3 citations · 4 across the 4 of their papers we have counts for
5 papers · 1 filter
Customer-server population dynamics in heavy traffic
Rami Atar, Prasenjit Karmakar, David Lipshutz
We study a many-server queueing model with server vacations, where the population size dynamics of servers and customers are coupled: a server may leave for vacation only when no c…
Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
David Lipshutz, Kavita Ramanan
Reflected Brownian motion (RBM) in a convex polyhedral cone arises in a variety of applications ranging from the theory of stochastic networks to math finance, and under general st…
A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains
David Lipshutz, Kavita Ramanan
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a…
Exit time asymptotics for small noise stochastic delay differential equations
David Lipshutz
Dynamical system models with delayed dynamics and small noise arise in a variety of applications in science and engineering. In many applications, stable equilibrium or periodic be…
Pathwise differentiability of reflected diffusions in convex polyhedral domains
David Lipshutz, Kavita Ramanan
Reflected diffusions in convex polyhedral domains arise in a variety of applications, including interacting particle systems, queueing networks, biochemical reaction networks and m…