Poisson Broken Lines Process and its Application to Bernoulli First Passage Percolation

In this note we introduce a process, which we call 'the Poisson broken lines process", and we compute the intensity of a point process which is obtained by intersecting the Poisson broken lines process with an abscissa axis. In the second part we apply this result to compute an explicit lower bound for the time constant of a planar Bernoulli first passage percolation model with the parameter p < p_c.     

A Feynman-Kac type formula for a fixed delay CIR model

Stochastic delay differential equations (SDDE’s) have been used for financial modeling. In this article, we study a SDDE obtained by the equation of a CIR process, with an additional fixed delay term in drift; in particular, we prove that there exists a unique strong solution (positive and integrable) which we call fixed delay CIR process. Moreover, for the fixed delay CIR process, we derive a Feynman-Kac type formula, leading to a generalized exponential-affine formula, which is used to determine a bond pricing formula when the interest rate follows the delay’s equation. It turns out that, for each maturity time T, the instantaneous forward rate is an affine function (with time dependent coefficients) of the rate process and of an auxiliary process (also depending on T). The coefficients satisfy a system of deterministic differential equations.     

The “Gauss-Seidelization” of iterative methods for solving nonlinear equations in the complex plane

In this paper we introduce a process we have called “Gauss-Seidelization” for solving nonlinear equations. We have used this name because the process is inspired by the well-known Gauss-Seidel method to numerically solve a system of linear equations. Together with some convergence results, we present several numerical experiments in order to emphasize how the Gauss-Seidelization process influences on the dynamical behavior of an iterative method for solving nonlinear equations.     

The Supremum of Chi-Square Processes

We describe a lower bound for the critical value of the supremum of a Chi-Square process. This bound can be approximated using an RQMC simulation. We compare numerically this bound with the upper bound given by Davies, only suitable for a regular Chi-Square process. In a second part, we focus on a non regular Chi-Square process: the Ornstein–Uhlenbeck Chi-Square process. Recently, Rabier et al. (2009) have shown that this process has an application in genetics: it is the limiting process of the likelihood ratio test process related to the test of a gene on an interval representing a chromosome. Using results from Delong (Commun Stat Theory Method A10(20):2197–2213, 1981), we propose a theoretical formula for the supremum of such a process and we compare it in particular with our simulated lower bound.     

THE POINT PROCESS OF STATETRANSITIONS IN AREGULAR MARKOV CHAIN

1.IntroductionInreliabilitytheory,inordertocalculatethefailurefrequencyofarepairablesystem,Shily]firstintroducedandstudiedthetransitionfrequencybetweentwodisjointstatesetsforafiniteMarkovchainandavectorMarkovprocesswithfinitediscretestatespaceandobtainedageneralformulaoftransitionfrequency.Then,ontheconditionthatthegeneratormatrixofMarkovchainisuniformlybounded,Shi[8'9]againprovedthetransitionfrequencyformulaandobtainedthreeotherusefulformulas.Obviously,thepoint(orcalledcounting)processofsta…     

The Dichotomy of Recurrence and Transience of Semi-Lévy Processes

A semi-Lévy process is an additive process with periodically stationary increments. In particular, it is a generalization of a Lévy process. The dichotomy of recurrence and transience of Lévy processes is well known, but this is not necessarily true for general additive processes. In this paper, we prove the recurrence and transience dichotomy of semi-Lévy processes. For the proof, we introduce a concept of semi-random walk and discuss its recurrence and transience properties. An example of semi-Lévy process constructed from two independent Lévy processes is investigated. Finally, we prove the laws of large numbers for semi-Lévy processes.     

Properties of the Reflected Ornstein–Uhlenbeck Process

Consider an Ornstein–Uhlenbeck process with reflection at the origin. Such a process arises as an approximating process both for queueing systems with reneging or state-dependent balking and for multi-server loss models. Consequently, it becomes important to understand its basic properties. In this paper, we show that both the steady-state and transient behavior of the reflected Ornstein–Uhlenbeck process is reasonably tractable. Specifically, we (1) provide an approximation for its transient moments, (2) compute a perturbation expansion for its transition density, (3) give an approximation for the distribution of level crossing times, and (4) establish the growth rate of the maximum process.     

