This paper provides a detailed stochastic analysis of leucocyte cell movement based on the dynamics of a rigid body. The cell's behavior is studied in two relevant anisotropic environments displaying adhesion mediated movement (haptotaxis) and stimulus mediated movement (chemotaxis). This behavior is modeled by diffusion processes on three successively longer time scales, termed locomotion, translocation, and migration.

Using a matrix approach we discuss the first-passage time of a Markov process to exceed a given threshold or for the maximal increment of this process to pass a certain critical value. Conditions under which this first-passage time possesses various ageing properties are studied. Some results previously obtained by Li and Shaked (1995) are extended.

A filtering problem for a branching process is studied within the tree framework, and the minimal intensity of the splitting process is given.

We prove large deviation results for the random sum , , where are non-negative integer-valued random variables and are i.i.d. non-negative random variables with common distribution function F, independent of . Special attention is paid to the compound Poisson process and its ramifications. The right tail of the distribution function F is supposed to be of Pareto type (regularly or extended regularly varying). The large deviation results are applied to certain problems in insurance and finance which are related to large claims.

We consider weak lumpability of finite homogeneous Markov chains, which is when a lumped Markov chain with respect to a partition of the initial state space is also a homogeneous Markov chain. We show that weak lumpability is equivalent to the existence of a direct sum of polyhedral cones that is positively invariant by the transition probability matrix of the original chain. It allows us, in a unified way, to derive new results on lumpability of reducible Markov chains and to obtain spectral properties associated with lumpability.

In this paper the L2-convergence of a superadditive bisexual Galton–Watson branching process is studied. Necessary and sufficient conditions for the convergence of the suitably normed process are given. In the final section, a result about one of the most important bisexual models is proved.

This paper deals with a Bienaymé-Galton-Watson process having a random number of ancestors. Its asymptotic properties are studied when both the number of ancestors and the number of generations tend to infinity. This yields consistent and asymptotically normal estimators of the mean and the offspring distribution of the process. By exhibiting a connection with the BGW process with immigration, all results can be transported to the immigration case, under an appropriate sampling scheme. A key feature of independent interest is a new limit theorem for sums of a random number of random variables, which extends the Gnedenko and Fahim (1969) transfer theorem.

This paper is devoted to studying an extended class of time-continuous branching processes, motivated by the study of stochastic control theory and interacting particle systems. The uniqueness, extinction, recurrence and positive recurrence criteria for the processes are presented. The main new point in our proofs is the use of several different comparison methods. The resulting picture shows that the methods are effective and hence should also be meaningful in other situations.

This paper establishes a compound Poisson limit theorem for the sum of a sequence of multi-state Markov chains. Our theorem generalizes an earlier one by Koopman for the two-state Markov chain. Moreover, a similar approach is used to derive a limit theorem for the sum of the k th-order two-state Markov chain.

Consider the following self-organizing rule called POS(i): after a book in the jth position of a shelf is borrowed, it is moved up one position if ji, and is moved to the ith position if j > i. This is a family of move-forward rules, with POS(l) being the move-to-front rule and POS(n − 1) being the transposition rule where n is the number of books to be organized. We derive explicitly the stationary distribution under the POS(i) rule and show that its search cost compares favorably with that of move-to-front rule under any book access probabilities p1, p1, ···, pn.

This paper is concerned with the multidimensional Markov chain {X(n)} = {X(x, n)}, considered by Borovkov [1], [2], [3], with the form X(n + 1) = ?(n) + ?(?(n), n), where the distribution of depends only on x. Sufficient conditions on moments of |?(x)| are established for the Markov chain {X(n)} to have rate of convergence results (i.e. geometric ergodicity or sub-geometric rates for a variety of rate functions).

We develop a technique for establishing statistical tests with precise confidence levels for upper bounds on the critical probability in oriented percolation. We use it to give pc < 0.647 with a 99.999967% confidence. As Monte Carlo simulations suggest that pc ≈ 0.6445, this bound is fairly tight.

Let X1, X2,· ·· be a (linear or circular) sequence of trials with three possible outcomes (say S, S∗ or F) in each trial. In this paper, the waiting time for the first appearance of an S-run of length k or an S∗-run of length r is systematically investigated. Exact formulae and Chen-Stein approximations are derived for the distribution of the waiting times in both linear and circular problems and their asymptotic behaviour is illustrated. Probability generating functions are also obtained when the trials are identical. Finally, practical applications of these results are discussed in some detail.

The sojourn time that a Markov chain spends in a subset E of its state space has a distribution that depends on the hitting distribution on E and the probabilities (resp. rates in the continuous-time case) that govern the transitions within E. In this note we characterise the set of all hitting distributions for which the sojourn time distribution is geometric (resp. exponential).

Let X be a birth and death process on with absorption at zero and suppose that X is suitably recurrent, irreducible and non-explosive. In a recent paper, Roberts and Jacka (1994) showed that as T → ∞ the process conditioned to non-absortion until time T converges weakly to a time-homogeneous Markov limit, X∞, which is itself a birth and death process. However the question of the possibility of explosiveness of X∞ remained open. The major result of this paper establishes that X∞ is always non-explosive.

We give an alternative proof of a point-process version of the FKG–Holley–Preston inequality which provides a sufficient condition for stochastic domination of probability measures, and for positive correlations of increasing functions.

A result for the propagation of chaos is obtained for a class of pure jump particle systems of two species with mean field interaction. This result leads to the corresponding result for particle systems with one species and the argument used is valid for particle systems with more than two species. The model is motivated by the study of the phenomenon of self-organization in biology, chemistry and physics, and the technical difficulty is the unboundedness of the jump rates.

We consider a discrete-time birth-death process on the non-negative integers with −1 as an absorbing state and study the limiting behaviour as n → ∞ of the process conditioned on non-absorption until time n. By proving that a condition recently proposed by Martinez and Vares is vacuously true, we establish that the conditioned process is always weakly convergent when all self-transition probabilities are zero. In the aperiodic case we obtain a necessary and sufficient condition for weak convergence.

Bidimensional processes defined by dx(t) = ρ (x, y)dt and dy(t) = m(x, y)dt + [2v(x, y)]1/2dW(t), where W(t) is a Wiener process, are considered. Let T(x, y) be the first time the process (x(t), y(t)), starting from (x, y), hits the boundary of a given region in . A theorem is proved that gives necessary and sufficient conditions for a given complex function to be considered as the moment generating function of T(x, y) for some bidimensional diffusion process. Examples are given where the theorem is used to construct explicit solutions to first hitting time problems and to compute the infinitesimal moments that correspond to the chosen moment generating function.

We describe two chain-transformations which explain and extend identities for order statistics and quantiles proved by Wendel, Port and, more recently, by Dassios.