57 citations · 110 across the 8 of their papers we have counts for
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math.PR2012★ 8 cited
A simple model of a limit order book
Elena Yudovina
We formulate a simplified model of a limit order book, in which the arrival process is independent of the current state. We prove a phase transition result: there exist prices $κ_b…
math.PR2012★ 21 cited
Tightness of invariant distributions of a large-scale flexible service system under a priority discipline
Alexander Stolyar, Elena Yudovina
We consider large-scale service systems with multiple customer classes and multiple server pools; interarrival and service times are exponentially distributed, and mean service tim…