An optimal repair/replacement problem for a single-unit repairable system with minimal repair and random repair cost is considered. The existence of the optimal policy is established using results of the optimal stopping theory, and it is shown that the optimal policy is a ‘repair-cost-limit’ policy, that is, there is a series of repair-cost-limit functions gn(t), n = 1, 2,…, such that a unit of age t is replaced at the nth failure if and only if the repair cost C(n, t) ≥ gn(t); otherwise it is minimally repaired. If the repair cost does not depend on n, then there is a single repair cost limit function g(t), which is uniquely determined by a first-order differential equation with a boundary condition.

We introduce a certain population contact structure and derive, in three different ways, the final size equation for a quite general superimposed epidemic process. The contact structure is characterized by the following two properties: (i) each individual contacts exactly k other individuals; (ii) these k acquaintances are a random sample of the (infinite) population.

We consider storage models where the input rate and the demand are modulated by a Markov jump process. One particular example from teletraffic theory is a fluid model of a multiplexer loaded by exponential on-off sources. Although the storage level process has been widely studied, little attention has been paid to the output rate process. We will show that, under certain assumptions, there exists another Markov jump process that modulates the output rate. The modulating process is explicitly constructed. It turns out to be a modification of a GI/G/1 queueing process

An interacting particle system modelling competing growth on the ℤ2 lattice is defined as follows. Each x ∈ ℤ2 is in one of the states {0,1,2}. 1's and 2's remain in their states for ever, while a 0 flips to a 1 (a 2) at a rate equal to the number of its neighbours which are in state 1 (2). This is a generalization of the well-known Richardson model. 1's and 2's may be thought of as two types of infection, and 0's as uninfected sites. We prove that if we start with a single site in state 1 and a single site in state 2, then there is positive probability for the event that both types of infection reach infinitely many sites. This result implies that the spanning tree of time-minimizing paths from the origin in first passage percolation with exponential passage times has at least two topological ends with positive probability.

For fixed i let X(i) = (X1(i), …, Xd(i)) be a d-dimensional random vector with some known joint distribution. Here i should be considered a time variable. Let X(i), i = 1, …, n be a sequence of n independent vectors, where n is the total horizon. In many examples Xj(i) can be thought of as the return to partner j, when there are d ≥ 2 partners, and one stops with the ith observation. If the jth partner alone could decide on a (random) stopping rule t, his goal would be to maximize EXj(t) over all possible stopping rules t ≤ n. In the present ‘multivariate’ setup the d partners must however cooperate and stop at the same stopping time t, so as to maximize some agreed function h(∙) of the individual expected returns. The goal is thus to find a stopping rule t* for which h(EX1 (t), …, EXd(t)) = h (EX(t)) is maximized. For continuous and monotone h we describe the class of optimal stopping rules t*. With some additional symmetry assumptions we show that the optimal rule is one which (also) maximizes EZt where Zi = ∑dj=1Xj(i), and hence has a particularly simple structure. Examples are included, and the results are extended both to the infinite horizon case and to the case when X(1), …, X(n) are dependent. Asymptotic comparisons between the present problem of finding suph(EX(t)) and the ‘classical’ problem of finding supEh(X(t)) are given. Comparisons between the optimal return to the statistician and to a ‘prophet’ are also included. In the present context a ‘prophet’ is someone who can base his (random) choice g on the full sequence X(1), …, X(n), with corresponding return suph(EX(g)).

If (Fn)n∈ℕ is a sequence of independent and identically distributed random mappings from a second countable locally compact state space 𝕏 to 𝕏 which itself is independent of the 𝕏-valued initial variable X0, the discrete-time stochastic process (Xn)n≥0, defined by the recursion equation Xn = Fn(Xn−1) for n∈ℕ, has the Markov property. Since 𝕏 is Polish in particular, a complete metric d exists. The random mappings (Fn)n∈ℕ are assumed to satisfy ℙ-a.s. Conditions on the distribution of l(Fn) are given for the existence of an invariant distribution of X0 making the process (Xn)n≥0 stationary and ergodic. Our main result corrects a central limit theorem by Łoskot and Rudnicki (1995) and removes an error in its proof. Instead of trying to compare the sequence φ (Xn)n≥0 for some φ : 𝕏 → ℝ with a triangular scheme of independent random variables our proof is based on an approximation by a martingale difference scheme.

Let X = (X1, …, Xn) be a random binary vector, with a known joint distribution P. It is necessary to inspect the coordinates sequentially in order to determine if Xi = 0 for every i, i = 1, …, n. We find bounds for the ratio of the expected number of coordinates inspected using optimal and greedy searching policies.

This paper finds the first and second moments of the number of arrivals in a stable M/M/k queue during an idle period, i.e. in a period when at least one server is idle. These and similar results are used along with renewal theory asymptotics to find the first and second moments of the proportion of arrivals occurring while there are at least ξ customers waiting for service. The asymptotics of the second moment for large ξ are established.

