DOCSLIB.ORG

Informs 2007 Proceedings

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text

Load more

informs14th ® Applied Probability Conference July 9–11, 2007 Program Monday July 9, 2007 Track 1 Track 2 Track 3 Track 4 Track 5 Track 6 Track 7 Track 8 Track 9 Room CZ 4 CZ 5 CZ 10 CZ 11 CZ 12 CZ 13 CZ 14 CZ 15 CZ 16 9:00am - 9:15am Opening (Room: Blauwe Zaal) 9:15am - 10:15am Plenary - Peter Glynn (Room: Blauwe Zaal) MA Financial Random Fields Rare Event Asymptotic Scheduling Call Centers 1 MDP 1 Retrial Inventory 1 10:45am - 12:15pm Engineering 1 Simulation 1 Analysis 1 Queues Kou Kaj Dupuis Bassamboo / Borst / Koole Feinberg Artalejo Van Houtum Randhawa Wierman Keppo Scheffler Blanchet Lin Gupta Taylor Bispo Machihara Buyukkaramikli DeGuest Ruiz-Medina Glasserman Tezcan Ayesta Jongbloed Van der Laan Nobel Qiu Peng Kaj Juneja Gurvich Wierman Henderson Haijema Shin Timmer Weber Mahmoodi Dupuis Randhawa Winands Koole Feinberg Artalejo Van Houtum 12:45pm - 1.45pm Tutorial Philippe Robert MB Financial Percolation and Simulation 1 Stability of Stoch. Communication Many-server Games 1 Fluid Queues Search 2:00pm - 3:30pm Engineering 2 Related Topics Networks Systems 1 Models 1 Models Schoutens / Van den Berg Henderson Ramanan Choi Armony Economou Adan Klafter Valdivieso Werker Newman Chick Gamarnik Bae Tezcan Economou Dieker Benichou Koch Newman Haas Reiman Kim Jennings Amir Nazarathy Oshanin Scherer Meester Blanchet Williams Park Ward Dube Margolius Eliazar Valdivieso Kurtz Henderson Zachary Roubos Armony Economou Adan Metzler MC Exit Times Interacting Stoch. Prog. Stoch. Netw. & Flow-Level Markov Control Queueing Inventory 2 4:00pm - 5:30pm Particle Systems & Opt. 1 Diffusions Models Processes Models 1 Rolski Van den Berg Gunawan Budhiraja Prabhakar Van Doorn Lelarge Fralix Yao Pistorius Van der Hofstad Gunawan Ghosh Prabhakar Ferreira Mohamed Kerner Baron De¸bicki Redig Ren Kang Bramson Jaskiewicz´ Yudaeva Ammar Bijvank Palmowski Van den Berg Rubinstein Atar Massoulié Leskelä Cudinaˇ Peköz Yao Rolski Rubinstein Budhiraja Shah Van Doorn Lelarge Fralix Xie 6:00pm - 10:00pm Reception / Dinner (Location: DAF Museum) Contents 1 Welcome Address 5 2 Program Committee and Organizing Committee7 3 Sponsors 9 4 General Information 11 5 Program at a Glance 13 6 Plenaries and Tutorials 15 7 Social Events 19 8 Auditorium Layout 21 9 University Campus Layout 23 10 Sessions 25 11 Abstracts 49 12 Author Index 163 3 CONTENTS 4 1 Welcome Address Dear Participant, It is our pleasure to welcome you to the 14th INFORMS Applied Probability Conference, to be held in the Auditorium of Eindhoven University of Technology. Traditionally, emphasis in this conference is on applications of probability in operations research; typical OR subjects are optimization of logistic networks under uncertainty, control of inventory systems, and per- formance analysis of communication networks. The analysis of the underlying probability models relies predominantly on the theory of Markov chains, stochastic processes, queueing theory, and advanced simu- lation techniques. Due to the strong methodological connections, however, also various other applications are included in the conference, for instance those inspired by finance, physics and biology. We are very pleased that the following researchers, leaders in our field, have agreed to give keynote lectures: Peter Glynn, Frank Kelly and Alain-Sol Sznitman. Another exciting prospect is formed by three tutorials on timely subjects, to be presented by Maury Bramson, Paul Glasserman and Philippe Robert. Furthermore, about 350 twenty-minute talks (roughly as many as the number of registered participants) will be presented in 90 sessions. Each time 9 sessions will run in parallel. We are grateful to the many persons who have assisted us in organizing the conference. In particular, we’d like to mention the Congress Office of Eindhoven University of Technology, the extremely able and helpful staff of EURANDOM, Josine Bruin, Hannie Horvath, Wim Senden, Erik Winands, and last but not least Marko Boon, whose wizardry made the preparation of this Program book almost look easy. We have chosen a schedule that leaves you with ample time to renew acquaintances, to make new friends, and to discuss problems and new ideas. We wish you a pleasant stay in Eindhoven! July 2007 The organizing committee 5 1 – Welcome Address 6 2 Program Committee and Organizing Committee Co-Chairs Onno Boxma (EURANDOM and TU Eindhoven, Eindhoven, The Netherlands, [email protected]) Michel Mandjes (Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, The Netherlands, [email protected]) Program Committee Mor Armony (New York University, New York, USA) Jesus Artalejo (Complutense University of Madrid, Madrid, Spain) Rami Atar (Technion, Haifa, Israel) Francois Baccelli (INRIA & ENS, Paris, France) Sem Borst (Lucent, Murray