160 citations · 298 across the 36 of their papers we have counts for
7 papers · 1 filter
Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in asset pricing
Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu
We study the semimartingale properties for the generalized fractional Brownian motion (GFBM) introduced by Pang and Taqqu (2019) and discuss the applications of the GFBM and its mi…
Functional central limit theorems for epidemic models with varying infectivity
Guodong Pang, Etienne Pardoux
In this paper, we prove functional central limit theorems (FCLTs) for a stochastic epidemic model with varying infectivity and general infectious periods recently introduced in For…
Path Properties of a Generalized Fractional Brownian Motion
Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a…
On system-wide safety staffing of large-scale parallel server networks
Hassan Hmedi, Ari Arapostathis, Guodong Pang
We introduce a "system-wide safety staffing" (SWSS) parameter for multiclass multi-pool networks of any tree topology, Markovian or non-Markovian, in the Halfin-Whitt regime. This…
Epidemic models with varying infectivity
Raphael Forien, Guodong Pang, Etienne Pardoux
We introduce an epidemic model with varying infectivity and general exposed and infectious periods, where the infectivity of each individual is a random function of the elapsed tim…
Multi-patch epidemic models with general exposed and infectious periods
Guodong Pang, Etienne Pardoux
We study multi-patch epidemic models where individuals may migrate from one patch to another in either of the susceptible, exposed/latent, infectious and recovered states. We assum…