Related papers: The correlation function of a queue with Levy and …
In this paper, we consider a L\'evy-driven fluid queueing system where the server may subject to breakdowns and repairs. In addition, the server will leave for a vacation each time when he finds an empty system. We cast the queueing process…
A step reinforced random walk is a discrete time process with memory such that at each time step, with fixed probability $p \in (0,1)$, it repeats a previously performed step chosen uniformly at random while with complementary probability…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
We prove a heavy traffic scaling limit for a shortest remaining processing time queue. We are interested in the case where the processing time distribution has a tail that decays rapidly, i.e., has light tails. In particular, we revisit the…
We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) driven by additive pure-jump L\'evy noise. In particular, we assume that the L\'evy process driving the SDE is…
Demand for studying queueing systems with multiple servers providing correlated services was created about 60 years ago, motivated by various applications. In recent years, the importance of such studies has been significantly increased,…
Connected Automated Vehicles (CAVs) offer unparalleled opportunities to revolutionize existing transportation systems. In the near future, CAVs and human-driven vehicles (HDVs) are expected to coexist, forming a mixed traffic system.…
The recurrence features of persistent random walks built from variable length Markov chains are investigated. We observe that these stochastic processes can be seen as L{\'e}vy walks for which the persistence times depend on some internal…
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
Slow Feature Analysis is a unsupervised representation learning method that extracts slowly varying features from temporal data and can be used as a basis for subsequent reinforcement learning. Often, the behavior that generates the data on…
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution,…
Model-based controllers learned from data have the biases and noise of their training trajectories, making it important to know which trajectories help or hurt closed-loop performance. Influence functions, widely used in machine learning…
We develop accurate approximations of the delay distribution of the MArP/G/1 queue that cap- ture the exact tail behavior and provide bounded relative errors. Motivated by statistical analysis, we consider the service times as a mixture of…
In this paper we study the asymptotic behavior of stochastic approximation schemes with set-valued drift function and non-additive iterate-dependent Markov noise. We show that a linearly interpolated trajectory of such a recursion is an…
We consider a single-server queue where interarrival and service times depend linearly and randomly on customer waiting times, and establish a sample-path moderate deviation principle (MDP) for the waiting time process. The waiting times…
This paper aims at semi-parametrically estimating the input process to a L\'evy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the L\'evy process' characteristic…
We study log-concavity properties of real sequences $(a_n)_{n \ge 0}$ satisfying a $d$-th order linear recurrence whose coefficients are linear functions of $n$; the so-called P-recursive (or holonomic) sequences. Writing the recurrence in…
The main contribution of this paper is to prove the subexponential tail equivalence of the stationary queue length distributions in the BMAP/GI/1 queues with and without retrials. We first present a stochastic-decomposition-like result of…
In a given market, financial covariances capture the intra-stock correlations and can be used to address statistically the bulk nature of the market as a complex system. We provide a statistical analysis of three SP500 covariances with…