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Sergey Foss

Publications and source records attributed to Sergey Foss.

At least 37 records · Page 2Linked to original sources
arXiv2020

Non-standard limits for a family of autoregressive stochastic sequences

We consider a family of multivariate autoregressive stochastic sequences that restart when hit a neighbourhood of the origin, and study their distributional limits when the autoregressive coefficient tends to one, the noise scaling parameter tends to zero, and the neighbourhood size varies. We obtain a non-standard limit theorem where the limiting distribution is a mixture of an atomic distribution and an absolutely continuous distribution whose marginals, in turn, are mixtures of distributions of signed absolute values of normal random variables. In particular, we provide conditions for the limiting distribution to be normal, like in the case without restart mechanism. The main theorem is accompanied by a number of examples and auxiliary results of their own interest.

math.PR↗
arXiv2020

Branching processes with immigration in atypical random environment

Motivated by a seminal paper of Kesten et al. (1975) we consider a branching process with a geometric offspring distribution with i.i.d. random environmental parameters $A_n$, $n\ge 1$ and size -1 immigration in each generation. In contrast to above mentioned paper we assume that the environment is long-tailed, that is that the distribution $F$ of $ξ_n := \log ((1-A_n)/A_n)$ is long-tailed. We prove that although the offspring distribution is light-tailed, the environment itself can produce extremely heavy tails of the distribution of the population size in the n-th generation which becomes even heavier with increase of n. More precisely, we prove that, for any n, the distribution tail $\mathbb{P}(Z_n > m)$ of the $n$-th population size $Z_n$ is asymptotically equivalent to $n\overline{F}(\log m)$ as $m$ grows. In this way we generalize Bhattacharya and Palmowski (2019) who proved this result in the case $n=1$ for regularly varying environment $F$ with parameter $α>1$. Further, for a subcritical branching process with subexponentially distributed $ξ_n$, we provide the asymptotics for the distribution tail $\mathbb{P}(Z_n>m)$ which are valid uniformly for all $n$, and also for the stationary tail distribution. Then we establish the "principle of a single atypical environment" which says that the main cause for the number of particles to be large is a presence of a single very small environmental parameter $A_k$.

math.PR↗
arXiv2020

Local stability in a transient Markov chain

We prove two propositions with conditions that a system, which is described by a transient Markov chain, will display local stability. Examples of such systems include partly overloaded Jackson networks, partly overloaded polling systems, and overloaded multi-server queues with skill based service, under first come first served policy.

math.PR↗
arXiv2019

Many greedy cleaners in a Poisson environment

We introduce a new ``greedy cleaning'' model where a star-like state space (containing N half-lines connected by the origin) is covered by a homogeneous Poisson process of ``dust particles'', and N^α cleaners/workers proceed with cleaning in a ``greedy'' manner: each worker chooses the closest particle next. Assuming α\in (0,1), we analyse the asymptotic behaviour of the workers, as N\to\infty. We show that eventually all of them escape to infinity and that the way how do they do it depends on the value of α.

math.PR↗
arXiv2019

Interference Queueing Networks on Grids

Consider a countably infinite collection of interacting queues, with a queue located at each point of the $d$-dimensional integer grid, having independent Poisson arrivals, but dependent service rates. The service discipline is of the processor sharing type,with the service rate in each queue slowed down, when the neighboring queues have a larger workload. The interactions are translation invariant in space and is neither of the Jackson Networks type, nor of the mean-field type. Coupling and percolation techniques are first used to show that this dynamics has well defined trajectories. Coupling from the past techniques are then proposed to build its minimal stationary regime. The rate conservation principle of Palm calculus is then used to identify the stability condition of this system, where the notion of stability is appropriately defined for an infinite dimensional process. We show that the identified condition is also necessary in certain special cases and conjecture it to be true in all cases. Remarkably, the rate conservation principle also provides a closed form expression for the mean queue size. When the stability condition holds, this minimal solution is the unique translation invariant stationary regime. In addition, there exists a range of small initial conditions for which the dynamics is attracted to the minimal regime. Nevertheless, there exists another range of larger though finite initial conditions for which the dynamics diverges, even though stability criterion holds.

math.PR↗
arXiv2018

Tails in a fixed-point problem for a branching process with state-independent immigration

We consider a fixed-point equation for a non-negative integer-valued random variable, that appears in branching processes with state-independent immigration. A similar equation appears in the analysis of a single-server queue with a homogeneous Poisson input, feedback and permanent customer(s). It is known that the solution to this equation uniquely exists under mild first and logarithmic moments conditions. We find further the tail asymptotics of the distribution of the solution when the immigration size and branch size distributions are heavy-tailed. We assume that the distributions of interest are dominantly varying and have a long tail. This class includes, in particular, (intermediate, extended) regularly varying distributions. We consider also a number of generalisations of the model.