Hill, USA & TU Eindhoven, Eindhoven, The Netherlands) Richard Boucherie (Twente University, Enschede, The Netherlands) B.D. Choi (Korea University, Seoul, Korea) Neil O’Connell (University of Cork, Cork, Ireland) Dee Denteneer (Philips Research, Eindhoven, The Netherlands) Doug Down (McMaster University, Hamilton, Canada) Paul Dupuis (Brown University, Providence, USA) Serguei Foss (Heriot-Watt University, Edinburgh, UK) Geoffrey Grimmett (University of Cambridge, Cambridge, UK) Peter Glynn (Stanford University, Stanford, USA) Shane Henderson (Cornell University, Cornell, USA) Remco van der Hofstad (TU Eindhoven & EURANDOM, Eindhoven, The Netherlands) Ingemar Kaj (Uppsala University, Uppsala, Sweden) Offer Kella (Hebrew University, Jerusalem, Israel) Ger Koole (Vrije Universiteit Amsterdam, Amsterdam, The Netherlands) Dirk Kroese (University of Queensland, Brisbane, Australia) Thomas Mikosch (University of Copenhagen, Copenhagen, Denmark) Ilkka Norros (VTT, Helsinki, Finland) Balaji Prabhakar (Stanford University, Stanford, USA) Kavita Ramanan (Carnegie Mellon University, Pittsburgh, USA) Ulrich Rieder (University Ulm, Ulm, Germany) Wim Schoutens (KU Leuven, Leuven, Belgium) Hanspeter Schmidli (University of Cologne, Cologne, Germany) Mark Squillante (IBM Thomas J. Watson Research Center, Yorktown Heights, USA) Tetsuya Takine (Osaka University, Osaka, Japan) 7 2 – Program Committee and Organizing Committee Peter Taylor (University of Melbourne, Melbourne, Australia) Henk Tijms (Vrije Universiteit Amsterdam, Amsterdam, The Netherlands) Assaf Zeevi (Columbia University, New York, USA) Organizing Committee Ivo Adan (EURANDOM and TU Eindhoven, Eindhoven, The Netherlands) Onno Boxma (EURANDOM and TU Eindhoven, Eindhoven, The Netherlands) Lucienne Coolen (EURANDOM, Eindhoven, The Netherlands) Patty Koorn (EURANDOM, Eindhoven, The Netherlands) Michel Mandjes (Korteweg-de Vries Institute for Mathematics and University of Amsterdam, Amsterdam, The Netherlands) Jacques Resing (TU Eindhoven, Eindhoven, The Netherlands) 8 3 Sponsors The organizers gratefully acknowledge the support of the following organizations: Stichting ABE Co-sponsored by the INFORMS Applied Probability Society and The Institute of Mathematical Statistics. informs ® 9 3 – Sponsors 10 4 General Information Location and Conference Buildings The conference will take place at the Auditorium of Eindhoven University of Technology (see maps in Section8 and9). (Pre-)Registration and Conference Office On Sunday July 8, the Conference Office is located in EURANDOM, which is housed in the Laplace Building (LG on the map in Section9). It will be open from 5:00pm till 7:00pm for pre-registration. Refreshments will be served during this meet and greet session. On Monday, Tuesday and Wednesday the Conference Office is located on the first floor of the Auditorium (see map in Section8). On Monday it is open for registration from 7:30am until 6:00pm. On Tuesday and Wednesday it is open from 8:00am until 6:00pm. Badge You are kindly requested to wear your key cord and badge during the conference as it grants you access to the buildings and use of facilities such as catering, DAF-Museum, film and sports. Computer Facilities Wireless network access is available at several places in the Auditorium opposite the lecture rooms. You can plug in your notebook and get access with the personal login and password that you received, when you registered beforehand for this facility. If you had not registered beforehand, fill in the form “Wire- less Internet Access” in your conference documentation and deliver it at the reception on Monday after 11:00am. If you don’t have a notebook with wireless connection possibility, you may use the EURAN- DOM notebooks, which are available in lecture room CZ 9 (see map in Section8). Refreshments and Meals Coffee, tea and refreshments will be served during the breaks and before the first session of the day near the book stands on Level 1 (see map in Section8). Lunch is being offered in the Senaatszaal on Level 1, just opposite the book stands of Cambridge University Press and Springer. They are included in the registration fee. 11 4 – General Information Parking There are several car parks around the Auditorium. One needs a parking ticket to enter and another one to leave the University premises. Exit tickets can be obtained for free at the registration desk, when you hand in your entrance ticket. Sports Facilities Eindhoven University of Technology has a very well equipped sports center . INFORMS-participants who are interested in using some of these facilities are invited to visit the sports center (it is building SP on the campus map in Section9). Your congress badge, to be shown at the reception desk, grants you access to the building and facilities.
Recommended publications
  • Fluid M/M/1 Catastrophic Queue in a Random Environment

