Searching for authors named "Gennady Samorodnitsky" – sorted by Relevance.
34 documents found, showing 1 through 10.
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A Class of Shot Noise Models for Financial Applications
- …We describe a class of non-Markov shot noise processes that can be used as models for rates of return on securities, exchange rate processes and other processes in finance. These are continuous time processes that can exhibit heavy tails that become lighter when sampling interval increases, clusteri…
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LONG MEMORY AND SELF-SIMILAR PROCESSES
- …Abstract. This paper is a survey of both classical and new results and ideas on long memory, scaling and self-similarity, both in the light-tailed and heavy-tailed cases. Résumé. Cet article est une synthèse de résultats et idées classiques ou nouveaux sur la longue mémoire, les changements d’échell…
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Zero-One Laws for Multiple Stochastic Integrals
- …In this paper we study zero-one laws for processes represented as finite sums of stochastic integrals with respect to symmetric infinitely divisible random measures. We survey known results on zero-one laws for infinitely divisible measures and for polynomial Gaussian and type G chaos with values…
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Ruin Problem, Operational Risk And How Fast Stochastic Processes Mix
- …The recent increasing interplay between actuarial and financial mathematics has led to a surge of risk theoretic modeling. Especially actuarial ruin models under fairly general conditions on the underlying risk process have become a focus of attention. Motivated by applications to the modeling of op…
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Steady State Distribution Of The Buffer Content For M/G/infinity Input Fluid Queues
- …. We consider a fluid queue with ON periods arriving according to a Poisson process and having a long--tailed distribution. This queue has long range dependence, and we compute the asymptotic behavior of the steady state distribution of the buffer content. The tail of this distribution is much heavi…
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The Supremum of a Negative Drift Random Walk with Dependent Heavy-Tailed Steps
- …. Many important probabilistic models in queuing theory, insurance and finance deal with partial sums of a negative mean stationary process (a negative drift random walk), and the law of the supremum of such a process is used to calculate, depending on the context, the ruin probability, the steady s…
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Limits Of On/Off Hierarchical Product Models For Data Transmission
- …. A hierarchical product model seeks to model network traffic as a product of independent on/off processes. Previous studies have assumed a Markovian structure for component processes amounting to assuming that exponential distributions govern on and off periods but this is not in good agreement wit…
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Fluid Queues, Leaky Buckets, On-Off Processes and Teletraffic Modeling with Highly Variable and Correlated Inputs
- …INTRODUCTION There now exist several large teletraffic data sets exhibiting non-standard features incompatible with classical assumtions of short range dependence and rapidly decreasing tails. For instance, it is worth exploring the variety of data catalogued at the ITA web site www.acm.org/sigcomm…
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Performance Decay In A Single Server Exponential Queueing Model With Long Range Dependence
- …. We discuss how long range dependence can influence the characteristics of a single server queue. We take the analogue of the G/M/1 queue except that the input stream is altered to exhibit long range dependence. The equilibrium queue size and equilibrium waiting time distributions each have heavy t…
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A Heavy Traffic Limit Theorem For Workload Processes With Heavy Tailed Service Requirements
- …. A system with heavy tailed service requirements under heavy load having a single server, has an equilibrium waiting time distribution which is approximated by the Mittag--Leffler distribution. This fact is understood by a direct analysis of the weak convergence of a sequence of negative drift rand…
- Cited by 5 (3 self) – Add To MetaCart
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