In previous papers, the author considered the model of anomalous diffusion, defined by stable random process on an interval with reflecting edges. Estimates of the rate convergence of this process distribution to a un...In previous papers, the author considered the model of anomalous diffusion, defined by stable random process on an interval with reflecting edges. Estimates of the rate convergence of this process distribution to a uniform distribution are constructed. However, recent physical studies require consideration of models of diffusion, defined not only by stable random process with independent increments but multivariate fractional Brownian motion with dependent increments. This task requires the development of special mathematical techniques evaluation of the rate of convergence of the distribution of multivariate Brownian motion in a segment with reflecting boundaries to the limit. In the present work, this technology is developed and a power estimate of the rate of convergence to the limiting uniform distribution is built.展开更多
In this paper, we define a class of domains in R^n. Using the synchronous coupling of reflecting Brownian motion, we obtain the monotonicity property of the solution of the heat equation with the Neumann boundary cond...In this paper, we define a class of domains in R^n. Using the synchronous coupling of reflecting Brownian motion, we obtain the monotonicity property of the solution of the heat equation with the Neumann boundary conditions. We then show that the hot spots conjecture holds for this class of domains.展开更多
This paper studies a multitype re-entrant line under smaller-buffer-first-served policy, which is an extension of first-buffer-first-served re-entrant line. We prove a heavy traffic limit theorem. The key to the proof...This paper studies a multitype re-entrant line under smaller-buffer-first-served policy, which is an extension of first-buffer-first-served re-entrant line. We prove a heavy traffic limit theorem. The key to the proof is to prove the uniform convergence of the corresponding critical fluid model.展开更多
In Internet environment, traffic flow to a link is typically modeled by superposition of ON/OFF based sources. During each ON-period for a particular source, packets arrive according to a Poisson process and packet si...In Internet environment, traffic flow to a link is typically modeled by superposition of ON/OFF based sources. During each ON-period for a particular source, packets arrive according to a Poisson process and packet sizes （hence service times） can be generally distributed. In this paper, we establish heavy traffic limit theorems to provide suitable approximations for the system under first-in first-out （FIFO） and work-conserving service discipline, which state that, when the lengths of both ON- and OFF-periods are lightly tailed, the sequences of the scaled queue length and workload processes converge weakly to short-range dependent reflecting Gaussian processes, and when the lengths of ON- and/or OFF-periods are heavily tailed with infinite variance, the sequences converge weakly to either reflecting fractional Brownian motions （FBMs） or certain type of long- range dependent reflecting Gaussian processes depending on the choice of scaling as the number of superposed sources tends to infinity. Moreover, the sequences exhibit a state space collapse-like property when the number of sources is large enough, which is a kind of extension of the well-known Little＇s law for M/M/1 queueing system. Theory to justify the approximations is based on appropriate heavy traffic conditions which essentially mean that the service rate closely approaches the arrival rate when the number of input sources tends to infinity.展开更多
A family of tests for the presence of regression effect under proportional and non-proportional hazards models is described. The non-proportional hazards model, although not completely general, is very broad and inclu...A family of tests for the presence of regression effect under proportional and non-proportional hazards models is described. The non-proportional hazards model, although not completely general, is very broad and includes a large number of possibilities. In the absence of restrictions, the regression coefficient, β(t), can be any real function of time. When β(t) = β, we recover the proportional hazards model which can then be taken as a special case of a non-proportional hazards model. We study tests of the null hypothesis;H0:β(t) = 0 for all t against alternatives such as;H1:∫β(t)dF(t) ≠ 0 or H1:β(t) ≠ 0 for some t. In contrast to now classical approaches based on partial likelihood and martingale theory, the development here is based on Brownian motion, Donsker’s theorem and theorems from O’Quigley [1] and Xu and O’Quigley [2]. The usual partial likelihood score test arises as a special case. Large sample theory follows without special arguments, such as the martingale central limit theorem, and is relatively straightforward.展开更多
We study the uniqueness and existence of solutions of reflected G-stochastic differential equations （RGSDEs） with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover, we obtain the c...We study the uniqueness and existence of solutions of reflected G-stochastic differential equations （RGSDEs） with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover, we obtain the comparison theorem for RGSDEs with nonlinear resistance.展开更多
文摘In previous papers, the author considered the model of anomalous diffusion, defined by stable random process on an interval with reflecting edges. Estimates of the rate convergence of this process distribution to a uniform distribution are constructed. However, recent physical studies require consideration of models of diffusion, defined not only by stable random process with independent increments but multivariate fractional Brownian motion with dependent increments. This task requires the development of special mathematical techniques evaluation of the rate of convergence of the distribution of multivariate Brownian motion in a segment with reflecting boundaries to the limit. In the present work, this technology is developed and a power estimate of the rate of convergence to the limiting uniform distribution is built.
