This paper focuses on the evaluation of the probability that both components of a bivariate stochastic process ever simultaneously exceed some large level; a leading example is that of two Markov fluid queues driven by the same background process ever reaching the set (u, ∞)×(u, ∞), for u>0. Exact analysis being prohibitive, we resort to asymptotic techniques and efficient simulation, focusing on large values of u. The first contribution concerns various expressions for the decay rate of the probability of interest, which are valid under Gärtner–Ellis-type conditions. The second contribution is an importance-sampling-based rare-event simulation technique for the bivariate Markov modulated fluid model, which is capable of asymptotically efficiently estimating the probability of interest; the efficiency of this procedure is assessed in a series of numerical experiments.

This paper introduces a special issue of this journal (Probability in the Engineering and Informational Sciences) that is devoted to G(elenbe)-Networks and their Applications. The special issue is based on revised versions of some of the papers that were presented at a workshop held in early January 2017 at the Séminaire Saint-Paul in Nice (France). It includes contributions in several research directions that followed from the introduction of the G-Network in the late 1980s. The papers present original theoretical developments, as well as applications of G-Networks to Machine Learning, to the performance optimization of energy systems via the novel Energy Packet Networks formalism for systems that operate with renewable and intermittent energy sources, and to packet network routing and Cloud management over the Internet. We introduce these contributions from the perspective of an overview of recent work based on G-Networks.

This paper evaluates vulnerable American put options under jump–diffusion assumptions on the underlying asset and the assets of the counterparty. Sudden shocks on the asset prices are described as a compound Poisson process. Analytical pricing formulae of vulnerable European put options and vulnerable twice-exercisable European put options are derived. Employing the two-point Geske and Johnson method, we derive an approximate analytical pricing formula of vulnerable American put options under jump–diffusions. Numerical simulations are performed for investigating the impacts of jumps and default risk on option prices.

In this paper, we generalize the Gaussian Variance Approximation (GVA), developed by Massey and Pender [16], to Jackson networks with abandonment. We approximate the queue length process with a multivariate Gaussian distribution and thus, we are able to estimate the mean and covariance matrix of the entire network with more accuracy than the associated fluid and diffusion limits of Mandelbaum, Massey, and Reiman [14]. We also show how the GVA method can be used to construct staffing schedules that approximately stabilize salient performance measures such as the probability of delay and the abandonment probabilities for the entire network. Unlike the work of Feldman et al. [5] which uses Monte Carlo simulation to stabilize the delay probabilities, our method does not require simulation and only requires the numerical integration of ${1 \over 2}(N^2 + 3N)$ differential equations for an N-dimensional network, which is more computationally efficient. Lastly, to confirm our approximations are accurate, we perform several numerical experiments for a wide range of parameter settings.

We consider the multi-armed bandit problem under a cost constraint. Successive samples from each population are i.i.d. with unknown distribution and each sample incurs a known population-dependent cost. The objective is to design an adaptive sampling policy to maximize the expected sum of n samples such that the average cost does not exceed a given bound sample-path wise. We establish an asymptotic lower bound for the regret of feasible uniformly fast convergent policies, and construct a class of policies, which achieve the bound. We also provide their explicit form under Normal distributions with unknown means and known variances.

In this paper, we study an M/M/1 queue, where the server continues to work during idle periods and builds up inventory. This inventory is used for new arriving service requirements, but it is completely emptied at random epochs of a non-homogeneous Poisson process, whose rate depends on the current level of the acquired inventory. For several shapes of depletion rates, we derive differential equations for the stationary density of the workload and the inventory level and solve them explicitly. Finally, numerical illustrations are given for some particular examples, and the effects of this depletion mechanism are discussed.

