bluuebunny/crossref_metadata_2025 huggingface dataset:
Infinite block-structured transition matrices and their properties
Authors: Zhao Yiqiang Q. , Li Wei , Braun W. John
Published: April 2003

In this paper, we study Markov chains with infinite state block-structured transition matrices, whose states are partitioned into levels according to the block structure, and various associated measures. Roughly speaking, these measures involve first passage times or expected numbers of visits to certain levels without hitting other levels. They are very important and often play a key role in the study of a Markov chain. Necessary and/or sufficient conditions are obtained for a Markov chain to be positive recurrent, recurrent, or transient in terms of these measures. Results are obtained for general irreducible Markov chains as well as those with transition matrices possessing some block structure. We also discuss the decomposition or the factorization of the characteristic equations of these measures. In the scalar case, we locate the zeros of these characteristic functions and therefore use these zeros to characterize a Markov chain. Examples and various remarks are given to illustrate some of the results.
Domain of attraction of quasi-stationary distributions for the brownian motion with drift
Authors: Martinez Servet , Picco Pierre , San Martin Jaime
Published: April 2003

We consider Brownian motion with a negative drift conditioned to stay positive. We give a sufficient condition for an initial measure to be in the domain of attraction of a quasi-stationary distribution. We construct a counter-example that strongly suggests that this condition is optimal.
Trees with random conductivities and the (reciprocal) inverse Gaussian distribution
Authors: Barndorff-Nielsen O. E. , Koudou A. E.
Published: April 2003

Equipping the edges of a finite rooted tree with independent resistances that are inverse Gaussian for interior edges and reciprocal inverse Gaussian for terminal edges makes it possible, for suitable constellations of the parameters, to show that the total resistance is reciprocal inverse Gaussian (Barndorff-Nielsen 1994). This result is extended to infinite trees. Also, a connection to Brownian diffusion is established and, for the case of finite trees, an exact distributional and independence result is derived for the conditional model given the total resistance.
Rate of convergence for computing expectations of stopping functionals of an α-mixing process
Authors: Alaya Mohamed Ben , Pagès Gilles
Published: April 2003

Theshiftmethod consists in computing the expectation of an integrable functionalFdefined on the probability space ((ℝd)N,B(ℝd)⊗N, μ⊗N) (μ is a probability measure on ℝd) using Birkhoff's Pointwise Ergodic Theorem, i.e.

asn→ ∞, where θ denotes the canonical shift operator. WhenFlies inL2(FT, μ⊗N) for some integrable enough stopping timeT, several weak (CLT) or strong (Gàl-Koksma Theorem or LIL) converging rates hold. The method successfully competes with Monte Carlo. The aim of this paper is to extend these results to more general probability distributionsPon ((ℝd)N,B(ℝd)⊗N), namely when the canonical process (Xn)n∊NisP-stationary, α-mixing and fulfils Ibragimov's assumption

for some δ > 0. One application is the computation of the expectation of functionals of an α-mixing Markov Chain, under its stationary distributionPν. It may both provide a better accuracy and save the random number generator compared to the usual Monte Carlo or shift methods on independent innovations.
Solving the Stein Equation in compound poisson approximation
Authors: Barbour A. D. , Utev Sergey
Published: April 2003

The accuracy of compound Poisson approximation can be estimated using Stein's method in terms of quantities similar to those which must be calculated for Poisson approximation. However, the solutions of the relevant Stein equation may, in general, grow exponentially fast with the mean number of ‘clumps’, leading to many applications in which the bounds are of little use. In this paper, we introduce a method for circumventing this difficulty. We establish good bounds for those solutions of the Stein equation which are needed to measure the accuracy of approximation with respect to Kolmogorov distance, but only in a restricted range of the argument. The restriction on the range is then compensated by a truncation argument. Examples are given to show that the method clearly outperforms its competitors, as soon as the mean number of clumps is even moderately large.
Optimal lower bounds for bivariate probabilities
Authors: Chen Tuhao
Published: April 2003

This paper deals with existence of bivariate Fréchet optimal lower bounds for two sets of events, and provides a practical approach to find this kind of bound. The main device used is linear programming ideas, coupled with construction of probability spaces. The highlight of this paper is that perturbation terms in the optimization process, even when a tie occurs, are not necessary in this practical implementation.
A convergence theorem for markov chains arising in population genetics and the coalescent with selfing
Authors: Möhle M.
Published: April 2003

A simple convergence theorem for sequences of Markov chains is presented in order to derive new ‘convergence-to-the-coalescent’ results for diploid neutral population models.

