Consider an oscillating integer valued random walk up to the first hitting time of some fixed integer x > 0. Suppose there is a fee to be paid each time the random walk crosses the level x, and that the amount corresponds to the overshoot. We determine the distribution of the sum of these fees in terms of the renewal functions of the ascending and descending ladder heights. The proof is based on the observation that some path transformation of the random walk enables us to translate the problem in terms of the intersection of certain regenerative sets.

A recent study on the GI/G/1 queue derives the Maclaurin series for the moments of the waiting time and the delay to respect to some parameters. By the same approach, we obtain an identity on the moments of the transient delay of the M/G/1 queue. This identity allows us to understand the transient behavior of the process better. We apply the identity with other established results to study convergence rate and stochastic concavity of the transient delay process, and to derive bounds and approximations of the moments. Our approximation and bound both have simple closed forms and are asymptotically exact as either the traffic intensity goes to zero or the process approaches stationarity. Performance of the approximation of several M/G/1 queues is illustrated by numerical experiments. It is interesting to note that our results can also help to gain variance reduction in simulation.

We introduce open stochastic fluid networks that can be regarded as continuous analogues or fluid limits of open networks of infinite-server queues. Random exogenous input may come to any of the queues. At each queue, a c.d.f.-valued stochastic process governs the proportion of the input processed by a given time after arrival. The routeing may be deterministic (a specified sequence of successive queue visits) or proportional, i.e. a stochastic transition matrix may govern the proportion of the output routed from one queue to another. This stochastic fluid network with deterministic c.d.f.s governing processing at the queues arises as the limit of normalized networks of infinite-server queues with batch arrival processes where the batch sizes grow. In this limit, one can think of each particle having an evolution through the network, depending on its time and place of arrival, but otherwise independent of all other particles. A key property associated with this independence is the linearity: the workload associated with a superposition of inputs, each possibly having its own pattern of flow through the network, is simply the sum of the component workloads. As with infinite-server queueing models, the tractability makes the linear stochastic fluid network a natural candidate for approximations.

This paper considers positive recurrent Markov chains where the probability of remaining in the current state is arbitrarily close to 1. Specifically, conditions are given which ensure the non-existence of central limit theorems for ergodic averages of functionals of the chain. The results are motivated by applications for Metropolis–Hastings algorithms which are constructed in terms of a rejection probability (where a rejection involves remaining at the current state). Two examples for commonly used algorithms are given, for the independence sampler and the Metropolis-adjusted Langevin algorithm. The examples are rather specialized, although, in both cases, the problems which arise are typical of problems commonly occurring for the particular algorithm being used.

In this paper, a strong asymptotic estimate for the queue content distribution of a fluid queue fed by a fractional Brownian input with Hurst parameter H ∊ [1/2,1[is studied. By applying general results on suprema of centred Gaussian processes, in particular, we show that for large x. Explicit formulae for constants κ, γ and L are given in terms of H and system parameters.

The mathematical model we consider here is the classical Bienaymé–Galton–Watson branching process modified with immigration in the state zero.

We study properties of the waiting time to explosion of the supercritical modified process, i.e. that time until all beginning cycles which die out have disappeared. We then derive the expected total progeny of a cycle and show how higher moments can be computed. With a view to applications the main goal is to show that any statistical inference from observed cycle lengths or estimates of total progeny on the fertility rate of the process must be treated with care. As an example we discuss population experiments with trout.

We consider a sequence matching problem involving the optimal alignment score for contiguous sequences; rewarding matches and penalizing for deletions and mismatches. Arratia and Waterman conjectured in [1] that the score constant a(μ, δ) is a strictly monotone function (i) in δ for all positive δ and (ii) in μ if 0 ≤ μ ≤ 2δ. Here we prove that (i) is true for all δ and (ii) is true for some μ.

We prove a central limit theorem for the super-Brownian motion with immigration governed by another super-Brownian. The limit theorem leads to Gaussian random fields in dimensions d ≥ 3. For d = 3 the field is spatially uniform; for d ≥ 5 its covariance is given by the potential operator of the underlying Brownian motion; and for d = 4 it involves a mixture of the two kinds of fluctuations.

There is a growing interest in queueing systems with negative arrivals; i.e. where the arrival of a negative customer has the effect of deleting some customer in the queue. Recently, Harrison and Pitel (1996) investigated the queue length distribution of a single server queue of type M/G/1 with negative arrivals. In this paper we extend the analysis to the context of queueing systems with request repeated. We show that the limiting distribution of the system state can still be reduced to a Fredholm integral equation. We solve such an equation numerically by introducing an auxiliary ‘truncated’ system which can easily be evaluated with the help of a regenerative approach.

