相关论文: Moderate deviations of many-server queues in the H…

In this paper, we proved moderate deviation principles for a fully coupled two-time-scale stochastic systems, where the slow process is given by stochastic differential equations with small noise, while the fast process is a rapidly…

We consider the load balancing system under Poisson arrivals, exponential services, and homogeneous servers. Upon arrival, a job is to be routed to one of the servers, where it is queued until service. We consider the Power-of-$d$ choices…

Consider a queueing system fed by traffic from $N$ independent and identically distributed marked point processes. We establish several novel sample path large deviations results in the scaled uniform topology for such a system with a small…

In this paper, we develop a stochastic algorithm based on the Euler--Maruyama scheme to approximate the invariant measure of the limiting multidimensional diffusion of $G/Ph/n+GI$ queues in the Halfin-Whitt regime. Specifically, we prove a…

In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov processes obtained as the unique mild solution to stochastic…

We consider a two-dimensional Hamiltonian system perturbed by a small diffusion term, whose coefficient is state-dependent and non-degenerate. As a result, the process consists of the fast motion along the level curves and slow motion…

In this paper we investigate Gaussian queues in the light-traffic and in the heavy-traffic regime. The setting considered is that of a centered Gaussian process $X\equiv\{X(t):t\in\mathbb R\}$ with stationary increments and variance…

Two networks of queues models, presented initially by Jackson, in the open case, and Gordon and Newell, in the closed case, stochastic processes are presented and studied in some of their details and problems. The service times are…

We consider a class of slow-fast processes on a connected complete Riemannian manifold $M$.The limiting dynamics as the scale separation goes to $\infty$ is governed by the averaging principle. Around this limit, we prove large deviation…

This paper studies a multiclass queueing system with an associated risk- sensitive cost observed in heavy traffic at the moderate deviation scale, accounting for convex queue length penalties. The main result is the asymptotic optimality of…

We propose a model uncertainty approach to heavy traffic asymptotics that allows for a high level of uncertainty. That is, the uncertainty classes of underlying distributions accommodate disturbances that are of order 1 at the usual…

We propose a unified approach to establishing diffusion approximations for queues with impatient customers within a general framework of scaling customer patience time. The approach consists of two steps. The first step is to show that the…

This work considers a many-server queueing system in which customers with i.i.d., generally distributed service times enter service in the order of arrival. The dynamics of the system is represented in terms of a process that describes the…

The segmentation of data into stationary stretches also known as multiple change point problem is important for many applications in time series analysis as well as signal processing. Based on strong invariance principles, we analyse data…

In the infinite servers queue with Poisson arrivals real life practical applications, the busy period and the busy cycle probabilistic study is of main importance. But it is a very difficult task. In this text, we show that by solving a…

In this paper, a many-sources large deviations principle (LDP) for the transient workload of a multi-queue single-server system is established where the service rates are chosen from a compact, convex and coordinate-convex rate region and…

We study the distribution of the smallest eigenvalue for certain classes of positive-definite Hermitian random matrices, in the limit where the size of the matrices becomes large. Their limit distributions can be expressed as Fredholm…

The incidence of rare events in fast-slow systems is investigated via analysis of the large deviation principle (LDP) that characterizes the likelihood and pathway of large fluctuations of the slow variables away from their mean behavior --…

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…

In this paper, we study the asymptotic behavior of a fully-coupled slow-fast McKean-Vlasov stochastic system. Using the non-linear Poisson equation on Wasserstein space, we first establish the strong convergence in the averaging principle…