Related papers: Heavy tails in multi-server queues

The focus of this paper is on the asymptotics of large-time numbers of customers in time-periodic Markovian many-server queues with customer abandonment in heavy traffic. Limit theorems are obtained for the periodic number-of-customers…

We investigate temporal behavior of probability density functions (pdfs) of paradigmatic jump-type and continuous processes that, under confining regimes, share common heavy-tailed asymptotic (target) pdfs. Namely, we have shown that under…

One of the key performance measures in queueing systems is the exponential decay rate of the steady-state tail probabilities of the queue lengths. It is known that if a corresponding fluid model is stable and the stochastic primitives have…

In previous work Majda and McLaughlin computed explicit expressions for the $2N$th moments of a passive scalar advected by a linear shear flow in the form of an integral over ${\bf R}^N$. In this paper we first compute the asymptotics of…

The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…

We investigate waiting-time distributions (WTDs) of quantum jumps in continuously monitored quantum many-body systems, whose unconditional dynamics lead to the trivial infinite-temperature state. We demonstrate that the WTD of a half-chain…

In this paper we derive the tail asymptotics of the product of two dependent Weibull-type risks, which is of interest in various statistical and applied probability problems. Our results extend some recent findings of Schlueter and Fischer…

Current models of human dynamics, used from risk assessment to communications, assume that human actions are randomly distributed in time and thus well approximated by Poisson processes. We provide direct evidence that for five human…

We construct an example of a continuous centered random process with light tails of finite-dimensional distribution but with heavy tail of maximum distribution.

In optical non-linear processes rogue waves can be observed, which can be mathematically described by heavy-tailed distributions. These distributions are special due to the fact that the probability of registering extremely high intensities…

We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail…

We use a series of pre-registered, incentive-compatible online experiments to investigate how people evaluate and choose among different waiting time distributions. Our main findings are threefold. First, consistent with prior literature,…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

We deal with a discrete-time two-dimensional quasi-birth-and-death process (2d-QBD process for short) on $\mathbb{Z}_+^2\times S_0$, where $S_0$ is a finite set, and give a complete expression for the asymptotic decay function of the…

We consider a spatial stochastic model of wireless cellular networks, where the base stations (BSs) are deployed according to a simple and stationary point process on $\mathbb{R}^d$, $d\ge2$. In this model, we investigate tail asymptotics…

Asmussen and Lehtomaa [Distinguishing log-concavity from heavy tails. Risks 5(10), 2017] introduced an interesting function $g$ which is able to distinguish between log-convex and log-concave tail behaviour of distributions, and proposed a…

We construct an example of a continuous centered random process with light tails of finite-dimensional distribution but with (relatively) heavy tail of maximum distribution. The apparatus for tails comparison are embedding results for…

In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…

We study conditions under which $P(S_\tau>x)\sim P(M_\tau>x)\sim E\tau P(\xi_1>x)$ as $x\to\infty$, where $S_\tau$ is a sum $\xi_1+...+\xi_\tau$ of random size $\tau$ and $M_\tau$ is a maximum of partial sums $M_\tau=\max_{n\le\tau}S_n$.…

We consider an extension of the standard G/G/1 queue, described by the equation $W\stackrel{\mathcal{D}}{=}\max\{0, B-A+YW\}$, where $\mathbb{P}[Y=1]=p$ and $\mathbb{P}[Y=-1]=1-p$. For $p=1$ this model reduces to the classical Lindley…