Given two correlated Brownian motions (Xt)t≥ 0 and (Yt)t≥ 0 with constant correlation coefficient, we give the upper and lower estimations of the probability ℙ(max0 ≤s≤tXs≥ a, max0 ≤s≤tYs≥ b) for any a,b,t > 0 through explicit formulae. Our strategy is to establish a new reflection principle for two correlated Brownian motions, which can be viewed as an extension of the reflection principle for one-dimensional Brownian motion. Moreover, we also consider the nonexit probability for linear boundaries, i.e. ℙ (Xt ≤ at+c,Yt ≤ bt+d, 0≤ t≤T) for any constants a, b≥0 and c,d, T > 0.

Consider a generic data unit of random size L that needs to be transmitted over a channel of unit capacity. The channel availability dynamic is modeled as an independent and identically distributed sequence {A, Ai}i≥1 that is independent of L. During each period of time that the channel becomes available, say Ai, we attempt to transmit the data unit. If L <Ai, the transmission is considered successful; otherwise, we wait for the next available period Ai+1 and attempt to retransmit the data from the beginning. We investigate the asymptotic properties of the number of retransmissions N and the total transmission time T until the data is successfully transmitted. In the context of studying the completion times in systems with failures where jobs restart from the beginning, it was first recognized by Fiorini, Sheahan and Lipsky (2005) and Sheahan, Lipsky, Fiorini and Asmussen (2006) that this model results in power-law and, in general, heavy-tailed delays. The main objective of this paper is to uncover the detailed structure of this class of heavy-tailed distributions induced by retransmissions. More precisely, we study how the functional relationship ℙ[L>x]-1 ≈ Φ (ℙ[A>x]-1) impacts the distributions of N and T; the approximation ‘≈’ will be appropriately defined in the paper based on the context. Depending on the growth rate of Φ(·), we discover several criticality points that separate classes of different functional behaviors of the distribution of N. For example, we show that if log(Φ(n)) is slowly varying then log(1/ℙ[N>n]) is essentially slowly varying as well. Interestingly, if log(Φ(n)) grows slower than e√(logn) then we have the asymptotic equivalence log(ℙ[N>n]) ≈ - log(Φ(n)). However, if log(Φ(n)) grows faster than e√(logn), this asymptotic equivalence does not hold and admits a different functional form. Similarly, different types of distributional behavior are shown for moderately heavy tails (Weibull distributions) where log(ℙ[N>n]) ≈ -(log Φ(n))1/(β+1), assuming that log Φ(n) ≈ nβ, as well as the nearly exponential ones of the form log(ℙ[N>n]) ≈ -n/(log n)1/γ, γ>0, when Φ(·) grows faster than two exponential scales log log (Φ(n)) ≈ nγ.

We introduce and analyze a random tree model associated to Hoppe's urn. The tree is built successively by adding nodes to the existing tree when starting with the single root node. In each step a node is added to the tree as a child of an existing node, where these parent nodes are chosen randomly with probabilities proportional to their weights. The root node has weight ϑ>0, a given fixed parameter, all other nodes have weight 1. This resembles the stochastic dynamic of Hoppe's urn. For ϑ=1, the resulting tree is the well-studied random recursive tree. We analyze the height, internal path length, and number of leaves of the Hoppe tree with n nodes as well as the depth of the last inserted node asymptotically as n→∞. Mainly expectations, variances, and asymptotic distributions of these parameters are derived.

We show how to write the solution to the generalized drift Skorokhod problem in one-dimension in terms of the supremum of the solution of a tractable unrestricted integral equation (that is, an integral equation with no boundaries). As an application of our result, we equate the transient distribution of a reflected Ornstein–Uhlenbeck (OU) process to the first hitting time distribution of an OU process (that is not reflected). Then, we use this relationship to approximate the transient distribution of the GI/GI/1 + GI queue in conventional heavy traffic and the M/M/N/N queue in a many-server heavy traffic regime.