For the so-called diploid Wright-Fisher model with selfing probabilitysand mutation rate θ, it is shown that the ancestral structure ofnsampled genes can be treated in the framework of ann-coalescent with mutation rate ̃θ := θ(1-s/2), if the population sizeNis large and if the time is measured in units of (2-s)Ngenerations.
Coalescent results for two-sex population models
Authors: Möhle M.
Published: April 2003

‘Convergence-to-the-coalescent’ theorems for two-sex neutral population models are presented. For the two-sex Wright-Fisher model the ancestry ofnsampled genes behaves like the usualn-coalescent, if the population sizeNis large and if the time is measured in units of 4Ngenerations. Generalisations to a larger class of two-sex models are discussed.
Asymptotic convergence of genetic algorithms
Authors: Cerf Raphaël
Published: April 2003

We study a markovian evolutionary process which encompasses the classical simple genetic algorithm. This process is obtained by randomly perturbing a very simple selection scheme. Using the Freidlin-Wentzell theory, we carry out a precise study of the asymptotic dynamics of the process as the perturbations disappear. We show how a delicate interaction between the perturbations and the selection pressure may force the convergence toward the global maxima of the fitness function. We put forward the existence of a critical population size, above which this kind of convergence can be achieved. We compute upper bounds of this critical population size for several examples. We derive several conditions to ensure convergence in the homogeneous case and these provide the first mathematically well-founded convergence results for genetic algorithms.
Concavity of queueing systems with NBU service times
Authors: Rajan Rajendran , Agrawal Rajeev
Published: April 2003

This paper establishes structural properties for the throughput of a large class of queueing networks with i.i.d. new-better-than-used service times. The main result obtained in this paper is applied to a wide range of networks, including tandems, cycles and fork-join networks with general blocking and starvation (as well as certain networks with splitting and merging of traffic streams), to deduce the concavity of their throughput as a function of system parameters, such as buffer and initial job configurations, and blocking and starvation parameters. These results have important implications for the optimal design and control of such queueing networks by providing exact solutions, reducing the search space over which optimization need be performed, or establishing the convergence of optimization algorithms. In order to obtain results for such disparate networks in a unified manner, we introduce the framework of constrained discrete event systems (CDES), which enables us to characterize any permutable and non-interruptive queueing network through its constraint set. The main result of this paper establishes comparison properties of the event occurrence processes of CDES as a function of the constraint sets, which are then translated into the above-mentioned concavity of the throughput as a function of system parameters in the context of queueing networks.
Asymptotically achievable performance in ATM networks
Authors: Borst Sem , Mitra Debasis
Published: April 2003

The primary objective in the present paper is to gain fundamental understanding of the performance achievable in ATM networks as a function of the various system characteristics. We derive limit theorems that characterize the achievable performance in terms of the offered traffic, the admissible region, and the revenue measure. The insights obtained allow for substantial simplifications in the design of real-time connection admission control algorithms. In particular, we describe how the boundaries of admissible regions with convex complements may be linearized - thus reducing the admissible region - so as to obtain a convenient loss network representation. The asymptotic results for the achievable performance suggest that the potential reduction in revenue is immaterial in high-capacity networks. Numerical experiments confirm that the actual reduction is typically negligible, even in networks of moderate capacity.
Expected delay analysis of polling systems in heavy traffic
Authors: van der Mei R. D. , Levy H.
Published: April 2003

We study the expected delay in a cyclic polling model with mixtures of exhaustive and gated service in heavy traffic. We obtain closed-form expressions for the mean delay under standard heavy-traffic scalings, providing new insights into the behaviour of polling systems in heavy traffic. The results lead to excellent approximations of the expected waiting times in practical heavy-load scenarios and moreover, lead to new results for optimizing the system performance with respect to the service disciplines.
Contact and chord length distribution of a stationary Voronoi tessellation
Authors: Heinrich Lothar
Published: April 2003

We give formulae for different types of contact distribution functions for stationary (not necessarily Poisson) Voronoi tessellations in ℝdin terms of the Palm void probabilities of the generating point process. Moreover, using the well-known relationship between the linear contact distribution and the chord length distribution we derive a closed form expression for the mean chord length in terms of the two-point Palm distribution and the pair correlation function of the generating point process. The results obtained are specified for Voronoi tessellations generated by Poisson cluster and Gibbsian processes, respectively.
Random nested tetrahedra
Authors: Letac Gérard , Scarsini Marco
Published: April 2003

In a real n-1 dimensional affine space E, consider a tetrahedron T0, i.e. the convex hull of n points α1, α2, …, αn of E. Choose n independent points β1, β2, …, βn randomly and uniformly in T0, thus obtaining a new tetrahedron T1 contained in T0. Repeat the operation with T1 instead of T0, obtaining T2, and so on. The sequence of the Tk shrinks to a point Y of T0 and this note computes the distribution of the barycentric coordinates of Y with respect to (α1, α2, …, αn) (Corollary 2.3). We also obtain the explicit distribution of Y in more general cases. The technique used is to reduce the problem to the study of a random walk on the semigroup of stochastic (n,n) matrices, and this note is a geometrical application of a former result of Chamayou and Letac (1994).
Extremes for the minimal spanning tree on normally distributed points
Authors: Penrose Mathew D.
Published: April 2003