Space-Fractional Versions of the Negative Binomial and Polya-Type Processes

In this paper, we introduce a space fractional negative binomial process (SFNB) by time-changing the space fractional Poisson process by a gamma subordinator. Its one-dimensional distributions are derived in terms of generalized Wright functions and their governing equations are obtained. It is a Lévy process and the corresponding Lévy measure is given. Extensions to the case of distributed order SFNB, where the fractional index follows a two-point distribution, are investigated in detail. The relationship with space fractional Polya-type processes is also discussed. Moreover, we define and study multivariate versions, which we obtain by time-changing a d-dimensional space-fractional Poisson process by a common independent gamma subordinator. Some applications to population’s growth and epidemiology models are explored. Finally, we discuss algorithms for the simulation of the SFNB process.     

Uniform attractors for the closed process and applications to the reaction-diffusion equation with dynamical boundary condition

In this paper, we first introduce the concept of a closed process in a Banach space, and we obtain the structure of a uniform attractor of the closed process by constructing a skew product-flow on the extended phase space. Then, the properties of the kernel section of closed process are investigated. Moreover, we prove the existence and structure of the uniform attractor for the reaction-diffusion equation with a dynamical boundary condition in L^p without any restriction on the growth order of the nonlinear term.     

Is the dying individual the oldest?

Consider a population in which the birth times are a Poisson process with rate γ lifetimes are independent and identically distributed and lifetimes are independent of the birth process. In the paper we provide methods for calculation of several quantities involving the oldest member (senior) of the population. In particular we study the senior's age process and the point process of seniors' deaths obtained by dependent thinning of a Poisson process.     

Predictors for stationary processes with finite generalized Markovian property

A theorem is proved which establishes the conditions for a Gaussian vector stationary process to be Markovian. For a stationary process with finite generalized Markov property we construct a vector Markov process whose first coordinate coincides with the given process. Applying our theorem to the vector process, we derive formulas for the linear predictor of a process with finite generalized Markov property.Translated from Statisticheskie Metody, pp. 82–90, 1980.I would like to acknowledge the helpful attention of P. N. Sapozhnikov.     

?-measure for continuous state branching processes and its application

In this paper, we first give a direct construction of the ℕ-measure of a continuous state branching process. Then we prove, with the help of this ℕ-measure, that any continuous state branching process with immigration can be constructed as the independent sum of a continuous state branching process (without immigration), and two immigration parts (jump immigration and continuum immigration). As an application of this construction of a continuous state branching process with immigration, we give a proof of a necessary and sufficient condition, first stated without proof by M. A. Pinsky [Bull. Amer. Math. Soc., 1972, 78: 242–244], for a continuous state branching process with immigration to a proper almost sure limit. As another application of the ℕ-measure, we give a “conceptual” proof of an L log L criterion for a continuous state branching process without immigration to have an L ¹-limit first proved by D. R. Grey [J. Appl. Prob., 1974, 11: 669–677].     

Drift transforms and Green function estimates for discontinuous processes

In this paper, we consider Girsanov transforms of pure jump type for discontinuous Markov processes. We show that, under some quite natural conditions, the Green functions of the Girsanov transformed process are comparable to those of the original process. As an application of the general results, the drift transform of symmetric stable processes is studied in detail. In particular, we show that the relativistic α-stable process in a bounded C^1,1-smooth open set D can be obtained from symmetric α-stable process in D through a combination of a pure jump Girsanov transform and a Feynman-Kac transform. From this, we deduce that the Green functions for these two processes in D are comparable.     

STRONG LIMIT AND ENTRANCE DECOMPOSITION FOR DENUMERABLE MARKOV PROCESSES

In this paper some strong limit theorems for denumerable Markov processes have been discussed. These theorems extended results about transformations g_n and f_n in [4] and [3]. Using these theorems, we can decompose a process according to ways in which the process enters. By the entrance decomposition theorem for a process, we can investigate each entrance alone while all possible entrance cases are present.     

