We study two models of an age-biased graph process: the $\delta$ -version of the preferential attachment graph model (PAM) and the uniform attachment graph model (UAM), with m attachments for each of the incoming vertices. We show that almost surely the scaled size of a breadth-first (descendant) tree rooted at a fixed vertex converges, for $m=1$ , to a limit whose distribution is a mixture of two beta distributions and a single beta distribution respectively, and that for $m>1$ the limit is 1. We also analyze the likely performance of two greedy (online) algorithms, for a large matching set and a large independent set, and determine – for each model and each greedy algorithm – both a limiting fraction of vertices involved and an almost sure convergence rate.

Let $q\ge2$ be an integer, $\{X_n\}_{n\geq 1}$ a stochastic process with state space $\{0,\ldots,q-1\}$ , and F the cumulative distribution function (CDF) of $\sum_{n=1}^\infty X_n q^{-n}$ . We show that stationarity of $\{X_n\}_{n\geq 1}$ is equivalent to a functional equation obeyed by F, and use this to characterize the characteristic function of X and the structure of F in terms of its Lebesgue decomposition. More precisely, while the absolutely continuous component of F can only be the uniform distribution on the unit interval, its discrete component can only be a countable convex combination of certain explicitly computable CDFs for probability distributions with finite support. We also show that $\mathrm{d} F$ is a Rajchman measure if and only if F is the uniform CDF on [0, 1].

In this paper we define a family of preferential attachment models for random graphs with fitness in the following way: independently for each node, at each time step a random fitness is drawn according to the position of a moving average process with positive increments. We will define two regimes in which our graph reproduces some features of two well-known preferential attachment models: the Bianconi–Barabási and Barabási–Albert models. We will discuss a few conjectures on these models, including the convergence of the degree sequence and the appearance of Bose–Einstein condensation in the network when the drift of the fitness process has order comparable to the graph size.

Latouche and Nguyen (2015b) constructed a sequence of stochastic fluid processes and showed that it converges weakly to a Markov-modulated Brownian motion (MMBM). Here, we construct a different sequence of stochastic fluid processes and show that it converges strongly to an MMBM. To the best of our knowledge, this is the first result on strong convergence to a Markov-modulated Brownian motion. Besides implying weak convergence, such a strong approximation constitutes a powerful tool for developing deep results for sophisticated models. Additionally, we prove that the rate of this almost sure convergence is $o(n^{-1/2} \log n)$ . When reduced to the special case of standard Brownian motion, our convergence rate is an improvement over that obtained by a different approximation in Gorostiza and Griego (1980), which is $o(n^{-1/2}(\log n)^{5/2})$ .

Log-concavity of a joint survival function is proposed as a model for bivariate increasing failure rate (BIFR) distributions. Its connections with or distinctness from other notions of BIFR are discussed. A necessary and sufficient condition for a bivariate survival function to be log-concave (BIFR-LCC) is given that elucidates the impact of dependence between lifetimes on ageing. Illustrative examples are provided to explain BIFR-LCC for both positive and negative dependence.

We analyze the discounted probability of exponential Parisian ruin for the so-called scaled classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the comparison method from differential equations to prove that the discounted probability of exponential Parisian ruin for the scaled classical risk model converges to the corresponding discounted probability for its diffusion approximation, and we derive the rate of convergence.

We derive the asymptotic behavior of the total, active, and inactive branch lengths of the seed bank coalescent when the initial sample size grows to infinity. These random variables have important applications for populations evolving under some seed bank effects, such as plants and bacteria, and for some cases of structured populations like metapopulations. The proof relies on the analysis of the tree at a stopping time corresponding to the first time a deactivated lineage is reactivated. We also give conditional sampling formulas for the random partition, and we study the system at the time of the first reactivation of a lineage. All these results provide a good picture of the different regimes and behaviors of the block-counting process of the seed bank coalescent.

In contrast to previous belief, we provide examples of stationary ergodic random measures that are both hyperfluctuating and strongly rigid. Therefore we study hyperplane intersection processes (HIPs) that are formed by the vertices of Poisson hyperplane tessellations. These HIPs are known to be hyperfluctuating, that is, the variance of the number of points in a bounded observation window grows faster than the size of the window. Here we show that the HIPs exhibit a particularly strong rigidity property. For any bounded Borel set B, an exponentially small (bounded) stopping set suffices to reconstruct the position of all points in B and, in fact, all hyperplanes intersecting B. Therefore the random measures supported by the hyperplane intersections of arbitrary (but fixed) dimension, are also hyperfluctuating. Our examples aid the search for relations between correlations, density fluctuations, and rigidity properties.

We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observation times and a stopping time corresponding to the declaration of disorder. We characterize the minimal cost of the disorder problem with costly observations as the unique fixed point of a certain jump operator, and we determine the optimal strategy.

