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Ali Devin Sezer
E-mail
devin@metu.edu.tr
Department
Graduate School of Applied Mathematics
Scopus Author ID
36935677700
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Excessive backlog probabilities of two parallel queues
Unlu, Kamil Demirberk; Sezer, Ali Devin (2020-10-01)
Let X be the constrained random walk on Z2 + with increments (1, 0), (-1, 0), (0, 1) and (0,-1); X represents, at arrivals and service completions, the lengths of two queues (or two stacks in computer science applications)...
Approximation of the exit probability of a stable Markov modulated constrained random walk
Kabran, Fatma Basoglu; Sezer, Ali Devin (2020-06-01)
Let X be the constrained randomwalk on Z(+)(2) having increments (1, 0), (- 1, 1), (0,- 1) with jump probabilities lambda(M-k), mu(1)(M-k), and mu(2)(M-k) where M is an irreducible aperiodic finite state Markov chain. The ...
Backward stochastic differential equations with non-Markovian singular terminal values
Sezer, Ali Devin; Kruse, Thomas; Popier, Alexandre (2019-04-01)
We solve a class of BSDE with a power function f (y) = y(q), q > 1, driving its drift and with the terminal boundary condition xi = infinity . 1( B(m,r)c )(for which q > 2 is assumed) or xi = infinity . 1B(m,r), where B(m,...
APPROXIMATION OF EXCESSIVE BACKLOG PROBABILITIES OF TWO TANDEM QUEUES
Sezer, Ali Devin (2018-09-01)
Let X be the constrained random walk on Z(+)(2) having increments (1, 0), (-1, 1), and (0, -1) with respective probabilities A lambda,mu 1, and mu 2 representing the lengths of two tandem queues. We assume that X is stable...
Stationary analysis of a single queue with remaining service time-dependent arrivals
Legros, Benjamin; Sezer, Ali Devin (2018-02-01)
We study a generalization of the M / G / 1 system (denoted by rM / G / 1) with independent and identically distributed service times and with an arrival process whose arrival rate depends on the remaining service time r of...
Joint densities of hitting times for finite state Markov processes
Bielecki, Tomasz R.; Jeanblanc, Monique; Sezer, Ali Devin (2018-01-01)
For a finite state Markov process X and a finite collection {Gamma<INF>k</INF>, k is an element of K} of subsets of its state space, let tau<INF>k</INF> be the first time the process visits the set Gamma<INF>k</INF>. In ge...
BIST30 Varantlarına Heston Stokastik Volatilite Modelinin Uygulanması
Mert, Özenç Murat; Sezer, Ali Devin (2016-07-14)
Heston modeli ilk ve en bilinen stokastik volatilite modellerinden biridir. Bu çalışmanın amacı Heston modelinin BIST30 üzerine yazılmış varantlar üzerindeki fiyat ve üretme (pricing and replication) performansını ve Hesto...
Analysis of push-type epidemic data dissemination in fully connected networks
ÇAĞLAR, MİNE; Sezer, Ali Devin (2014-07-01)
Consider a fully connected network of nodes, some of which have a piece of data to be disseminated to the whole network. We analyze the following push-type epidemic algorithm: in each push round, every node that has the da...
Optimization Methods in Mathematical Finance
Sezer, Ali Devin; Weber, Gerhard-Wilhelm (2013-11-01)
Optimal Decision Rules for Product Recalls
Sezer, Ali Devin; HAKSÖZ, ÇAĞRI (2012-08-01)
We consider a hypothetical company that is assumed to have just manufactured and sold a number of copies of a product. It is known that, with a small probability, the company has committed a manufacturing fault that will r...
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