    Fluid M/M/1 Catastrophic Queue in a Random Environment

    RAIRO-Oper. Res. 55 (2021) S2677{S2690 RAIRO Operations Research https://doi.org/10.1051/ro/2020100 www.rairo-ro.org FLUID M=M=1 CATASTROPHIC QUEUE IN A RANDOM ENVIRONMENT Sherif I. Ammar1;2;∗ Abstract. Our main objective in this study is to investigate the stationary behavior of a fluid catas- trophic queue of M=M=1 in a random multi-phase environment. Occasionally, a queueing system expe- riences a catastrophic failure causing a loss of all current jobs. The system then goes into a process of repair. As soon as the system is repaired, it moves with probability qi ≥ 0 to phase i. In this study, the distribution of the buffer content is determined using the probability generating function. In addition, some numerical results are provided to illustrate the effect of various parameters on the distribution of the buffer content. Mathematics Subject Classification. 90B22, 60K25, 68M20. Received January 12, 2020. Accepted September 8, 2020. 1. Introduction In recent years, studies on queueing systems in a random environment have become extremely important owing to their widespread application in telecommunication systems, advanced computer networks, and manufacturing systems. In addition, studies on fluid queueing systems are regarded as an important class of queueing theory; the interpretation of the behavior of such systems helps us understand and improve the behavior of many applications in our daily life. A fluid queue is an input-output system where a continuous fluid enters and leaves a storage device called a buffer; the system is governed by an external stochastic environment at randomly varying rates. These models have been well established as a valuable mathematical modeling method and have long been used to estimate the performance of certain systems as telecommunication systems, transportation systems, computer networks, and production and inventory systems.
  • Lévy Finance *[0.5Cm] Models and Results