math.PR↗
arXiv2018

Limiting properties of random graph models with vertex and edge weights

This paper provides an overview of results, concerning longest or heaviest paths, in the area of random directed graphs on the integers along with some extensions. We study first-order asymptotics of heaviest paths allowing weights both on edges and vertices and assuming that weights on edges are signed. We aim at an exposition that summarizes, simplifies, and extends proof ideas. We also study sparse graph asymptotics, showing convergence of the weighted random graphs to a certain weighted graph that can be constructed in terms of Poisson processes. We are motivated by numerous applications, ranging from ecology to parallel computing model. It is the latter set of applications that necessitates the introduction of vertex weights. Finally, we discuss some open problems and research directions.

math.PR↗
arXiv2018

Customer sojourn time in GI/G/1 feedback queue in the presence of heavy tails

We consider a single-server GI/GI/1 queueing system with feedback. We assume the service times distribution to be (intermediate) regularly varying. We find the tail asymptotics for a customer's sojourn time in two regimes: the customer arrives in an empty system, and the customer arrives in the system in the stationary regime. In particular, in the case of Poisson input we use the branching processes structure and provide more precise formulae. As auxiliary results, we find the tail asymptotics for the busy period distribution in a single-server queue with an intermediate varying service times distribution and establish the principle-of-a-single-big-jump equivalences that characterise the asymptotics.

math.PR↗
arXiv2017

Stochastic Stability of Monotone Economies in Regenerative Environments

We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results {to three canonical models in recursive economics}, generalizing some known stability results to the cases when driving sequences are not independent and identically distributed.

math.PR↗
arXiv2017

Spatial random multiple access with multiple departure

We introduce a new model of spatial random multiple access systems with a non-standard departure policy: all arriving messages are distributed uniformly on a finite sphere in the space, and when a successful transmission of a single message occurs, the transmitted message leaves the system together with all its neighbours within a ball of a given radius centred at the message's location. We consider three classes of protocols: centralised protocols and decentralised protocols with either ternary or binary feedback; and analyse their stability. Further, we discuss some asymptotic properties of stable protocols.

cs.NI↗
arXiv2017

Two-dimensional ruin probability for subexponential claim size

We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend to infinity and generic claim size is subexponential.

math.PR↗
arXiv2017

Large-scale Join-Idle-Queue system with general service times

A parallel server system with $n$ identical servers is considered. The service time distribution has a finite mean $1/μ$, but otherwise is arbitrary. Arriving customers are be routed to one of the servers immediately upon arrival. Join-Idle-Queue routing algorithm is studied, under which an arriving customer is sent to an idle server, if such is available, and to a randomly uniformly chosen server, otherwise. We consider the asymptotic regime where $n\to\infty$ and the customer input flow rate is $λn$. Under the condition $λ/μ<1/2$, we prove that, as $n\to\infty$, the sequence of (appropriately scaled) stationary distributions concentrates at the natural equilibrium point, with the fraction of occupied servers being constant equal $λ/μ$. In particular, this implies that the steady-state probability of an arriving customer waiting for service vanishes.

math.PR↗
arXiv2016

Power law condition for stability of Poisson hail

We consider the Poisson hail model introduced by Baccelli and Foss. We give a power law condition for the tails (spatial and temporal) of the distribution of jobs to ensure stability as the rate parameter $λ$ tends to zero. We then show that in a weak sense it is optimal.

math.PR↗
arXiv2016

Shape Theorems for Poisson Hail on a Bivariate Ground

We consider the extension of the Euclidean stochastic geometry Poisson Hail model to the case where the service speed is zero in some subset of the Euclidean space and infinity in the complement. We use and develop tools pertaining to sub-additive ergodic theory in order to establish shape theorems for the growth of the ice-heap under light tail assumptions on the hailstone characteristics. The asymptotic shape depends on the statistics of the hailstones, the intensity of the underlying Poisson point process and on the geometrical properties of the zero speed set.

math.PR↗
arXiv2016

Stability of a Random Multiple Access Channel with "Success-Failure" Feedback

We consider a model of a decentralized multiple access system with a non-standard binary feedback where the empty and collision situations cannot be distinguished. We show that, like in the case of a ternary feedback, for any input rate λ< 1/e, there exists a "doubly randomized" adaptive transmission protocol which stabilizes the behavior of the system. We discuss also a number of related problems and formulate some hypotheses.

math.PR↗
arXiv2016

Stability and instability of a random multiple access model with adaptive energy harvesting

We introduce a model for the classical synchronised multiple access system with a single transmission channel and a randomised transmission protocol (ALOHA). We assume in addition that there is an energy harvesting mechanism, and any message transmission requires a unit of energy. Units of energy arrive randomly and independently of anything else. We analyse stability and instability conditions for this model.

math.PR↗
arXiv2015

Convolution and convolution-root properties of long-tailed distributions

We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max" operations on heavy-tailed random variables. We analyse the closedness property under convolution roots for these distributions. Namely, we introduce two classes of heavy-tailed distributions that are not long-tailed and study their properties. These examples help to provide further insights and, in particular, to show that the properties to be both long-tailed and so-called "generalised subexponential" are not preserved under the convolution roots. This leads to a negative answer to a conjecture of Embrechts and Goldie [10, 12] for the class of long-tailed and generalised subexponential distributions. In particular, our examples show that the following is possible: an infinitely divisible distribution belongs to both classes, while its Levy measure is neither long-tailed nor generalised subexponential.

math.PR↗