63 research outputs found
State space collapse for critical multistage epidemics
We study a multistage epidemic model which generalizes the SIR model and
where infected individuals go through K>0 stages of the epidemic before being
removed. An infected individual in stage k=1,...,K may infect a susceptible
individual, who directly goes to stage k of the epidemic; or it may go to the
next stage k+1 of the epidemic. For this model, we identify the critical regime
in which we establish diffusion approximations. Surprisingly, the limiting
diffusion exhibits an unusual form of state space collapse which we analyze in
detail.Comment: The exposition of the results has been significantly change
Coupling limit order books and branching random walks
We consider a model for a one-sided limit order book proposed by Lakner et
al. We show that it can be coupled with a branching random walk and use this
coupling to answer a non-trivial question about the long-term behavior of the
price. The coupling relies on a classical idea of enriching the state-space by
artificially creating a filiation, in this context between orders of the book,
that we believe has the potential of being useful for a broader class of
models.Comment: Minor error in the proof of Theorem 1 corrected. Final version
accepted for publication to Journal of Applied Probabilit
Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case
Consider compound Poisson processes with negative drift and no negative
jumps, which converge to some spectrally positive L\'evy process with non-zero
L\'evy measure. In this paper we study the asymptotic behavior of the local
time process, in the spatial variable, of these processes killed at two
different random times: either at the time of the first visit of the L\'evy
process to 0, in which case we prove results at the excursion level under
suitable conditionings; or at the time when the local time at 0 exceeds some
fixed level. We prove that finite-dimensional distributions converge under
general assumptions, even if the limiting process is not c\`adl\`ag. Making an
assumption on the distribution of the jumps of the compound Poisson processes,
we strengthen this to get weak convergence. Our assumption allows for the
limiting process to be a stable L\'evy process with drift.
These results have implications on branching processes and in queueing
theory, namely, on the scaling limit of binary, homogeneous Crump-Mode-Jagers
processes and on the scaling limit of the Processor-Sharing queue length
process.Comment: Final version accepted for publication in Journal of Theoretical
Probabilit
Scaling limit of a limit order book model via the regenerative characterization of L\'evy trees
We consider the following Markovian dynamic on point processes: at constant
rate and with equal probability, either the rightmost atom of the current
configuration is removed, or a new atom is added at a random distance from the
rightmost atom. Interpreting atoms as limit buy orders, this process was
introduced by Lakner et al. to model a one-sided limit order book. We consider
this model in the regime where the total number of orders converges to a
reflected Brownian motion, and complement the results of Lakner et al. by
showing that, in the case where the mean displacement at which a new order is
added is positive, the measure-valued process describing the whole limit order
book converges to a simple functional of this reflected Brownian motion. Our
results make it possible to derive useful and explicit approximations on
various quantities of interest such as the depth or the total value of the
book. Our approach leverages an unexpected connection with L\'evy trees. More
precisely, the cornerstone of our approach is the regenerative characterization
of L\'evy trees due to Weill, which provides an elegant proof strategy which we
unfold.Comment: Accepted for publication in stochastic system
Lingering Issues in Distributed Scheduling
Recent advances have resulted in queue-based algorithms for medium access
control which operate in a distributed fashion, and yet achieve the optimal
throughput performance of centralized scheduling algorithms. However,
fundamental performance bounds reveal that the "cautious" activation rules
involved in establishing throughput optimality tend to produce extremely large
delays, typically growing exponentially in 1/(1-r), with r the load of the
system, in contrast to the usual linear growth.
Motivated by that issue, we explore to what extent more "aggressive" schemes
can improve the delay performance. Our main finding is that aggressive
activation rules induce a lingering effect, where individual nodes retain
possession of a shared resource for excessive lengths of time even while a
majority of other nodes idle. Using central limit theorem type arguments, we
prove that the idleness induced by the lingering effect may cause the delays to
grow with 1/(1-r) at a quadratic rate. To the best of our knowledge, these are
the first mathematical results illuminating the lingering effect and
quantifying the performance impact.
In addition extensive simulation experiments are conducted to illustrate and
validate the various analytical results
Scaling limits via excursion theory: Interplay between Crump-Mode-Jagers branching processes and processor-sharing queues
We study the convergence of the processor-sharing, queue length
process in the heavy traffic regime, in the finite variance case. To do so, we
combine results pertaining to L\'{e}vy processes, branching processes and
queuing theory. These results yield the convergence of long excursions of the
queue length processes, toward excursions obtained from those of some reflected
Brownian motion with drift, after taking the image of their local time process
by the Lamperti transformation. We also show, via excursion theoretic
arguments, that this entails the convergence of the entire processes to some
(other) reflected Brownian motion with drift. Along the way, we prove various
invariance principles for homogeneous, binary Crump-Mode-Jagers processes. In
the last section we discuss potential implications of the state space collapse
property, well known in the queuing literature, to branching processes.Comment: Published in at http://dx.doi.org/10.1214/12-AAP904 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Height and contour processes of Crump-Mode-Jagers forests (I): general distribution and scaling limits in the case of short edges
Crump-Mode-Jagers (CMJ) trees generalize Galton-Watson trees by allowing individuals to live for an arbitrary duration and give birth at arbitrary times during their life-time. In this paper, we are interested in the height and contour processes encoding a general CMJ tree. We show that the one-dimensional distribution of the height process can be expressed in terms of a random transformation of the ladder height process associated with the underlying Lukasiewicz path. As an application of this result, when edges of the tree are "short" we show that, asymptotically, (1) the height process is obtained by stretching by a constant factor the height process of the associated genealogical Galton-Watson tree, (2) the contour process is obtained from the height process by a constant time change and (3) the CMJ trees converge in the sense of finite-dimensional distributions
Occupancy Schemes Associated to Yule Processes
An occupancy problem with an infinite number of bins and a random probability
vector for the locations of the balls is considered. The respective sizes of
bins are related to the split times of a Yule process. The asymptotic behavior
of the landscape of first empty bins, i.e., the set of corresponding indices
represented by point processes, is analyzed and convergences in distribution to
mixed Poisson processes are established. Additionally, the influence of the
random environment, the random probability vector, is analyzed. It is
represented by two main components: an i.i.d. sequence and a fixed random
variable. Each of these components has a specific impact on the qualitative
behavior of the stochastic model. It is shown in particular that for some
values of the parameters, some rare events, which are identified, play an
important role on average values of the number of empty bins in some regions
On the scaling limits of Galton Watson processes in varying environment
We establish a general sufficient condition for a sequence of Galton Watson
branching processes in varying environment to converge weakly. This condition
extends previous results by allowing offspring distributions to have infinite
variance, which leads to a new and subtle phenomena when the process goes
through a bottleneck and also in terms of time scales. Our assumptions are
stated in terms of pointwise convergence of a triplet of two real-valued
functions and a measure. The limiting process is characterized by a backwards
ordinary differential equation satisfied by its Laplace exponent, which
generalizes the branching equation satisfied by continuous state branching
processes. Several examples are discussed, namely branching processes in random
environment, Feller diffusion in varying environment and branching processes
with catastrophes.Comment: Tightness is now proved in a separate paper (arXiv 1409.5215
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