We study long time asymptotic properties of constrained diffusions that arise in the heavy traffic analysis of multiclass queueing networks. We first consider the classical diffusion model with constant coefficients, namely a semimartingale reflecting Brownian motion (SRBM) in a d-dimensional...

We analyze a sequence of single-server queueing systems with impatient customers in heavy traffic. Our state process is the offered waiting time, and the customer arrival process has a state dependent intensity. Service times and customer patient-times are independent; i.i.d. with general...

We first consider a multi-dimensional reflected fractional Brownian motion process on the positive orthant with the Hurst parameter H∈(0,1). In particular, when H1/2, this model serves to approximate fluid stochastic network models fed by a big number of heavy tailed ON/OFF sources in heavy...

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally unknown. We propose an importance sampling approach with an...

Samsung Card Lending Model (SCLM) analyzes cash flow in individual accounts and measures the level of company-wide risk. Serving as a risk and portfolio management model in the consumer lending business, the main features of SCLM are as follows. Default ratios such as intrinsic balance default...

We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which risk aversion can be modified without altering...

Blue light has outstanding transmission characteristics in the sea, and is known to cause the most sensitive visual response in common squid Todarodes pacificus. Application of a light emitting diode (LED) that can efficiently emit monochromatic light is expected to bring enormous energy...

Microalgae have garnered interest for the production of valuable molecules ranging from therapeutic proteins to biofuels. However, microalgae also are associated with the considerable problem of phytoplankton bloom. In this study, we demonstrated algal growth using Isochrysis galbana as a model...