Prakash Chakraborty

activity

20232026

most citedOptimal Entry and Exit with Signature in Statistical Arbitrage

1 citations · 1 across the 6 of their papers we have counts for

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3 papers · 1 filter

math.PR2026

Volterra-Skorokhod Reflection and Fluid Limits of Loss Queues

Mingrui Wang, Prakash Chakraborty

In the $G_{t} / G / n / n$ loss queue, a customer blocked at time $u$ remains missing from the system for as long as it would have been served. A fraction $K (t - u)$ of the blocking at $u$ t…

math.PR2025

Fluid Limits for Time-Varying Many-Server Loss Systems via Discontinuous Volterra Equations

Mingrui Wang, Prakash Chakraborty

This paper develops fluid limits for nonstationary many-server loss systems with general service-time distributions. For the zero-buffer $M_{t} / G / n / n$ queueing model, we prove a func…

math.PR2025

$N$ -Player Stochastic Differential Games with Regime Switching and Mean Field Convergence

Mingrui Wang, Prakash Chakraborty

In this study, we investigate $N$ -player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the…

Volterra-Skorokhod Reflection and Fluid Limits of Loss Queues

Fluid Limits for Time-Varying Many-Server Loss Systems via Discontinuous Volterra Equations

N-Player Stochastic Differential Games with Regime Switching and Mean Field Convergence

$N$ -Player Stochastic Differential Games with Regime Switching and Mean Field Convergence