Let n points be placed independently in ν-dimensional space according to the standard ν-dimensional normal distribution. Let Mn be the longest edge-length of the minimal spanning tree on these points; equivalently let Mn be the infimum of those r such that the union of balls of radius r/2 centred at the points is connected. We show that the distribution of (2 log n)1/2Mn - bn converges weakly to the Gumbel (double exponential) distribution, where bn are explicit constants with bn ~ (ν - 1)log log n. We also show the same result holds if Mn is the longest edge-length for the nearest neighbour graph on the points.
Quelques théorèmes centraux limites pour les processus poissoniens de droites dans le plan
Authors: Paroux Katy
Published: April 2003

We prove central limit theorems for certain geometrical characteristics of the convex polygons determined by a standard Poisson line process in the plane, such as: the angles at the vertices of the polygons, the empirical mean of the number of vertices and the empirical mean of the perimeter of the polygons.
Immigration processes associated with branching particle systems
Authors: Li Zeng-Hu
Published: April 2003

The immigration processes associated with a given branching particle system are formulated by skew convolution semigroups. It is shown that every skew convolution semigroup corresponds uniquely to a locally integrable entrance law for the branching particle system. The immigration particle system may be constructed using a Poisson random measure based on a Markovian measure determined by the entrance law. In the special case where the underlying process is a minimal Brownian motion in a bounded domain, a general representation is given for locally integrable entrance laws for the branching particle system. The convergence of immigration particle systems to measure-valued immigration processes is also studied.
The Maclaurin series for performance functions of Markov chains
Authors: Cao Xi-Ren
Published: April 2003

We derive formulas for the first- and higher-order derivatives of the steady state performance measures for changes in transition matrices of irreducible and aperiodic Markov chains. Using these formulas, we obtain a Maclaurin series for the performance measures of such Markov chains. The convergence range of the Maclaurin series can be determined. We show that the derivatives and the coefficients of the Maclaurin series can be easily estimated by analysing a single sample path of the Markov chain. Algorithms for estimating these quantities are provided. Markov chains consisting of transient states and multiple chains are also studied. The results can be easily extended to Markov processes. The derivation of the results is closely related to some fundamental concepts, such as group inverse, potentials, and realization factors in perturbation analysis. Simulation results are provided to illustrate the accuracy of the single sample path based estimation. Possible applications to engineering problems are discussed.
Some limit theorems for positive recurrent branching Markov chains: I
Authors: Athreya Krishna B. , Kang Hye-Jeong
Published: April 2003

In this paper we consider a Galton-Watson process whose particles move according to a Markov chain with discrete state space. The Markov chain is assumed to be positive recurrent. We prove a law of large numbers for the empirical position distribution and also discuss the large deviation aspects of this convergence.
Some limit theorems for positive recurrent branching Markov chains: II
Authors: Athreya Krishna B. , Kang Hye-Jeong
Published: April 2003

In this paper we consider a Galton-Watson process in which particles move according to a positive recurrent Markov chain on a general state space. We prove a law of large numbers for the empirical position distribution and also discuss the rate of this convergence.
A point process model with stochastic intensities for a branching population of two dependent types
Authors: Born Eike
Published: April 2003

We study a point process model with stochastic intensities for a particular branching population of individuals of two types. Type-I individuals immigrate into the population at the times of a Poisson process. During their lives they generate type-II individuals according to a random age dependent birth rate, which themselves may multiply and die. Living type-II descendants increase the death intensity of their type-I ancestor, and conversely, the multiplication and dying intensities of type-II individuals may depend on the life situation of their type-I ancestor. We show that the probability generating function of the marginal distribution of a type-I individual's life process, conditioned on its individual infection and death risk, satisfies an initial value problem of a partial differential equation, and derive its solution. This allows for the determination of additional distributions of observable random variables as well as for describing the complete population process.
A limit theorem for the maxima of the para-critical simple branching process
Authors: Pakes Anthony G.
Published: April 2003

LetMndenote the size of the largest amongst the firstngenerations of a simple branching process. It is shown for near critical processes with a finite offspring variance that the law ofMn/n, conditioned on no extinction at or beforen, has a non-defective weak limit. The proof uses a conditioned functional limit theorem deriving from the Feller-Lindvall (CB) diffusion limit for branching processes descended from increasing numbers of ancestors. Subsidiary results are given about hitting time laws for CB diffusions and Bessel processes.
Parametric estimation and spectral analysis of piecewise linear maps of the interval
Authors: Lopes Artur , Lopes Sílvia
Published: April 2003

