4 citations · 5 across the 5 of their papers we have counts for
5 papers
A large deviations principle for birth-death processes with a linear rate of downward jumps
N. D. Vvedenskaya, A. V. Logachov, Y. M. Suhov +1
Birth-death processes form a natural class where ideas and results on large deviations can be tested. In this paper, we derive a large deviation principle under the assumption that…
A local large deviation principle for inhomogeneous birth-death processes
N. D. Vvedenskaya, A. V. Logachov, Y. M. Suhov +1
The paper considers a continuous-time birth-death process where the jump rate has an asymptotically polynomial dependence on the process position. We obtain a rough exponential asy…
A non-linear model of trading mechanism on a financial market
N. Vvedenskaya, Y. Suhov, V. Belitsky
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuo…
A non-linear model of limit order book dynamics
N Vvedenskaya, Y Suhov, V Belitsky
This paper focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform…
A circle of interacting servers; spontaneous collective behavior in case of large fluctuations
E. A. Pechersky, N. D. Vvedenskaya
We consider large fluctuations, namely overload of servers, in a network with dynamic routing of messages. The servers form a circle. The number of input flows is equal to the numb…