Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Anatolii A. Puhalskii"'
Autor:
Anatolii A. Puhalskii
Publikováno v:
Queueing Systems. 100:341-343
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89eff8e95ea1615a40f3ae94d97990f1
https://doi.org/10.1007/s11134-022-09769-4
https://doi.org/10.1007/s11134-022-09769-4
Autor:
Anatolii A. Puhalskii
Publikováno v:
Electron. Commun. Probab.
We prove that the long term distribution of the queue length process in an ergodic generalised Jackson network obeys the Large Deviation Principle with a deviation function given by the quasipotential. The latter is related to the unique long term id
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::687995660ff1365bcdb873d4f22bbf75
https://projecteuclid.org/euclid.ecp/1561169051
https://projecteuclid.org/euclid.ecp/1561169051
Autor:
Anatolii A. Puhalskii
We use Hamilton equations to find optimal paths to big queues in Jackson networks. They are shown to be given by fluid trajectories of the dual network. The fluid equations are shown to be dual to the Hamilton equations. Thus, a version of the extend
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37f0ddd3015387b7b65d84f0329e40e3
Autor:
Anatolii A. Puhalskii, Chihoon Lee
Publikováno v:
Stochastic Models. 31:43-66
□ We establish a heavy traffic limit theorem for the queue-length process in a critically loaded single class queueing network with state-dependent arrival and service rates. A distinguishing feature of our model is non-Markovian state dependence.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7c47b413b3afd842694cc5a7035e2d0
https://doi.org/10.1080/15326349.2014.964414
https://doi.org/10.1080/15326349.2014.964414
Autor:
Anatolii A. Puhalskii
Publikováno v:
Mathematical Methods of Operations Research. 78:119-148
The focus of this paper is on the asymptotics of large-time numbers of customers in time-periodic Markovian many-server queues with customer abandonment in heavy traffic. Limit theorems are obtained for the periodic number-of-customers processes unde
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0483ea035929b562d29a0bfb200bc452
https://doi.org/10.1007/s00186-013-0435-8
https://doi.org/10.1007/s00186-013-0435-8
Autor:
Burton Simon, Anatolii A. Puhalskii
Publikováno v:
Stochastic Models. 28:388-412
We study a class of discrete-state Markovian models of evolutionary population dynamics for k types of organisms, called discrete evolutionary birth-death processes (EBDP). The organisms in a model environment interact with each other by playing a ce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::733e37f02f43f948f9693d69e147dc13
https://doi.org/10.1080/15326349.2012.699752
https://doi.org/10.1080/15326349.2012.699752
Autor:
Sergey Foss, Anatolii A. Puhalskii
Publikováno v:
Stochastic Processes and their Applications. 121:288-313
We consider a random walk with a negative drift and with a jump distribution which under Cramer’s change of measure belongs to the domain of attraction of a spectrally positive stable law. If conditioned to reach a high level and suitably scaled, t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0cbd2f71129e379efa4f5217a54bb95c
https://doi.org/10.1016/j.spa.2010.10.007
https://doi.org/10.1016/j.spa.2010.10.007
Autor:
Anatolii A. Puhalskii
Publikováno v:
Mathematical Finance. 21:145-167
We consider the problem of optimal portfolio selection for a multidimensional geometric Brownian motion model. We look for portfolios that maximize the probability of outperforming a stochastic benchmark. More specifically, we seek to maximize the de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::809bc487f13e27fc94b7524bb2d50d58
https://doi.org/10.1111/j.1467-9965.2010.00420.x
https://doi.org/10.1111/j.1467-9965.2010.00420.x
Autor:
Anatolii A. Puhalskii
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate of the prob
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0eeaa157cf71372f5012cc5fd951943c
Publikováno v:
Mathematics of Operations Research. 32:700-710
We consider a join-the-shortest-queue model which is as follows. There are $K$ single FIFO servers and $M$ arrival processes. The customers from a given arrival process can be served only by servers from a certain subset of all servers. The actual de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4139250cb848373451564d4ca0b1f4a0
https://doi.org/10.1287/moor.1070.0263
https://doi.org/10.1287/moor.1070.0263