We present an estimation procedure and analyse spectral properties of stochastic processes of the kindZt=Xt+ ξt= ϕ(Tt(ψ)) + ξt, fort∊Z, whereTis a deterministic map, ϕ is a given function and ξtis a noise process. The examples considered in this paper generalize the classical harmonic modelZt=Acos(ω0t+ ψ) + ξt, fort∊Z. Two examples are developed at length. In the first one, the spectral measure is discrete and in the second it is continuous. In the second example, the time series is obtained from a chaotic map. These two examples exhibit the extremal cases of different possibilities for the spectral measure of time series and they are both associated with ergodic deterministic transformations with noise. We present a method for obtaining explicitly the spectral density function (second example) and the autocorrelation coefficients (first example). In the first example the rotation number plays an important role. We also consider large deviation properties of the estimated parameters of the model.
Limit theorems for extremes with random sample size
Authors: Silvestrov Dmitrii S. , Teugels Jozef L.
Published: April 2003

This paper is devoted to the investigation of limit theorems for extremes with random sample size under general dependence-independence conditions for samples and random sample size indexes. Limit theorems of weak convergence type are obtained as well as functional limit theorems for extremal processes with random sample size indexes.
A boundary crossing probability for the Bessel process
Authors: Betensky Rebecca A.
Published: April 2003

Analytic approximations are derived for the distribution of the first crossing time of a straight-line boundary by a d-dimensional Bessel process and its discrete time analogue. The main ingredient for the approximations is the conditional probability that the process crossed the boundary before time m, given its location beneath the boundary at time m. The boundary crossing probability is of interest as the significance level and power of a sequential test comparing d+1 treatments using an O'Brien-Fleming (1979) stopping boundary (see Betensky 1996). Also, it is shown by DeLong (1980) to be the limiting distribution of a nonparametric test statistic for multiple regression. The approximations are compared with exact values from the literature and with values from a Monte Carlo simulation.
Asymptotic probabilities in a sequential urn scheme related to the matchbox problem
Authors: Stadje Wolfgang
Published: April 2003

Generalizing the classical Banach matchbox problem, we consider the process of removing two types of ‘items’ from a ‘pile’ with selection probabilities for the type of the next item to be removed depending on the current numbers of remaining items, and thus changing sequentially. Under various conditions on the probability pn1,n2 that the next removal will take away an item of type I, given that n1 and n2 are the current numbers of items of the two types, we derive asymptotic formulas (as the initial pile size tends to infinity) for the probability that the items of type I are completely removed first and for the number of items left. In some special cases we also obtain explicit results.
Convergence of the one-dimensional Kohonen algorithm
Authors: Benaïm Michel , Fort Jean-Claude , Pagès Gilles
Published: April 2003

We show in a very general framework the a.s. convergence of the one-dimensional Kohonen algorithm–after self-organization–to its unique equilibrium when the learning rate decreases to 0 in a suitable way. The main requirement is a log-concavity assumption on the stimuli distribution which includes all the usual (truncated) probability distributions (uniform, exponential, gamma distribution with parameter ≥ 1, etc.). For the constant step algorithm, the weak convergence of the invariant distributions towards equilibrium as the step goes to 0 is established too. The main ingredients of the proof are the Poincaré-Hopf Theorem and a result of Hirsch on the convergence of cooperative dynamical systems.
Overall station balance and decomposability for non-Markovian queueing networks
Authors: Fakinos D. , Economou A.
Published: April 2003

Introducing the concept of overall station balance which extends the notion of station balance to non-Markovian queueing networks, several necessary and sufficient conditions are given for overall station balance to hold. Next the concept of decomposability is introduced and it is related to overall station balance. A particular case corresponding to a Jackson-type queueing network is considered in some more detail.
Variance prediction under systematic sampling with geometric probes
Authors: Arnau Ximo Gual , Cruz-Orive Luis M.
Published: April 2003

In design stereology, and in the context of geometric sampling in general, the problem often arises of estimating the integral of a bounded non-random function over a bounded manifold D ⊂ ℝn by systematic sampling with geometric probes. Variance predictors, often based on Matheron's theory of regionalized variables, are available when the relevant function is sampled at the points of a grid intersecting D, but not when the dimension of the probes is greater than zero. For instance, the volume of a bounded object may be estimated using parallel systematic planes, which amounts to sampling on ℝ1 with systematic points, or using parallel systematic slabs of thickness t > 0, which amounts to sampling on ℝ1 with non-overlapping systematic segments of length t > 0. Useful variance predictors exist for the former case, but not for the latter. In this paper we set out a general scheme to predict estimation variances when the dimension of either D, or of the probes, is n. We make some progress when both dimensions are equal to n, and obtain explicit results for n = 1 (e.g. for systematic slice sampling). We check and illustrate our results for the volume estimators of ellipsoids and of rat lung.
Unbiased stereological estimation of the surface area of gradient surface processes
Authors: Hahn Ute , Stoyan Dietrich
Published: April 2003

