Related papers: Some reflected autoregressive processes with depen…
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change,…
We introduce and test a general machine-learning-based technique for the inference of short term causal dependence between state variables of an unknown dynamical system from time series measurements of its state variables. Our technique…
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…
We establish stability criterion for a two-class retrial system with Poisson inputs, general class-dependent service times and class-dependent constant retrial rates. We also characterise an interesting phenomenon of partial stability when…
New recursive equations designed for the G/G/m queue are presented. These equations describe the queue in terms of recursions for the arrival and departure times of customers, and involve only the operations of maximum, minimum and…
Random variables in metric spaces indexed by time and observed at equally spaced time points are receiving increased attention due to their broad applicability. The absence of inherent structure in metric spaces has resulted in a literature…
The Laplace transform is a widely used tool in the study of probability distributions, often allowing for a probability density functions and distribution functions simpler determination and being a moments generating function. In this…
Consider a countably infinite collection of interacting queues, with a queue located at each point of the $d$-dimensional integer grid, having independent Poisson arrivals, but dependent service rates. The service discipline is of the…
We study a supply chain consisting of production-inventory systems at several locations which are coupled by a common supplier. Demand of customers arrives at each production system according to a Poisson process and is lost if the local…
This work develops a methodology for studying the effect of an offload zone on the ambulance ramping problem using a multi-server, multi-class non-preemptive priority queueing model that can be treated analytically. A prototype model for…
While queueing network models are powerful tools for analyzing service systems, they traditionally require substantial human effort and domain expertise to construct. To make this modeling approach more scalable and accessible, we propose a…
We compute the stationary performance metrics of a single server $M^X/G/1$ queue under a class of generalized processor-sharing scheduling policies that are proposed by Grishechkin. This class of processor-sharing policies allow service…
One of the most relevant challenges regarding on-demand ridepooling relates to the spatial imbalances of the demand, which induce a mismatch between the position of the vehicles and the origins of the emerging requests. Most ridepooling…
Algorithmic recourse aims to provide actionable recommendations to individuals to obtain a more favourable outcome from an automated decision-making system. As it involves reasoning about interventions performed in the physical world,…
Steady-state solutions for a variety of relevant queueing systems are known today, e.g., from queueing theory, effective bandwidths, and network calculus. The behavior during transient phases, on the other hand, is understood to a much…
We characterize recurrence and transience of nonnegative multivariate autoregressive processes of order one with random contractive coefficient matrix, of subcritical multitype Galton-Watson branching processes in random environment with…
We consider queueing models, where customers arrive according to a continuous-time binomial process on a finite interval. In this arrival process, a total of $K$ customers arrive in the finite time interval $[0,T]$, where arrival times of…
The superposition of arrival processes is a fundamental yet analytically intractable operation in queueing networks when inputs are general non-renewal streams. Classical methods either reduce merged flows to renewal surrogates, rely on…
In this paper, we analyze the number of departures from an initially empty $M/M/\infty$ system in a finite time interval. We observe the system during an exponentially distributed period of time starting from the time origin. We then…
We study a double-ended queue which consists of two classes of customers. Whenever there is a pair of customers from both classes, they are matched and leave the system immediately. The matching follows first-come-first-serve principle. If…