bluuebunny/crossref_metadata_2025 huggingface dataset:
A note on left-continuous random walks
Authors: Letac Gérard , Mazet Pierre , Schiffmann Gérard
Published: April 2006

Let ℒ be the set of probability measures concentrated on { − 1, 0, 1, 2, …}. Then, if μ0 is in ℒ, there exists at most one μ1 in ℒ, with μ0≠ μ1, such that for all n = 1, 2, ….
On the virtual and actual waiting time distributions of a GI/G/1 queue
Authors: Harrison J. Michael , Lemoine Austin J.
Published: April 2006

Consider a stable GI/G/1 queue with non-lattice interarrival time distribution. Let G and H be the limiting actual and virtual waiting time distributions respectively. Two separate statements of the relationship between G and H are found in a classical theorem of Takàcs and a more recent (and previously unpublished) theorem of Hooke. A simplified proof of Takàcs's theorem, based on a sample path relationship between the virtual and actual waiting time processes, has recently been advanced. This paper gives a similar proof of Hooke's theorem, based on the same sample path relationship, and demonstrates the utility of the result in analyzing the special case of Poisson input. In particular, by combining the Takàcs and Hooke results one can obtain the Pollaczek–Khintchine formula without any reference to the imbedded Markov chain.
An approximation for the busy period of the M/G/1 queue using a diffusion model
Authors: Heyman D. P.
Published: April 2006

A diffusion model for the M/G/1 queue due to D. P. Gaver is used to obtain an approximation for the density function of the busy period. The approximation has the same mean and variance as the exact density function, and can be given explicitly when the service time is constant, or has a negative exponential or gamma distribution, or is a mixture of these types.
Equilibrium distributions of polymers on sites which are linearly arrayed
Authors: Littlewood B. , Verrall J. L.
Published: April 2006

Certain long molecules can be regarded as linear arrays of chemically active sites. During chemical reaction, adjacent groups of sites may link to form dimers, trimers, etc. This paper considers the case when all such groups are unstable, and gives equilibrium distributions for the composition of the molecules as functions of the rates of formation and decay of the linked groups.
Stochastic asymptotic exponential stability of stochastic integral equations
Authors: Tsokos Chris P. , Hamdan M. A.
Published: April 2006

The object of this paper is to study the stochastic asymptotic exponential stability of a stochastic integral equation of the form

A random solution of the stochastic integral equation is considered to be a second order stochastic process satisfying the equation almost surely. The random solution, y(t, ω) is said to be. stochastically asymptotically exponentially stable if there exist some β > 0 and a γ > 0 such that for t∈ R+.

The results of the paper extend the results of Tsokos' generalization of the classical stability theorem of Poincaré-Lyapunov.
On the limiting behaviour of a basic stochastic process
Authors: Şahin İzzet , Achou Oussama
Published: April 2006

Determination of the limiting distributions for a class of mixed-type stochastic processes with state-dependent rates of decline is reduced to the solution of a class of integral equations. For the case where the rate of decline is proportional to the state, some results are obtained by solving the integral equation of the process through Fuchs' method.
Numerical solution of Fisher's equation
Authors: Gazdag Jenö , Canosa José
Published: April 2006

The accurate space derivative (ASD) method for the numerical treatment of nonlinear partial differential equations has been applied to the solution of Fisher's equation, a nonlinear diffusion equation describing the rate of advance of a new advantageous gene, and which is also related to certain water waves and plasma shock waves described by the Korteweg-de-Vries-Burgers equation. The numerical experiments performed indicate how from a variety of initial conditions, (including a step function, and a wave with local perturbation) the concentration of advantageous gene evolves into the travelling wave of minimal speed. For an initial superspeed wave this evolution depends on the cutting off of the right-hand tail of the wave, which is physically plausible; this condition is necessary for the convergence of the ASD method. Detailed comparisons with an analytic solution for the travelling waves illustrate the striking accuracy of the ASD method for other than very small values of the concentration.
Asymptotic properties of certain functionals of the periodogram
Authors: Davis Herbert T.
Published: April 2006

The asymptotic properties of the periodogram of a weakly stationary time series for the triangular array of fundamental frequencies is studied. For linear Gaussian processes, results are obtained relating the asymptotic distribution of certain Riemann sums of the periodogram of the process to those of the periodogram of the innovation process.
A non-Markovian birth process with logarithmic growth
Authors: Grimmett G. R.
Published: April 2006

I show that the sum of independent random variables converges in distribution when suitably normalised, so long as the Xk satisfy the following two conditions: μ(n)= E |Xn| is comparable with E |Sn| for large n, and Xk/μ(k) converges in distribution. Also I consider the associated birth process X(t) = max{n: Sn ≦ t} when each Xk is positive, and I show that there exists a continuous increasing function v(t) such that
for some variable Y with specified distribution, and for almost all u. The function v, satisfies v (t) = A (1 + o (t)) log t. The Markovian birth process with parameters λn = λn, where 0 < λ < 1, is an example of such a process.
The number of meetings in free Poisson traffic
Authors: Unkelbach Hans D. , Wegmann Helmut
Published: April 2006

