Related papers: Infinite-server queues with Hawkes input
In this work, several convergence results are established for nearly critical self-excited systems in which event arrivals are described by multivariate marked Hawkes point processes. Under some mild high-frequency assumptions, the rescaled…
The Hawkes process, a self-exciting point process, has a wide range of applications in modeling earthquakes, social networks and stock markets. The established estimation process requires that researchers have access to the exact time…
In this paper we study a two-queue polling model with zero switch-over times and $k$-limited service (serve at most $k_i$ customers during one visit period to queue $i$, $i=1,2$) in each queue. The arrival processes at the two queues are…
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular…
This paper introduces and analyzes the notion of throughput suboptimality for many-server queueing systems in heavy traffic. The queueing model under consideration has multiple customer classes, indexed by a finite set $\mathcal{I}$, and…
This paper obtains logarithmic asymptotics of moderate deviations of the stochastic process of the number of customers in a many--server queue with generally distributed interarrival and service times in the Halfin--Whitt heavy traffic…
It is interesting and challenging to study double-ended queues with First-Come-First-Match discipline under customers' impatient behavior and non-Poisson inputs. The system stability can be guaranteed by the customers' impatient behavior,…
We study growing open Jackson networks where each station is a single-server queue that follows the first-come first-served discipline with Poisson arrivals and exponentially distributed service times, characterized by node-specific rates.…
The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting…
The interest to retrial queueing systems is due to their application to telephone systems. The paper studies multiserver retrial queueing systems with $n$ servers. Arrival process is a quite general point process. An arriving customer…
An infinite buffer batch service vacation queue has been studied where service rate of the batch is dependent on the size of the batch and vacation rate is dependent on the queue size at vacation initiation epoch. The arrivals follow the…
In many important real-world queueing settings, arrival and service rates fluctuate over time. We consider the MAMS system, where the arrival and service rates each vary according to an arbitrary finite-state Markov chain, allowing…
We consider sojourn or response times in processor-shared queues that have a finite population of potential users. Computing the response time of a tagged customer involves solving a finite system of linear ODEs. Writing the system in…
Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only…
We study $n$ parallel queues in an extreme heavy-traffic regime: each server works at rate $n$, while jobs arrive to a dispatcher at rate $n^2-(a-b)\sqrt{n}$, with fixed $a>b>0$. Arrivals are routed by a marginal join-the-shortest-queue…
In this paper, we build a model for biological neural nets where the activity of the network is described by Hawkes processes having a variable length memory. The particularity of this paper is to deal with an infinite number of components.…
We consider a service system where agents are invited on-demand. Customers arrive exogenously as a Poisson process and join a customer queue upon arrival if no agent is available. Agents decide to accept or decline invitations after some…
Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…
In customer support contact centers, every service interaction involves a messaging dialogue between a customer and an agent; together, they exchange information, solve problems, and collectively co-produce the service. Because the service…
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with…