Xuefeng Gao

Validity of heavy-traffic steady-state approximations in many-server queues with abandonment

We consider

Large deviations and applications for Markovian Hawkes processes with a large initial intensity

GI/Ph/n+M

Sensitivity analysis for diffusion processes constrained to an orthant

GI/Ph/n+M parallel-server systems with a renewal arrival process, a phase-type service time distribution,

Optimal Order Exposure in a Limit Order Market

n

Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions

n homogenous servers, and an exponential patience time distribution with positive rate. We show that in the Halfin–Whitt regime, the sequence of stationary distributions corresponding to the normalized state processes is tight. As a consequence, we establish an interchange of heavy-traffic and steady-state limits for