We study one-dimensional continuous loss networks with length distribution G and cable capacity C. We prove that the unique stationary distribution ηL of the network for which the restriction on the number of calls to be less than C is imposed only in the segment [−L,L] is the same as the distribution of a stationary M/G/∞ queue conditioned to be less than C in the time interval [−L,L]. For distributions G which are of phase type (= absorbing times of finite state Markov processes) we show that the limit as L → ∞ of ηL exists and is unique. The limiting distribution turns out to be invariant for the infinite loss network. This was conjectured by Kelly (1991).

We show that the horizontal position of a random walk on a two-dimensional anisotropic lattice converges weakly to a diffusion process.

The traffic equations are the basis for the exact analysis of product form queueing networks, and the approximate analysis of non-product form queueing networks. Conditions characterising the structure of the network that guarantees the existence of a solution for the traffic equations are therefore of great importance. This note shows that the new condition stating that each transition is covered by a minimal closed support T-invariant, is necessary and sufficient for the existence of a solution for the traffic equations for batch routing queueing networks and stochastic Petri nets.

We consider an allocation of n balls into N cells according to probabilities pi. Assuming that the balls are allocated successively, denote by φ(n,N) the number of such balls which go into an already occupied cell. If n = 2 the probability that two balls will occupy the same cell is equal to the so-called match probability MP = p21 + … + p2N. An upper estimate for the probability ℙ(φ(n,N) ≤ m) which depends only on n and MP is derived. Such inequalities are important for estimation of the reliability of DNA fingerprinting, a new method of crime investigation which is currently much debated.

An infinite dam with input formed by a compound Poisson process is considered. As an output policy, we adopt the PλM-policy. The stationary distribution and expectation of the level of water in the reservoir are obtained.

Very little is known about the quantitative behaviour of dynamical systems with random excitation, unless the system is linear. Known techniques imply the resolution of parabolic partial differential equations (Fokker–Planck–Kolmogorov equation), which are degenerate and of high dimension and for which there is no effective known method of resolution. Therefore, users (physicists, mechanical engineers) concerned with such systems have had to design global linearization techniques, known as equivalent statistical linearization (Roberts and Spanos (1990)). So far, there has been no rigorous justification of these techniques, with the notable exception of the paper by Kozin (1987). In this contribution, using large deviation principles, several mathematically founded linearization methods are proposed. These principles use relative entropy, or Kullback information, of two probability measures, and Donsker–Varadhan entropy of a Gaussian measure relatively to a Markov kernel. The method of ‘true linearization’ (Roberts and Spanos (1990)) is justified.

This paper studies the queueing process in a class of D-policy models with Poisson bulk input, general service time, and four different vacation scenarios, among them a multiple vacation, single vacation and idle server. The D-policy specifies a busy period discipline, which requires an idle or vacationing server to resume his service when the workload process crosses some fixed level D. The analysis of the queueing process is based on the theory of fluctuations for three-dimensional marked counting processes presented in the paper. For all models, we derive the stationary distributions for the embedded and continuous time parameter queueing processes in closed analytic forms and illustrate the results by a number of examples and applications.

The Brownian density process is a Gaussian distribution-valued process. It can be defined either as a limit of a functional over a Poisson system of independent Brownian particles or as a solution of a stochastic partial differential equation with respect to Gaussian martingale measure. We show that, with an appropriate change in the initial distribution of the infinite particle system, the limiting density process is non-Gaussian and it solves a stochastic partial differential equation where the initial measure and the driving measure are non-Gaussian, possibly having infinite second moment.

In this paper we introduce a quantile dispersion measure. We use it to characterize different classes of ageing distributions. Based on the quantile dispersion measure, we propose a new partial ordering for comparing the spread or dispersion in two probability distributions. This new partial ordering is weaker than the well known dispersive ordering and it retains most of its interesting properties.

Consider n random intervals I1, …, IN chosen by selecting endpoints independently from the uniform distribution. A packing of I1, …, IN is a disjoint sub-collection of these intervals: its wasted space is the measure of the set of points not covered by the packing. We investigate the random variable WN equal to the smallest wasted space among all packings. Coffman, Poonen and Winkler proved that EWN is of order (log N)2/N. We provide a sharp estimate of log P(WN ≥ t (log N)2 / N) and log P(WN ≤ t (log N)2 / N) for all values of t.

The inverse absorption distribution is shown to be a q-Pascal analogue of the Kemp and Kemp (1991) q-binomial distribution. The probabilities for the direct absorption distribution are obtained via the inverse absorption probabilities and exact expressions for its first two factorial moments are derived using q-series transformations of its probability generating function. Alternative models for the distribution are given.

The ‘minimal’ repair of a system can take several forms. Statistical or black box minimal repair at failure time t is equivalent to replacing the system with another functioning one of the same age, but without knowledge of precisely what went wrong with the system. Its major attribute is its mathematical tractability. In physical minimal repair, at system failure time t, we minimally repair the ‘component’ which brought the system down at time t. The work of Arjas and Norros, Finkelstein, and Natvig is reviewed. The concept of a rate function for minimal repairs of the statistical and physical types are discussed and developed. It is shown that the number of physical minimal repairs is stochastically larger than the number of statistical minimal repairs for k out of n systems with similar components. Some majorization results are given for physical minimal repair for two component parallel systems with exponential components.