Related papers: Queueing theoretical analysis of foreign currency …
We consider a service system with an infinite number of exponential servers sharing a finite service capacity. The servers are ordered according to their speed, and arriving customers join the fastest idle server. A capacity allocation is…
Consider a population of customers each of which needs to decide independently when to arrive to a facility that provides a service during a fixed period of time, say a day. This is a common scenario in many service systems such as a bank,…
We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time…
We review the theory of renewal reward processes, which describes renewal processes that have some cost or reward associated with each cycle. We present a new simplified proof of the renewal reward theorem that mimics the proof of the…
We investigate the optimal pricing strategy in a service-providing framework, where customers can leave the system prior to service completion. In this setting, a price is quoted to an incoming customer based on the current number of…
The evolution of the probability distributions of Japan and US major market indices, NIKKEI 225 and NASDAQ composite index, and $JPY/DEM$ and $DEM/USD$ currency exchange rates is described by means of the Fokker-Planck equation (FPE). In…
This paper studies an infinite buffer single server queueing model with exponentially distributed service times and negative arrivals. The ordinary (positive) customers arrive in batches of random size according to renewal arrival process,…
This paper considers an optimal dividend distribution problem for an insurance company where the dividends are paid in a foreign currency. In the absence of dividend payments, our risk process follows a spectrally negative L\'evy process.…
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
In the today's Internet and TCP/IP-networks, the queueing of packets is commonly implemented using the protocol FIFO (First In First Out). Unfortunately, FIFO performs poorly in the Adversarial Queueing Theory. Other queueing strategies are…
A multiclass queue with many servers is considered, where customers make a join-or-leave decision upon arrival based on queue length information, without knowing the scheduling policy or the state of other queues. A game theoretic…
Siegel's paradox is a fundamental question in international finance about exchange rates for futures contracts and has puzzled many scholars for over forty years. The unorthodox approach presented in this article leads to an arbitrage-free…
This paper is motivated by emerging edge computing applications in which generated data are pre-processed at the source and then transmitted to an edge server. In such a scenario, there is typically a tradeoff between the amount of…
We extend the QLBS model by reformulating via considering a large trader whose transactions leave a permanent impact on the evolution of the exchange rate process and therefore affect the price of contingent claims on such processes.…
The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
The optimal tradeoff between average service cost rate, average utility rate, and average delay is addressed for a state dependent M/M/1 queueing model, with controllable queue length dependent service rates and arrival rates. For a model…
This study proposes the segmentation procedure of univariate time series based on Fisher's exact test. We show that an adequate change point can be detected as the minimum value of p-value. It is shown that the proposed procedure can detect…
This article deals with asynchronous server vacation and customer retrial facility in a multi-server queueing-inventory system. The Poisson process governs the arrival of a customer. The system is comprised of c identical servers, a…