We consider a sequence of Poisson cluster point processes on $\mathbb{R}^d$ : at step $n\in\mathbb{N}_0$ of the construction, the cluster centers have intensity $c/(n+1)$ for some $c>0$ , and each cluster consists of the particles of a branching random walk up to generation n—generated by a point process with mean 1. We show that this ‘critical cluster cascade’ converges weakly, and that either the limit point process equals the void process (extinction), or it has the same intensity c as the critical cluster cascade (persistence). We obtain persistence if and only if the Palm version of the outgrown critical branching random walk is locally almost surely finite. This result allows us to give numerous examples for persistent critical cluster cascades.

Consider a two-type Moran population of size N with selection and mutation, where the selective advantage of the fit individuals is amplified at extreme environmental conditions. Assume selection and mutation are weak with respect to N, and extreme environmental conditions rarely occur. We show that, as $N\to\infty$, the type frequency process with time sped up by N converges to the solution to a Wright–Fisher-type SDE with a jump term modeling the effect of the environment. We use an extension of the ancestral selection graph (ASG) to describe the genealogical picture of the model. Next, we show that the type frequency process and the line-counting process of a pruned version of the ASG satisfy a moment duality. This relation yields a characterization of the asymptotic type distribution. We characterize the ancestral type distribution using an alternative pruning of the ASG. Most of our results are stated in annealed and quenched form.

This paper presents a new matrix-infinite-product-form (MIP-form) solution for the stationary distribution in upper block-Hessenberg Markov chains (UBH-MCs). The existing MIP-form solution (Masuyama, Queueing Systems 92, 2019, pp. 173–200) requires a certain parameter set that satisfies both a Foster–Lyapunov drift condition and a convergence condition. In contrast, the new MIP-form solution requires no such parameter sets and no other conditions. The new MIP-form solution also has ‘quasi-algorithmic constructibility’, which is a newly introduced feature of being constructed by iterating infinitely many times a recursive procedure of finite complexity per iteration. This feature is not found in the other existing solutions for the stationary distribution in general UBH-MCs.

In the literature on active redundancy allocation, the redundancy lifetimes are usually postulated to be independent of the component lifetimes for the sake of technical convenience. However, this unrealistic assumption leads to a risk of inaccurately evaluating system reliability, because it overlooks the statistical dependence of lifetimes due to common stresses. In this study, for k-out-of-n:F systems with component and redundancy lifetimes linked by the Archimedean copula, we show that (i) allocating more homogeneous redundancies to the less reliable components tends to produce a redundant system with stochastically larger lifetime, (ii) the reliability of the redundant system can be uniformly maximized through balancing the allocation of homogeneous redundancies in the context of homogeneous components, and (iii) allocating a more reliable matched redundancy to a less reliable component produces a more reliable system. These novel results on k-out-of-n:F systems in which component and redundancy lifetimes are statistically dependent are more applicable to the complicated engineering systems that arise in real practice. Some numerical examples are also presented to illustrate these findings.

In this paper, we consider a financial or insurance system with a finite number of individual risks described by real-valued random variables. We focus on two kinds of risk measures, referred to as the tail moment (TM) and the tail central moment (TCM), which are defined as the conditional moment and conditional central moment of some individual risk in the event of system crisis. The first-order TM and the second-order TCM coincide with the popular risk measures called the marginal expected shortfall and the tail variance, respectively. We derive asymptotic expressions for the TM and TCM with any positive integer orders, when the individual risks are pairwise asymptotically independent and have distributions from certain classes that contain both light-tailed and heavy-tailed distributions. The formulas obtained possess concise forms unrelated to dependence structures, and hence enable us to estimate the TM and TCM efficiently. To demonstrate the wide application of our results, we revisit some issues related to premium principles and optimal capital allocation from the asymptotic point of view. We also give a numerical study on the relative errors of the asymptotic results obtained, under some specific scenarios when there are two individual risks in the system. The corresponding asymptotic properties of the degenerate univariate versions of the TM and TCM are discussed separately in an appendix at the end of the paper.

Suppose that m drivers each choose a preferred parking space in a linear car park with n spots. In order, each driver goes to their chosen spot and parks there if possible, and otherwise takes the next available spot if it exists. If all drivers park successfully, the sequence of choices is called a parking function. Classical parking functions correspond to the case $m=n$.

We investigate various probabilistic properties of a uniform parking function. Through a combinatorial construction termed a parking function multi-shuffle, we give a formula for the law of multiple coordinates in the generic situation $m \lesssim n$. We further deduce all possible covariances: between two coordinates, between a coordinate and an unattempted spot, and between two unattempted spots. This asymptotic scenario in the generic situation $m \lesssim n$ is in sharp contrast with that of the special situation $m=n$.

A generalization of parking functions called interval parking functions is also studied, in which each driver is willing to park only in a fixed interval of spots. We construct a family of bijections between interval parking functions with n cars and n spots and edge-labeled spanning trees with $n+1$ vertices and a specified root.

We establish sufficient conditions for differentiability of the expected cost collected over a discrete-time Markov chain until it enters a given set. The parameter with respect to which differentiability is analysed may simultaneously affect the Markov chain and the set defining the stopping criterion. The general statements on differentiability lead to unbiased gradient estimators.

