Zobrazeno 1 - 10
of 178
pro vyhledávání: '"Puhalskii, A. A."'
Autor:
Puhalskii, Anatolii
This paper obtains logarithmic asymptotics of moderate deviations of the stochastic process of the number of customers in a many--server queue with generally distributed interarrival and service times in the Halfin--Whitt heavy traffic regime. The de
Externí odkaz:
http://arxiv.org/abs/2305.01612
Autor:
Puhalskii, Anatolii A.
A trajectorial large deviation principle is established in a mean field thermodynamic limit for a multiclass loss network with diminishing rates, which may have several stable equilibria. The large deviation limit is identified as a unique solution t
Externí odkaz:
http://arxiv.org/abs/2201.03273
Autor:
Puhalskii, Anatolii A.
This paper is concerned with the general theme of relating the Large Deviation Principle (LDP) for the invariant measures of stochastic processes to the associated sample path LDP. It is shown that if the sample path deviation function possesses cert
Externí odkaz:
http://arxiv.org/abs/2006.16456
Autor:
Puhalskii, Anatolii A.
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:
http://arxiv.org/abs/1812.10163
Autor:
Puhalskii, Anatolii
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:
http://arxiv.org/abs/1811.09764
Autor:
Puhalskii, Anatolii
We establish some properties of substochastic matrices that we haven't been able to find in the literature
Externí odkaz:
http://arxiv.org/abs/1808.09444
Autor:
Puhalskii, A., Simon, B.
A Markovian model of group-structured (two-level) population dynamics features births, deaths, and migrations of individuals, and fission and extinction of groups. These models are useful for studying group selection and other evolutionary processes
Externí odkaz:
http://arxiv.org/abs/1712.09119
Autor:
Puhalskii, Anatolii A.
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:
http://arxiv.org/abs/1609.00587
We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the prices of the securities are governed by geometric Brownian motions with t
Externí odkaz:
http://arxiv.org/abs/1602.02192
Autor:
Puhalskii, Anatolii A.
We consider two Ito equations that evolve on different time scales. The equations are fully coupled in the sense that all coefficients may depend on both the "slow" and the "fast" processes and the diffusion terms may be correlated. The diffusion ter
Externí odkaz:
http://arxiv.org/abs/1306.5446