    Lévy Finance *[0.5Cm] Models and Results

    Stochastic Calculus for L´evyProcesses L´evy-Process Driven Financial Market Models Jump-Diffusion Models General L´evyModels European Style Options Stochastic Calculus for L´evy Processes L´evy-Process Driven Financial Market Models Jump-Diffusion Models Merton-Model Kou-Model General L´evy Models Variance-Gamma model CGMY model GH models Variance-mean mixtures European Style Options Equivalent Martingale Measure Jump-Diffusion Models Variance-Gamma Model NIG Model Professor Dr. R¨udigerKiesel L´evyFinance Stochastic Calculus for L´evyProcesses L´evy-Process Driven Financial Market Models Jump-Diffusion Models General L´evyModels European Style Options Stochastic Integral for L´evyProcesses Let (Xt ) be a L´evy process with L´evy-Khintchine triplet (α, σ, ν(dx)). By the L´evy-It´odecomposition we know X = X (1) + X (2) + X (3), where the X (i) are independent L´evyprocesses. X (1) is a Brownian motion with drift, X (2) is a compound Poisson process with jump (3) distributed concentrated on R/(−1, 1) and X is a square-integrable martingale (which can be viewed as a limit of compensated compound Poisson processes with small jumps). We know how to define the stochastic integral with respect to any of these processes! Professor Dr. R¨udigerKiesel L´evyFinance Stochastic Calculus for L´evyProcesses L´evy-Process Driven Financial Market Models Jump-Diffusion Models General L´evyModels European Style Options Canonical Decomposition From the L´evy-It´odecomposition we deduce the canonical decomposition (useful for applying the general semi-martingale theory) Z t Z X (t) = αt + σW (t) + x µX − νX (ds, dx), 0 R where Z t Z X xµX (ds, dx) = ∆X (s) 0 R 0<s≤t and Z t Z Z t Z Z X X E xµ (ds, dx) = xν (ds, dx) = t xν(dx).
  • A Variety of Queueing Models for Mobile Communication Systems

    A Variety of Queueing Models for Mobile Communication Systems

    A VARIETY OF QUEUEING MODELS FOR MOBILE COMMUNICATION SYSTEMS William Wing Pong Kwok A thesis submitted in conforrnity with the requirements for the degree of Master of Applied Science Department of Mechanical and Industrial Engineering University of Toronto O Copyright by William Wing Pong Kwok (1999) 1 National Library Bibliotheque nationale du Canada Acquisitions and Acquisitions et Bibiiographic Services services bibliographiques 395 Weilingtm Street 395. n# Wdiington Ottawa ON KIA ON4 OaawaON K1AW Canada canada The author has granted a non- L'auteur a accordé une licence non exclusive licence ailowing the exclusive permettant à la National Library of Canada to Bibliothèque nationale du Canada de reproduce, loan, distniute or seil reproduire, @ter, distribuer ou copies of this thesis in microfom., vendre des copies de cette thèse sous paper or electronic formats. la forme de microfiche/film, de reproduction sur papier ou sur format électronique. The author retains ownership of the L'auteur conserve la propriété du copyright in this thesis. Neither the droit d'auteur qui protège cette thèse. thesis nor substantial extracts fiom it Ni la thèse ni des extraits substantiels may be printed or othewise de celle-ci ne doivent être imprimés reproduced without the author's ou autrement reproduits sans son permission. autorisation. A VARiETY OF QUEUEING MODELS FOR MOBILE COMMUNICATION SYSTEMS William Wlng Pong Kwok Degree of Master of Applied Science, 1999 Department of Mechanical & Industrial Engineering University of Toronto ABSTRACT The impact of customer behavior plays an important dein the planning of multi-media cellular mobile communication networks. In fact, the quality of service (QoS), such as waiting time and accessibility, that is experienced by each individual customer is the main factor in the evaluation of system performance.
  • Pricing, Risk and Volatility in Subordinated Market Models

    Pricing, Risk and Volatility in Subordinated Market Models

    risks Article Pricing, Risk and Volatility in Subordinated Market Models Jean-Philippe Aguilar 1,* , Justin Lars Kirkby 2 and Jan Korbel 3,4,5,6 1 Covéa Finance, Quantitative Research Team, 8-12 rue Boissy d’Anglas, FR75008 Paris, France 2 School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30318, USA; [email protected] 3 Section for the Science of Complex Systems, Center for Medical Statistics, Informatics, and Intelligent Systems (CeMSIIS), Medical University of Vienna, Spitalgasse 23, 1090 Vienna, Austria; [email protected] 4 Complexity Science Hub Vienna, Josefstädterstrasse 39, 1080 Vienna, Austria 5 Faculty of Nuclear Sciences and Physical Engineering, Czech Technical University, 11519 Prague, Czech Republic 6 The Czech Academy of Sciences, Institute of Information Theory and Automation, Pod Vodárenskou Vˇeží4, 182 00 Prague 8, Czech Republic * Correspondence: jean-philippe.aguilar@covea-finance.fr Received: 26 October 2020; Accepted: 13 November 2020; Published: 17 November 2020 Abstract: We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques.
  • A Survey of Parameter and State Estimation in Queues

