Let {(Xn, Sn), n ≥ 0} be a Markov random walk in which Xn takes values in a general state space and Sn takes values on the real line R. In this paper we present some results that are useful in the study of asymptotic approximations of boundary crossing problems for Markov random walks. The main results are asymptotic expansions on moments of the first ladder height in Markov random walks with small positive drift. In order to establish the asymptotic expansions we study a uniform Markov renewal theorem, which relates to the rate of convergence for the distribution of overshoot, and present an analysis of the covariance between the first passage time and the overshoot.

We model in a dynamic way an insider's private information flow which is successively augmented by a family of initial enlargement of filtrations. According to the a priori available information, we propose several density hypotheses which are presented in hierarchical order from the weakest to the strongest. We compare these hypotheses, in particular, with Jacod's one, and deduce conditional expectations under each of them by providing consistent expressions with respect to the common reference filtration. Finally, this framework is applied to a default model with insider information on the default threshold and some numerical illustrations are performed.

We study propagation of avalanches in a certain excitable network. The model is a particular case of the one introduced by Larremore et al. (Phys. Rev. E, 2012) and is mathematically equivalent to an endemic variation of the Reed–Frost epidemic model introduced by Longini (Math. Biosci., 1980). Two types of heuristic approximation are frequently used for models of this type in applications: a branching process for avalanches of a small size at the beginning of the process and a deterministic dynamical system once the avalanche spreads to a significant fraction of a large network. In this paper we prove several results concerning the exact relation between the avalanche model and these limits, including rates of convergence and rigorous bounds for common characteristics of the model.

We consider a special version of random sequential adsorption (RSA) with nearest-neighbor interaction on infinite tree graphs. In classical RSA, starting with a graph with initially inactive nodes, each of the nodes of the graph is inspected in a random order and is irreversibly activated if none of its nearest neighbors are active yet. We generalize this nearest-neighbor blocking effect to a degree-dependent threshold-based blocking effect. That is, each node of the graph is assumed to have its own degree-dependent threshold and if, upon inspection of a node, the number of active direct neighbors is less than that node's threshold, the node will become irreversibly active. We analyze the activation probability of nodes on an infinite tree graph, given the degree distribution of the tree and the degree-dependent thresholds. We also show how to calculate the correlation between the activity of nodes as a function of their distance. Finally, we propose an algorithm which can be used to solve the inverse problem of determining how to set the degree-dependent thresholds in infinite tree graphs in order to reach some desired activation probabilities.

This paper studies the scaling of the expected total queue size in an $n\times n$ input-queued switch, as a function of both the load $\rho$ and the system scale n. We provide a new class of scheduling policies under which the expected total queue size scales as $O\big( n(1-\rho)^{-4/3} \log \big(\!\max\big\{\frac{1}{1-\rho}, n\big\}\big)\big)$, over all n and $\rho<1$, when the arrival rates are uniform. This improves on the best previously known scalings in two regimes: $O\big(n^{1.5}(1-\rho)^{-1} \log \frac{1}{1-\rho}\big)$ when $\Omega\big(n^{-1.5}\big) \le 1-\rho \le O\big(n^{-1}\big)$ and $O\big(\frac{n\log n}{(1-\rho)^2}\big)$ when $1-\rho \geq \Omega(n^{-1})$. A key ingredient in our method is a tight characterization of the largest k-factor of a random bipartite multigraph, which may be of independent interest.

This paper discusses a general class of replicator–mutator equations on a multidimensional fitness space. We establish a novel probabilistic representation of weak solutions of the equation by using the theory of Fokker–Planck–Kolmogorov (FPK) equations and a martingale extraction approach. We provide examples with closed-form probabilistic solutions for different fitness functions considered in the existing literature. We also construct a particle system and prove a general convergence result to the unique solution of the FPK equation associated with the extended replicator–mutator equation with respect to a Wasserstein-like metric adapted to our probabilistic framework.

In this paper, we study the optimal multiple stopping problem under the filtration-consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions, rather than a process that is right-continuous with left limits. We first construct the optimal stopping time for the single stopping problem, which is no longer given by the first hitting time of processes. We then prove by induction that the value function of the multiple stopping problem can be interpreted as the one for the single stopping problem associated with a new reward family, which allows us to construct the optimal multiple stopping times. If the reward family satisfies some strong regularity conditions, we show that the reward family and the value functions can be aggregated by some progressive processes. Hence, the optimal stopping times can be represented as hitting times.

We consider the so-called frog model with random initial configurations. The dynamics of this model are described as follows. Some particles are randomly assigned to any site of the multidimensional cubic lattice. Initially, only particles at the origin are active and these independently perform simple random walks. The other particles are sleeping and do not move at first. When sleeping particles are hit by an active particle, they become active and start moving in a similar fashion. The aim of this paper is to derive large deviation and concentration bounds for the first passage time at which an active particle reaches a target site.

Let $X_t^\sharp$ be a multivariate process of the form $X_t =Y_t - Z_t$ , $X_0=x$ , killed at some terminal time T, where $Y_t$ is a Markov process having only jumps of length smaller than $\delta$ , and $Z_t$ is a compound Poisson process with jumps of length bigger than $\delta$ , for some fixed $\delta>0$ . Under the assumptions that the summands in $Z_t$ are subexponential, we investigate the asymptotic behaviour of the potential function $u(x)= \mathbb{E}^x \int_0^\infty \ell\big(X_s^\sharp\big)ds$ . The case of heavy-tailed entries in $Z_t$ corresponds to the case of ‘big claims’ in insurance models and is of practical interest. The main approach is based on the fact that u(x) satisfies a certain renewal equation.

