Partial differential equations are powerful tools for used to characterizing various physical systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper we present a Monte Carlo scheme that yields unbiased estimators for expectations of random elliptic partial differential equations. This algorithm combines a multilevel Monte Carlo method (Giles (2008)) and a randomization scheme proposed by Rhee and Glynn (2012), (2013). Furthermore, to obtain an estimator with both finite variance and finite expected computational cost, we employ higher-order approximations.

In this paper we discuss the Mabinogion urn model introduced by Williams (1991). Therein he describes an optimal control problem where the objective is to maximize the expected final number of objects of one kind in the Mabinogion urn model. Our main contribution is formulae for the expected time to absorption and its asymptotic behaviour in the optimally controlled process. We also present results for the noncontrolled Mabinogion urn process and briefly analyze other strategies that become superior if a certain discount factor is included.

We construct a simple example, surely known to Harry Kesten, of an R-transient Markov chain on a countable state space S ∪ {δ}, where δ is absorbing. The transition matrix K on S is irreducible and strictly substochastic. We determine the Yaglom limit, that is, the limiting conditional behavior given nonabsorption. Each starting state x ∈ S results in a different Yaglom limit. Each Yaglom limit is an R-1-invariant quasi-stationary distribution, where R is the convergence parameter of K. Yaglom limits that depend on the starting state are related to a nontrivial R-1-Martin boundary.

In this paper we study a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a natural resource from a reserve with finite capacity and sells it in the market at a spot price that evolves according to a Brownian motion with volatility modulated by a two-state Markov chain. In this setting, the company aims at finding the extraction rule that maximizes its expected discounted cash flow, net of the costs of extraction and maintenance of the reserve. We provide expressions for both the value function and the optimal control. On the one hand, if the running cost for the maintenance of the reserve is a convex function of the reserve level, the optimal extraction rule prescribes a Skorokhod reflection of the (optimally) controlled state process at a certain state and price-dependent threshold. On the other hand, in the presence of a concave running cost function, it is optimal to instantaneously deplete the reserve at the time at which the commodity's price exceeds an endogenously determined critical level. In both cases, the threshold triggering the optimal control is given in terms of the optimal stopping boundary of an auxiliary family of perpetual optimal selling problems with regime switching.

Let X := X n ∪ {(0, 0), (1, 0)}, where X n is a planar Poisson point process of intensity n. We provide a first nontrivial lower bound for the distance between the expected length of the shortest path between (0, 0) and (1, 0) in the Delaunay triangulation associated with X when the intensity of X n goes to ∞. Simulations indicate that the correct value is about 1.04. We also prove that the expected length of the so-called upper path converges to 35 / 3π2, yielding an upper bound for the expected length of the smallest path.

In this paper we establish a new connection between a class of two-player nonzero-sum games of optimal stopping and certain two-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover, a differential link between the players' value functions holds across the two games.

A deterministic application θ:ℝ2→ℝ2 deforms bijectively and regularly the plane and allows the construction of a deformed random field X∘θ:ℝ2→ℝ from a regular, stationary, and isotropic random field X:ℝ2→ℝ. The deformed field X∘θ is, in general, not isotropic (and not even stationary), however, we provide an explicit characterization of the deformations θ that preserve the isotropy. Further assuming that X is Gaussian, we introduce a weak form of isotropy of the field X∘θ, defined by an invariance property of the mean Euler characteristic of some of its excursion sets. We prove that deformed fields satisfying this property are strictly isotropic. In addition, we are able to identify θ, assuming that the mean Euler characteristic of excursion sets of X∘θ over some basic domain is known.

In this paper we continue the examination of inventory control in which the inventory is modeled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration has general drift and diffusion coefficients, and boundary points that are consistent with the notion that demand should tend to reduce the inventory level. The conditions on the cost functions are greatly relaxed from those in Helmes et al. (2017). Characterization of the cost of a general (s, S) policy as a function of two variables naturally leads to a nonlinear optimization problem over the ordering levels s and S. Existence of an optimizing pair (s*, S*) is established for these models under very weak conditions; nonexistence of an optimizing pair is also discussed. Using average expected occupation and ordering measures and weak convergence arguments, weak conditions are given for the optimality of the (s*, S*) ordering policy in the general class of admissible policies. The analysis involves an auxiliary function that is globally C2 and which, together with the infimal cost, solves a particular system of linear equations and inequalities related to but different from the long-term average Hamilton‒Jacobi‒Bellman equation. This approach provides an analytical solution to the problem rather than a solution involving intricate analysis of the stochastic processes. The range of applicability of these results is illustrated on a drifted Brownian motion inventory model, both unconstrained and reflected, and on a geometric Brownian motion inventory model under two different cost structures.

Motivated by a common mathematical finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of Brownian motion in the framework of planar Brownian motion. We prove a conjecture of Vakeroudis and Yor (2012) concerning infinite divisibility properties of this random variable and present a novel simple proof of the result of DeBlassie (1987), (1988) concerning the asymptotic behavior of the distribution of the Bessel clock appearing in the skew-product representation of planar Brownian motion, as t→∞. We use the results of the windings approach in order to obtain results for quantities associated to the pricing of Asian options.