An unbiased stereological estimator for surface area density is derived for gradient surface processes which form a particular class of non-stationary spatial surface processes. Vertical planar sections are used for the estimation. The variance of the estimator is studied and found to be infinite for certain types of surface processes. A modification of the estimator is presented which exhibits finite variance.
Inequalities for mixed stationary Poisson hyperplane tessellations
Authors: Mecke J.
Published: April 2003

Mixings of stationary Poisson hyperplane tessellations in d-dimensional Euclidean space are considered. The intention of the paper is to show that the 0-cell of a mixed stationary Poisson hyperplane tessellation Y is in some sense larger than that of stationary Poisson hyperplane tessellations Y' with the same intensity and directional distribution as Y. Related results concerning the moments for the volume of the 0-cell are derived. In special cases, similar statements with respect to the typical cell are proved.
Finite clusters in high density Boolean models with balls of varying sizes
Authors: Sarkar Anish
Published: April 2003

In this paper we study finite clusters in a high density Boolean model with balls of two distinct sizes. Alexander (1993) studied the geometric structures of finite clusters in a high density Boolean model with balls of fixed size and showed that the only possible structure admitted by such events is that all Poisson points comprising the cluster are packed tightly inside a small sphere. When the balls are of varying sizes, the event that the cluster consists of k1 big balls and k2 small balls (both k1, k2 ≥ 1) occurs only when the centres of all big balls are compressed in a small sphere and the centres of the small balls are distributed uniformly inside the region formed by the big balls in such a way that the small balls are totally contained inside the big balls. We also show that it is most likely that a finite cluster in a high density Boolean model with varying ball sizes is made up only of small balls.
Estimation of the parameters of a branching process from migrating binomial observations
Authors: Jacob C. , Peccoud J.
Published: April 2003

This paper considers a branching process generated by an offspring distribution F with mean m < ∞ and variance σ2 < ∞ and such that, at each generation n, there is an observed δ-migration, according to a binomial law Bpvn*Nnbef which depends on the total population size Nnbef. The δ-migration is defined as an emigration, an immigration or a null migration, depending on the value of δ, which is assumed constant throughout the different generations. The process with δ-migration is a generation-dependent Galton-Watson process, whereas the observed process is not in general a martingale. Under the assumption that the process with δ-migration is supercritical, we generalize for the observed migrating process the results relative to the Galton-Watson supercritical case that concern the asymptotic behaviour of the process and the estimation of m and σ2, as n → ∞. Moreover, an asymptotic confidence interval of the initial population size is given.
Stability index for products of random transformations
Authors: Baxendale P. H. , Khasminskii R. Z.
Published: April 2003

The paper considers stability and instability properties of the Markov chain generated by the composition of an i.i.d. sequence of random transformations. The transformations are assumed to be either linear mappings or else mappings which can be well approximated near 0 by linear mappings. The main results concern the risk probabilities that the Markov chain enters or exits certain balls centered at 0. An application is given to the probability of extinction in a model from population dynamics.
Some stationary processes in discrete and continuous time
Authors: Barndorff-Nielsen O. E. , Jensen J. L. , Sørensen M.
Published: April 2003

A number of stationary stochastic processes are presented with properties pertinent to modelling time series from turbulence and finance. Specifically, the one-dimensional marginal distributions have log-linear tails and the autocorrelation may have two or more time scales. Discrete time models with a given marginal distribution are constructed as sums of independent autoregressions. A similar construction is made in continuous time by considering sums of Ornstein-Uhlenbeck-type processes. To prepare for this, a new property of self-decomposable distributions is presented. Also another, rather different, construction of stationary processes with generalized logistic marginal distributions as an infinite sum of Gaussian processes is proposed. In this way processes with continuous sample paths can be constructed. Multivariate versions of the various constructions are also given.
Rough descriptions of ruin for a general class of surplus processes
Authors: Nyrhinen Harri
Published: April 2003

Let {Yn | n = 1, 2,…} be a stochastic process and M a positive real number. Define the time of ruin by T = inf{n | Yn > M} (T = +∞ if Yn ≤ M for n = 1, 2,…). Using the techniques of large deviations theory we obtain rough exponential estimates for ruin probabilities for a general class of processes. Special attention is given to the probability that ruin occurs up to a certain time point. We also generalize the concept of the safety loading and consider its importance to ruin probabilities.
A semi-hybrid model for malaria with limited superinfection
Authors: Picard Philippe
Published: April 2003

Modelling malaria with consistency necessitates the introduction of at least two families of interconnected processes. Even in a Markovian context the simplest fully stochastic model is intractable and is usually transformed into a hybrid model, by supposing that these two families are stochastically independent and linked only through two deterministic connections. A model closer to the fully stochastic model is presented here, where one of the two families is subordinated to the other and just a unique deterministic connection is required. For this model a threshold theorem can be proved but the threshold level is not the one obtained in a hybrid model. The difference disappears only when the human population size approaches infinity.
Failure models indexed by two scales
Authors: Singpurwalla Nozer D. , Wilson Simon P.
Published: April 2003

Much of the literature in reliability and survival analysis considers failure models indexed by a single scale. There are situations which require that failure be described by several scales. An example from reliability is items under warranty whose failure is recorded by time and amount of use. An example from survival analysis is the death of a mine worker which is noted by age and the duration of exposure to dust.

