Extremes of censored and uncensored lifetimes in survival data

Extremes - We consider a random censoring model for survival analysis, allowing the possibility that only a proportion of individuals in the population are susceptible to death or failure, and the...     

Stability and Attraction to Normality for Lévy Processes at Zero and at Infinity

We prove some limiting results for a Lévy process X _t as t0 or t, with a view to their ultimate application in boundary crossing problems for continuous time processes. In the present paper we are mostly concerned with ideas related to relative stability and attraction to the normal distribution on the one hand and divergence to large values of the Lévy process on the other. The aim is to find analytical conditions for these kinds of behaviour which are in terms of the characteristics of the process, rather than its distribution. Some surprising results occur, especially for the case t0; for example, we may have X _t /t ^P + (t0) (weak divergence to +), whereas X _t /t a.s. (t0) is impossible (both are possible when t), and the former can occur when the negative Lévy spectral component dominates the positive, in a certain sense. Almost sure stability of X _t , i.e., X _t tending to a nonzero constant a.s. as t or as t0, after normalisation by a non-stochastic measurable function, reduces to the same type of convergence but with normalisation by t, thus is equivalent to strong law behaviour. Boundary crossing problems which are amenable to the methods we develop arise in areas such as sequential analysis and option pricing problems in finance.     

Stability and other limit laws for exit times of random walks from a strip or a halfplane

We show that the passage time, T^*(r), of a random walk S_n above a horizontal boundary at r (r≥0) is stable (in probability) in the sense that as r→∞ for a deterministic function C(r)>0, if and only if the random walk is relatively stable in the sense that as n→∞ for a deterministic sequence B_n>0. The stability of a passage time is an important ingredient in some proofs in sequential analysis, where it arises during applications of Anscombe's Theorem. We also prove a counterpart for the almost sure stability of T^*(r), which we show is equivalent to E|X|<∞, EX>0. Similarly, counterparts for the exit of the random walk from the strip {|y|≤r} are proved. The conditions arefurther related to the relative stability of the maximal sum and the maximum modulus of the sums. Another result shows that the exit position of the random walk outside the boundaries at ±r drifts to ∞ as r→∞ if and only if the random walk drifts to ∞.     

On the law of large numbers for stationary sequences

We show that if X_i is a stationary sequence for which $\text{S}{}_{\mathrm{n}}\text{B}{}_{\mathrm{n}}$ converges to a finite non zero random variable of constant sign, where S_n=X₁+X₂+?+X_n and B_n is a sequence of constants, then B_n is regularly varying with index 1. If in addition $\text{Σ}\text{P}\text{(|X}{}_1\text{|>B}{}_{\mathrm{n}}$ is finite, then $\text{E}\text{|X}{}_1\text{|}$ is finite, and if in addition to this X_i satisfies an asymptotic independence condition, $\text{E}\text{X}{}_1\text{≠ 0}$.     

Efficient p-adic Cell Decompositions for Univariate Polynomials

Cell decompositions are constructed for polynomials f(x)Z_p[x] of degree n, such that n<p, using O(n²) cells. When f is square-free this yields a polynomial-time algorithm for counting and approximating roots in Z_p. These results extend to give a polynomial-time algorithm in the bit model for fZ[x].     

Almost Sure Relative Stability of the Overshoot of Power Law Boundaries

We give necessary and sufficient conditions for the almost sure relative stability of the overshoot of a random walk when it exits from a two-sided symmetric region with curved boundaries. The boundaries are of power-law type, ±rn ^b , r > 0, n = 1, 2,..., where 0 ≤ b < 1, b≠ 1/2. In these cases, the a.s. stability occurs if and only if the mean step length of the random walk is finite and non-zero, or the step length has a finite variance and mean zero.      

Ionization and Breakdown in SF6-Air and Freon-Nitrogen Mixtures

The sparking potentials and swarm coefficients (ionization and attachment coefficients) have been measured in sulphurhexafluoride- air and freon-nitrogen mixtures over the range of 110 ? E/p ? 240 V cm-1 torr-l and gas pressures varying between 1 and 20 torr, at 20°C. Addition of strongly attaching salphur-hexafluoride and freon gases increased the sparking potentials and the rate of increase of the attachment coefficient with increasing percentage of the strongly attaching gases in the mixtures was much larger than the rate of change of the first ionization coefficient.     

Two renewal theorems for general random walks tending to infinity

Summary. Necessary and sufficient conditions for the existence of moments of the first passage time of a random walk S _n into [x, ∞) for fixed x≧ 0, and the last exit time of the walk from (−∞, x], are given under the condition that S _n →∞ a.s. The methods, which are quite different from those applied in the previously studied case of a positive mean for the increments of S _n , are further developed to obtain the “order of magnitude” as x→∞ of the moments of the first passage and last exit times, when these are finite. A number of other conditions of interest in renewal theory are also discussed, and some results for the first time for which the random walk remains above the level x on K consecutive occasions, which has applications in option pricing, are given. Received: 18 September 1995/In revised form: 28 February 1996     

Finiteness of integrals of functions of Levy processes

We prove necessary and sufficient conditions for the almostsure convergence of the integrals

and thus of ,where M_t = sup{|X_s|: s t} is the two-sided maximum processcorresponding to a Lévy process (X_t)_{t 0}, a(·)is a non-decreasing function on [0, ) with a(0) = 0, g(·)is a positive non-increasing function on (0, ), possibly withg(0 + ) = , and f(·) is a positive non-decreasing functionon [0, ) with f(0) = 0. The conditions are expressed in termsof the canonical measure, (·), of the process X_t. Thespecial case when a(x) = 0, f(x) = x and g(·) is equivalentto the tail of (at zero or infinity) leads to an interestingcomparison of M_t with the largest jump of X_t in (0, t]. Some results concerning the convergence at zero and infinityof integrals like t g(a(t) + |X_t|) dt, t g(S_t) dt,and t g(R_t) dt, where S_t is the supremum process and R_t= S_t – X_t is the process reflected in its supremum, arealso given. We also consider the convergence of integrals suchas , etc.