相关论文: Analysis of stochastic fluid queues driven by loca…
In this paper we study a storage process or a liquid queue in which the input process is the local time of a positively recurrent stationary diffusion in stationary state and the potential output takes place with a constant deterministic…
A fluid queuing network constitutes one of the simplest models in which to study flow dynamics over a network. In this model we have a single source-sink pair and each link has a per-time-unit capacity and a transit time. A dynamic…
In this work, we focus on the stationary analysis of a specific class of continuous time Markov-modulated reflected random walks in the quarter plane with applications in the modelling of two-node Markov-modulated queueing networks with…
Levy processes are widely used in financial mathematics, telecommunication, economics, queueing theory and natural sciences for modelling. A typical model is obtained by considering finite dimensional linear stochastic SISO systems driven…
Order-preserving couplings are elegant tools for obtaining robust estimates of the time-dependent and stationary distributions of Markov processes that are too complex to be analyzed exactly. The starting point of this paper is to study…
We consider a Markovian many server queueing system in which customers are preemptively scheduled according to exogenously assigned priority levels. The priority levels are randomly assigned from a continuous probability measure rather than…
We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is…
In this paper, we consider a continuous-time Markov process and prove a local limit theorem for the integral of a time-inhomogeneous function of the process. One application is in the study of the fast-oscillating perturbations of linear…
In this paper we solve a particular stochastic recursion in the stationary ergodic framework, and propose some applications of this result to the study of regenerativity (that is, finiteness of busy cycles) and stationarity of some queueing…
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…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
We consider a class of stochastic dynamical systems, called piecewise deterministic Markov processes, with states $(x, \s)\in \O\times \G$, $\O$ being a region in $\bbR^d$ or the $d$--dimensional torus, $\G$ being a finite set. The…
We study a token-based central queue with multiple customer types. Customers of each type arrive according to a Poisson process and have an associated set of compatible tokens. Customers may only receive service when they have claimed a…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
We study a make-to-order system with a finite set of customers. Production is stochastic with a nonlinear dependence between the ordered quantity and the production rate. Customers may have to queue until their turn arrives, and therefore…
Small nonequelibrium systems driven by an external periodic protocol can be described by Markov processes with time-periodic transition rates. In general, current fluctuations in such small systems are large and may play a crucial role. We…
This paper analyzes stochastic networks consisting of a set of finite capacity sites where different classes of individuals move according to some routing policy. The associated Markov jump processes are analyzed under a thermodynamic limit…
Schedule-based transit assignment describes congestion in public transport services by modeling the interactions of passenger behavior in a time-space network built directly on a transit schedule. This study investigates the theoretical…
This paper concerns the recurrence structure of the infinite server queue, as viewed through the prism of the maximum dater sequence, namely the time to drain the current work in the system as seen at arrival epochs. Despite the importance…
We study some regularity properties in locally stationary Markov models which are fundamental for controlling the bias of nonparametric kernel estimators. In particular, we provide an alternative to the standard notion of derivative process…