This paper proposes an approach for developing probabilistic models indexed by two scales: time, and usage, a quantity that is related to time. The relationship between the scales is described by an additive hazards model. The evolution of usage is described by stochastic processes like the Poisson, the gamma and the Markov additive. The paper concludes with an application involving the setting of warranties. Two features differentiate this work from related efforts: a use of specific processes for describing usage, and a use of Monte Carlo techniques for generating the models.
Stochastic scheduling on a repairable machine with Erlang uptime distribution
Authors: Li Wei , Braun W. John , Zhao Yiqiang Q.
Published: April 2003

A set of jobs is to be processed on a machine which is subject to breakdown and repair. When the processing of a job is interrupted by a machine breakdown, the processing later resumes at the point at which the breakdown occurred. We assume that the machine uptime is Erlang distributed and that processing and repair times follow general distributions. Simple permutation policies on both machine parameters and the processing distributions are given which minimize the weighted number of tardy jobs, weighted flow times and the weighted sum of the job delays.
Asymptotic and monotonicity properties of some repairable systems
Authors: Last Günter , Szekli Ryszard
Published: April 2003

The paper studies a model of repairable systems which is flexible enough to incorporate the standard imperfect repair and many other models from the literature. Palm stationarity of virtual ages, inter-failure times and degrees of repair is studied. A Loynes-type scheme and Harris recurrent Markov chains combined with coupling methods are used. Results on the weak total variation and moment convergences are obtained and illustrated by examples with IFR, DFR, heavy-tailed and light-tailed lifetime distributions. Some convergences obtained are monotone and/or at a geometric rate.
Geometric product form queueing networks with concurrent batch movements
Authors: Yamashita Hideaki , Miyazawa Masakiyo
Published: April 2003

Queueing networks have been rather restricted in order to have product form distributions for network states. Recently, several new models have appeared and enlarged this class of product form networks. In this paper, we consider another new type of queueing network with concurrent batch movements in terms of such product form results. A joint distribution of the requested batch sizes for departures and the batch sizes of the corresponding arrivals may be arbitrary. Under a certain modification of the network and mild regularity conditions, we give necessary and sufficient conditions for the network state to have the product form distribution, which is shown to provide an upper bound for the one in the original network. It is shown that two special settings satisfy these conditions. Algorithms to calculate their stationary distributions are considered, with numerical examples.
Optimal dynamic scheduling of a general class of parallel-processing queueing systems
Authors: Gans Noah , van Ryzin Garrett
Published: April 2003

In this paper we develop policies for scheduling dynamically arriving jobs to a broad class of parallel-processing queueing systems. We show that in heavy traffic the policies asymptotically minimize a measure of the expected system backlog, which we call system work. Our results yield succinct, closed-form expressions for optimal system work in heavy traffic.
Continuum percolation in the Gabriel graph
Authors: Bertin Etienne , Billiot Jean-Michel , Drouilhet Rémy
Published: April 2003

In the present study, we establish the existence of site percolation in the Gabriel graph for Poisson and hard-core stationary point processes.
The distributions of the smallest disks containing the Poisson-Voronoi typical cell and the Crofton cell in the plane
Authors: Calka Pierre
Published: April 2003

Among the disks centered at a typical particle of the two-dimensional Poisson-Voronoi tessellation, letRmbe the radius of the largest included within the polygonal cell associated with that particle andRMbe the radius of the smallest containing that polygonal cell. In this article, we obtain the joint distribution ofRmandRM. This result is derived from the covering properties of the circle due to Stevens, Siegel and Holst. The same method works for studying the Crofton cell associated with the Poisson line process in the plane. The computation of the conditional probabilities P{RM≥r+s|Rm=r} reveals the circular property of the Poisson-Voronoi typical cells (as well as the Crofton cells) having a ‘large’ in-disk.
Random patterns of nonoverlapping convex grains
Authors: Månsson Marianne , Rudemo Mats
Published: April 2003

Generalizing Matérn's (1960) two hard-core processes, marked point processes are considered as models for systems of varying-sized, nonoverlapping convex grains. A Poisson point process is generated and grains are placed at the points. The grains are supposed to have varying sizes but the same shape as a fixed convex grain, with spheres as an important special case. The pattern is thinned so that no grains overlap.
We consider the thinning probability of a ‘typical point’ under various thinning procedures, the volume fraction of the resulting system of grains, the relation between the intensity of the point processes before and after thinning, and the corresponding size distributions. The study is inspired by problems in material fatigue, where cracks are supposed to be initiated by large defects.
Focusing of the scan statistic and geometric clique number
Authors: Penrose Mathew D.
Published: April 2003

