Related papers: Analytic Approach to the Non-Preemptive Markovian …

We consider a multi-server queue in the Halfin-Whitt regime: as the number of servers $n$ grows without a bound, the utilization approaches 1 from below at the rate $\Theta(1/\sqrt{n})$. Assuming that the service time distribution is…

The paper investigates a non-intrusive parallel time integration with multigrid for space-fractional diffusion equations in two spatial dimensions. We firstly obtain a fully discrete scheme via using the linear finite element method to…

We develop a qualitative theory of Markov Decision Processes (MDPs) and Partially Observable MDPs that can be used to model sequential decision making tasks when only qualitative information is available. Our approach is based upon an…

A single joinpoint changepoint model partitions a time series into two segments, joined at the changepoint time by constraining the estimated piecewise linear regression responses to be continuous. This manuscript derives the exact…

Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…

We consider a two-node queue modeled as a two-dimensional random walk. In particular, we consider the case that one or both queues have finite buffers. We develop an approximation scheme based on the Markov reward approach to error bounds…

We study stochastic approximation procedures for approximately solving a $d$-dimensional linear fixed point equation based on observing a trajectory of length $n$ from an ergodic Markov chain. We first exhibit a non-asymptotic bound of the…

In queuing theory and related problems, it is very important to know the numerical characteristics of an investigated system - both in stationary and non-stationary modes. In some cases, such characteristics can be calculated, but this is…

We study the multi-time distribution in a discrete polynuclear growth model or, equivalently, in directed last-passage percolation with geometric weights. A formula for the joint multi-time distribution function is derived in the discrete…

In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values in a common finite set of non-negative integers and evolve…

Scharfstein et al. (2021) developed a sensitivity analysis model for analyzing randomized trials with repeatedly measured binary outcomes that are subject to nonmonotone missingness. Their approach becomes computationally intractable when…

We consider joint probability distributions for the class of coupled Langevin equations introduced by Fogedby [H.C. Fogedby, Phys. Rev. E 50, 1657 (1994)]. We generalize well-known results for the single time probability distributions to…

We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…

For a widely used hub-and-spoke closed product-form network consisting of an infinite-server node and several single-server queues, we characterize the maximum queue-length distribution in various operational regimes by leveraging a novel…

A state-dependent 1-limited polling model with N queues is analyzed. The routing strategy generalizes the classical Markovian polling model, in the sense that two routing matrices are involved, the choice being made according to the state…

We are interested in a large queue in a $GI/G/k$ queue with heterogeneous servers. For this, we consider tail asymptotics and weak limit approximations for the stationary distribution of its queue length process in continuous time under a…

We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…

These lecture notes introduce the statistical analysis of continuous-time generative models built from Markov dynamics. We begin with the stochastic-calculus foundations of score-based diffusion models, including time reversal, score…

A general setting for nested subdivisions of a bounded real set into intervals defining the digits $X_1,X_2,...$ of a random variable $X$ with a probability density function $f$ is considered. Under the weak condition that $f$ is almost…

Markov chains are fundamental models for stochastic dynamics, with applications in a wide range of areas such as population dynamics, queueing systems, reinforcement learning, and Monte Carlo methods. Estimating the transition matrix and…