The problem of detecting an abrupt change in the distribution of an arbitrary, sequentially observed, continuous-path stochastic process is considered and the optimality of the CUSUM test is established with respect to a modified version of Lorden's criterion. We apply this result to the case that a random drift emerges in a fractional Brownian motion and we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H+1/2.

We study the exact asymptotics for the distribution of the first time, τx, a Lévy process Xt crosses a fixed negative level -x. We prove that ℙ{τx >t} ~V(x) ℙ{Xt≥0}/t as t→∞ for a certain function V(x). Using known results for the large deviations of random walks, we obtain asymptotics for ℙ{τx>t} explicitly in both light- and heavy-tailed cases.

We consider a branching population where individuals have independent and identically distributed (i.i.d.) life lengths (not necessarily exponential) and constant birth rates. We let Nt denote the population size at time t. We further assume that all individuals, at their birth times, are equipped with independent exponential clocks with parameter δ. We are interested in the genealogical tree stopped at the first time T when one of these clocks rings. This question has applications in epidemiology, population genetics, ecology, and queueing theory. We show that, conditional on {T<∞}, the joint law of (Nt, T, X(T)), where X(T) is the jumping contour process of the tree truncated at time T, is equal to that of (M, -IM, Y′M) conditional on {M≠0}. Here M+1 is the number of visits of 0, before some single, independent exponential clock e with parameter δ rings, by some specified Lévy process Y without negative jumps reflected below its supremum; IM is the infimum of the path YM, which in turn is defined as Y killed at its last visit of 0 before e; and Y′M is the Vervaat transform of YM. This identity yields an explanation for the geometric distribution of NT (see Kitaev (1993) and Trapman and Bootsma (2009)) and has numerous other applications. In particular, conditional on {NT=n}, and also on {NT=n,T<a}, the ages and residual lifetimes of the n alive individuals at time T are i.i.d. and independent of n. We provide explicit formulae for this distribution and give a more general application to outbreaks of antibiotic-resistant bacteria in the hospital.

An asymptotic model for the extreme behavior of certain Markov chains is the ‘tail chain’. Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics, such as point process limits. We place this model in a more general context, formulated in terms of extreme value theory for transition kernels, and extend it by formalizing the distinction between extreme and nonextreme states. We make the link between the update function and transition kernel forms considered in previous work, and we show that the tail chain model leads to a multivariate regular variation property of the finite-dimensional distributions under assumptions on the marginal tails alone.

For a homogeneous random walk in the quarter plane with nearest-neighbor transitions, starting from some state (i0,j0), we study the event that the walk reaches the vertical axis, before reaching the horizontal axis. We derive a certain integral representation for the probability of this event, and an asymptotic expression for the case when i0 becomes large, a situation in which the event becomes highly unlikely. The integral representation follows from the solution of a boundary value problem and involves a conformal gluing function. The asymptotic expression follows from the asymptotic evaluation of this integral. Our results find applications in a model for nucleosome shifting, the voter model, and the asymmetric exclusion process.

We investigate the ray-length distributions for two different rectangular versions of Gilbert's tessellation (see Gilbert (1967)). In the full rectangular version, lines extend either horizontally (east- and west-growing rays) or vertically (north- and south-growing rays) from seed points which form a Poisson point process, each ray stopping when another ray is met. In the half rectangular version, east- and south-growing rays do not interact with west and north rays. For the half rectangular tessellation, we compute analytically, via recursion, a series expansion for the ray-length distribution, whilst, for the full rectangular version, we develop an accurate simulation technique, based in part on the stopping-set theory for Poisson processes (see Zuyev (1999)), to accomplish the same. We demonstrate the remarkable fact that plots of the two distributions appear to be identical when the intensity of seeds in the half model is twice that in the full model. In this paper we explore this coincidence, mindful of the fact that, for one model, our results are from a simulation (with inherent sampling error). We go on to develop further analytic theory for the half-Gilbert model using stopping-set ideas once again, with some novel features. Using our theory, we obtain exact expressions for the first and second moments of the ray length in the half-Gilbert model. For all practical purposes, these results can be applied to the full-Gilbert model—as much better approximations than those provided by Mackisack and Miles (1996).