In this paper we estimate the expected error of a stochastic approximation algorithm where the maximum of a function is found using finite differences of a stochastic representation of that function. An error estimate of the order $n^{-1/5}$ for the nth iteration is achieved using suitable parameters. The novelty with respect to previous studies is that we allow the stochastic representation to be discontinuous and to consist of possibly dependent random variables (satisfying a mixing condition).

We obtain series expansions of the q-scale functions of arbitrary spectrally negative Lévy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit q-scale functions. Moreover, we study smoothness properties of the q-scale functions of spectrally negative Lévy processes with infinite jump activity. This complements previous results of Chan et al. (Prob. Theory Relat. Fields 150, 2011) for spectrally negative Lévy processes with Gaussian component or bounded variation.

Suppose that a system is affected by a sequence of random shocks that occur over certain time periods. In this paper we study the discrete censored $\delta$-shock model, $\delta \ge 1$, for which the system fails whenever no shock occurs within a $\delta$-length time period from the last shock, by supposing that the interarrival times between consecutive shocks are described by a first-order Markov chain (as well as under the binomial shock process, i.e., when the interarrival times between successive shocks have a geometric distribution). Using the Markov chain embedding technique introduced by Chadjiconstantinidis et al. (Adv. Appl. Prob. 32, 2000), we study the joint and marginal distributions of the system’s lifetime, the number of shocks, and the number of periods in which no shocks occur, up to the failure of the system. The joint and marginal probability generating functions of these random variables are obtained, and several recursions and exact formulae are given for the evaluation of their probability mass functions and moments. It is shown that the system’s lifetime follows a Markov geometric distribution of order $\delta$ (a geometric distribution of order $\delta$ under the binomial setup) and also that it follows a matrix-geometric distribution. Some reliability properties are also given under the binomial shock process, by showing that a shift of the system’s lifetime random variable follows a compound geometric distribution. Finally, we introduce a new mixed discrete censored $\delta$-shock model, for which the system fails when no shock occurs within a $\delta$-length time period from the last shock, or the magnitude of the shock is larger than a given critical threshold $\gamma >0$. Similarly, for this mixed model, we study the joint and marginal distributions of the system’s lifetime, the number of shocks, and the number of periods in which no shocks occur, up to the failure of the system, under the binomial shock process.

Consider a set of n vertices, where each vertex has a location in $\mathbb{R}^d$ that is sampled uniformly from the unit cube in $\mathbb{R}^d$, and a weight associated to it. Construct a random graph by placing edges independently for each vertex pair with a probability that is a function of the distance between the locations and the vertex weights.

Under appropriate integrability assumptions on the edge probabilities that imply sparseness of the model, after appropriately blowing up the locations, we prove that the local limit of this random graph sequence is the (countably) infinite random graph on $\mathbb{R}^d$ with vertex locations given by a homogeneous Poisson point process, having weights which are independent and identically distributed copies of limiting vertex weights. Our set-up covers many sparse geometric random graph models from the literature, including geometric inhomogeneous random graphs (GIRGs), hyperbolic random graphs, continuum scale-free percolation, and weight-dependent random connection models.

We prove that the limiting degree distribution is mixed Poisson and the typical degree sequence is uniformly integrable, and we obtain convergence results on various measures of clustering in our graphs as a consequence of local convergence. Finally, as a byproduct of our argument, we prove a doubly logarithmic lower bound on typical distances in this general setting.

We study a general model of recursive trees where vertices are equipped with independent weights and at each time-step a vertex is sampled with probability proportional to its fitness function, which is a function of its weight and degree, and connects to $\ell$ new-coming vertices. Under a certain technical assumption, applying the theory of Crump–Mode–Jagers branching processes, we derive formulas for the limiting distributions of the proportion of vertices with a given degree and weight, and proportion of edges with endpoint having a certain weight. As an application of this theorem, we rigorously prove observations of Bianconi related to the evolving Cayley tree (Phys. Rev. E 66, paper no. 036116, 2002). We also study the process in depth when the technical condition can fail in the particular case when the fitness function is affine, a model we call ‘generalised preferential attachment with fitness’. We show that this model can exhibit condensation, where a positive proportion of edges accumulates around vertices with maximal weight, or, more drastically, can have a degenerate limiting degree distribution, where the entire proportion of edges accumulates around these vertices. Finally, we prove stochastic convergence for the degree distribution under a different assumption of a strong law of large numbers for the partition function associated with the process.

We consider continuous space–time decay–surge population models, which are semi-stochastic processes for which deterministically declining populations, bound to fade away, are reinvigorated at random times by bursts or surges of random sizes. In a particular separable framework (in a sense made precise below) we provide explicit formulae for the scale (or harmonic) function and the speed measure of the process. The behavior of the scale function at infinity allows us to formulate conditions under which such processes either explode or are transient at infinity, or Harris recurrent. A description of the structures of both the discrete-time embedded chain and extreme record chain of such continuous-time processes is supplied.

