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国家自然科学基金(10971249)

作品数:2 被引量:5H指数:1
相关作者:戴万阳吕学斌更多>>
相关机构:南京工业大学南京大学更多>>
发文基金:国家自然科学基金教育部人文社会科学研究基金更多>>
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分数Levy过程的随机积分及其驱动的随机微分方程被引量:4
2013年
基于文献[1]对平方可积纯跳的Levy过程的白噪声分析,把由平方可积纯跳的Levy过程定义的分数Levy过程看作是Levy过程轨道的泛函,将其S-变换意义下的形式导数定义为分数Levy噪声,从而,定义了分数Levy过程的Skorohod积分.进一步地,提出了一类由分数Levy噪声驱动的Volterra方程并研究了其解的存在唯一性,同时提出了一类由分数Levy噪声驱动的随机微分方程并在线性增长条件及Lipschtz条件下证明其解的存在唯一性.
吕学斌戴万阳
关键词:白噪声分析随机微分方程
Heavy Traffic Limit Theorems for a Queue with Poisson ON/OFF Long-range Dependent Sources and General Service Time Distribution被引量:1
2012年
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.
Wan-yang DAI
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