Fractional Brownian Heavy Traffic Approximations of Multiclass Feedforward Queueing Networks

We consider multiclass feedforward queueing networks under first in first out and priority service disciplines driven by long-range dependent arrival and service time processes. We show that in critical loading the normalized workload, queue length and sojourn time processes can converge to a multi-dimensional reflected fractional Brownian motion. This weak heavy traffic approximation is deduced from a deterministic pathwise approximation of the network behavior close to constant critical load in terms of the solution of a Skorokhod problem. Since we model the doubly infinite time interval, our results directly cover the stationary case.AMS subject classification: primary 90B15, secondary 60K25, 68M20     

Continuous dependence on modelling for a complex Ginzburg–Landau equation with complex coefficients

Continuous dependence on a modelling parameter is established for solutions of a problem for a complex Ginzburg–Landau equation. A homogenizing boundary condition is also used to discuss the continuous dependence results. We derive a priori estimates that indicate that solutions depend continuously on a parameter in the governing differential equation. Copyright © 2004 John Wiley & Sons, Ltd.     

Continuous dependence on the geometry and on the initial time for a class of parabolic problems I

In this paper, we investigate the continuous dependence on the geometry and the initial time for solutions u( x , t) of a class of nonlinear parabolic initial‐boundary value problems. Copyright © 2007 John Wiley & Sons, Ltd.     

Effect of core-shell micelle formation on the redox properties of phenothiazine-labeled poly(ethyl glycidy ether)-block-poly(ethylene oxide)

Redox properties of phenothiazine-labeled poly(ethyl glycidy ether)-block-poly(ethylene oxide) (PT-EGE_n-b-EO_m) are reversibly changed by core-shell micelle formation. In the temperature range higher than the critical micellization temperature (cmt), the anodic potential of PT group positively shifts and concomitantly its anodic current decrease, or levels off compared to those of the reference polymer PT-EO_m without the thermo-responsive EGE_n segment. The former alteration is caused by incorporation of hydrophobic PT groups into a core of the micelle and the latter by the decrease in the diffusion coefficient of PT groups due to formation of the core-shell micelles. The cmt value and the temperature-dependent alteration in the redox properties strongly depend on the polymer structure, especially the length of thermo-responsive EGE_n segment. The electrochemically determined hydrodynamic radii of the polymer aggregates seem to be overestimated, compared to the values reported for the aggregates of other thermo-responsive polymers with similar molecular weights, implying the presence of electrochemically inactive PT groups in the copolymers having longer thermo-responsive segments.     

On existence and stability in the theory of swelling porous elastic soils

The aim of this paper is to introduce a new functional in thestudy of swelling porous elastic soils saturated by a fluid.This new functional is a useful tool; it allows us to provethe existence of solutions in the case of a compressible fluid.We also prove the stability of solutions and the exponentialdecay in the case of an incompressible fluid. We study as wellthe continuous dependence with respect to the initial time.     

Weak-mixing implies sensitive dependence

Let X be a metric space, B the σ-algebra of Borel subsets of X, and μ a probability measure on (X,B). In this note, for a measure-preserving map T (respectively a measure-preserving semi-flow φ) on (X,B,μ), we prove that if suppμ=X, and T (respectively φ) is weak-mixing, then T (respectively φ) has sensitive dependence.     

Wavelength dependence in photochemical vapor deposition of aluminum film using dimethylaluminum hydride

In photochemical vapor deposition of aluminum film on silicon using dimethylaluminum hydride, (CH₃)₂AlH, a surface reaction dominated below a (CH₃)₂AlH pressure of 0.3 m Torr at 200°C, which was induced only with the 160 nm band emitted from a deuterium lamp. A gas-phase reaction occurred above 0.3 mTorr at 200°C, which could be induced by both 160 nm and 240 nm emission bands from the lamp. To distinguish between surface ad gas-phase reactions, a thickness profile was used. At 240°C the surface reaction could be induced even by the 240 nm band, while the deposits formed under illumination of the two bands were thinner than those obtained with only the 240 nm band, indicating occurrence of vacuum ultraviolet (VUV)-enhanced desorption. The mechanism responsible for the observed wavelength dependence in unclear. The electrical resistivity of the films deposited at 200°C was 4.5 μΩ cm, which did not change with wavelength.     

On the departure process of a leaky bucket system with long-range dependent input traffic

Due to the strong experimental evidence that the traffic to be offered to future broadband networks will display long-range dependence, it is important to study the possible implications that such traffic may have for the design and performance of these networks. In particular, an important question is whether the offered traffic preserves its long-range dependent nature after passing through a policing mechanism at the interface of the network. One of the proposed solutions for flow control in the context of the emerging ATM standard is the so-called leaky bucket scheme. In this paper we consider a leaky bucket system with long-range dependent input traffic. We adopt the following popular model for long-range dependent traffic: Time is discrete. At each unit time a random number of sessions is initiated, having the distribution of a Poisson random variable with mean λ. Each of these sessions has a random duration τ, where the integer random variable τ has finite mean, infinite variance, and a regularly varying tail, i.e., P(τ >К) ~ К^-Lα L(К), where 1 < α < 2 L(·) is a slowly varying function. Once a session is initiated, it generates one cell at each unit of time until its termination. We examine the departure process of the leaky bucket policing mechanism driven by such an arrival process, and show that it too is long-range dependent for any token buffer size and any - finite or infinite - cell buffer size. Moreover, upper and lower bounds for the covariance sequence of the output process are established. The above results demonstrate that long-range dependence cannot be removed by the kinds of flow control schemes that are currently being envisioned for broadband networks. This revised version was published online in June 2006 with corrections to the Cover Date.     

基于Copula的金融资产相关结构建模

分析了几种相关结构函数(Copula)表示的相关结构模型,给出了用相关结构函数对金融资产间的相关结构进行建模的方法.结果表明混合Gumbel(M-Gumbel)相关结构函数能较全面地描述上海深圳两证券指数的相关结构,模拟计算VaR的结果支持了实证分析的结论.     

Semiparametric estimation of the long-range parameter

We study two estimators of the long-range parameter of a covariance stationary linear process. We show that one of the estimators achieve the optimal semiparametric rate of convergence, whereas the other has a rate of convergence as close as desired to the optimal rate. Moreover, we show that the estimators are asymptotically normal with a variance, which does not depend on any unknown parameter, smaller than others suggested in the literature. Finally, a small Monte Carlo study is included to illustrate the finite sample relative performance of our estimators compared to other suggested semiparametric estimators. More specifically, the Monte-Carlo experiment shows the superiority of the proposed estimators in terms of the Mean Squared Error. The first author research was funded by the Economic and Social Research Council (ESRC) reference number: R000238212. The second author research was funded by the Ministry of Education, Culture, Sports and Technology of Japan, reference number: 09CE2002 and B(2)10202202.