We consider a single server system accepting two types of retrial customers, which arrive according to two independent Poisson streams. The service station can handle at most one customer, and in case of blocking, type i customer, i=1, 2, is routed to a separate type i orbit queue of infinite capacity. Customers from the orbits try to access the server according to the constant retrial policy. We consider coupled orbit queues, and thus, when both orbit queues are non-empty, the orbit queue i tries to re-dispatch a blocked customer of type i to the main service station after an exponentially distributed time with rate μi. If an orbit queue empties, the other orbit queue changes its re-dispatch rate from μi to $\mu_{i}^{\ast}$. We consider both exponential and arbitrary distributed service requirements, and show that the probability generating function of the joint stationary orbit queue length distribution can be determined using the theory of Riemann (–Hilbert) boundary value problems. For exponential service requirements, we also investigate the exact tail asymptotic behavior of the stationary joint probability distribution of the two orbits with either an idle or a busy server by using the kernel method. Performance metrics are obtained, computational issues are discussed and a simple numerical example is presented.

This paper is devoted to the research of an open Markov queueing network with positive customers and signals, and positive customers batch removal. A way of finding in a non-stationary regime time-dependent state probabilities has been proposed. The Kolmogorov system of difference-differential equations for state probabilities of such network was derived. The technique of its building, based on the use of the modified method of successive approximations combined with a series method, has been proposed. It is proved that the successive approximations converge over time to the stationary state probabilities, and the sequence of approximations converges to the unique solution of the Kolmogorov equations. Any successive approximation can be represented as a convergent power series with infinite radius of convergence, the coefficients of which satisfy the recurrence relations; that is useful for estimations. Model example illustrating the finding of time-dependent state probabilities of the network has been provided.

In this paper, we study a generalization of the classical multi-dimensional Erlang loss model with state-dependent arrival and service rates, in which customers at arrival occupy random quantities of various resources and release them at departure. Total amount of resources allocated to customers cannot exceed predefined maximum levels. There can be two types of customers: positive customers, which occupy positive quantities of resources, and negative customers, which occupy negative quantities of resources. Negative customers increase the amount of resources available to positive customers and therefore decrease blocking of positive customers caused by lack of resources.

We study the allocation strategies for redundant components in the load-sharing series/parallel systems. We show that under the specified assumptions, the allocation of a redundant component to the stochastically weakest (strongest) component of a series (parallel) system is the best strategy to achieve its maximal reliability. The results have been studied under cumulative exposure model and for a general scenario as well. They have a clear intuitive meaning; however, the corresponding additional assumptions are not obvious, which can be seen from the proofs of our theorems.

We study the degree profile of random hierarchical lattice networks. At every step, each edge is either serialized (with probability p) or parallelized (with probability 1−p). We establish an asymptotic Gaussian law for the number of nodes of outdegree 1, and show how to extend the derivations to encompass asymptotic limit laws for higher outdegrees. The asymptotic joint distribution of the number of nodes of outdegrees 1 and 2 is shown to be bivariate normal. No phase transition with p is detected in these asymptotic laws.

For the limit laws, we use ideas from the contraction method. The recursive equations which we get involve coefficients and toll terms depending on the recursion variable and thus are not in the standard form of the contraction method. Yet, an adaptation of the contraction method goes through, showing that the method has promise for a wider range of random structures and algorithms.

We propose two random network models for complex networks, which are treelike and always grow very fast. One is the uniform model and the other is the preferential attachment model, and both of them depends on a parameter 0<p<1. We first briefly discuss the network sizes, each of which can be corresponding to a supercritical branching process. And then we mainly study the degree distributions of both models. The asymptotic degree distribution of the first one with any parameter 0<p<1 is a geometric distribution with parameter 1/2, whereas that of the second one, which depends on p, can be uniquely determined by a functional equation of its probability generating function.

In reliability theory, Cox's proportional hazard model is quite popular and widely used. In many situations, it is observed that failure rates under consideration are not proportional, rather they cross each other. In such situations, an alternative to Cox's proportional hazard model may be monotone hazard ratio model (provided the ratio exists). A notion of relative aging based on increasing hazard ratio was introduced by Kalashnikov and Rachev [19]. Sengupta and Deshpande [40] further explored this model and posited two other notions of relative aging based on increasing reversed failure rate ratio and increasing mean residual life ratio. In this study, for two life distributions, we derive sufficient conditions under which a life distribution ages faster than the other with respect to notions of relative aging described above. These sufficient conditions are easy to verify and can be used in practical applications where one is interested in studying relative aging of two life distributions. Applications of these results to relative aging of weighted distributions have also been illustrated. We also introduce a new relative aging ordering in terms of mean inactivity time order and study its fundamental properties.