We study (asymmetric) $U$-statistics based on a stationary sequence of $m$-dependent variables; moreover, we consider constrained $U$-statistics, where the defining multiple sum only includes terms satisfying some restrictions on the gaps between indices. Results include a law of large numbers and a central limit theorem, together with results on rate of convergence, moment convergence, functional convergence, and a renewal theory version.

Special attention is paid to degenerate cases where, after the standard normalization, the asymptotic variance vanishes; in these cases non-normal limits occur after a different normalization.

The results are motivated by applications to pattern matching in random strings and permutations. We obtain both new results and new proofs of old results.

Let X be a d-dimensional diffusion and M the running supremum of its first component. In this paper, we show that for any $t>0,$ the density (with respect to the $(d+1)$-dimensional Lebesgue measure) of the pair $\big(M_t,X_t\big)$ is a weak solution of a Fokker–Planck partial differential equation on the closed set $\big\{(m,x)\in \mathbb{R}^{d+1},\,{m\geq x^1}\big\},$ using an integral expansion of this density.

This article examines large-time behaviour of finite-state mean-field interacting particle systems. Our first main result is a sharp estimate (in the exponential scale) of the time required for convergence of the empirical measure process of the N-particle system to its invariant measure; we show that when time is of the order $\exp\{N\Lambda\}$ for a suitable constant $\Lambda > 0$ , the process has mixed well and it is close to its invariant measure. We then obtain large-N asymptotics of the second-largest eigenvalue of the generator associated with the empirical measure process when it is reversible with respect to its invariant measure. We show that its absolute value scales as $\exp\{{-}N\Lambda\}$ . The main tools used in establishing our results are the large deviation properties of the empirical measure process from its large-N limit. As an application of the study of large-time behaviour, we also show convergence of the empirical measure of the system of particles to a global minimum of a certain ‘entropy’ function when particles are added over time in a controlled fashion. The controlled addition of particles is analogous to the cooling schedule associated with the search for a global minimum of a function using the simulated annealing algorithm.

We present an affine-invariant random walk for drawing uniform random samples from a convex body $\mathcal{K} \subset \mathbb{R}^n$ that uses maximum-volume inscribed ellipsoids, known as John’s ellipsoids, for the proposal distribution. Our algorithm makes steps using uniform sampling from the John’s ellipsoid of the symmetrization of $\mathcal{K}$ at the current point. We show that from a warm start, the random walk mixes in ${\widetilde{O}}\!\left(n^7\right)$ steps, where the log factors hidden in the ${\widetilde{O}}$ depend only on constants associated with the warm start and desired total variation distance to uniformity. We also prove polynomial mixing bounds starting from any fixed point x such that for any chord pq of $\mathcal{K}$ containing x, $\left|\log \frac{|p-x|}{|q-x|}\right|$ is bounded above by a polynomial in n.

This paper investigates properties of the class of graphs based on exchangeable point processes. We provide asymptotic expressions for the number of edges, number of nodes, and degree distributions, identifying four regimes: (i) a dense regime, (ii) a sparse, almost dense regime, (iii) a sparse regime with power-law behaviour, and (iv) an almost extremely sparse regime. We show that, under mild assumptions, both the global and local clustering coefficients converge to constants which may or may not be the same. We also derive a central limit theorem for subgraph counts and for the number of nodes. Finally, we propose a class of models within this framework where one can separately control the latent structure and the global sparsity/power-law properties of the graph.

Matryoshka dolls, the traditional Russian nesting figurines, are known worldwide for each doll’s encapsulation of a sequence of smaller dolls. In this paper, we exploit the structure of a new sequence of nested matrices we call matryoshkan matrices in order to compute the moments of the one-dimensional polynomial processes, a large class of Markov processes. We characterize the salient properties of matryoshkan matrices that allow us to compute these moments in closed form at a specific time without computing the entire path of the process. This simplifies the computation of the polynomial process moments significantly. Through our method, we derive explicit expressions for both transient and steady-state moments of this class of Markov processes. We demonstrate the applicability of this method through explicit examples such as shot noise processes, growth–collapse processes, ephemerally self-exciting processes, and affine stochastic differential equations from the finance literature. We also show that we can derive explicit expressions for the self-exciting Hawkes process, for which finding closed-form moment expressions has been an open problem since their introduction in 1971. In general, our techniques can be used for any Markov process for which the infinitesimal generator of an arbitrary polynomial is itself a polynomial of equal or lower order.

During an epidemic outbreak, typically only partial information about the outbreak is known. A common scenario is that the infection times of individuals are unknown, but individuals, on displaying symptoms, are identified as infectious and removed from the population. We study the distribution of the number of infectives given only the times of removals in a Markovian susceptible–infectious–removed (SIR) epidemic. Primary interest is in the initial stages of the epidemic process, where a branching (birth–death) process approximation is applicable. We show that the number of individuals alive in a time-inhomogeneous birth–death process at time $t \geq 0$, given only death times up to and including time t, is a mixture of negative binomial distributions, with the number of mixing components depending on the total number of deaths, and the mixing weights depending upon the inter-arrival times of the deaths. We further consider the extension to the case where some deaths are unobserved. We also discuss the application of the results to control measures and statistical inference.