Growth of Lévy trees

We construct random locally compact real trees called Lévy trees that are the genealogical trees associated with continuous-state branching processes. More precisely, we define a growing family of discrete Galton–Watson trees with i.i.d. exponential branch lengths that is consistent under Bernoulli percolation on leaves; we define the Lévy tree as the limit of this growing family with respect to the Gromov–Hausdorff topology on metric spaces. This elementary approach notably includes supercritical trees and does not make use of the height process introduced by Le Gall and Le Jan to code the genealogy of (sub)critical continuous-state branching processes. We construct the mass measure of Lévy trees and we give a decomposition along the ancestral subtree of a Poisson sampling directed by the mass measure. T. Duquesne is supported by NSF Grants DMS-0203066 and DMS-0405779. M. Winkel is supported by Aon and the Institute of Actuaries, EPSRC Grant GR/T26368/01, le département de mathématique de l’Université d’Orsay and NSF Grant DMS-0405779.     

Doubly stochastic Yule cascades (Part I): The explosion problem in the time-reversible case

Motivated by the probabilistic methods for nonlinear differential equations introduced by McKean (1975) for the Kolmogorov-Petrovski-Piskunov (KPP) equation, and by Le Jan and Sznitman (1997) for the incompressible Navier-Stokes equations (NSE), we identify a new class of stochastic cascade models, referred to as doubly stochastic Yule cascades. We establish non-explosion criteria under the assumption that the randomization of Yule intensities from generation to generation is by an ergodic time-reversible Markov process. In addition to the cascade models that arise in the analysis of certain deterministic nonlinear differential equations, this model includes the multiplicative branching random walks, the branching Markov processes, and the stochastic generalizations of the percolation and/or cell ageing models introduced by Aldous and Shields (1988) and independently by Athreya (1985).     

Representations of the Brownian snake with drift

We consider a path-valued process which is a generalization of the classical Brownian snake introduced by Le Gall. More precisely we add a drift term b to the lifetime process, which may depends on the spatial process. Consequently, this introduces a coupling between the lifetime process and the spatial motion. This process can be obtained from the standard Brownian snake by Girsanov's theorem or by killing of the spatial motion. It can also be viewed as the limit of discrete snakes or, in some special cases, as conditioned Brownian snakes. We also use this process to describe the solutions of the non-linear partial differential equation j u =4 u 2 +4 bu .     

Strong approximations and sequential change-point analysis for diffusion processes

In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.     

Fragmentation associated with Lévy processes using snake

We consider the height process of a Lévy process with no negative jumps, and its associated continuous tree representation. Using Lévy snake tools developed by Le Gall-Le Jan and Duquesne-Le Gall, with an underlying Poisson process, we construct a fragmentation process, which in the stable case corresponds to the self-similar fragmentation described by Miermont. For the general fragmentation process we compute a family of dislocation measures as well as the law of the size of a tagged fragment. We also give a special Markov property for the snake which is of its own interest.      

Gamma-Dirichlet algebra and applications

The Gamma-Dirichlet algebra corresponds to the decomposition of the gamma process into the independent product of a gamma random variable and a Dirichlet process. This structure allows us to study the properties of the Dirichlet process through the gamma process and vice versa. In this article, we begin with a brief survey of several existing results concerning this structure. New results are then obtained for the large deviations of the jump sizes of the gamma process and the quasi-invariance of the two-parameter Poisson-Dirichlet distribution. We finish the paper with the derivation of the transition function of the Fleming-Viot process with parent independent mutation from the transition function of the measure-valued branching diffusion with immigration by exploring the Gamma-Dirichlet algebra embedded in these processes. This last result is motivated by an open R. C. Gritfiths. problem proposed by S. N. Ethier and     

Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type

In this paper, we analyse processes of Ornstein-Uhlenbeck (OU) type, driven by Lévy processes. This class is designed to capture mean reverting behaviour if it exists; but the data may in fact be adequately described by a pure Lévy process with no OU (autoregressive) effect. For an appropriate discretised version of the model, we utilise likelihood methods to test for such a reduction of the OU process to Lévy motion, deriving the distribution of the relevant pseudo-log-likelihood ratio statistics, asymptotically, both for a refining sequence of partitions on a fixed time interval with mesh size tending to zero, and as the length of the observation window grows large. These analyses are non-standard in that the mean reversion parameter vanishes under the null of a pure Lévy process for the data. Despite this we are able to give a very general analysis with no technical restrictions on the underlying processes or parameter sets, other than a finite variance assumption for the Lévy process. As a special case, for Brownian motion as driving process, we deduce the limiting distribution in a quite explicit way, finding results which generalise the well-known Dickey-Fuller (‘unit-root’) theory. This revised version was published online in June 2006 with corrections to the Cover Date.     

BMAP的轨道分析和Q过程的伴随MAP

本文用轨道分析方法研究批量Markov到达过程(BMAP),有别于研究BMAP常用的矩阵解析方法.通过BMAP的表现(D_k,k=0,1,2,…),得到BMAP的跳跃概率,证明了BMAP的相过程是时间齐次Markov链,求出了相过程的转移概率和密度矩阵.此外,给定一个带有限状态空间的Q过程J,其跳跃点的计数过程记为N,证明了Q过程J的伴随过程X*=(N,J)是一个MAP,求出了该MAP的转移概率和表现(D_0,D_1),它们是通过密度矩阵Q来表述的.     

On a synchronization queue with two finite buffers

In this paper, we consider a synchronization queue (or synchronization node) consisting of two buffers with finite capacities. One stream of tokens arriving at the system forms a Poisson process and the other forms a PH-renewal process. The tokens are held in the buffers until one is available from each flow, and then a group-token is instantaneously released as a synchronized departure. We show that the output stream of a synchronization queue is a Markov renewal process, and that the time between consecutive departures has a phase type distribution. Thus, we obtain the throughput of this synchronization queue and the loss probabilities of each type of tokens. Moreover, we consider an extended synchronization model with two Poisson streams where a departing group-token consists of several tokens in each buffer. This revised version was published online in June 2006 with corrections to the Cover Date.     

Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

This paper investigates the ruin probabilities of a renewal risk model with stochastic investment returns and dependent claim sizes. The investment is described as a portfolio of one risk‐free asset and one risky asset whose price process is an exponential Lévy process. The claim sizes are assumed to follow a one‐sided linear process with independent and identically distributed step sizes. When the step‐size distribution is heavy tailed, we establish some uniform asymptotic estimates for the ruin probabilities of this renewal risk model. Copyright © 2012 John Wiley & Sons, Ltd.     

一类多维参数高斯过程的弱逼近

本文研究了一类多维参数高斯过程的弱极限问题.在一般情况下,利用泊松过程得到了此类过程的弱极限定理,此多维参数高斯过程可表示为确定的核函数关于维纳过程的随机积分,且包含多维参数的分数布朗运动.     

The exact packing measure of Lévy trees

We study fine properties of Lévy trees that are random compact metric spaces introduced by Le Gall and Le Jan in 1998 as the genealogy of continuous state branching processes. Lévy trees are the scaling limits of Galton-Watson trees and they generalize the Aldous continuum random tree which corresponds to the Brownian case. In this paper, we prove that Lévy trees always have an exact packing measure: we explicitly compute the packing gauge function and we prove that the corresponding packing measure coincides with the mass measure up to a multiplicative constant.     

The genealogy of continuous-state branching processes with immigration

Recent works by J.F. Le Gall and Y. Le Jan [15] have extended the genealogical structure of Galton-Watson processes to continuous-state branching processes (CB). We are here interested in processes with immigration (CBI). The height process H which contains all the information about this genealogical structure is defined as a simple local time functional of a strong Markov process X ^*, called the genealogy-coding process (GCP). We first show its existence using It?’s synthesis theorem. We then give a pathwise construction of X ^* based on a Lévy process X with no negative jumps that does not drift to +∞ and whose Laplace exponent coincides with the branching mechanism, and an independent subordinator Y whose Laplace exponent coincides with the mechanism. We conclude the construction with proving that the local time process of H is a CBI-process. As an application, we derive the analogue of the classical Ray–Knight–Williams theorem for a general Lévy process with no negative jumps. Received: 28 January 2000 / Revised version: 5 February 2001 / Published online: 11 December 2001     

Branching random walks,stable point processes and regular variation

Using the theory of regular variation, we give a sufficient condition for a point process to be in the superposition domain of attraction of a strictly stable point process. This sufficient condition is used to obtain the weak limit of a sequence of point processes induced by a branching random walk with jointly regularly varying displacements. Because of heavy tails of the step size distribution, we can invoke a one large jump principle at the level of point processes to give an explicit representation of the limiting point process. As a consequence, we extend the main result of Durrett (1983) and verify that two related predictions of Brunet and Derrida (2011) remain valid for this model.     

杨乐不等式的探微

本文利用分析方法及不等式理论 ,建立了杨乐不等式及其推广与加强的探微形式 .     

Imperfect repair in degradation processes: A Kijima‐type approach

We consider a Wiener process with linear drift for degradation modeling. Regularly, maintenance actions are carried out which produce a reduction of the degradation level. In this paper, we consider the influence of such maintenance actions to the further development of the degradation process and the resulting lifetime distribution. A connection between virtual age in Kijima‐type models and degradation level in the underlying degradation process is developed. Furthermore, estimators for the process parameters as well as for the degree of repair are developed.     

退化可修系统最优更换数学模型研究

研究了单部件组成的退化可修系统,在假定故障部件“修复非新”的条件下,以系统中部件的故障次数N为更换策略进行了研究,我们推导出系统经长期运行后,单位时间内期望效益的明显表达式,而且在一定条件下证明了最优策略N*是所有更换策略中最优的.最后还通过几何过程对此进行了讨论.     

A modified insurance risk process with uncertainty

An insurance risk process is traditionally considered by describing the claim process via a renewal reward process and assuming the total premium to be proportional to the time with a constant ratio. It is usually modeled as a stochastic process such as the compound Poisson process, and historical data are collected and employed to estimate the corresponding parameters of probability distributions. However, there exists the case of lack of data such as for a new insurance product. An alternative way is to estimate the parameters based on experts’ subjective belief and information. Therefore, it is necessary to employ the uncertain process to model the insurance risk process. In this paper, we propose a modified insurance risk process in which both the claim process and the premium process are assumed to be renewal reward processes with uncertain factors. Then we give the inverse uncertainty distribution of the modified process at each time. On this basis, we derive the ruin index which has an explicit expression based on given uncertainty distributions.     

Supply planning for industrial ecology and remanufacturing under uncertainty: a numerical study of leaded-waste recovery from television disposal

The use of waste as a raw material for manufacturing is hampered by the uncertainty associated with the availability of supply. Technological change and obsolescence further complicates the ability of decision makers to consider discarded durable products as a potential source of raw materials. This uncertainty complicates remanufacturing and industrial ecology. A problem since remanufacturing and industrial ecology need to be (and can be) profitable as well as environmentally desirable if they are to be encouraged. To address this problem the modelling of the waste flow of durable goods is considered. The disposal of televisions in the United States is used to illustrate the challenges and requirements for forecasting in an environment with supply uncertainty. This example is timely since the diposal of cathode ray tubes (CRTs) in municipal landfills is being banned and an alternate technology trajectory for televisions exists—the flat panel display and phase-out of analogue broadcasting in the US. This paper estimates the waste stream resulting from three different scenarios of CRT leaded-waste disposal patterns. The reuse of lead-containing CRT glass is found to offer potential. The elimination of this controversial waste stream, as a result of replacement by the adoption of flat panel television technology, is still decades away. The findings in this study indicate the range of the quantity of waste that will require an alternative infrastructure as it is displaced from municipal landfills. This study provides important information for both developing a collection infrastructure and processing alternatives to extract the residual value of the disposed of televisions.