We consider open networks of queues with Processor-Sharing discipline and signals. The signals deletes all the customers present in the queues and vanish instantaneously. The customers may be usual customers or inert customers. Inert customers do not receive service but the servers still try to share the service capacity between all the customers (inert or usual). Thus a part of the service capacity is wasted. We prove that such a model has a product-form steady-state distribution when the signal arrival rates are positive.

In this paper, we propose a stochastic method to project the public pension fund in the public pension system (PPS). For this we introduce the stochastic differential equations for the three parts: the premium revenue, the benefit expenditure, and the fund process. From these we show that the solution of the aggregated fund process is the sum of log-normals, which is approximated as one log-normal for the analytic result. Related to the parameter estimations, we implement the moment matching in the first moment. For the second moment, we apply the extreme value method following Parkinson. In order to follow Parkinson, we take the maximum and the minimum range of the fund amount based on the various sensitivity result as well as the baseline one from the deterministic projection result. In this reason, it is naturally to maintain the close interrelation with the deterministic projection result, which is very important since it is still key result in the actuarial valuation of the PPS.

This paper is devoted to the performance analysis and optimization of blood testing procedures. We present a queueing model of two queues in series, representing the two stages of a blood-testing procedure. Service (testing) in stage 1 is performed in batches, whereas it is done individually in stage 2. Since particular elements of blood can only be stored and used within a finite time window, the sojourn time of blood units in the system of two queues in series is an important performance measure, which we study in detail. We also introduce a profit objective function, taking into account blood acquisition and screening costs as well as profits for blood units, which were found uncontaminated and were tested fast enough. We optimize that profit objective function w.r.t. the batch size and the length of the time window.

For the birth–death process on a finite state space with bilateral boundaries, we give a simpler derivation of the hitting time distributions by h-transform and φ-transform. These transforms can then be used to construct a quick derivation of the hitting time distributions of the minimal birth–death process on a denumerable state space with exit/regular boundaries.

In this paper, we present a pricing model for vulnerable options in discrete time. A Generalized Autoregressive Conditional Heteroscedasticity process is used to describe the variance of the underlying asset, which is correlated with the returns of the asset. As for counterparty default risk, we study it in a reduced form model and the proposed model allows for the correlation between the intensity of default and the variance of the underlying asset. In this framework, we derive a closed-form solution for vulnerable options and investigate quantitative impacts of counterparty default risk on option prices.

On an incomplete financial market, the stocks are modeled as pure jump processes subject to defaults. The exponential utility maximization problem is investigated characterizing the value function in term of Backward Stochastic Differential Equations (BSDEs), driven by pure jump processes. In general, in this setting, there is no unique solution. This is the reason why, the value function is proven to be the limit of a sequence of processes. Each of them is the solution of a Lipschitz BSDE and it corresponds to the value function associated with a subset of bounded admissible strategies. Given a representation of the jump processes driving the model, the aim of this note is to give a recursive backward scheme for the value function of the initial problem.

The random neural network (RNN) is a probabilitsic queueing theory-based model for artificial neural networks, and it requires the use of optimization algorithms for training. Commonly used gradient descent learning algorithms may reside in local minima, evolutionary algorithms can be also used to avoid local minima. Other techniques such as artificial bee colony (ABC), particle swarm optimization (PSO), and differential evolution algorithms also perform well in finding the global minimum but they converge slowly. The sequential quadratic programming (SQP) optimization algorithm can find the optimum neural network weights, but can also get stuck in local minima. We propose to overcome the shortcomings of these various approaches by using hybridized ABC/PSO and SQP. The resulting algorithm is shown to compare favorably with other known techniques for training the RNN. The results show that hybrid ABC learning with SQP outperforms other training algorithms in terms of mean-squared error and normalized root-mean-squared error.