Research
I am mainly interested in developing and analyzing stochastic models of queueing systems. I have been working with Prof. Ward Whitt and Prof. Josh Reed on various problems concerning many-server heavy-traffic limits for queueing systems.
I am also interested in financial engineering. I am particularly interested in applying techniques from queueing theory to problems in financial engineering. I have written a paper with Sasha Stoikov and Rama Cont on limit order books.
Applied Probability
-
Distribution-Valued Heavy-Traffic Limits for the G/GI/∞ Queue
With J. E. Reed
Under review at Annals of Applied Probability
arXiv:0902.2236
-
Heavy-Traffic Limits for Waiting Times in Many-Server Queues with Abandonment
With W. Whitt
Annals of Applied Probability, forthcoming
arXiv:0809:4275
-
Martingale Proofs of Many-Server Heavy-Traffic Limits for Markovian Queues
With G. Pang and W. Whitt
Probability Surveys, Vol. 4 (2007), pp. 193-267
arXiv:0712:4211
Service Operations
-
Fluid Models for Overloaded Multi-Class Many-Server Queueing Systems with First-Come, First-Served Routing
With W. Whitt
Management Science, Vol. 54, No. 8 (2008), pp. 1513-1527
Online supplement
Financial Engineering
-
A Stochastic Model for Order Book Dynamics
With R. Cont and S. Stoikov
Operations Research, forthcoming
SSRN link
