In this article we show the asymptotics of distribution and moments of the size Xn of the minimal clade of a randomly chosen individual in a Bolthausen-Sznitman n-coalescent for n → ∞. The Bolthausen-Sznitman n-coalescent is a Markov process taking states in the set of partitions of {1, …, n}, where 1, …, n are referred to as individuals. The minimal clade of an individual is the equivalence class the individual is in at the time of the first coalescence event this individual participates in. We also provide exact formulae for the distribution of Xn. The main tool used is the connection of the Bolthausen-Sznitman n-coalescent with random recursive trees introduced by Goldschmidt and Martin (2005). With it, we show that Xn - 1 is distributed as the size of a uniformly chosen table in a standard Chinese restaurant process with n - 1 customers.

In this paper a method based on a Markov chain Monte Carlo (MCMC) algorithm is proposed to compute the probability of a rare event. The conditional distribution of the underlying process given that the rare event occurs has the probability of the rare event as its normalizing constant. Using the MCMC methodology, a Markov chain is simulated, with the aforementioned conditional distribution as its invariant distribution, and information about the normalizing constant is extracted from its trajectory. The algorithm is described in full generality and applied to the problem of computing the probability that a heavy-tailed random walk exceeds a high threshold. An unbiased estimator of the reciprocal probability is constructed whose normalized variance vanishes asymptotically. The algorithm is extended to random sums and its performance is illustrated numerically and compared to existing importance sampling algorithms.

In the present paper, results given in Natvig (1990) are generalized to a multistate, strongly coherent, nonrepairable system of independent components by considering the reduction in remaining system time above a certain state due to a jump downwards of a component. This reduction also equals the increase in remaining system time above a certain state due to a minimal repair of the component at its time of jump downwards. The expected value of the sum of such reductions/increases for the different possible jumps downwards of the component is the building block of the Natvig measure of the importance of the component in the multistate case. Hence, the whole distributions of these reductions/increases are arrived at, not only the expectations, throwing more light on the consequences for the system of the deterioration of the components.

We derive multivariate moment generating functions for the conditional and stationary distributions of a discrete sample path of n observations of a square-root diffusion (CIR) process, X(t). For any fixed vector of observation times t1,…,tn, we find the conditional joint distribution of (X(t1),…,X(tn)) is a multivariate noncentral chi-squared distribution and the stationary joint distribution is a Krishnamoorthy-Parthasarathy multivariate gamma distribution. Multivariate cumulants of the stationary distribution have a simple and computationally tractable expression. We also obtain the moment generating function for the increment X(t + δ) - X(t), and show that the increment is equivalent in distribution to a scaled difference of two independent draws from a gamma distribution.

Λ-coalescents model the evolution of a coalescing system in which any number of components randomly sampled from the whole may merge into larger blocks. This survey focuses on related combinatorial constructions and the large-sample behaviour of the functionals which characterize in some way the speed of coalescence.

The idea of the system signature is extended here to the case of ordered system lifetimes arising from a test of coherent systems with a signature. An expression is given for the computation of the ordered system signatures in terms of the usual system signature for system lifetimes. Some properties of the ordered system signatures are then established. Closed-form expressions for the ordered system signatures are obtained in some special cases, and some illustrative examples are presented.

We consider an r component system having an arbitrary binary monotone structure function. We suppose that shocks occur according to a point process and that, independent of what has already occurred, each new shock is one of r different types, with respective probabilities p1, …, pr. We further suppose that there are given integers n1, …, nr such that component i fails (and remains failed) when there have been a total of ni type-i shocks. Letting L be the time at which the system fails, we are interested in using simulation to estimate E[L], E[L2], and P(L > t). We show how to efficiently accomplish this when the point process is (i) a Poisson, (ii) a renewal, and (iii) a Hawkes process.

The asymptotic behaviour of many locally branching epidemic models can, at least to first order, be deduced from the limit theory of two branching processes. The first is Whittle's (1955) branching approximation to the early stages of the epidemic, the phase in which approximately exponential growth takes place. The second is the susceptibility approximation; the backward branching process that approximates the history of the contacts that would lead to an individual becoming infected. The simplest coupling arguments for demonstrating the closeness of these branching process approximations do not keep the processes identical for quite long enough. Thus, arguments showing that the differences are unimportant are also needed. In this paper we show that, for some models, couplings can be constructed that are sufficiently accurate for this extra step to be dispensed with.

In this paper we consider some nonstandard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to some classes of heavy-tailed distributions and a constraint is imposed on the Lévy process in terms of its Laplace exponent, we obtain some asymptotic formulae for the tail probability of discounted aggregate claims and ruin probabilities holding uniformly for some finite or infinite time horizons.

The stochastic sequential assignment problem assigns distinct workers to sequentially arriving tasks with stochastic parameters. In this paper the assignments are performed so as to minimize the threshold probability, which is the probability of the long-run reward per task failing to achieve a target value (threshold). As the number of tasks approaches infinity, the problem is studied for independent and identically distributed (i.i.d.) tasks with a known distribution function and also for tasks that are derived from r distinct unobservable distributions (governed by a Markov chain). Stationary optimal policies are presented, which simultaneously minimize the threshold probability and achieve the optimal long-run expected reward per task.