Heavy-traffic limits for many-server queues with service interruptions

We establish many-server heavy-traffic limits for G/M/n+M queueing models, allowing customer abandonment (the +M), subject to exogenous regenerative service interruptions. With unscaled service interruption times, we obtain a FWLLN for the queue-length process, where the limit is an ordinary differential equation in a two-state random environment. With asymptotically negligible service interruptions, we obtain a FCLT for the queue-length process, where the limit is characterized as the pathwise unique solution to a stochastic integral equation with jumps. When the arrivals are renewal and the interruption cycle time is exponential, the limit is a Markov process, being a jump-diffusion process in the QED regime and an O–U process driven by a Levy process in the ED regime (and for infinite-server queues). A stochastic-decomposition property of the steady-state distribution of the limit process in the ED regime (and for infinite-server queues) is obtained.     

Optimal Tracking for an Insurance Model

Abstract

In this article, we assume that we have a number of candidate insurance models for describing a risk process. Suppose that in each model the risk process is a function of the states of some Markov chains. Based on observing the history of the premiums and claims processes we propose dynamics whose solutions indicate the likelihoods of each candidate model.     

Extensions of Lévy-Khintchine formula and Beurling-Deny formula in semi-Dirichlet forms setting

The Lévy-Khintchine formula or, more generally, Courrège's theorem characterizes the infinitesimal generator of a Lévy process or a Feller process on Rd. For more general Markov processes, the formula that comes closest to such a characterization is the Beurling-Deny formula for symmetric Dirichlet forms. In this paper, we extend these celebrated structure results to include a general right process on a metrizable Lusin space, which is supposed to be associated with a semi-Dirichlet form. We start with decomposing a regular semi-Dirichlet form into the diffusion, jumping and killing parts. Then, we develop a local compactification and an integral representation for quasi-regular semi-Dirichlet forms. Finally, we extend the formulae of Lévy-Khintchine and Beurling-Deny in semi-Dirichlet forms setting through introducing a quasi-compatible metric.     

Pullback attractors for the norm-to-weak continuous process and application to the nonautonomous reaction–diffusion equations

In this paper, we introduce the concept of norm-to-weak continuous process in a Banach space, and obtain the existence of pullback attractors for this kind of process. Then we give a new method for proving the existence of the pullback attractors. As an application, we obtain the existence of pullback attractors for nonautonomous reaction–diffusion equation in with exponential growth of the external force.     

Capability adjustment for gamma processes with mean shift consideration in implementing Six Sigma program

In the 1980s, Motorola, Inc. introduced its Six Sigma quality program to the world. Some quality practitioners questioned why the Six Sigma advocates claim it is necessary to add a 1.5σ shift to the process mean when estimating process capability. Bothe [Bothe, D.R., 2002. Statistical reason for the 1.5σ shift. Quality Engineering 14 (3), 479–487] provided a statistical reason for considering such a shift in the process mean for normal processes. In this paper, we consider gamma processes which cover a wide class of applications. For fixed sample size n, the detection power of the control chart can be computed. For small process mean shifts, it is beyond the control chart detection power, which results in overestimating process capability. To resolve the problem, we first examine Bothe’s approach and find the detection power is less than 0.5 when data comes from gamma distribution, showing that Bothe’s adjustments are inadequate when we have gamma processes. We then calculate adjustments under various sample sizes n and gamma parameter N, with power fixed to 0.5. At the end, we adjust the formula of process capability to accommodate those shifts which can not be detected. Consequently, our adjustments provide much more accurate capability calculation for gamma processes. For illustration purpose, an application example is presented.     

Infinitesimal perturbation analysis of a birth and death process

Using a birth and death process as an illustrative example, we introduce the notion of alternative representations of stochastic processes and discuss its importance for infinitesimal perturbation analysis derivative estimation. Through a different choice of representation, we are led to an IPA algorithm for a birth and death process better than one discussed by other authors.