Using Rényi's model of free Poisson traffic the distribution of the number of meetings of vehicles on a highway section during a given time interval is investigated. An integro-differential equation for the generating function of that variable is deduced and the first moments are calculated. The generating function is given explicitly in simple cases and approximately in cases of practical interest.
An asymptotically efficient test for the bundle strength of filaments
Authors: Sen Pranab Kumar
Published: April 2006

Based on a Wiener process approximation, a sequential test for the bundle strength of filaments is proposed and studied here. Asymptotic expressions for the OC and ASN functions are derived, and it is shown that asymptotically the test is more efficient than the usual fixed sample size procedure based on the asymptotic normality of the standarized form of the bundle strength of filaments, studied earlier by Daniels (1945), and Sen, Bhattacharyya and Suh (1973).
Continuous stochastic games
Authors: Sobel Matthew J.
Published: April 2006

Nonzero-sum N-person stochastic games are a generalization of Shapley's two-person zero-sum terminating stochastic game. Rogers and Sobel showed that an equilibrium point exists when the sets of states, actions, and players are finite. The present paper treats discounted stochastic games when the sets of states and actions are given by metric spaces and the set of players is arbitrary. The existence of an equilibrium point is proven under assumptions of continuity and compactness.
On the expected range and expected adjusted range of partial sums of exchangeable random variables
Authors: Boes D. C. , Cruz J.D. Salas-La
Published: April 2006

Studies of storage capacity of reservoirs, under the assumption of infinite storage, lead to the problem of finding the distribution of the range or adjusted range of partial sums of random variables.

In this paper, formulas for the expected values of the range and adjusted range of partial sums of exchangeable random variables are presented. Such formulas are based on an elegant result given in Spitzer (1956). Some consequences of the aforementioned formulas are discussed.
A class of almost nowhere differentiable stationary Gaussian processes which are somewhere differentiable
Authors: Davies P. L.
Published: April 2006

A stationary Gaussian process is exhibited with the following property: the covariance function of the process is not differentiable at the origin and yet almost all the sample paths of the process are differentiable in a set of points of the power of the continuum. The process provides a counter example to a statement of Slepian.
A multinomial model for transition probability matrices
Authors: Pegram G. G. S.
Published: April 2006

A model for the transition probability matrices (t.p.m.'s) of finite discrete Markov chains is suggested which may help those who wish to use a larger number of states than would seem reasonable with the data available in the current estimation situation. The model is especially useful in that a finite t.p.m. of arbitrary size can be specified by as few as two parameters. An example of the model's estimation and use is presented, showing it in a fair light in comparison with the conventional method of t.p.m. specification.
Dams with autoregressive inputs
Authors: Collings P. S.
Published: April 2006

In this paper a dam with autoregressive inputs and unit outputs is considered. Approximations for the distributions of the times to first emptiness and overflow are obtained using a Wald-type identity. The limiting behaviour of the dam content is also investigated
The joint density of the maximum and its location for a Wiener process with drift
Authors: Shepp L. A.
Published: April 2006

We give a simple expression for the joint probability density of: (a) the maximum value Y = max [X(t), 0 ≦ t ≦ T); (b) its location ; (c) the endpoint X(T), where X(t) = Xc(t) is a Wiener process with drift, Xc(t) = W(t) + ct, 0 ≦ t ≦ T. That is, we find the density p(θ, y, x) = p(θ, y, x; c, T) of , Y, X(T), p(θ, y, x; , Xc(T) ∈ dx) is given by, 0 < θ < T, x ≦ y, 0 < y,
Applications of martingale theory to some epidemic models
Authors: Picard Philippe
Published: April 2006

The purpose of this paper is to give some very simple applications of martingales to epidemics. The results are all connected with stopping times T (for instance the classical end of epidemic) and include the expression of the joint generating function Laplace transform of and and simple relations between moments of these three variables. (Here Xt and Yt respectively denote the numbers of susceptibles and carriers.) We also give several relations between different types of epidemics. Although this paper only deals with Downton's model, some of the methods are still valid for more general models.
Stochastic inequalities between customer-stationary and time-stationary characteristics of queueing systems with point processes
Authors: König D. , Schmidt V.
Published: April 2006

By means of a general intensity conservation principle for stationary processes with imbedded marked point processes (PMP) stochastic inequalities are proved between customer-stationary and time-stationary characteristics of queueing systems G/G/s/r.
Moments for a general branching process in a semi-Markovian environment
Authors: Whittaker Craig , Feldman Richard M.
Published: April 2006

A general branching process is extended to allow life length and reproduction probabilities to depend on randomly changing environmental states. First and second moments of the population size with respect to time are derived assuming that the environmental process is semi-Markovian. The results are similar to Markov-renewal type equations which allow, under discrete time, iterative computation of both moments of the population through time.
The average distance between two convex sets
Authors: Groemer H.
Published: April 2006

In recent publications of Hadwiger, Bokowski, and Wills it has been shown that it is possible to evaluate the average distance between a fixed and a randomly distributed convex set in terms of the mean projection measures of these sets. In the present note it is pointed out that these and more general results can be obtained from a theorem concerning the relationship between integrals over arbitrary measure spaces and corresponding Lebesgue–Stieltjes integrals.
A limit theorem for sample maxima and heavy branches in Galton–Watson trees
Authors: O'brien G. L.
Published: April 2006

Let Yn be the maximum of n independent positive random variables with common distribution function F and let Sn be their sum. Then converges to zero in probability if and only if is slowly varying. This result implies that in a supercritical Galton-Watson process which does not become extinct, there cannot be a sequence {τ n} of particles, each descended from the preceding one, such that the fraction of all particles which are descendants of τ n does not converge to zero as n →∞. Weakly m-adic trees, which behave to some extent like sample Galton-Watson trees, can have such sequences of particles.
Estimation of the lifetime distribution of the parts from the autopsy statistics of the machine
Authors: Meilijson Isaac
Published: April 2006

Given a coherent reliability system, let Z be the age of the machine at breakdown, and I the set of parts dead by time Z. We prove that if all lifetime distributions are non-atomic and share the same essential extrema, and if the incidence matrix of the minimal cut sets has rank equal to the number of parts, then the joint distribution of Z and I determines uniquely the lifetime distribution of each part. We present a Newton–Kantorovič iterative method for the computation of those distributions. We deal informally with the relaxation of the assumptions and with the statistical problem where instead of the joint distribution of Z and I we have an empirical estimate of this joint distribution.
Sticky Brownian motion as the limit of storage processes
Authors: Harrison J. Michael , Lemoine Austin J.
Published: April 2006

The paper considers a modified storage process with state space [0,∞). Away from the origin, W behaves like an ordinary storage process with constant release rate and finite jump intensity A. In state 0, however, the jump intensity falls to It is shown that W can be obtained by applying first a reflection mapping and then a random change of time scale to a compound Poisson process with drift. When these same two transformations are applied to Brownian motion, one obtains sticky (or slowly reflected) Brownian motion W∗ on [0,∞). Thus W∗ is the natural diffusion approximation for W, and it is shown that W converges in distribution to W∗ under appropriate conditions. The boundary behavior of W∗ is discussed, its infinitesimal generator is calculated and its stationary distribution (which has an atom at the origin) is computed.
A counterpart of the Borel-Cantelli lemma
Authors: Bruss F. Thomas
Published: April 2006

The general part of the Borel-Cantelli lemma says that for any sequence of events (An) defined on a probability space (Ω, Σ, P), the divergence of ΣnP(An) is necessary for P(An i.o.) to be one (see e.g. [1]). The sufficient direction is confined to the case where the An are independent. This paper provides a simple counterpart of this lemma in the sense that the independence condition is replaced by for some . We will see that this property of (An) may frequently be assumed without loss of generality. We also disclose a useful duality which allows straightforward conclusions without selecting independent sequences. A simple random walk example and a new result in the theory of ϕ -branching processes will show the tractability of the method.
An asymptotic formula for the transition density of random genetic drift
Authors: Antonelli Peter L.
Published: April 2006

Stochastic models in population genetics which lead to diffusion equations are considered. A geometric formula for the asymptotic expansions of the fundamental solutions of these equations is presented. Specifically, the random genetic drift process of one-locus theory and the Ohta–Kimura model of two-locus di-allelic systems with linkage are studied. Agreement with the work of Keller and Voronka for the two-allele one-locus case is obtained. For the general n-allele problem, the formulas obtained here are apparently new.
The supersession of one rumour by another
Authors: Osei G. K. , Thompson J. W.
Published: April 2006

A model is considered for a situation in which one rumour suppresses another in a closed population. The distribution of the maximum value attained by the proportion spreading the weaker rumour is obtained in the asymptotic case, and this is compared with some actual distributions for finite population size. Closer approximations to the latter distributions are obtained.
The reversed ladder of a random walk
Authors: Stam A. J.
Published: April 2006

The reversed strict ascending ladder epoch v1 + ··· +vm of the random walk S(n) with drift to ∞ is the m th time n at which the event S(n) < S(k), k > n, occurs and the corresponding ladder height is H1 + ··· + Hm = S(v1 + ··· + vm). It is shown that the random vectors (vi, Hi) are independent and for i ≧ 2 have the same distribution as the first strict ascending ladder time and height in the usual sense. This leads to an equality between the distribution of the first strict ladder height and P{min S(n) ≧ x} for x > 0. Reversed weak ladder points are defined analogously.
Generalized two-dimensional bounded birth and death processes and some applications
Authors: Billard L.
Published: April 2006

Two-dimensional bounded birth and death processes are considered. State probabilities are given for the generalized case in which the transition rates are arbitrary time-independent functions of the population sizes. Some applications in epidemic theory and species interaction processes are briefly described.
Countable-state average-cost regenerative stopping problems
Authors: Miller Bruce L.
Published: April 2006

Regenerative stopping problems are stopping problems which recommence from the initial state upon stopping. An algorithm is presented which solves semi-Markov regenerative stopping problem with a finite number of continue actions by solving a sequence of stopping problems. New results for the optimal stopping problem are obtained as well as for the regenerative stopping problem. A model in the literature is used as a detailed example of the algorithm.
Algorithms for a continuous-review (s, S) inventory system
Authors: Ramaswami V.
Published: April 2006

The steady-state distribution of the inventory position for a continuous-review (s, S) inventory system is derived in a computationally tractable form. Demands for items in inventory are assumed to form an N-process which is the ‘versatile Markovian point process' introduced by Neuts (1979). The N-process includes the phase-type renewal process, Markov-modulated Poisson process etc., as special cases and is especially useful in modelling a wide variety of qualitative phenomena such as peaked arrivals, interruptions, inhibition or stimulation of arrivals by certain events etc.
A machine interference model with threshold effect
Authors: Karmeshu  , Jaiswal N. K.
Published: April 2006

A non-linear stochastic model for the single-server machine interference problem is investigated. The service rate is a rational function of the number of failed machines, the numerator as well as the denominator of the function being linear in n. Depending on the relative values of the parameters involved, the service rate may increase or decrease with n, exhibiting the incentive or disincentive effect. The analysis is carried out by the usual diffusion approximation technique. A notable feature of this model is the threshold effect exhibited in the mean queue size.
Some aspects of the non-asymptotic behaviour of a two-dimensional invasion process
Authors: Downham D. Y. , Fotopoulos S. B.
Published: April 2006

Normal and abnormal cells are positioned at the vertices of a regular two-dimensional lattice. Abnormal cells divide k times as fast as normal cells. Whenever a cell divides, the daughter is the same type as the parent and replaces an adjacent cell. The Kolmogorov forwards and backwards equations are derived, and then used to obtain bounds for the distribution function of the time when all the abnormal cells are forced from the plane. These bounds are used to comment on the non-asymptotic variance of the number of abnormal cells at a given time and on a method of estimating k.
Markov chains in small time intervals
Authors: Rosenlund Stig I.
Published: April 2006

For a time-homogeneous continuous-parameter Markov chain we show that as t → 0 the transition probability pn,j (t) is at least of order where r(n, j) is the minimum number of jumps needed for the chain to pass from n to j. If the intensities of passage are bounded over the set of states which can be reached from n via fewer than r(n, j) jumps, this is the exact order.
Optimal service rates in the multiserver loss system with heterogeneous servers
Authors: Nath G. B. , Enns E. G.
Published: April 2006

A multichannel loss system with heterogeneous servers operating in parallel is analyzed. The sum of the service rates of all servers is assumed constant. The optimal service rates that minimize the probability of losing a customer are obtained, and are shown to be different from each other. The percentage reduction in the probability of losing a customer in the homogeneous and the best heterogeneous system for a few representative values are included.
Limit theorems for periodic queues
Authors: Harrison J. Michael , Lemoine Austin J.
Published: April 2006

Consider a single-server queue with service times distributed as a general random variable S and with non-stationary Poisson input. It is assumed that the arrival rate function λ (·) is periodic with average value λ and that ρ = λE(S) < 1. Both weak and strong limit theorems are proved for the waiting-time process W = {W1, W2, · ··} and the server load (or virtual waiting-time process) Z = {Z(t), t ≧ 0}. The asymptotic distributions associated with Z and W are shown to be related in various ways. In particular, we extend to the case of periodic Poisson input a well-known formula (due to Takács) relating the limiting virtual and actual waiting-time distributions of a GI/G/1 queue.
How many random digits are required until given sequences are obtained?
Authors: Blom Gunnar , Thorburn Daniel
Published: April 2006

Random digits are collected one at a time until a given k -digit sequence is obtained, or, more generally, until one of several k -digit sequences is obtained. In the former case, a recursive formula is given, which determines the distribution of the waiting time until the sequence is obtained and leads to an expression for the probability generating function. In the latter case, the mean waiting time is given until one of the given sequences is obtained, or, more generally, until a fixed number of sequences have been obtained, either different sequences or not necessarily different ones. Several results are known before, but the methods of proof seem to be new.
An exponential riddle
Authors: Sengupta Bhaskar
Published: April 2006

We present a problem of finding the optimum inspection procedure for a system whose time to failure is an exponential random variable. We characterize a simple and surprising solution to the problem.
On the estimation of frequency in point-process data
Authors: Vere-Jones D.
Published: April 2006

Suppose that it is desired to determine the frequency, known to lie in a range 0 < σ ≦ ω ≦ ΩT <∞, of a periodic effect modulating the rate of occurrence of a Poisson point process. It is shown that if ΩT increases sufficiently slowly with T, the length of the observation period, then the frequency corresponding to the maximum of the Bartlett periodogram over this range provides a consistent estimate of the unknown frequency. The asymptotic covariance matrix is found for the maximum likelihood estimates of the parameters in a cyclic Poisson model, and the close analogue with frequency estimation for Gaussian processes is emphasized. It is pointed out, however, that in the point-process case periodogram estimates will be efficient only for very special models.
The time taken for a population to grow from size m to size km
Authors: Sudbury Aidan
Published: April 2006

Central limit theorems are given for the time taken for a population to increase by a factor k > 1 for a supercritical process, or to decrease by a factor k < 1 for a subcritical process. The size of errors is investigated so that confidence limits can be given for these times to O (m½) where m is the population size at t = 0.
Conditional response times in the M/G/1 processor-sharing system
Authors: Asare B. K. , Foster F. G.
Published: April 2006

The expected response time of a job that requires processing time t and meets n jobs on arrival in the M/G/1 processor-sharing system is derived.
The limit behaviour of the maximum of random variables with applications to outlier-resistance
Authors: Mathar Rudolf
Published: April 2006

We consider degenerate limit laws for the sequence {Xn, n}n(N of successive maxima of identically distributed random variables. It turns out that the concentration of Xn, n for large n can be determined in terms of a tail ratio of the underlying distribution function F. Applications to the outlier-behaviour of probability distributions are given.
Non-negative matrices, dynamic programming and a harvesting problem
Authors: Grey D. R.
Published: April 2006

Existing results on the asymptotic behaviour of solutions to two dynamic programming equations involving non-negative matrices are reviewed and strengthened in certain directions. The results are then applied to strategies for harvesting of a small population so as to optimise its survival potential in a limited environment.
Rarefactions of compound point processes
Authors: Serfozo Richard F.
Published: April 2006

The Poisson process is regarded as a point process of rare events because of the classical result that the number of successes in a sequence of Bernoulli trials is asymptotically Poisson as the probability of a success tends to 0. It is shown that this rareness property of the Poisson process is characteristic of any infinitely divisible point process or random measure with independent increments. These processes and measures arise as limits of certain rarefactions of compound point processes: purely atomic random measures with uniformly null atom sizes. Examples include thinnings and partitions of point processes.
Moments for stationary and quasi-stationary distributions of markov chains
Authors: Seneta E. , Tweedie R. L.
Published: April 2006

A necessary and sufficient set of conditions is given for the finiteness of a general moment of the R -invariant measure of an R -recurrent substochastic matrix. The conditions are conceptually related to Foster's theorem. The result extends that of [8], and is illustratively applied to the single and multitype subcritical Galton–Watson process to find conditions for Yaglom-type conditional limit distributions to have finite moments.
The M/G/k group-arrival group-departure loss system
Authors: Fakinos D.
Published: April 2006

This paper considers the equilibrium behaviour of the M/G/k group-arrival group-departure loss system. Such a system has k servers whose customers arrive in groups, the arrival epochs of groups being points of a Poisson process. The duration of a service can be characteristic of the group size; however, customers who belong to the same group have equal service times. The customers of a group start being served immediately upon their arrival, unless their number is greater than the number of idle servers. In this case the whole group leaves and does not return later (i.e. is lost). Among other things, a generalization of the Erlang B-formula is given and it is shown that the arrival and departure processes are statistically indistinguishable.
Adaptive approach to some stopping problems
Authors: Tamaki Mitsushi
Published: April 2006

This paper mainly considers the adaptive version of two typical stopping problems, i.e., the parking problem and the secretary problem with refusal. In the first problem, while driving towards a destination, we observe the successive parking places and note whether or not they are occupied. Unoccupied spaces are assumed to occur independently, with probability p. The second problem is to select the best applicant from a population, where each applicant refuses an offer with probability 1 – p. We assume beta prior for p in advance. As time progresses, we update our belief for p in a Bayesian manner based on the observed states of the process. We derive several monotonicity properties of the value function and characterize the optimal strategy in either problem. We also attempt to relax the same probability condition in the classical parking problem.
Asymptotic analysis for a production–inventory control model with renewal arrivals and exponential demands
Authors: De kok A. G.
Published: April 2006

We consider a production–inventory problem in which the production rate can be dynamically adjusted to cope with random fluctuations in demand. Customers arrive according to a renewal process, and the customer's demand is assumed to be exponentially distributed. Excess demand is backlogged. The production is controlled by a two-critical-number rule that prescribes which one of the two possible production rates must be used. Tractable expressions are given for several services measures including the fraction of demand backlogged. The analysis is based on the results for hitting probabilities in random walks, where the jump distribution has an exponential right or left tail.
On learning and the evolutionarily stable strategy
Authors: Hines W. G. S. , Bishop D. T.
Published: April 2006

In evolutionarily stable strategy models, transmission of one's strategy to one's offspring has routinely been assumed to be exact, whether this transmission is genetic or by instruction. If inexact transmission of strategy is possible, however, the nature of the mode of transmission becomes important. This paper demonstrates analytically that the possibility of learning one's strategy can increase rather than decrease eventual strategy diversity and that the resulting population mean strategy can differ appreciably from an evolutionarily stable strategy. These results are found to be consistent with simulation results reported in the literature.
A note on the measurement of randomness
Authors: Hickey Raymond J.
Published: April 2006

The properties of a measure of randomness on the class of discrete probability distributions are discussed. A result concerning finiteness is obtained for a family of measures which includes the entropy function.
Waiting times for multiple occurrences of several events
Authors: Scheinberg Stephen
Published: April 2006

Consider an ‘experiment' which can be repeated indefinitely often resulting in independent random outcomes. Fix attention on a finite number of possible (sets of) outcomes E1, E2, … and define W = W(N1, N2, …) to be the expected number of repetitions needed to ensure that E1 has occurred (at least) N1 times, E2 has occurred (at least) N2 times, etc. This article examines the asymptotic behavior of W as a function of the sum ΣjNj, as the latter grows without bound.
Random sequential coding by Hamming distance
Authors: Itoh Yoshiaki , Solomon Herbert
Published: April 2006

Here we introduce two simple models: simple cubic random packing and random packing by Hamming distance. Consider the packing density γ d of dimension d by cubic random packing. From computer simulations up to dimension 11, γ d+1/γ d seems to approach 1. Also, we give simulation results for random packing by Hamming distance and discuss the behavior of packing density when dimensionality is increased. For the case of Hamming distances of 2 or 3, d–α fits the simulation results of packing density where α is an empirical constant. The variance of packing density is larger when k is even and smaller when k is odd, where k represents Hamming distance.
Random circles in the d-dimensional unit ball
Authors: Affentranger Fernando
Published: April 2006

This note gives the solution of the following problem concerning geometric probabilities. What is the probability p(Bd; 2) that the circumference determined by three points P, P1 and P2 chosen independently and uniformly at random in the interior of a d-dimensional unit ball Bd in Euclidean space Ed (d ≧ 2) is entirely contained in Bd? From our result we conclude that p(Bd; 2) →π /(3√3) as d →∞.
The passage from random walk to diffusion in quantum probability
Authors: Parthasarathy K. R.
Published: April 2006

The notion of a quantum random walk in discrete time is formulated and the passage to a continuous time diffusion limit is established. The limiting diffusion is described in terms of solutions of certain quantum stochastic differential equations.
Conditions for strong ergodicity using intensity matrices
Authors: Johnson Jean , Isaacson Dean
Published: April 2006

Sufficient conditions for strong ergodicity of discrete-time non-homogeneous Markov chains have been given in several papers. Conditions have been given using the left eigenvectors ψn of Pn(ψ nPn = ψ n) and also using the limiting behavior of Pn. In this paper we consider the analogous results in the case of continuous-time Markov chains where one uses the intensity matrices Q(t) instead of P(s, t). A bound on the rate of convergence of certain strongly ergodic chains is also given.
Limit theorems for general shock models with infinite mean intershock times
Authors: Anderson Kevin K.
Published: April 2006

A general shock model in which the time intervals between shocks have infinite expectation is considered. Limit theorems for the first time the magnitude of a shock exceeds a and the historical maximum magnitude are given.
Characterizing the geometric distribution using expectations of order statistics
Authors: Dallas A. C.
Published: April 2006

The constancy of the conditional expectation of some appropriate functions of order statistics on some others, is used to characterize the geometric distribution among the discrete distributions.
Comparisons for carrier-borne epidemics in heterogeneous and homogeneous populations
Authors: Lefevre Claude , Malice Marie-Pierre
Published: April 2006

Two specific models for the spread of a carrier-borne epidemic are considered which allow for individual variability. The implications of differences in the infection or removal rates are investigated by comparing the propagation of the disease for heterogeneous and homogeneous populations. This is achieved by means of the stochastically larger and more variable order relations for random variables. The results obtained extend earlier ones and are illustrated with some numerical examples.
Stability and continuity for slotted ALOHA with stationary non-independent input traffic
Authors: Sharma Vinod
Published: April 2006

Slotted ALOHA with a finite number of users, each with infinite buffer, is considered. For stationary, metrically transitive, non-independent input, the problem of existence of stationary queue length distributions is solved. Results are obtained for zero and arbitrary (finite a.s.) initial conditions. Continuity, in probability, of queue lengths with respect to input sequence is proved.
Representation of denumerable Markov chains with multiple states by weighted circuits
Authors: Kalpazidou S.
Published: April 2006

The constructive solution to the problem of representing a strictly stationary Markov chainζwith a countable infinity ofr-sequences (i1,i2, · ··,ir),r> 1, as states by a class of directed weighted circuits is given. Associating the chainζwith its dual chainηhaving reversed states and the same transition law, a connection with physical laws that govern diffusion of electrical current through a directed planar network withr-series-connected nodes is shown.
n-point, win-by-k games
Authors: Siegrist Kyle
Published: April 2006

Consider a sequence of Bernoulli trials between players A and B in which player A wins each trial with probability p∈ [0, 1]. For positive integers n and k with k ≦ n, an (n, k) contest is one in which the first player to win at least n trials and to be ahead of his opponent by at least k trials wins the contest. The (n, 1) contest is the Banach match problem and the (n, n) contest is the gambler's ruin problem. Many real contests (such as the World Series in baseball and the tennis game) have an (n, 1) or an (n, 2) format. The (n, k) contest is formulated in terms of the first-exit time of the graph of a random walk from a certain region of the state-time space. Explicit results are obtained for the probability that player A wins an (n, k) contest and the expected number of trials in an (n, k) contest. Comparisons of (n, k) contests are made in terms of the probability that the stronger player wins and the expected number of trials.
A population process with offspring distribution depending on both population size and generation
Authors: Santana Pedro Saavedra , Garcia Miguel Sanchez
Published: April 2006

A population process {Zn} is defined, with offspring distribution depending on both population size and generation number. As is well known, in models where the offspring distribution depends only on the size, under most conditions extinction surely results. The model we now introduce would mean that if history has an influence on evolution of the population, it is possible to obtain models for which a probability as high as desired exists that the population size balances between two given values.
Packing densities of randomly constructed codes
Authors: Sutton Clifton
Published: April 2006

Codes having all pairs of words separated by a Hamming distance of at least d are stochastically constructed by sequentially packing randomly generated q-ary n-tuples. Estimates of the random packing densities are obtained by repeated simulation. Using non-linear regression to fit the estimated densities, an asymptotic approximation formula is obtained for the packing densities which depends only on q, n, d, and an empirical constant.
On solutions of a stochastic integral equation of the volterra type with applications for chemotherapy
Authors: Szynal D. , Wedrychowicz S.
Published: April 2006

This paper deals with the existence of solutions of a stochastic integral equation of the Volterra type and their asymptotic behaviour. Investigations of this paper use the concept of a measure of non-compactness in Banach space and fixed-point theorem of Darbo type. An application to a stochastic model for chemotherapy is also presented.
On a buffer problem for packetized voice with an N-periodic strongly interchangeable input process
Authors: Ott Teunis J. , Shanthikumar J. George
Published: April 2006

Consider a slotted communication channel which carries packetized voice and which can transmit exactly one packet every timeslot. Assume that every conversation routed over this channel generates exactly one packet every N timeslots. We study, for the case of an infinite buffer and an N-periodic strongly interchangeable input process, buffer behavior and packet delays as functions of the number of calls routed over the channel, as long as that number is less than or equal to N. Among our results are a simple algorithm which computes the marginal distribution of the buffer content and an algorithm with complexity of order N4 which computes the distribution of the maximal buffer content (over a period of N timeslots).
A model for a system subject to random shocks
Authors: Lee Eui Yong , Lee Jiyeon
Published: April 2006

A Markovian stochastic model for a system subject to random shocks is introduced. It is assumed that the shock arriving according to a Poisson process decreases the state of the system by a random amount. It is further assumed that the system is repaired by a repairman arriving according to another Poisson process if the state when he arrives is below a threshold α. Explicit expressions are deduced for the characteristic function of the distribution function of X(t), the state of the system at time t, and for the distribution function of X(t), if . The stationary case is also discussed.
Interparticle dependence in a linear death process subjected to a random environment
Authors: Lefèvre Claude , Michaletzky György
Published: April 2006

Recently, Ball and Donnelly (1987) investigated the nature of the interparticle dependence in a death process with non-linear rates. In this note, after some remarks on their result, a similar problem is examined for a linear death process where the death rate per particle is a monotone function of the current state of a random environment. It is proved that if the exterior process involved is a homogeneous birth-and-death process valued in ℕ, then the survival times of any subset of particles are positively upper orthant dependent. A simple example shows that this property is not valid for general exterior processes.
Families of life distributions characterized by two moments
Authors: Bhattacharjee Manish C. , Sethuraman Jayaram
Published: April 2006

We consider several classical notions of partial orderings among life distributions which have been used to describe ageing properties and tail domination. We show that if a distribution G dominates another distribution F in one of these partial orderings introduced here, and if two moments of G agree with those of F, including the moment that describes this partial ordering, then G = F. This leads to a characterization of the exponential distribution among HNBUE and HNWUE life distribution classes, and thus extends the results of Basu and Bhattacharjee (1984) and rectifies an error in that paper.
On a Daley-Kendall model of random rumours
Authors: Pittel B.
Published: April 2006