Let X and Y be two independent and nonnegative random variables with corresponding distributions F and G. Denote by H the distribution of the product XY, called the product convolution of F and G. Cline and Samorodnitsky (1994) proposed sufficient conditions for H to be subexponential, given the subexponentiality of F. Relying on a related result of Tang (2008) on the long-tail of the product convolution, we obtain a necessary and sufficient condition for the subexponentiality of H, given that of F. We also study the reverse problem and obtain sufficient conditions for the subexponentiality of F, given that of H. Finally, we apply the obtained results to the asymptotic study of the ruin probability in a discrete-time insurance risk model with stochastic returns.

We study the tail asymptotic of subexponential probability densities on the real line. Namely, we show that the n-fold convolution of a subexponential probability density on the real line is asymptotically equivalent to this density multiplied by n. We prove Kesten's bound, which gives a uniform in n estimate of the n-fold convolution by the tail of the density. We also introduce a class of regular subexponential functions and use it to find an analogue of Kesten's bound for functions on ℝd. The results are applied to the study of the fundamental solution to a nonlocal heat equation.

We study a variant of Gilbert's disc model, in which discs are positioned at the points of a Poisson process in ℝ2 with radii determined by an underlying stationary and ergodic random field φ:ℝ2→[0,∞), independent of the Poisson process. This setting, in which the random field is independent of the point process, is often referred to as geostatistical marking. We examine how typical properties of interest in stochastic geometry and percolation theory, such as coverage probabilities and the existence of long-range connections, differ between Gilbert's model with radii given by some random field and Gilbert's model with radii assigned independently, but with the same marginal distribution. Among our main observations we find that complete coverage of ℝ2 does not necessarily happen simultaneously, and that the spatial dependence induced by the random field may both increase as well as decrease the critical threshold for percolation.

In the paper we study the Zakai and Kushner–Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system. Moreover, we prove that under some general assumption, the Zakai equation has pathwise uniqueness and uniqueness in joint law, and the Kushner–Stratonovich equation is unique in joint law.

In this paper we are concerned with a model in econophysics, the subfield of statistical physics that applies concepts from traditional physics to economics. Our model is an example of an interacting particle system with disorder, meaning that some of the transition rates are not identical but rather drawn from a fixed distribution. Economical agents are represented by the vertices of a connected graph and are characterized by the number of coins they possess. Agents independently spend one coin at rate one for their basic need, earn one coin at a rate chosen independently from a distribution ϕ, and exchange money at rate µ with one of their nearest neighbors, with the richest neighbor giving one coin to the other neighbor. If an agent needs to spend one coin when his/her fortune is at 0, he/she dies, i.e. the corresponding vertex is removed from the graph. Our first results focus on the two extreme cases of lack of cooperation µ=0 and perfect cooperation µ = ∞ for finite connected graphs. These results suggest that, when overall the agents earn more than they spend, cooperation is beneficial for the survival of the population, whereas when overall the agents earn less than they spend, cooperation becomes detrimental. We also study the infinite one-dimensional system. In this case, when the agents earn less than they spend on average, the density of agents that die eventually is bounded from below by a positive constant that does not depend on the initial number of coins per agent or the level of cooperation.

In this paper we analyze the first-order behavior (that is, the right-sided derivative) of the volume of the dilation A⊕tQ as t converges to 0. Here A and Q are subsets of n-dimensional Euclidean space, A has finite perimeter, and Q is finite. If Q consists of two points only, n and n+u, say, this derivative coincides up to a sign with the directional derivative of the covariogram of A in direction u. By known results for the covariogram, this derivative can therefore be expressed by the cosine transform of the surface area measure of A. We extend this result to finite sets Q and use it to determine the derivative of the contact distribution function with finite structuring element of a stationary random set at 0. The proofs are based on an approximation of the indicator function of A by smooth functions of bounded variation.

We formulate and prove a shape theorem for a continuous-time continuous-space stochastic growth model under certain general conditions. Similar to the classical lattice growth models, the proof makes use of the subadditive ergodic theorem. A precise expression for the speed of propagation is given in the case of a truncated free-branching birth rate.

In this paper we give a new flavour to what Peter Jagers and his co-authors call `the path to extinction'. In a neutral population of constant size N, assume that each individual at time 0 carries a distinct type, or allele. Consider the joint dynamics of these N alleles, for example the dynamics of their respective frequencies and more plainly the nonincreasing process counting the number of alleles remaining by time t. Call this process the extinction process. We show that in the Moran model, the extinction process is distributed as the process counting (in backward time) the number of common ancestors to the whole population, also known as the block counting process of the N-Kingman coalescent. Stimulated by this result, we investigate whether it extends (i) to an identity between the frequencies of blocks in the Kingman coalescent and the frequencies of alleles in the extinction process, both evaluated at jump times, and (ii) to the general case of Λ-Fleming‒Viot processes.