Zobrazeno 1 - 10
of 125
pro vyhledávání: '"Shreve, Steven"'
This ia a companion paper to Almost, Lehoczky, Shreve & Yu \cite{ALSY}, where the rationale for studying the diffusion limit of Poisson limit-order book models is explained and the results of a particular "representative" model are detailed. This pap
Externí odkaz:
http://arxiv.org/abs/2008.01155
Publikováno v:
Annals of Applied Probability 2011, Vol. 21, No. 2, 484-545
This paper presents a heavy-traffic analysis of the behavior of a single-server queue under an Earliest-Deadline-First (EDF) scheduling policy in which customers have deadlines and are served only until their deadlines elapse. The performance of the
Externí odkaz:
http://arxiv.org/abs/1104.1047
Autor:
Brunick, Gerard, Shreve, Steven
Publikováno v:
Annals of Applied Probability 2013, Vol. 23, No. 4, 1584-1628
Given a multi-dimensional It\^{o} process whose drift and diffusion terms are adapted processes, we construct a weak solution to a stochastic differential equation that matches the distribution of the It\^{o} process at each fixed time. Moreover, we
Externí odkaz:
http://arxiv.org/abs/1011.0111
Publikováno v:
Annals of Probability 2007, Vol. 35, No. 5, 1740-1768
The Skorokhod map is a convenient tool for constructing solutions to stochastic differential equations with reflecting boundary conditions. In this work, an explicit formula for the Skorokhod map $\Gamma_{0,a}$ on $[0,a]$ for any $a>0$ is derived. Sp
Externí odkaz:
http://arxiv.org/abs/0710.2977
Publikováno v:
Annals of Applied Probability 2006, Vol. 16, No. 2, 516-561
This paper presents a second-order heavy traffic analysis of a single server queue that processes customers having deadlines using the earliest-deadline-first scheduling policy. For such systems, referred to as real-time queueing systems, performance
Externí odkaz:
http://arxiv.org/abs/math/0607056
Publikováno v:
Annals of Probability 2004, Vol. 14, No. 3, 1306-1352
This paper presents a heavy traffic analysis of the behavior of multi-class acyclic queueing networks in which the customers have deadlines. We assume the queueing system consists of J stations, and there are K different customer classes. Customers f
Externí odkaz:
http://arxiv.org/abs/math/0407136
Publikováno v:
The Annals of Applied Probability, 2003 Feb 01. 13(1), 54-99.
Externí odkaz:
https://www.jstor.org/stable/1193138
Publikováno v:
The Annals of Applied Probability, 2001 May 01. 11(2), 332-378.
Externí odkaz:
https://www.jstor.org/stable/2667251
Autor:
Brunick, Gerard, Shreve, Steven
Publikováno v:
The Annals of Applied Probability, 2013 Aug 01. 23(4), 1584-1628.
Externí odkaz:
http://dx.doi.org/10.1214/12-AAP881