    A Survey of Parameter and State Estimation in Queues

    A Survey of Parameter and State Estimation in Queues Azam Asanjarani,∗ Yoni Nazarathy,† Peter Taylor ‡. Abstract We present a broad literature survey of parameter and state estimation for queueing systems. Our approach is based on various inference activities, queueing models, observations schemes, and statistical methods. We categorize these into branches of research that we call estimation paradigms. These include: the classical sampling approach, inverse problems, inference for non- interacting systems, inference with discrete sampling, inference with queueing fundamentals, queue inference engine problems, Bayesian approaches, online prediction, implicit models, and control, design, and uncertainty quantification. For each of these estimation paradigms, we outline the principles and ideas, while surveying key references. We also present various simple numerical experiments. In addition to some key references mentioned here, a periodically-updated compre- hensive list of references dealing with parameter and state estimation of queues will be kept in an accompanying annotated bibliography. 1 Introduction Queues occur in retail, health-care, telecommunications, manufacturing, road traffic, social justice systems, call centres and many other environments. To aid in understanding such systems, mathemati- cal queueing models have been studied and employed for over a century. Such models allow researchers and practitioners to predict congestion and delay behaviour based on assumptions about the underlying stochastic processes. The field has grown together with the field of applied probability and constitutes a significant part of the world of stochastic operations research. Indeed, queueing phenomena are both fascinating and important to understand from a practical perspective. The basic building block of most queueing analysis research involves a queueing model. As an exam- ple, consider a model called the M/D/1 queue.
  • Extremes and Fluid Queues

    Extremes and Fluid Queues

    UvA-DARE (Digital Academic Repository) Extremes and fluid queues Dieker, A.B. Publication date 2006 Document Version Final published version Link to publication Citation for published version (APA): Dieker, A. B. (2006). Extremes and fluid queues. Ponsen & Looijen. General rights It is not permitted to download or to forward/distribute the text or part of it without the consent of the author(s) and/or copyright holder(s), other than for strictly personal, individual use, unless the work is under an open content license (like Creative Commons). Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: https://uba.uva.nl/en/contact, or a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible. UvA-DARE is a service provided by the library of the University of Amsterdam (https://dare.uva.nl) Download date:30 Sep 2021 Extremes and uid queues Extremes and uid queues / Antonius Bernardus Dieker, 2006 Proefschrift Universiteit van Amsterdam Met lit. opg. { Met samenvatting in het Nederlands Omslagontwerp door Tobias Baanders Gedrukt door Ponsen & Looijen BV ISBN 90-5776-151-3 Dit onderzoek kwam tot stand met steun van NWO Extremes and uid queues ACADEMISCH PROEFSCHRIFT ter verkrijging van de graad van doctor aan de Universiteit van Amsterdam op gezag van de Rector Magni¯cus prof.
  • Heterogeneous Arrival Fluid Model Driven by an M/M/1 Queue with Exponential Vacation Subject to Catastrophe M

    Heterogeneous Arrival Fluid Model Driven by an M/M/1 Queue with Exponential Vacation Subject to Catastrophe M

    The International journal of analytical and experimental modal analysis ISSN NO:0886-9367 Heterogeneous Arrival Fluid Model Driven by an M/M/1 Queue with Exponential Vacation Subject to Catastrophe 1 2 M. Deepa , Dr. K. Julia Rose Mary 1Research Scholar, Nirmala College For Women 2Asso.Prof.of Mathematics, Nirmala College For Women [email protected] 2 [email protected] Abstract- Fluid model is suitable for modeling traffic network where individual arrival has less impact on the performance of the network. For evaluating the performance measure, it is important to obtain information about the buffer content. This paper studies a fluid model driven by an M/M/1 queue with heterogeneous arrival and exponential vacation subject to catastrophe under steady state conditions. Based on that explicit expression for the Laplace transform of the stationary buffer content distribution with the minimal positive solution to a crucial quadratic equation is obtained .Then the performance measure – mean of the buffer content which is dependent on vacation parameter is obtained .Finally, the parameters effect on the mean buffer content is also illustrated by sensitivity analysis. Keywords- Fluid queue, Heterogeneous arrival, Exponential vacation, Catastrophe and Buffer Content. I. INTRODUCTION A Fluid queue is a mathematical model used to describe fluid level in a reservoir subject to randomly determined periods of filling and emptying the system without interruption called a buffer, according to a randomly varying rate regulated by an external stochastic environment. Such fluid queues are used as a mathematical tool for modeling, for example, to approximate discrete models, model the spread of wildfires in ruin theory and to model high speed data networks, a router, computer networks including call admission control, traffic shaping and modeling of TCP and production and inventory systems.
  • Arbitrage Free Approximations to Candidate Volatility Surface Quotations