The bifurcating autoregressive model has been used previously to model cell lineage data. A feature of this model is that each line of descendants from an initial cell follows an AR(1) model, and that the environmental effects on sisters are correlated. However, this model concentrates on modelling the correlations between mother and daughter cells and between sister cells, and does not explain the large correlations between more distant relatives observed by some authors. Here the model is extended, firstly by allowing lines of descent to follow an ARMA(p,q) model rather than an AR(1) model, and secondly by allowing correlations between the environmental effects of relatives more distant than sisters. The models are applied to several data sets consisting of independent cell lineage trees.

We present an entropy conservation principle applicable to either discrete or continuous variables which provides a useful tool for aggregating observations. The associated method of modality grouping transforms a variable Z1 into a new variable Z2 such that the mutual information I(Z2,Y) between Y, a variable of interest, and Z2 is equal to I(Z1,Y).

Recently, Elmes et al. (see [2]) proposed a definition of a quasistationary distribution to accommodate absorbing Markov chains for which absorption occurs with probability less than 1. We will show that the probabilistic interpretation pertaining to cases where absorption is certain (see [13]) does not hold in the present context. We prove that the state probabilities at time t conditional on absorption taking place after t, generally depend on t. Conditions are derived under which there is no initial distribution such that the conditional state probabilities are stationary.

The geometric Brownian motion (Black–Scholes) model for the price of a risky asset stipulates that the log returns are i.i.d. Gaussian. However, typical log returns data shows a leptokurtic distribution (much higher peak and heavier tails than the Gaussian) as well as evidence of strong dependence. In this paper a subordinator model based on fractal activity time is proposed which simply explains these observed features in the data, and whose scaling properties check out well on various data sets.

In an attempt to investigate the adequacy of the normal approximation for the number of nuclei in certain growth/coverage models, we consider a Markov chain which has properties in common with related continuous-time Markov processes (as well as being of interest in its own right). We establish that the rate of convergence to normality for the number of ‘drops’ during times 1,2,…n is of the optimal ‘Berry–Esséen’ form, as n → ∞. We also establish a law of the iterated logarithm and a functional central limit theorem.

The classical martingale characterizations of the Poisson process were obtained for point process or purely discontinuous martingale i.e. under additional assumptions on properties of trajectories. Here our aim is to search for related characterizations without relying on properties of trajectories. Except for a new martingale characterization, results based on conditional moments jointly involving the past and the nearest future are presented.

A population-size-dependent branching process {Zn} is considered where the population's evolution is controlled by a Markovian environment process {ξn}. For this model, let mk,θ and be the mean and the variance respectively of the offspring distribution when the population size is k and a environment θ is given. Let B = {ω : Zn(ω) = 0 for some n} and q = P(B). The asymptotic behaviour of limnZn and is studied in the case where supθ|mk,θ − mθ| → 0 for some real numbers {mθ} such that infθmθ > 1. When the environmental sequence {ξn} is a irreducible positive recurrent Markov chain (particularly, when its state space is finite), certain extinction (q = 1) and non-certain extinction (q < 1) are studied.

Let Ln be the number of losses during a busy period of an M/GI/1/n queueing system. We develop a coupling between Ln and Ln+1 and use the resulting relationship to provide a simple proof that when the mean service time equals the mean interarrival time, ELn = 1 for all n. We also show that Ln is increasing in the convex sense when the mean service time equals the mean interarrival time, and it is increasing in the increasing convex sense when the mean service time is less than the mean interarrival time.

For (μ,σ2) ≠ (0,1), and 0 < z < ∞, we prove that where φ and Φ are, respectively, the p.d.f. and the c.d.f. of a standard normal random variable. This inequality is sharp in the sense that the right-hand side cannot be replaced by a larger quantity which depends only on μ and σ. In other words, for any given (μ,σ) ≠ (0,1), the infimum, over 0 < z < ∞, of the left-hand side of the inequality is equal to the right-hand side. We also point out how this inequality arises in the context of defining individual bioequivalence.

A k-out-of-n system consisting of n components is one that works if and only if at least k of the n components work. Suppose there are n+r (1 ≤ r ≤ n) components available of which r will be used for active redundancy. From the given n+r components, r components are chosen to be used as active redundancies, and another r components receive active redundancies (i.e. these r components are bolstered). Consider a k-out-of-n system consisting of the r bolstered and the other n – r original components. The problem of which r components should be used for active redundancy, and where to allocate them in order to maximize the lifetime of the resulting k-out-of-n system is studied. It is shown that under the usual stochastic ordering ‘≤st’ the first r weakest components should be used for active redundancy and allocated in reverse order to the next r weakest components.