We consider the problem of stochastic comparison of general GARCH-like processes for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and we discuss their interpretations. We focus on the convex order and show that in the case of symmetric innovations it is also propagated to the cumulated sums of the GARCH process. More generally, we discuss multivariate comparison results related to the multivariate convex and supermodular orders. Finally, we discuss ordering with respect to the parameters in the GARCH(1, 1) case.

This paper considers the average optimality for a continuous-time Markov decision process in Borel state and action spaces, and with an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is proved under the conditions that allow the following; the controlled process can be explosive, the transition rates are weakly continuous, and the multifunction defining the admissible action spaces can be neither compact-valued nor upper semicontinuous.

One of the standard methods for approximating a bivariate continuous-time Markov chain {X(t), Y(t): t ≥ 0}, which proves too difficult to solve in its original form, is to replace one of its variables by its mean, This leads to a simplified stochastic process for the remaining variable which can usually be solved, although the technique is not always optimal. In this note we consider two cases where the method is successful for carrier infections and mutating bacteria, and one case where it is somewhat less so for the SIS epidemics.

Environmental stress screening (ESS) of manufactured items is used to reduce the occurrence of future failures that are caused by latent defects by eliminating the items with these defects. Some practical descriptions of the relevant ESS procedures can be found in the literature; however, the appropriate stochastic modeling and the corresponding thorough analysis have not been reported. In this paper we develop a stochastic model for the ESS, analyze the effect of this operation on the population characteristics of the screened items, and also consider the relevant optimization issues.

Computing the value of a high-dimensional integral can often be reduced to the problem of finding the ratio between the measures of two sets. Monte Carlo methods are often used to approximate this ratio, but often one set will be exponentially larger than the other, which leads to an exponentially large variance. A standard method of dealing with this problem is to interpolate between the sets with a sequence of nested sets where neighboring sets have relative measures bounded above by a constant. Choosing such a well-balanced sequence can rarely be done without extensive study of a problem. Here a new approach that automatically obtains such sets is presented. These well-balanced sets allow for faster approximation algorithms for integrals and sums using fewer samples, and better tempering and annealing Markov chains for generating random samples. Applications, such as finding the partition function of the Ising model and normalizing constants for posterior distributions in Bayesian methods, are discussed.

Looking at a large branching population we determine along which path the population that started at 1 at time 0 ended up in B at time N. The result describes the density process, that is, population numbers divided by the initial number K (where K is assumed to be large). The model considered is that of a Galton-Watson process. It is found that in some cases population paths exhibit the strange feature that population numbers go down and then increase. This phenomenon requires further investigation. The technique uses large deviations, and the rate function based on Cramer's theorem is given. It also involves analysis of existence of solutions of a certain algebraic equation.

This paper studies a special type of binomial splitting process. Such a process can be used to model a high dimensional corner parking problem as well as determining the depth of random PATRICIA (practical algorithm to retrieve information coded in alphanumeric) tries, which are a special class of digital tree data structures. The latter also has natural interpretations in terms of distinct values in independent and identically distributed geometric random variables and the occupancy problem in urn models. The corresponding distribution is marked by a logarithmic mean and a bounded variance, which is oscillating, if the binomial parameter p is not equal to ½, and asymptotic to one in the unbiased case. Also, the limiting distribution does not exist as a result of the periodic fluctuations.

In this paper we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. We obtain Laplace transforms and limit theorems, including the law of large numbers, central limit theorems, and large deviations.

In this work we consider the mean-field traveling salesman problem, where the intercity distances are taken to be independent and identically distributed with some distribution F. We consider the simplest approximation algorithm, namely, the nearest-neighbor algorithm, where the rule is to move to the nearest nonvisited city. We show that the limiting behavior of the total length of the nearest-neighbor tour depends on the scaling properties of the density of F at 0 and derive the limits for all possible cases of general F.

Let X, B, and Y be the Dirichlet, Bernoulli, and beta-independent random variables such that X ~ D(a0, …, ad), Pr(B = (0, …, 0, 1, 0, …, 0)) = ai / a with a = ∑i=0dai, and Y ~ β(1, a). Then, as proved by Sethuraman (1994), X ~ X(1 - Y) + BY. This gives the stationary distribution of a simple Markov chain on a tetrahedron. In this paper we introduce a new distribution on the tetrahedron called a quasi-Bernoulli distribution Bk(a0, …, ad) with k an integer such that the above result holds when B follows Bk(a0, …, ad) and when Y ~ β(k, a). We extend it even more generally to the case where X and B are random probabilities such that X is Dirichlet and B is quasi-Bernoulli. Finally, the case where the integer k is replaced by a positive number c is considered when a0 = · · · = ad = 1.