    Arbitrage Free Approximations to Candidate Volatility Surface Quotations

    Journal of Risk and Financial Management Article Arbitrage Free Approximations to Candidate Volatility Surface Quotations Dilip B. Madan 1,* and Wim Schoutens 2,* 1 Robert H. Smith School of Business, University of Maryland, College Park, MD 20742, USA 2 Department of Mathematics, KU Leuven, 3000 Leuven, Belgium * Correspondence: [email protected] (D.B.M.); [email protected] (W.S.) Received: 19 February 2019; Accepted: 10 April 2019; Published: 21 April 2019 Abstract: It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown to be adequate, competitive, and stable though slow for the moment. Further research can be devoted to speed enhancements. The Markov chain approximation is general and not constrained to processes with independent increments. Calibrations are illustrated for data on 2695 options across 28 maturities for SPY as at 8 February 2018. Keywords: bilateral gamma; fast Fourier transform; sato process; matrix exponentials JEL Classification: G10; G12; G13 1. Introduction A variety of arbitrage free models for approximating quoted option prices have been available for some time. The quotations are typically in terms of (Black and Scholes 1973; Merton 1973) implied volatilities for the traded strikes and maturities. Consequently, the set of such quotations is now popularly referred to as the volatility surface. Some of the models are nonparametric with the Dupire(1994) local volatility model being a popular example. The local volatility model is specified in terms of a deterministic function s(K, T) that expresses the local volatility for the stock if the stock were to be at level K at time T.
  • Some Mathematical Aspects of Market Impact Modeling by Alexander Schied and Alla Slynko

    Some Mathematical Aspects of Market Impact Modeling by Alexander Schied and Alla Slynko

    EMS Series of Congress Reports EMS Congress Reports publishes volumes originating from conferences or seminars focusing on any field of pure or applied mathematics. The individual volumes include an introduction into their subject and review of the contributions in this context. Articles are required to undergo a refereeing process and are accepted only if they contain a survey or significant results not published elsewhere in the literature. Previously published: Trends in Representation Theory of Algebras and Related Topics, Andrzej Skowro´nski (ed.) K-Theory and Noncommutative Geometry, Guillermo Cortiñas et al. (eds.) Classification of Algebraic Varieties, Carel Faber, Gerard van der Geer and Eduard Looijenga (eds.) Surveys in Stochastic Processes Jochen Blath Peter Imkeller Sylvie Rœlly Editors Editors: Jochen Blath Peter Imkeller Sylvie Rœlly Institut für Mathematik Institut für Mathematik Institut für Mathematik der Technische Universität Berlin Humboldt-Universität zu Berlin Universität Potsdam Straße des 17. Juni 136 Unter den Linden 6 Am Neuen Palais, 10 10623 Berlin 10099 Berlin 14469 Potsdam Germany Germany Germany [email protected] [email protected] [email protected] 2010 Mathematics Subject Classification: Primary: 60-06, Secondary 60Gxx, 60Jxx Key words: Stochastic processes, stochastic finance, stochastic analysis,statistical physics, stochastic differential equations ISBN 978-3-03719-072-2 The Swiss National Library lists this publication in The Swiss Book, the Swiss national bibliography, and the detailed bibliographic data are available on the Internet at http://www.helveticat.ch. This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in other ways, and storage in data banks.
  • Performance Analysis of Two-Way Communication Retrial Queueing Systems with Non-Reliable Server and Impatient Customers in the Orbit∗

    Performance Analysis of Two-Way Communication Retrial Queueing Systems with Non-Reliable Server and Impatient Customers in the Orbit∗