Given sets C and R in d-dimensional space, take a constant intensity Poisson point process on R; the associated scan statistic S is the maximum number of Poisson points in any translate of C. As R becomes large with C fixed, bounded and open but otherwise arbitrary, the distribution of S
becomes concentrated on at most two adjacent integers. A similar result holds when the underlying Poisson process is replaced by a binomial point process, and these results can be extended to a large class of nonuniform distributions. Also, similar results hold for other finite-range scanning schemes such as the clique number of a geometric graph.
Index policies for a class of discounted restless bandits
Authors: Glazebrook K. D. , Niño-Mora J. , Ansell P. S.
Published: April 2003

The paper concerns a class of discounted restless bandit problems which possess an indexability property. Conservation laws yield an expression for the reward suboptimality of a general policy. These results are utilised to study the closeness to optimality of an index policy for a special class of simple and natural dual speed restless bandits for which indexability is guaranteed. The strong performance of the index policy is confirmed by a computational study.
Distribution of the number of words with a prescribed frequency and tests of randomness
Authors: Rukhin Andrew L.
Published: April 2003

The goal of this paper is to investigate properties of statistical procedures based on numbers of different patterns by using generating functions for the probabilities of a prescribed number of occurrences of given patterns in a random text. The asymptotic formulae are derived for the expected value of the number of words occurring a given number of times and for the covariance matrix. The form of the optimal linear test based on these statistics is established. These problems appear in testing for the randomness of a string of binary bits, DNA sequencing, source coding, synchronization, quality control protocols, etc. Indeed, the probabilities of repeated (overlapping) patterns are important in information theory (the second-order properties of relative frequencies) and molecular biology problems (finding patterns with unexpectedly low or high frequencies).
On fixed points of Poisson shot noise transforms
Authors: Iksanov Aleksander M. , Jurek Zbigniew J.
Published: April 2003

Distributional fixed points of a Poisson shot noise transform (for nonnegative and nonincreasing response functions bounded by 1) are characterized. The tail behavior of fixed points is described. Typically they have either exponential moments or their tails are proportional to a power function, with exponent greater than −1. The uniqueness of fixed points is also discussed.
Finally, it is proved that in most cases fixed points are absolutely continuous, apart from the possible atom at zero.
The total time on test transform and the excess wealth stochastic orders of distributions
Authors: Kochar Subhash C. , Li Xiaohu , Shaked Moshe
Published: April 2003

For nonnegative random variables X and Y we write X ≤TTTY if
∫0F-1(p)(1-F(x))dx ≤
∫0G-1(p)(1-G(x))dx all p ∈ (0,1), where F and G denote the distribution functions of X and Y respectively.
The purpose of this article is to study some properties of this new stochastic order. New properties of the excess wealth (or right-spread) order, and of other related stochastic orders, are also obtained. Applications in the statistical theory of reliability and in economics are included.
Excursions height- and length-related stopping times, and application to finance
Authors: Gauthier Laurent
Published: April 2003

In this paper, we study the first instant when Brownian motion either spends consecutively more than a certain time above a certain level, or reaches another level. This stopping time generalizes the ‘Parisian’ stopping times that were introduced by Chesneyet al.(1997). Using excursion theory, we derive the Laplace transform of this stopping time. We apply this result to the valuation of investment projects with a delay constraint, but with an alternative: pay a higher cost and get the project started immediately
Smoothness of first passage time distributions and a new integral equation for the first passage time density of continuous Markov processes
Authors: Lehmann Axel
Published: April 2003

Let X be a one-dimensional strong Markov process with continuous sample paths. Using Volterra-Stieltjes integral equation techniques we investigate
Hölder continuity and differentiability of first passage time distributions of X with respect to continuous lower and upper moving boundaries. Under mild assumptions on the transition function of X
we prove the existence of a continuous first passage time density to one-sided differentiable moving boundaries and derive a new integral equation for this density. We apply our results to Brownian motion and its nonrandom Markovian transforms, in particular to the Ornstein-Uhlenbeck
process.
Multifractal products of stochastic processes: construction and some basic properties
Authors: Mannersalo Petteri , Norros Ilkka , Riedi Rudolf H.
Published: April 2003

In various fields, such as teletraffic and economics, measured time series have been reported to adhere to multifractal scaling. Classical cascading measures possess multifractal scaling, but their increments form a nonstationary process. To overcome this problem, we introduce a construction of random multifractal measures based on iterative multiplication of stationary stochastic processes, a special form of T-martingales. We study the ℒ2-convergence, nondegeneracy, and continuity of the limit process. Establishing a power law for its moments, we obtain a formula for the multifractal spectrum and hint at how to prove the full formalism.
Limit distributions for the number of leaves in a random forest
Authors: Mylläri T.
Published: April 2003

