A Sample Path Approach to Stochastic Fluid Flow Models

Event Details
  • Date/Time:
    • Tuesday June 3, 2008 - Wednesday June 4, 2008
      11:00 am - 11:59 am
  • Location: Poole Board Room
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Hayriye Ayhan
Contact Hayriye Ayhan

Summary Sentence: A Sample Path Approach to Stochastic Fluid Flow Models

Full Summary: On June 3rd,V. Ramaswami from AT&T Reseach, will present a lecture on a sample path approach to stochastic fluid flow models.

Speaker: V. Ramaswami, AT&T Research

Presentation Title: A Sample Path Approach to Stochastic Fluid Flow Models

Abstract: Recently, in a series of papers Soohan Ahn and I provided a sample path based approach to the analysis of Markov modulated fluid flow models yielding extremely fast, stable and accurate algorithms for the computation of both steady state and transient results in both the finite and infinite buffer cases. The approach based on ideas that parallel the matrix-geoemetric method in the discrete case can be considered as a stochastic discretization of the fluid model. Current research of mine are focused on generalizing these as an approach to stochastic integration and to apply it to the interesting area mathematical finance.

Additional Information

In Campus Calendar

School of Industrial and Systems Engineering (ISYE)

Invited Audience
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fluid flow models, isye, stochastic
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 12, 2009 - 4:39pm
  • Last Updated: Oct 7, 2016 - 9:47pm