Suppose that a certain population consists of N individuals. One member initially learns a rumour from an outside source, and starts telling it to other members, who continue spreading the information. A knower becomes inactive once he encounters somebody already informed. Daley and Kendall, who initiated the study of this model, conjectured that the number of eventual knowers is asymptotically normal with mean and variance linear in N. Our purpose is to confirm this conjecture.
On uniform conditional stochastic order conditioned on planar regions
Authors: Shanthikumar J. George , Koo Hui-Wen
Published: April 2006

Sufficient conditions under which two random vectors are ordered in the sense of uniform conditional stochastic order (Whitt (1980), (1982)) with respect to planar regions are given. A natural classification of distributions based on this notion of stochastic order is defined and studied. A negative dependence property of Block et al. (1985) is shown to hold for this class of distributions. An application of these results in statistics is also presented.
Ordering of repairable systems
Authors: Ebrahimi Nader
Published: April 2006

The problem of how to compare repairable systems has long been of interest to those who are engaged in reliability analysis. In this article we have introduced a type of comparison of two counting processes. Various properties and applications of our stochastic comparison are also studied.
Repair replacement policies
Authors: Block Henry W. , Langberg Naftali A. , Savits Thomas H.
Published: April 2006

In this paper we introduce the concept of repair replacement. Repair replacement is a maintenance policy in which items are preventively maintained when a certain time has elapsed since their last repair. This differs from age replacement where a certain amount of time has elapsed since the last replacement. If the last repair was a complete repair, repair replacement is essentially the same as age replacement. It is in the case of minimal repair that these two policies differ. We make comparison between various types of policies in order to determine when and under which condition one type of policy is better than another.
An extension of the Cameron–Martin result
Authors: Yashin A. I.
Published: April 2006

The well-known Cameron–Martin formula allows us to calculate the mathematical expectation where Ws is a Wiener process. This paper extends this result to the case of piecewise continuous martingales. As a particular case the mathematical expectations of a functional of generalized Ornstein– Uhlenbeck processes and pure jump processes are calculated.
On interchangeability for exponential single-server queues in tandem
Authors: Kijima Masaaki , Makimoto Naoki
Published: April 2006

Consider two exponential single-server queues in tandem and suppose that service rates of customer n are λ n and μ n respectively. In this note, a simple and direct proof is given of the fact that the departure process from the tandem queue is statistically unaffected when the service rates are interchanged if λ n – μn is independent of n. The proof is based only on the memoryless property of exponential distributions.
Markov chains and generalized continued fractions
Authors: Hanschke Thomas
Published: April 2006

This paper deals with a class of discrete-time Markov chains for which the invariant measures can be expressed in terms of generalized continued fractions. The representation covers a wide class of stochastic models and is well suited for numerical applications. The results obtained can easily be extended to continuous-time Markov chains.
On ‘stop=repeat' servicing for non-exponential queueing networks with blocking
Authors: Van Dijk Nico M.
Published: April 2006

Non-exponential queueing networks with blocking are studied under two types of blocking protocols: the ‘stop' and the ‘repeat' protocol under which services are to be either stopped or repeated respectively upon blocking. The two protocols are shown to be stationary equivalent when the system satisfies a partial balance condition. This condition is related to product-form results. The results are illustrated by closed and open network applications with reversible and nonreversible routing.
Rare events in series of queues
Authors: Tsoucas Pantelis
Published: April 2006

In an ergodic network of K M/M/1 queues in series we consider the rare event that, as N increases, the total population in the network exceeds N during a busy period. By utilizing the contraction principle of large deviation theory, an action functional is obtained for this exit problem. The ensuing minimization is carried out for K = 2 and an indication is given for arbitrary K. It is shown that, asymptotically and for unequal service rates, the ‘most likely' path for this rare event is one where the arrival rate has been interchanged with the smallest service rate. The problem has been posed in Parekh and Walrand [7] in connection with importance sampling simulation methods for queueing networks. Its solution has previously been obtained only heuristically.
Concavity and reflected Lévy processes
Authors: Kella Offer
Published: April 2006

Simple necessary and sufficient conditions for a function to be concave in terms of its shifted Laplace transform are given. As an application of this result, we show that the expected local time at zero of a reflected Lévy process with no negative jumps, starting from the origin, is a concave function of the time variable. A special case is the expected cumulative idle time in an M/G/1 queue. An immediate corollary is the concavity of the expected value of the reflected Lévy process itself. A special case is the virtual waiting time in an M/G/1 queue.
On the total heights of random rooted trees
Authors: Takacs Lajos
Published: April 2006

Denote by Sn the set of all distinct rooted trees with n labeled vertices. Define τn as the total height of a tree chosen at random in the set Sn, assuming that all the possible nn–1 choices are equally probable. The total height of a tree is defined as the sum of the heights of its vertices. The height of a vertex in a rooted tree is the distance from the vertex to the root of the tree, that is, the number of edges in the path from the vertex to the root. This paper is concerned with the distribution and the moments of τn and their asymptotic behavior as n → ∞.