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Extremal properties of evolving networks: local dependence and heavy tails
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is...
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Implicitly normalized forecaster with clip** for linear and non-linear heavy-tailed multi-armed bandits
The Implicitly Normalized Forecaster (INF) algorithm is considered to be an optimal solution for adversarial multi-armed bandit (MAB) problems....
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Gaussian limits for scheduled traffic with super-heavy tailed perturbations
A scheduled arrival model is one in which the j th customer is scheduled to arrive at time jh but the customer actually arrives at time
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Large deviations for stochastic fluid networks with Weibullian tails
We consider a stochastic fluid network where the external input processes are compound Poisson with heavy-tailed Weibullian jumps. Our results...
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Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact
We present two easy-to-implement gradient-free/zeroth-order methods to optimize a stochastic non-smooth function accessible only via a black-box....
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Tandem fluid queue with long-range dependent inputs: sticky behaviour and heavy traffic approximation
Empirical studies have shown that traffic in communication networks exhibits long-range dependence. Cumulative network traffic is often thought to be...
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Joint tails impact in stochastic volatility portfolio selection models
This paper examines the impact of the joints tails of the portfolio return and its empirical volatility on the optimal portfolio choices. We assume...
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Fork–join and redundancy systems with heavy-tailed job sizes
We investigate the tail asymptotics of the response time distribution for the cancel-on-start (c.o.s.) and cancel-on-completion (c.o.c.) variants of...
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Heavy traffic analysis for single-server SRPT and LRPT queues via EDF diffusion limits
Extending the results of Kruk (Queueing theory and network applications. QTNA 2019. Lecture notes in computer science, vol 11688. Springer, Cham, pp...
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Taming impulsive high-frequency data using optimal sampling periods
Optimal sampling period selection for high-frequency data is at the core of financial instruments based on algorithmic trading. The unique features...
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Asymmetric dependence of intraday frequency components in the Brazilian stock market
The multivariate dependence plays an important role in financial instrument management. Due to the inherent characteristics in the financial market,...
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Refined tail asymptotic properties for the \(M^X/G/1\) retrial queue
In the literature, retrial queues with batch arrivals and heavy-tailed service times have been studied and the so-called equivalence theorem has been...
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On a New Mixed Pareto–Weibull Distribution: Its Parametric Regression Model with an Insurance Applications
This article introduces a new probability distribution suitable for modeling heavy-tailed and right-skewed data sets. The proposed distribution is...
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Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times
We study the occurrence of large queue lengths in the GI / GI / d queue with heavy-tailed Weibull-type service times. Our analysis hinges on a...
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PGP for portfolio optimization: application to ESG index family
The conventional portfolio design approach assumes Gaussian return distributions, but this is not accurate in practice. Asymmetric and heavy-tailed...
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Asymptotics for credit portfolio losses due to defaults in a multi-sector model
Consider a credit portfolio with the investments in various sectors and exposed to an external stochastic environment. The portfolio loss due to...
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Co** with high decline: firms’ resilience to adversity
This work investigates the factors that precipitate a firm’s sudden high decline, which is defined as a short-term heavy contraction in firm size,...
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VaR as a risk management framework for the spot and futures tanker markets
The fluctuation of the freight rates is an important source of risk for all participants in the tanker ship** markets including ship-owners,...
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On robust estimation of hidden semi-Markov regime-switching models
Regime-switching models provide an efficient framework for capturing the dynamic behavior of data observed over time and are widely used in economic...
