Related papers: Studying Pensions Funds Through an Infinite Server…
We study a queueing network with a single shared server, that serves the queues in a cyclic order according to the gated service discipline. External customers arrive at the queues according to independent Poisson processes. After…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
The problem of reliability of a large distributed system is analyzed via a new mathematical model. A typical framework is a system where a set of files are duplicated on several data servers. When one of these servers breaks down, all…
We consider multi-class single-server queueing networks that have a product form stationary distribution. A new limit result proves a sequence of such networks converges weakly to a stochastic flow level model. The stochastic flow level…
A fundamental premise of statistical physics is that the particles in a physical system are interchangeable, and hence the state of each specific component is representative of the system as a whole. This assumption breaks down for complex…
Motivated by the growing interest in today's massive parallel computing capabilities we analyze a queueing network with many servers in parallel to which jobs arrive a according to a Poisson process. Each job, upon arrival, is split into…
The particle transport through a chain of quantum dots coupled to two bosonic reservoirs is studied. For the case of reservoirs of non-interacting bosonic particles, we derive an exact set of stochastic differential equations, whose memory…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
This paper investigates a partially observable queueing system with $N$ nodes in which each node has a dedicated arrival stream. There is an extra arrival stream to balance the load of the system by routing its customers to the shortest…
Queueing networks are typically modelled assuming that the arrival process is exogenous, and unaffected by admission control, scheduling policies, etc. In many situations, however, users choose the time of their arrival strategically,…
In this paper we establish a necessary and sufficient stability condition for a stochastic ring network. Such networks naturally appear in a variety of applications within communication, computer, and road traffic systems. They typically…
The paper studies closed queueing networks containing a server station and $k$ client stations. The server station is an infinite server queueing system, and client stations are single-server queueing systems with autonomous service, i.e.…
Many real-world systems are characterized by stochastic dynamical rules where a complex network of interactions among individual elements probabilistically determines their state. Even with full knowledge of the network structure and of the…
The fluid model has proven to be one of the most effective tools for the analysis of stochastic queueing networks, specifically for the analysis of stability. It is known that stability of a fluid model implies positive (Harris) recurrence…
We present examples of queuing networks that never come to equilibrium. That is achieved by constructing Non-linear Markov Processes, which are non-ergodic, and possess eternal transience property.
We study an extended system that without noise shows a spatially homogeneous state, but when submitted to an adequate multiplicative noise, some "noise-induced patterns" arise. The stochastic resonance between these structures is…
Queueing networks are notoriously difficult to analyze sans both Markovian and stationarity assumptions. Much of the theoretical contribution towards performance analysis of time-inhomogeneous single class queueing networks has focused on…
A matching queue is described via a graph $G$ together with a matching policy. Specifically, to each node in the graph there is a corresponding arrival process of items which can either be queued, or matched with queued items in neighboring…
Networks play a central role in modern data analysis, enabling us to reason about systems by studying the relationships between their parts. Most often in network analysis, the edges are given. However, in many systems it is difficult or…