In this paper we study limit theorems for the Feller game which is constructed from one-dimensional simple symmetric random walks, and corresponds to the St. Petersburg game. Motivated by a generalization of the St. Petersburg game which was investigated by Gut (2010), we generalize the Feller game by introducing the parameter α. We investigate limit distributions of the generalized Feller game corresponding to the results of Gut. Firstly, we give the weak law of large numbers for α=1. Moreover, for 0<α≤1, we have convergence in distribution to a stable law with index α. Finally, some limit theorems for a polynomial size and a geometric size deviation are given.

We study the two-sided exit problem of a time-homogeneous diffusion process with tax payments of loss-carry-forward type and obtain explicit formulae for the Laplace transforms associated with the two-sided exit problem. The expected present value of tax payments until default, the two-sided exit probabilities, and, hence, the nondefault probability with the default threshold equal to the lower bound are solved as immediate corollaries. A sufficient and necessary condition for the tax identity in ruin theory is discovered.

In this paper we quantify the efficiency of parallelism in systems that are prone to failures and exhibit power law processing delays. We characterize the performance of two prototype schemes of parallelism, redundant and split, in terms of both the power law exponent and exact asymptotics of the delay distribution tail. We also develop the optimal splitting scheme which ensures that split always outperforms redundant.

Cloud-computing shares a common pool of resources across customers at a scale that is orders of magnitude larger than traditional multiuser systems. Constituent physical compute servers are allocated multiple ‘virtual machines' (VMs) to serve simultaneously. Each VM user should ideally be unaffected by others’ demand. Naturally, this environment produces new challenges for the service providers in meeting customer expectations while extracting an efficient utilization from server resources. We study a new cloud service metric that measures prolonged latency or delay suffered by customers. We model the workload process of a cloud server and analyze the process as the customer population grows. The capacity required to ensure that the average workload does not exceed a threshold over long segments is characterized. This can be used by cloud operators to provide service guarantees on avoiding long durations of latency. As part of the analysis, we provide a uniform large deviation principle for collections of random variables that is of independent interest.

Let {Xn(t), t∈[0,∞)}, n∈ℕ, be standard stationary Gaussian processes. The limit distribution of t∈[0,T(n)]|Xn(t)| is established as rn(t), the correlation function of {Xn(t), t∈[0,∞)}, n∈ℕ, which satisfies the local and long-range strong dependence conditions, extending the results obtained in Seleznjev (1991).

We study the asymptotic behaviors of estimators of the parameters in an Ornstein–Uhlenbeck process with linear drift, such as the law of the iterated logarithm (LIL) and Berry–Esseen bounds. As an application of the Berry–Esseen bounds, the precise rates in the LIL for the estimators are obtained.

Consider a general bivariate Lévy-driven risk model. The surplus process Y, starting with Y0=x > 0, evolves according to dYt= Yt- dRt -dPt for t > 0, where P and R are two independent Lévy processes respectively representing a loss process in a world without economic factors and a process describing the return on investments in real terms. Motivated by a conjecture of Paulsen, we study the finite-time and infinite-time ruin probabilities for the case in which the loss process P has a Lévy measure of extended regular variation and the stochastic exponential of R fulfills a moment condition. We obtain a simple and unified asymptotic formula as x→∞, which confirms Paulsen's conjecture.

We consider the question of an optimal transaction between two investors to minimize their risks. We define a dynamic entropic risk measure using backward stochastic differential equations related to a continuous-time single jump process. The inf-convolution of dynamic entropic risk measures is a key transformation in solving the optimization problem.

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate, and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation, and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with remarkable accuracy.

In this paper we extend the existing literature on the asymptotic behavior of the partial sums and the sample covariances of long-memory stochastic volatility models in the case of infinite variance. We also consider models with leverage, for which our results are entirely new in the infinite-variance case. Depending on the interplay between the tail behavior and the intensity of dependence, two types of convergence rates and limiting distributions can arise. In particular, we show that the asymptotic behavior of partial sums is the same for both long memory in stochastic volatility and models with leverage, whereas there is a crucial difference when sample covariances are considered.