文摘In this paper, we define a class of domains in R^n. Using the synchronous coupling of reflecting Brownian motion, we obtain the monotonicity property of the solution of the heat equation with the Neumann boundary conditions. We then show that the hot spots conjecture holds for this class of domains.
基金Supported by the Fundamental Research Funds for the Central Universities （BUPT 2009RC0707） and National Natural Science Foundation of China （Grant No. 10901023）
文摘This paper studies a multitype re-entrant line under smaller-buffer-first-served policy, which is an extension of first-buffer-first-served re-entrant line. We prove a heavy traffic limit theorem. The key to the proof is to prove the uniform convergence of the corresponding critical fluid model.
基金Supported by the National Natural Science Foundation of China (No.10371053,10971249)
文摘In Internet environment, traffic flow to a link is typically modeled by superposition of ON/OFF based sources. During each ON-period for a particular source, packets arrive according to a Poisson process and packet sizes （hence service times） can be generally distributed. In this paper, we establish heavy traffic limit theorems to provide suitable approximations for the system under first-in first-out （FIFO） and work-conserving service discipline, which state that, when the lengths of both ON- and OFF-periods are lightly tailed, the sequences of the scaled queue length and workload processes converge weakly to short-range dependent reflecting Gaussian processes, and when the lengths of ON- and/or OFF-periods are heavily tailed with infinite variance, the sequences converge weakly to either reflecting fractional Brownian motions （FBMs） or certain type of long- range dependent reflecting Gaussian processes depending on the choice of scaling as the number of superposed sources tends to infinity. Moreover, the sequences exhibit a state space collapse-like property when the number of sources is large enough, which is a kind of extension of the well-known Little＇s law for M/M/1 queueing system. Theory to justify the approximations is based on appropriate heavy traffic conditions which essentially mean that the service rate closely approaches the arrival rate when the number of input sources tends to infinity.
文摘A family of tests for the presence of regression effect under proportional and non-proportional hazards models is described. The non-proportional hazards model, although not completely general, is very broad and includes a large number of possibilities. In the absence of restrictions, the regression coefficient, β(t), can be any real function of time. When β(t) = β, we recover the proportional hazards model which can then be taken as a special case of a non-proportional hazards model. We study tests of the null hypothesis;H0:β(t) = 0 for all t against alternatives such as;H1:∫β(t)dF(t) ≠ 0 or H1:β(t) ≠ 0 for some t. In contrast to now classical approaches based on partial likelihood and martingale theory, the development here is based on Brownian motion, Donsker’s theorem and theorems from O’Quigley [1] and Xu and O’Quigley [2]. The usual partial likelihood score test arises as a special case. Large sample theory follows without special arguments, such as the martingale central limit theorem, and is relatively straightforward.
基金The author would like to thank the referees for their careful reading and helpful suggestions. This work was partially supported by the China Scholarship Council （No. 201306220101）, the National Natural Science Foundation of China （Grant No. 11221061）, and the Programme of Introducing Talents of Discipline to Universities of China （No. B12023）.
文摘We study the uniqueness and existence of solutions of reflected G-stochastic differential equations （RGSDEs） with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover, we obtain the comparison theorem for RGSDEs with nonlinear resistance.