    Performance Analysis of Two-Way Communication Retrial Queueing Systems With Non-Reliable Server and Impatient Customers in the Orbit∗ Ádám Tóth, János Sztrik Faculty of Informatics, University of Debrecen, Debrecen, Hungary [email protected] [email protected] Proceedings of the 1st Conference on Information Technology and Data Science Debrecen, Hungary, November 6–8, 2020 published at http://ceur-ws.org Abstract Many models of two-way communication queueing systems have been studied in recent years, they can be utilized in many fields of life like in [7, 28, 30]. Customers have always been characterized by the phenomena of impatience due to the long waiting time for service [4, 14, 15, 27]. In this pa- per, we consider two-way communication systems with a non-reliable server where primary customers may decide to leave the system after spending a considerable amount of time in the system before getting its proper service. The service unit can break down during its operation or in an idle state, too. Whenever the server becomes idle it may generate requests towards the customers’ residing in an infinite source. These requests, the so-called sec- ondary customers, can enter the system after a random time if the service unit is available and functional upon their arrivals. Otherwise, they return to the source without coming into the system. Every primary customer has a property of impatience meaning that an arbitrary request has the ability to Copyright © 2021 for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).
  • CONDITIONAL ERGODICITY in INFINITE DIMENSION∗ by Xin

    CONDITIONAL ERGODICITY in INFINITE DIMENSION∗ by Xin

    CONDITIONAL ERGODICITY IN INFINITE DIMENSION∗ By Xin Thomson Tong and Ramon van Handel Princeton University The goal of this paper is to develop a general method to establish conditional ergodicity of infinite-dimensional Markov chains. Given a Markov chain in a product space, we aim to understand the ergodic properties of its conditional distributions given one of the compo- nents. Such questions play a fundamental role in the ergodic theory of nonlinear filters. In the setting of Harris chains, conditional ergod- icity has been established under general nondegeneracy assumptions. Unfortunately, Markov chains in infinite-dimensional state spaces are rarely amenable to the classical theory of Harris chains due to the sin- gularity of their transition probabilities, while topological and func- tional methods that have been developed in the ergodic theory of infinite-dimensional Markov chains are not well suited to the inves- tigation of conditional distributions. We must therefore develop new measure-theoretic tools in the ergodic theory of Markov chains that enable the investigation of conditional ergodicity for infinite dimen- sional or weak-* ergodic processes. To this end, we first develop local counterparts of zero-two laws that arise in the theory of Harris chains. These results give rise to ergodic theorems for Markov chains that ad- mit asymptotic couplings or that are locally mixing in the sense of H. F¨ollmer,and to a non-Markovian ergodic theorem for stationary ab- solutely regular sequences. We proceed to show that local ergodicity is inherited by conditioning on a nondegenerate observation process. This is used to prove stability and unique ergodicity of the nonlinear filter.
  • SORT Volume 29 (1), January-June 2005 Formerly Questii¨ O´

    SORT Volume 29 (1), January-June 2005 Formerly Questii¨ O´

    SORT Volume 29 (1), January-June 2005 Formerly Questii¨ o´ Contents Articles Graphical display in outlier diagnostics; adequacy and robustness.......................... 1 Nethal K. Jajo Positivity theorem for a general manifold ............................................. 11 Remi´ Leandre´ Correspondence analysis and 2-way clustering ......................................... 27 Antonio Ciampi and Ana Gonzalez Marcos Information matrices for some elliptically symmetric distributions ......................... 43 Saralees Nadarajah and Samuel Kotz Automatic error localisation for categorical, continuous and integer data .................... 57 Ton de Waal Estimation of spectral density of a homogeneous random stable discrete time field ............ 101 Nikolay N. Demesh and S. L. Chekhmenok The M/G/1 retrial queue: An information theoretic approach.............................. 119 Jesus´ R. Artalejo and M. Jesus´ Lopez-Herrero Book reviews Information for authors and subscribers Statistics & Statistics & Operations Research Transactions Operations Research SORT 29 (1) January-June 2005, 1-10 c Institut d’Estad´ıstica deTransactions Catalunya ISSN: 1696-2281 [email protected] www.idescat.net/sort Graphical display in outlier diagnostics; adequacy and robustness Nethal K. Jajo∗ University of Western Sydney Abstract Outlier robust diagnostics (graphically) using Robustly Studentized Robust Residuals (RSRR) and Partial Robustly Studentized Robust Residuals (PRSRR) are established. One problem with some robust residual plots is that the residuals