Related papers: Two-node queueing network with a heavy-tailed rand…
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…
Although stochastic optimization is central to modern machine learning, the precise mechanisms underlying its success, and in particular, the precise role of the stochasticity, still remain unclear. Modelling stochastic optimization…
A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a statistical model for risk assessment in fields such as finance, insurance or meteorology, it is…
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random walk structure called the tail chain. In this paper, we extend…
The tandem fluid queueing model is a useful tool for performance analysis and control design for a variety of transportation systems. In this article, we study the joint impact of stochastic capacity and spillback on the long-time…
Complex networks in different areas exhibit degree distributions with heavy upper tail. A preferential attachment mechanism in a growth process produces a graph with this feature. We herein investigate a variant of the simple preferential…
Beck et al. (2013) introduced a new distribution class J which contains many heavy-tailed and light-tailed distributions obeying the principle of a single big jump. Using a simple transformation which maps heavy-tailed distributions to…
Motivated by seminal paper of Kozlov et al.(1975) we consider in this paper a branching process with a geometric offspring distribution parametrized by random success probability $A$ and immigration equals $1$ in each generation. In…
A model of homogeneously driven dissipative system, consisting of a collection of $N$ particles that are characterized by only their velocities, is considered. Adopting a discrete time dynamics, at each time step, a pair of velocities is…
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 large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-linear gradient drifts. Our results provide parametric…
The big jump principle is a well established mathematical result for sums of independent and identically distributed random variables extracted from a fat tailed distribution. It states that the tail of the distribution of the sum is the…
Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…
In this note, we apply Stein's method to analyze the performance of general load balancing schemes in the many-server heavy-traffic regime. In particular, consider a load balancing system of $N$ servers and the distance of arrival rate to…
A maximum entropy framework based on Tsallis entropy is proposed to depict long tail behavior of queue lengths in broadband networks. Queue length expression as measured in terms of number of packets involves Hurwitz-zeta function. When the…
We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of…
Based on suitable left-truncated or censored data, two flexible classes of $M$-estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with…
This paper serves as a companion to "Asymptotic Product-form Steady-state for Multiclass Queueing Networks with SBP Service Policies in Multi-scale Heavy Traffic." In this short paper, we illustrate the main results of the main paper…
We are concerned with an $M/M$-type join the shortest queue ($M/M$-JSQ for short) with $k$ parallel queues for an arbitrary positive integer $k$, where the servers may be heterogeneous. We are interested in the tail asymptotic of the…
In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise…