A new class of libraries

In this paper we give the stationary measure and a sufficient condition of positive recurrence for a new class of linear libraries. These libraries are built by juxtaposing McCabe's libraries and Tsetlins libraries in an appropriate way: Their policy is not classical, by the fact that instead of a circular permutation, ₁ can be the product of several disjoint circular permutations.     

Future independent times and Markov chains

Summary A random timeT is a future independent time for a Markov chain (X _n ) ₀ ifT is independent of (X _T+n ) _n ^/ =0 and if (X _T+n ) _n ^/ =0 is a Markov chain with initial distribution and the same transition probabilities as (X _n ) ₀ . This concept is used (with the conditional stationary measure) to give a new and short proof of the basic limit theorem of Markov chains, improving somewhat the result in the null-recurrent case.This work was supported by the Swedish Natural Science Research Council and done while the author was visiting the Department of Statistics, Stanford University     

The convergence of matrix transforms for certain Markov chains

In this paper it is shown that, for certain classes of matrices, the matrix transform of a periodic strongly ergodic stochastic matrix P converges.     

Almost sure central limit theorem for strictly stationary processes

On any aperiodic measure preserving system, there exists a square integrable function such that the associated stationary process satifies the Almost Sure Central Limit Theorem.

     

Second‐order properties of the point process of nodes in a stationary Voronoi tessellation

In this paper we derive representation formulae for the second factorial moment measure of the point process of nodes and the second moment of the number of vertices of the typical cell associated with a stationary normal Voronoi tessellation in ?^d . In case the Voronoi tessellation is generated by a stationary Poisson process with intensity λ > 0 the corresponding pair correlation function g_V,λ (r) can be expressed by a weighted sum of d +2 (numerically tractable) multiple parameter integrals. The asymptotic variance of the number of nodes in an increasing cubic domain as well as the second moment of the number of vertices of the typical Poisson Voronoi cell are calculated exactly by means of these parameter integrals. The existence of a (d ? 1)st‐order pole of g_V,λ (r) at r = 0 is proved and the exact value of lim_{r →0} r^{d –1} g_V,λ (r) is determined. In the particular cases d = 2 and d = 3 the graph of g_V,1(r) including its local extreme points, the points of level 1 of gV, 1(r) and other characteristics are computed by numerical integration. Furthermore, an asymptotically exact confidence interval for the intensity of nodes is obtained. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

奖惩系统的数学建模与稳态分析

奖惩系统(Bonus- Malus Systems)是世界各国机动车辆险中广泛采用的一种经验费率厘定机制.本文在最一般的框架下,以有限齐次马尔科夫链对奖惩系统建模,证明了任一奖惩系统皆存在唯一的平稳分布,此外,给出了求解这一平稳分布的一般算法,并揭示了此平稳分布的结构.特别地,针对两种具有特定转移法则的奖惩系统,还给出了它们平稳分布的简明显式表示.     

The Key Renewal Theorem for a Transient Markov Chain

We consider a time-homogeneous real-valued Markov chain X _n , n≥0. Suppose that this chain is transient, that is, X _n generates a σ-finite renewal measure. We prove the key renewal theorem under the condition that this chain has jumps that are asymptotically homogeneous at infinity and asymptotically positive drift.     

订货批量对牛鞭效应的影响分析

对于一个采用连续检查(s,S)订货策略的两级供应链,本文运用Markov链理论,通过对正则平稳Markov链行为特征的分析发现,即使不考虑需求预测方法,供货短缺,提前期和价格波动等因素,仅仅零售商的订货批量就能够产生牛鞭效应.研究结果表明,在需求分布和订货批量的变化范围满足一些条件时,减小订货批量有助于减弱牛鞭效应,从而提高供应链的运作效率.     

Occupation measures for Markov chains

We give simple proofs of large deviation theorems for the occupation measure of a Markov chain using a regeneration argument to establish existence and convexity theory to identify the rate function.     

m值随机变量序列的一个极限定理

本文引进在{1,2,…,m}中取值的随机变量序列相对于m个状态的马氏链的随机比较系数的概念,并利用这个概念给出m值随机变量序列的一个极限定理.     