Two kinds of multidimensional IFR distribution are defined by using a partial order in Rn+, which is derived from a non-negative, strictly increasing function in Rn+. Some closure properties under operations and an application to a shock model are discussed.

In this paper we investigate the relationship between the sampling formula and Laplace transform associated with the two-parameter Poisson-Dirichlet distribution. We conclude that they are equivalent to determining the corresponding infinite-dimensional distribution. With these tools, a central limit theorem is established associated with the infinitely-many-neutral-alleles model at any fixed time. We also obtain the probability generating function of random sampling from a generalized two-parameter diffusion process. At the end of the paper a selection case is considered.

Mixed-level orthogonal arrays are basic structures in experimental design. We develop three algorithms that compute Rao- and Gilbert-Varshamov-type bounds for mixed-level orthogonal arrays. The computational complexity of the terms involved in the original combinatorial representations of these bounds can grow fast as the parameters of the arrays increase and this justifies the construction of these algorithms. The first is a recursive algorithm that computes the bounds exactly, the second is based on an asymptotic analysis, and the third is a simulation algorithm. They are all based on the representation of the combinatorial expressions that appear in the bounds as expectations involving a symmetric random walk. The Markov property of the underlying random walk gives the recursive formula to compute the expectations. A large deviation (LD) analysis of the expectations provides the asymptotic algorithm. The asymptotically optimal importance sampling (IS) of the same expectation provides the simulation algorithm. Both the LD analysis and the construction of the IS algorithm use a representation of these problems as a sequence of stochastic optimal control problems converging to a limit calculus of a variations problem. The construction of the IS algorithm uses a recently discovered method of using subsolutions to the Hamilton-Jacobi-Bellman equations associated with the limit problem.

We study the perpetual American option characteristics in the case where the underlying dynamics involve a Brownian motion and a point process with a stochastic intensity. No assumption on the distribution of the jump size is made and we work with an arbitrary positive or negative jump. After proving the existence of an optimal stopping time for the problem and characterizing it as the hitting time of an optimal boundary, we provide closed-form formulae for the option value, as well as for the Laplace transform of the optimal stopping time. These results are then applied to the analysis of a real option problem when considering the impact of a fundamental and brutal change in the investment project environment. The consequences of this impact, that can seriously modify, positively or negatively, the project's future cash flows and therefore the investment decision, are illustrated by numerical examples.

The random surface measure of a stationary Boolean model with grains from the convex ring is considered. A sufficient condition and a necessary condition for the existence of the density of the second-order moment measure of are given and a representation of this density is derived. As applications, the surface pair correlation functions of a Boolean model with spheres and a Boolean model with randomly oriented right circular cylinders in ℝ3 are determined.

Using one-dimensional branching Brownian motion in a periodic environment, we give probabilistic proofs of the asymptotics and uniqueness of pulsating traveling waves of the Fisher–Kolmogorov–Petrovskii–Piskounov (F-KPP) equation in a periodic environment. This paper is a sequel to ‘Branching Brownian motion in a periodic environment and existence of pulsating travelling waves’ (Ren et al., 2022), in which we proved the existence of the pulsating traveling waves in the supercritical and critical cases, using the limits of the additive and derivative martingales of branching Brownian motion in a periodic environment.

The asymptotic behavior is studied for an interacting particle system that involves independent motion and random sampling. For a fixed sampling rate, the empirical process of the particle system converges to the Fleming-Viot process when the number of particles approaches ∞. If the sampling rate approaches 0 as the number of particles becomes large, the corresponding empirical process will converge to the deterministic flow of the motion. In the main results of this paper, we study the corresponding central limit theorems and large deviations. Both the Gaussian limits and the large deviations depend on the sampling scales explicitly.

We analyze the long-term stability of a stochastic model designed to illustrate the adaptation of a population to variation in its environment. A piecewise deterministic process modeling adaptation is coupled to a Feller logistic diffusion modeling population size. As the individual features in the population become further away from the optimal ones, the growth rate declines, making population extinction more likely. Assuming that the environment changes deterministically and steadily in a constant direction, we obtain the existence and uniqueness of the quasi-stationary distribution, the associated survival capacity, and the Q-process. Our approach also provides several exponential convergence results (in total variation for the measures). From this synthetic information, we can characterize the efficiency of internal adaptation (i.e. population turnover from mutant invasions). When the latter is lacking, there is still stability, but because of the high level of population extinction. Therefore, any characterization of internal adaptation should be based on specific features of this quasi-ergodic regime rather than the mere existence of the regime itself.

We consider a piecewise-multilinear interpolation of a continuous random field on a d-dimensional cube. The approximation performance is measured using the integrated mean square error. Piecewise-multilinear interpolator is defined by N-field observations on a locations grid (or design). We investigate the class of locally stationary random fields whose local behavior is like a fractional Brownian field, in the mean square sense, and find the asymptotic approximation accuracy for a sequence of designs for large N. Moreover, for certain classes of continuous and continuously differentiable fields, we provide the upper bound for the approximation accuracy in the uniform mean square norm.

Using the geometry of the Kendall shape space, in this paper we study the shape, as well as the size-and-shape, of the projection of a configuration after it has been rotated and, when the given configuration lies in a Euclidean space of an arbitrary dimension, we obtain expressions for the induced distributions of such shapes when the rotation is uniformly distributed.