Related papers: Conditioned Functional Limits and Applications to …
Non-linear renewal theory is extended to include random walks perturbed by both a slowly changing sequence and a stationary one. Main results include a version of the Key Renewal Theorem, a derivation of the limiting distribution of the…
We consider the drift and diffusion properties of periodically driven renewal processes. These processes are defined by a periodically time dependent waiting time distribution, which governs the interval between subsequent events. We show…
This paper considers a GI/GI/1 processor sharing queue in which jobs have soft deadlines. At each point in time, the collection of residual service times and deadlines is modeled using a random counting measure on the right half-plane. The…
We study some limit theorems for the normalized law of integrated Brownian motion perturbed by several examples of functionals: the first passage time, the nth passage time, the last passage time up to a finite horizon and the supremum. We…
This article presents a weak law of large numbers and a central limit theorem for the scaled realised covariation of a bivariate Brownian semistationary process. The novelty of our results lies in the fact that we derive the suitable…
We study condensation in several particle systems related to the inclusion process. For an asymmetric one-dimensional version with closed boundary conditions and drift to the right, we show that all but a finite number of particles condense…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…
G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a…
As a first step toward a characterization of the limiting extremal process of branching Brownian motion, we proved in a recent work [Comm. Pure Appl. Math. 64 (2011) 1647-1676] that, in the limit of large time $t$, extremal particles…
The main message in this paper is that there are surprisingly many different Brownian bridges, some of them - familiar, some of them - less familiar. Many of these Brownian bridges are very close to Brownian motions. Somewhat loosely…
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 previous works, Bardina and Rovira (2023) constructed a family of processes that converge strongly towards Brownian motion, defined from renewal processes, are constructed. In this paper we prove that some of these processes can be…
The potential applications of boundary functionals of random processes, such as the extreme values of these processes, the moment of first reaching a fixed level, the value of the process at the moment of reaching the level, the moment of…
We consider a Jackson network with regenerative input flows in which every server is subject to a random environment influence generating breakdowns and repairs. They occur in accordance with two independent sequences of i.i.d. random…
We consider an overloaded multiclass nonidling first-in-first-out single-server queue with abandonment. The interarrival times, service times, and deadline times are sequences of independent and identically, but generally distributed random…
In this paper, we are concerned with the large N limit of linear combinations of the entries of a Brownian motion on the group of N by N unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one.…
In this paper, we present a functional fluid limit theorem and a functional central limit theorem for a queue with an infinity of servers M/GI/$\infty$. The system is represented by a point-measure valued process keeping track of the…
Motivated by the Brownian bridge on random interval considered by Bedini et al \cite{BBE}, we introduce and study Gaussian bridges with random length with special emphasis to the Markov property. We prove that if the starting process is…
We consider a directed random walk making either 0 or $+1$ moves and a Brownian bridge, independent of the walk, conditioned to arrive at point $b$ on time $T$. The Hamiltonian is defined as the sum of the square of increments of the bridge…
A reinforcement algorithm introduced by H.A. Simon \cite{Simon} produces a sequence of uniform random variables with memory as follows. At each step, with a fixed probability $p\in(0,1)$, $\hat U_{n+1}$ is sampled uniformly from $\hat U_1,…