82 citations
- Maxwell Institute for Mathematical SciencesGB22 papers
- Imperial College LondonGB2 papers
- Isaac Newton Institute for Mathematical SciencesGB2 papers
- King's College LondonGB2 papers
- Leibniz University HannoverDE2 papers
- Observatoire de la Côte d’AzurFR2 papers
- Perimeter InstituteCA2 papers
- Universidad de SevillaES2 papers
- University of CambridgeGB2 papers
- University of ViennaAT2 papers
- B. Verkin Institute for Low Temperature Physics and Engineering of the National Academy of Sciences of UkraineUA1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
4 papers · 1 filter
Smoothness of scale functions for spectrally negative Levy processes
Terence Chan, Andreas Kyprianou, Mladen Savov
Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are oft…
A stochastic epidemiological model and a deterministic limit for BitTorrent-like peer-to-peer file-sharing networks
George Kesidis, Takis Konstantopoulos, Perla Sousi
In this paper, we propose a stochastic model for a file-sharing peer-to-peer network which resembles the popular BitTorrent system: large files are split into chunks and a peer can…
A Singular Control Model with Application to the Goodwill Problem
Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…
Stationary flows and uniqueness of invariant measures
Francois Baccelli, Takis Konstantopoulos
In this short paper, we consider a quadruple ,where is a -algebra of subsets of , and is a measurable bijection from into itself that preserves the…