242--258. Springer, Heidelberg (2010)
Risk theory and fluid queues
"Risk processes analyzed as fluid queues", Scandinavian Actuarial Journal 2005(2), pp.127-141
"Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models", ASTIN Bulletin 35(1), pp.131-144, 2005
"The surplus prior to ruin and the deficit at ruin for a correlated risk process", Scandinavian Actuarial Journal 2005(6), pp.433-445
"Fluid queues to solve jump processes", Performance Evaluation 62, pp.132-146, 2005
"The use of vector-valued martingales in risk theory", Blatter der DGVFM 29(1):1-12, 2008
The distribution of the total dividends in a Markov-additive risk model under a barrier strategy, submitted
A generalised Gerber-Shiu function for Markov-additive risk processes, submitted
Miscellaneous
On Markov-Additive Jump Processes, Queueing Systems 40 (2002), pp.75--91.
A piecewise-deterministic Model for Brownian Motion, Theory of Stochastic Processes 8(24), N1-2, pp.40-46
"First passage times for Markov-additive processes with positive jumps of phase-type", J. Appl. Prob. 45(3):779-799, 2008
A quintuple law for Markov-additive processes with phase-type jumps, submitted ps version including graphs