Speaker: Dai Hongshuai, Professor, School of Statistics and Mathematics, Shandong University of Finance and Economics

Date: December 2, 2022

Time: 19:00-20:00

Location: Tencent Meeting

Sponsor: Shandong University Institute for Financial Studies

Abstract:

Empirical studies have shown that traffic in communication networks exhibits long-range dependence. Fractional Brownian motion approximations of queueing systems have also been well justified by theoretical results, and most of this achievements are based on one Hurst parameter. However, in some applications, various Hurst parameters may be more appropriate. At the same time, sticky Brownian motion could be obtained as heavy traffic limits of queueing systems with exceptional service mechanisms. In this talk, sticky operator fractional Brownian motion and a d-node tandem fluid queue with long-range dependent inputs and sticky boundaries are constructed. Moreover, in heavy traffic environment, it is shown that the scaled buffer-content process of the d-node tandem queue converges weakly to a sticky operator Brownian motion.

For more information, please visit:

http://mathfinance.sdu.edu.cn/info/1273/6843.htm