非齐次马尔可夫链的Gesaro—极限定理

本提出了新的非齐次马尔可夫链的遍历条件,并在此条件下,首次证明了非齐次马尔可夫链转移概率的Ｇｅｓａｒｏ－极限定理。另外,本还给出了一个例子,用它表明本的条件确实比Ｄｏｅｂｌｉｎ条件要弱。     

Counting trees with random walks

We give a simple proof of Tutte’s matrix-tree theorem, a well-known result providing a closed-form expression for the number of rooted spanning trees in a directed graph. Our proof stems from placing a random walk on a directed graph and then applying the Markov chain tree theorem to count trees. The connection between the two theorems is not new, but it appears that only one direction of the formal equivalence between them is readily available in the literature. The proof we now provide establishes the other direction. More generally, our approach is another example showing that random walks can serve as a powerful glue between graph theory and Markov chain theory, allowing formal statements from one side to be carried over to the other.     

Asymptotic properties of digit sequences of random numbers

We consider several aspects of the relationship between a [0, 1]‐valued random variable X and the random sequence of digits given by its m‐ary expansion. We present results for three cases: (a) independent and identically distributed digit sequences; (b) random variables X with smooth densities; (c) stationary digit sequences. In the case of i.i.d. an integral limit thorem is proved which applies for example to relative frequencies, yielding asymptotic moment identities. We deal with occurrence probabilities of digit groups in the case that X has an analytic Lebesgue density. In the case of stationary digits we determine the distribution of X in terms of their transition functions. We study an associated [0, 1]‐valued Markov chain, in particular its ergodicity, and give conditions for the existence of stationary digit sequences with prespecified transition functions. It is shown that all probability measures induced on [0, 1] by such sequences are purely singular except for the uniform distribution. (© 2005 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

一类非齐次树上二重马氏链的若干强偏差定理

强偏差定理一直是概率论研究的中心问题之一.本文通过构造一非负鞅,利用Doob鞅收敛定理得到了一类特殊非齐次树上二重马尔可夫链关于三元状态序组出现频率的若干强偏差定理.     

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??The local limit theorems for the minimum of a random walk with Markovian increments is given, with using Presman's factorization theory. This result implies the asymptotic behaviour of the survival probability for a critical branching process in Markovian depended random environment.     

关于任意随机变量序列泛函的强极限定理

本文在k是固定的正整数，{fn}是R^k 1上的Borel可测函数列时，得到了任意随机变量序列{Xrn≥0}的泛函{fn(Xn-k,…,Xn)}的强极限定理，它是Chung的关于独立随机变量序列的强大数律的推广，作为推论，得到了k重非齐次马尔科夫链的一类强极限定理．     

On anticipated backward stochastic differential equations with Markov chain noise

In 2013, Lu and Ren considered anticipated backward stochastic differential equations driven by finite state, continuous time Markov chain noise and established the existence and uniqueness of the solutions of these equations and a scalar comparison theorem. In this article, we provide an estimate for their solutions and study the duality between these equations and stochastic differential delayed equations with Markov chain noise. Finally, we derive another comparison theorem for these solutions depending only on the two drivers.     

A combinatorial approach to jumping particles: The parallel TASEP

In this article, we continue the combinatorial study of models of particles jumping on a row of cells which we initiated with the standard totally asymmetric simple exclusion process or TASEP (Duchi and Schaeffer, Journal of Combinatorial Theory, Series A, 110(2005), 1–29). We consider here the parallel TASEP, in which particles can jump simultaneously. On the one hand, the interest in this process comes from highway traffic modeling: it is the only solvable special case of the Nagel‐Schreckenberg automaton, the most popular model in that context. On the other hand, the parallel TASEP is of some theoretical interest because the derivation of its stationary distribution, as appearing in the physics literature, is harder than that of the standard TASEP. We offer here an elementary derivation that extends the combinatorial approach we developed for the standard TASEP. In particular, we show that this stationary distribution can be expressed in terms of refinements of Catalan numbers. © 2008 Wiley Periodicals, Inc. Random Struct. Alg., 2008     

奖惩系统在随机优序下的极小与极大平稳分布

奖惩系统(Bonus-M a lus System)是世界各国机动车辆险中广泛采用的一种经验费率厘定机制.文[1]在最一般的框架下,给出了奖惩系统的数学建模与稳态分析.本文将进一步证明,文[1]中给出的奖惩系统两种特定的平稳分布恰分别是奖惩系统在随机优序下的极小与极大平稳分布.特别地,基于这一事实严格证明了文[1]提出的有关封闭型奖惩系统年度总保费的一个猜想.     

A Conditional CLT which Fails for Ergodic Components

We show that the conditional central limit theorem can take place for a stationary process defined on a nonergodic dynamical system while this last does not satisfy the central limit theorem for any ergodic component. There exists an ergodic Markov chain such that the conditional central limit theorem is satisfied for an invariant measure but fails to hold for almost all starting points.