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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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The goal of this talk is to shed light on a connection between the probabilistic analysis of TCP protocols (used on the
Internet) and the exponential functional of a Levy (compound Poisson) process, which has received some attention in the mathematical finance literature. In that area, such functionals are known as perpetuities. We will first review the TCP application, and then derive several new distributional properties of perpetuities.
This talk is based on ongoing work with Krishanu Maulik (ISI, Calcutta) and the following papers:
Maulik, Krishanu; Zwart, Bert Tail asymptotics for exponential functionals of Levy processes. Stochastic Process. Appl. 116 (2006), no. 2, 156--177 Guillemin, Fabrice; Robert, Philippe; Zwart, Bert AIMD algorithms and exponential functionals. Ann. Appl. Probab. 14 (2004), no. 1, 90--117.