Galton-Watson forests consisting of N roots (or trees) and n nonroot vertices are studied. The limit distributions of the number of leaves in such a forest are obtained. By a leaf we mean a vertex from which there are no arcs emanating.
Inequalities for multinomial allocations with application to DNA fingerprinting
Authors: Grishechkin Sergei
Published: April 2003

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.
Ergodicity and stability of generalised Markov branching processes with resurrection
Authors: Chen Anyue
Published: April 2003

This paper concentrates on investigating ergodicity and stability for generalised Markov branching processes with resurrection. Easy checking criteria including several clear-cut corollaries are established for ordinary and strong ergodicity of such processes. The equilibrium distribution is given in an elegant closed form for the ergodic case. The probabilistic interpretation of the results is clear and thus explained.
Asymptotic failure rate of a Markov deteriorating system with preventive maintenance
Authors: Mercier Sophie , Roussignol Michel
Published: April 2003

We consider a system with a finite state space subject to continuous-time Markovian deterioration while running that leads to failure. Failures are instantaneously detected. This system is submitted to sequential checking and preventive maintenance: up states are divided into ‘good’ and ‘degraded’ ones and the system is sequentially checked through perfect and instantaneous inspections until it is found in a degraded up state and stopped to allow maintenance (or until it fails). Time between inspections is random and is chosen at each inspection according to the current degradation degree of the system. Markov renewal equations fulfilled by the reliability of the maintained system are given and an exponential equivalent is derived for the reliability. We prove the existence of an asymptotic failure rate for the maintained system, which we are able to compute. Sufficient conditions are given for the preventive maintenance policy to improve the reliability and the asymptotic failure rate of the system. A numerical example illustrates our study.
Characterizations of classes of lifetime distributions generalizing the NBUE class
Authors: Klar Bernhard , Müller Alfred
Published: April 2003

We introduce a new class of lifetime distributions exhibiting a notion of positive ageing, called the ℳ-class, which is strongly related to the well-known ℒ-class. It is shown that distributions in the ℳ-class cannot have an undesirable property recently observed in an example of an ℒ-class distribution by Klar (2002). Moreover, it is shown how these and related classes of life distributions can be characterized by expected remaining lifetimes after a family of random times, thus extending the notion of NBUE. We give examples of ℳ-class distributions by using simple sufficient conditions, and we derive reliability bounds for distributions in this class.
The coalescent process in a population with stochastically varying size
Authors: Kaj Ingemar , Krone Stephen M.
Published: April 2003

We study the genealogical structure of a population with stochastically fluctuating size. If such fluctuations, after suitable rescaling, can be approximated by a nice continuous-time process, we prove weak convergence in the Skorokhod topology of the scaled ancestral process to a stochastic time change of Kingman's coalescent, the time change being given by an additive functional of the limiting backward size process.
Optimal stopping on patterns in strings generated by independent random variables
Authors: Bruss F. Thomas , Louchard Guy
Published: April 2003

Strings are generated by sequences of independent draws from a given alphabet. For a given pattern H of length l and an integer n ≥ l, our goal is to maximize the probability of stopping on the last appearance of the pattern H in a string of length n (if any), given that, if we choose to stop on an occurrence of H, we must do so right away. This contrasts with the goals of several other investigations on patterns in strings such as computing the expected occurrence time and the probability of finding exactly r patterns in a string of fixed length. Several motivations are given for our problem ranging from relatively simple best choice problems to more difficult stopping problems allowing for a variety of interesting applications. We solve this problem completely in the homogeneous case for uncorrelated patterns. However, several of these results extend immediately to the inhomogeneous case. In the homogeneous case, optimal success probabilities are shown to vary, depending on characteristics of the pattern, essentially between the value 1/e and a new asymptotic constant 0.619…. These results demonstrate a considerable difference between the true optimal success probability compared with what a first approximation by heuristic arguments would yield. It is interesting to see that the so-called odds algorithm which gives the optimal rule for l = 1 yields an excellent approximation of the optimal rule for any l. This is important for applications because the odds algorithm is very convenient. We finally give a detailed asymptotic analysis for the homogeneous case.
Sooner and later waiting time problems for patterns in Markov dependent trials
Authors: Han Qing , Hirano Katuomi
Published: April 2003

In this paper, we investigate sooner and later waiting time problems for patternsS0andS1in multistate Markov dependent trials. The probability functions and the probability generating functions of the sooner and later waiting time random variables are studied. Further, the probability generating functions of the distributions of distances between successive occurrences ofS0and between successive occurrences ofS0andS1and of the waiting time until therth occurrence ofS0are also given.