Carnegie Mellon Univeristy

Trading of financial instruments has largely moved away from floor trading and onto electronic exchanges. Orders to buy and sell are queued at these exchanges in a limit-order book. While a full analysis of the dynamics of a limit-order book requires an understanding of strategic play among multiple agents, and is thus extremely complex, so-called zero-intelligence Poisson models have been shown to capture many of the statistical features of limit-order book evolution. These models can be addressed by traditional queueing theory techniques, including Laplace transform analysis. In this work, we demonstrate in a simple setting that another queueing theory technique, approximating the Poisson model by a diffusion model identified as the limit of a sequence of scaled Poisson models, can also be implemented. We identify the diffusion limit, find an embedded semi-Markov model in the limit, and determine the statistics of the embedded semi-Markov model. Along the way, we introduce and study a new type of process, a generalization of skew Brownian motion that we call two-speed Brownian motion.

The contact line problem in interfacial fluid mechanics concerns the triple-junction between a fluid, a solid, and a vapor phase. Although the equilibrium configurations of contact lines have been well-understood since the work of Young, Laplace, and Gauss, the understanding of contact line dynamics remains incomplete and is a source of work in experimentation, modeling, and mathematical analysis. In this talk we consider a 2D model of contact point (the 2D analog of a contact line) dynamics for an incompressible, viscous, Stokes fluid evolving in an open-top vessel in a gravitational field. The model allows for fully dynamic contact angles and points. We show that small perturbations of the equilibrium configuration give rise to global-in-time solutions that decay to equilibrium exponentially fast.  This is joint with with Yan Guo.