Random-Time Isotropic Fractional Stable Fields

Generalizing both Substable Fractional Stable Motions (FSMs) and Indicator FSMs, we introduce α-stabilized subordination, a procedure which produces new FSMs (H-self-similar, stationary increment symmetric α-stable processes) from old ones. We extend these processes to isotropic stable fields which have stationary increments in the strong sense, i.e., processes which are invariant under Euclidean rigid motions of the multi-dimensional time parameter. We also prove a Stable Central Limit Theorem which provides an intuitive picture of α-stabilized subordination. Finally we show that α-stabilized subordination of Linear FSMs produces null-conservative FSMs, a class of FSMs introduced by Samorodnitsky (Ann. Probab. 33(5):1782–1803, 2005).     

On the existence of a single test module

We revisit two questions concerning the existence of a single test module by comparing them with similar questions (see Theorem 3.3). As a corollary, we identify domains over which strongly flat modules and torsion-free Whitehead modules coincide (see Corollary 3.6). We obtain several analogous results to the main theorem under stronger hypotheses (see section 4). In particular, we settle a long-standing question concerning a characterization of almost perfect domains (see Corollary 4.4). We also look into the case when the character module of K and the Matlis-dual of K are isomorphic (see Theorem 5.2).     

On some relations between stationary time and customer state probabilities for qneueing systems G/GI/s/r

By means of a general formula for stochastic processes with imbedded marked point processes (PMP) some necessary and sufficient condition is given for the validity of a relationship, which is well-known in the case of exponentially distributed service times, between stationary time and customer state probabilities for loss systems G/GI/s/O (Theorem 3). A result of Miyazawa for the GI/GI/l/∞ queue is generalized to the case of non-recurrent interarrival times (Theorem 4)-. Furthermore, bounds are derived for the mean increment of the waiting time process at arrival epochs and for the mean actual waiting time in multi-server queues.     

An Algorithmic Approach for Sensitivity Analysis of Perturbed Quasi-Birth-and-Death Processes

In this paper, we present an algorithmic approach for sensitivity analysis of stationary and transient performance measures of a perturbed continuous-time level-dependent quasi-birth-and-death (QBD) process with infinitely-many levels. By developing a new LU-type RG-factorization using the censoring technique, we obtain the maximal negative inverse of the infinitesimal generator of the QBD process. The derivatives of the stationary performance measures of the QBD process can then be expressed and computed in terms of the maximal negative inverse, overcoming the computational difficulty arising from the use of group inverses of infinite size in the current literature (see Cao and Chen [11]). We also use a stochastic integral functional to study the transient performance measure of the QBD process and show how to use the algorithmic approach for its sensitivity analysis. As an example, a perturbed MAP/PH/1 queue is also analyzed.     

Combinatorics of open covers (XI): Menger- and Rothberger-bounded groups

We examine Menger-bounded (=o-bounded) and Rothberger-bounded groups. We give internal characterizations of groups having these properties in all finite powers (Theorems 6 and 7, and Theorem 15). In the metrizable case we also give characterizations in terms of measure-theoretic properties relative to left-invariant metrics (Theorems 12 and 19). Among metrizable σ-totally bounded groups we characterize the Rothberger-bounded groups by the corresponding game (Theorem 22).     

Martingale representation for Poisson processes with applications to minimal variance hedging

We consider a Poisson process η on a measurable space equipped with a strict partial ordering, assumed to be total almost everywhere with respect to the intensity measure λ of η. We give a Clark-Ocone type formula providing an explicit representation of square integrable martingales (defined with respect to the natural filtration associated with η), which was previously known only in the special case, when λ is the product of Lebesgue measure on R₊ and a σ-finite measure on another space X. Our proof is new and based on only a few basic properties of Poisson processes and stochastic integrals. We also consider the more general case of an independent random measure in the sense of Itô of pure jump type and show that the Clark-Ocone type representation leads to an explicit version of the Kunita-Watanabe decomposition of square integrable martingales. We also find the explicit minimal variance hedge in a quite general financial market driven by an independent random measure.     

Is Lebesgue measure the only σ-finite invariant Borel measure?

S. Saks and recently R.D. Mauldin asked if every translation invariant σ-finite Borel measure on Rd is a constant multiple of Lebesgue measure. The aim of this paper is to investigate the versions of this question, since surprisingly the answer is “yes and no,” depending on what we mean by Borel measure and by constant. According to a folklore result, if the measure is only defined for Borel sets, then the answer is affirmative. We show that if the measure is defined on a σ-algebra containing the Borel sets, then the answer is negative. However, if we allow the multiplicative constant to be infinity, then the answer is affirmative in this case as well. Moreover, our construction also shows that an isometry invariant σ-finite Borel measure (in the wider sense) on Rd can be non-σ-finite when we restrict it to the Borel sets.     

Absolute regularity and Brillinger-mixing of stationary point processes

We study the following problem: How to verify Brillinger-mixing of stationary point processes in $ {{\mathbb{R}}^d} $ by imposing conditions on a suitable mixing coefficient? For this, we define an absolute regularity (or β-mixing) coefficient for point processes and derive, in terms of this coefficient, an explicit condition that implies finite total variation of the kth-order reduced factorial cumulant measure of the point process for fixed $ k\geqslant 2 $ . To prove this, we introduce higher-order covariance measures and use Statulevi?ius’ representation formula for mixed cumulants in case of random (counting) measures. To illustrate our results, we consider some Brillinger-mixing point processes occurring in stochastic geometry.     

Diffraction et mesure de Palm des processus ponctuels

Using the notion of Palm measure, we prove the existence of the diffraction measure of all stationary and ergodic point processes. We get precise expressions of those measures in the case of specific processes: stochastic subsets of $\text{Z}{}^{\mathrm{d}}$, sets obtained by the “cut-and-project” method. To cite this article: J.-B. Gouéré, C. R. Acad. Sci. Paris, Ser. I 336 (2003).