AMC-SS: Measure Valued Processes and Stochastic Systems

AMC-SS：测量有价值的过程和随机系统

• 批准号: 0707111
• 负责人: Hans Gromoll
• 金额: --
• 依托单位: University of Virginia Main Campus
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2007
• 资助国家: 美国
• 起止时间: 2007-08-01 至 2011-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0707111&HistoricalAwards=false
• 关键词: AMC; SS; Measure; Valued; Processes

The PI proposes to study four problems on diffusion scaling limits and their applications to Internet congestion control models, queuing theory, and financial mathematics. Diffusion limits are ideal for capturing the random fluctuations of heavily loaded systems, which makes them a natural tool to study the variabliltiy of congestion in bandwidth sharing networks such as the Internet. Similar considerations suggest that diffusion limits are an appropriate tool for studying the behavior of the Shortest Remaining Processing Time (SRPT) policy being implemented in modern web servers. The variability of the queue length is paramount is such systems, which frequently operate near capacity. The PI will also study a model of continuous double auctions, such as those used in computerized financial markets, and identify conditions under which the model is arbitrage free.

PI建议研究四个问题的扩散缩放限制及其应用到互联网拥塞控制模型，排队论和金融数学。扩散极限是捕捉重负载系统的随机波动的理想工具，这使得它们成为研究带宽共享网络（如Internet）中拥塞变化的自然工具。类似的考虑表明，扩散限制是研究现代Web服务器中实现的最短剩余处理时间（SRPT）策略行为的合适工具。排队长度的可变性是最重要的是这样的系统，它经常在接近容量的情况下运行。 PI还将研究连续双向拍卖模型，例如计算机化金融市场中使用的模型，并确定该模型无套利的条件。