Elena Yudovina

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Consider measuring a vector x ∈ R through the inner product with several measurement vectors, a1, a2, . . . , am. It is common in both signal processing and statistics to assume the linear response model yi = 〈ai, x〉+ εi, where εi is a noise term. However, in practice the precise relationship between the signal x and the observations yi may not follow the(More)
Electric vehicles represent a promising technology for reducing emissions and dependence on fossil fuels and have started entering different automotive markets. In order to bolster their adoption by consumers and hence enhance their penetration rate, a charging station infrastructure needs to be deployed. This paper studies decentralized policies that(More)
We formulate a simplified model of a limit order book, in which the arrival process is independent of the current state. We prove a phase transition result: there exist prices κb and κa such that, for any > 0, only finitely many bid (ask) departures occur at prices below κb− (above κa + ), while the interval (κb + , κa − ) infinitely often contains no bids,(More)
We consider large-scale service systems with multiple customer classes and multiple server pools; interarrival and service times are exponentially distributed, and mean service times depend both on the customer class and server pool. It is assumed that the allowed activities (routing choices) form a tree (in the graph with vertices being both customer(More)
Example 1 (European options). The two most important financial derivatives for this course are the European options. A European call option gives the holder an option, but not the obligation to buy one unit of the stock at time T for a price K. Therefore, its payout at time T is (ST − K)+ = max(ST −K, 0). A European put option gives the holder an option,(More)
The coordinates are individually normal, E[Xi] = μi, and Cov(Xi, Xj) = Σij (in particular, Var(Xi) = Σii). When the covariance matrix of a multivariate normal is diagonal, i.e. all off-diagonal entries are zero, the coordinates are independent. Conversely, a set of independent normal variables is jointly normal. Any linear transformation of a multivariate(More)
We consider large-scale service systems with several customer classes and several server pools. Mean service time of a customer depends both on the customer class and the server type. The routing is restricted to a fixed set of “activities,” i.e. (customer-class, server-type) pairs. We assume that the bipartite graph with vertices being(More)