144 citations · 240 across the 5 of their papers we have counts for
5 papers
Diffusion Limit of Poisson Limit-Order Book Models
Christopher Almost, John Lehoczky, Steven Shreve +1
This ia a companion paper to Almost, Lehoczky, Shreve & Yu \cite{ALSY}, where the rationale for studying the diffusion limit of Poisson limit-order book models is explained and the…
Heavy traffic analysis for EDF queues with reneging
Łukasz Kruk, John Lehoczky, Kavita Ramanan +1
This paper presents a heavy-traffic analysis of the behavior of a single-server queue under an Earliest-Deadline-First (EDF) scheduling policy in which customers have deadlines and…
An explicit formula for the Skorokhod map on
Lukasz Kruk, John Lehoczky, Kavita Ramanan +1
The Skorokhod map is a convenient tool for constructing solutions to stochastic differential equations with reflecting boundary conditions. In this work, an explicit formula for th…
Accuracy of state space collapse for earliest-deadline-first Queues
Łukasz Kruk, John Lehoczky, Steven Shreve
This paper presents a second-order heavy traffic analysis of a single server queue that processes customers having deadlines using the earliest-deadline-first scheduling policy. Fo…
Earliest-deadline-first service in heavy-traffic acyclic networks
Lukasz Kruk, John Lehoczky, Steven Shreve +1
This paper presents a heavy traffic analysis of the behavior of multi-class acyclic queueing networks in which the customers have deadlines. We assume the queueing system consists…