Skorokhod's M1 topology for distribution-valued processes

Skorokhod's M1 topology is defined for c\`adl\`ag paths taking values in the space of tempered distributions (more generally, in the dual of a countably Hilbertian nuclear space). Compactness and tightness characterisations are derived which allow us to study a collection of stochastic processes through their projections on the familiar space of real-valued c\`adl\`ag processes. It is shown how this topological space can be used in analysing the convergence of empirical process approximations to distribution-valued evolution equations with Dirichlet boundary conditions.Comment: 13 pages, 2 figure

Exponential convergence rate of ruin probabilities for level-dependent L\'evy-driven risk processes

We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.Comment: 20 pages, 5 figure

Particle systems with a singular mean-field self-excitation. Application to neuronal networks

We discuss the construction and approximation of solutions to a nonlinear McKean-Vlasov equation driven by a singular self-excitatory interaction of the mean-field type. Such an equation is intended to describe an infinite population of neurons which interact with one another. Each time a proportion of neurons 'spike', the whole network instantaneously receives an excitatory kick. The instantaneous nature of the excitation makes the system singular and prevents the application of standard results from the literature. Making use of the Skorohod M1 topology, we prove that, for the right notion of a 'physical' solution, the nonlinear equation can be approximated either by a finite particle system or by a delayed equation. As a by-product, we obtain the existence of 'synchronized' solutions, for which a macroscopic proportion of neurons may spike at the same time

Bounds and Approximations for Stochastic Fluid Networks

The success of modern networked systems has led to an increased reliance and greater demand of their services. To ensure that the next generation of networks meet these demands, it is critical that the behaviour and performance of these networks can be reliably predicted prior to deployment. Analytical modeling is an important step in the design phase to achieve both a qualitative and quantitative understanding of the system. This thesis contributes towards understanding the behaviour of such systems by providing new results for two fluid network models: The stochastic fluid network model and the flow level model. The stochastic fluid network model is a simple but powerful modeling paradigm. Unfortunately, except for simple cases, the steady state distribution which is vital for many performance calculations, can not be computed analytically. A common technique to alleviate this problem is to use the so-called Heavy Traffic Approximation (HTA) to obtain a tractable approximation of the workload process, for which the steady state distribution can be computed. Though this begs the question: Does the steady-state distribution from the HTA correspond to the steady-state distribution of the original network model? It is shown that the answer to this question is yes. Additionally, new results for this model concerning the sample-path properties of the workload are obtained. File transfers compose much of the traffic of the current Internet. They typically use the transmission control protocol (TCP) and adapt their transmission rate to the available bandwidth. When congestion occurs, users experience delays, packet losses and low transfer rates. Thus it is essential to use congestion control algorithms that minimize the probability of occurrence of such congestion periods. Flow level models hide the complex underlying packet-level mechanisms and simply represent congestion control algorithms as bandwidth sharing policies between flows. Balanced Fairness is a key bandwidth sharing policy that is efficient, tractable and insensitive. Unlike the stochastic fluid network model, an analytical formula for the steady-state distribution is known. Unfortunately, performance calculations for realistic systems are extremely time consuming. Efficient and tight approximations for performance calculations involving congestion are obtained