Network dynamics with point-process-based interactions are of paramount modeling interest. Unfortunately, most relevant dynamics involve complex graphs of interactions for which an exact computational treatment is impossible. To circumvent this difficulty, the replica-mean-field approach focuses on randomly interacting replicas of the networks of interest. In the limit of an infinite number of replicas, these networks become analytically tractable under the so-called ‘Poisson hypothesis’. However, in most applications this hypothesis is only conjectured. In this paper we establish the Poisson hypothesis for a general class of discrete-time, point-process-based dynamics that we propose to call fragmentation-interaction-aggregation processes, and which are introduced here. These processes feature a network of nodes, each endowed with a state governing their random activation. Each activation triggers the fragmentation of the activated node state and the transmission of interaction signals to downstream nodes. In turn, the signals received by nodes are aggregated to their state. Our main contribution is a proof of the Poisson hypothesis for the replica-mean-field version of any network in this class. The proof is obtained by establishing the propagation of asymptotic independence for state variables in the limit of an infinite number of replicas. Discrete-time Galves–Löcherbach neural networks are used as a basic instance and illustration of our analysis.

In this paper we introduce new birth-and-death processes with partial catastrophe and study some of their properties. In particular, we obtain some estimates for the mean catastrophe time, and the first and second moments of the distribution of the process at a fixed time t. This is completed by some asymptotic results.

Motivated by applications to wireless networks, cloud computing, data centers, etc., stochastic processing networks have been studied in the literature under various asymptotic regimes. In the heavy traffic regime, the steady-state mean queue length is proved to be $\Theta({1}/{\epsilon})$ , where $\epsilon$ is the heavy traffic parameter (which goes to zero in the limit). The focus of this paper is on obtaining queue length bounds on pre-limit systems, thus establishing the rate of convergence to heavy traffic. For the generalized switch, operating under the MaxWeight algorithm, we show that the mean queue length is within $\textrm{O}({\log}({1}/{\epsilon}))$ of its heavy traffic limit. This result holds regardless of the complete resource pooling (CRP) condition being satisfied. Furthermore, when the CRP condition is satisfied, we show that the mean queue length under the MaxWeight algorithm is within $\textrm{O}({\log}({1}/{\epsilon}))$ of the optimal scheduling policy. Finally, we obtain similar results for the rate of convergence to heavy traffic of the total queue length in load balancing systems operating under the ‘join the shortest queue’ routeing algorithm.

We provide constructions of age-structured branching processes without or with immigration as pathwise-unique solutions to stochastic integral equations. A necessary and sufficient condition for the ergodicity of the model with immigration is also given.

A method for the construction of Stein-type covariance identities for a nonnegative continuous random variable is proposed, using a probabilistic analogue of the mean value theorem and weighted distributions. A generalized covariance identity is obtained, and applications focused on actuarial and financial science are provided. Some characterization results for gamma and Pareto distributions are also given. Identities for risk measures which have a covariance representation are obtained; these measures are connected with the Bonferroni, De Vergottini, Gini, and Wang indices. Moreover, under some assumptions, an identity for the variance of a function of a random variable is derived, and its performance is discussed with respect to well-known upper and lower bounds.

We introduce a notion of finite sampling consistency for phylogenetic trees and show that the set of finitely sampling-consistent and exchangeable distributions on n-leaf phylogenetic trees is a polytope. We use this polytope to show that the set of all exchangeable and sampling-consistent distributions on four-leaf phylogenetic trees is exactly Aldous’ beta-splitting model, and give a description of some of the vertices for the polytope of distributions on five leaves. We also introduce a new semialgebraic set of exchangeable and sampling consistent models we call the multinomial model and use it to characterize the set of exchangeable and sampling-consistent distributions. Using this new model, we obtain a finite de Finetti-type theorem for rooted binary trees in the style of Diaconis’ theorem on finite exchangeable sequences.

We study the quasi-stationary behavior of the birth–death process with an entrance boundary at infinity. We give by the h-transform an alternative and simpler proof for the exponential convergence of conditioned distributions to a unique quasi-stationary distribution in the total variation norm. In addition, we also show that starting from any initial distribution the conditional probability converges to the unique quasi-stationary distribution exponentially fast in the $\psi$ -norm.

We prove a rate of convergence for the N-particle approximation of a second-order partial differential equation in the space of probability measures, such as the master equation or Bellman equation of the mean-field control problem under common noise. The rate is of order $1/N$ for the pathwise error on the solution v and of order $1/\sqrt{N}$ for the $L^2$ -error on its L-derivative $\partial_\mu v$ . The proof relies on backward stochastic differential equation techniques.

We consider a continuous Gaussian random field living on a compact set $T\subset \mathbb{R}^{d}$ . We are interested in designing an asymptotically efficient estimator of the probability that the integral of the exponential of the Gaussian process over T exceeds a large threshold u. We propose an Asmussen–Kroese conditional Monte Carlo type estimator and discuss its asymptotic properties according to the assumptions on the first and second moments of the Gaussian random field. We also provide a simulation study to illustrate its effectiveness and compare its performance with the importance sampling type estimator of Liu and Xu (2014a).

In this work the $\ell_q$ -norms of points chosen uniformly at random in a centered regular simplex in high dimensions are studied. Berry–Esseen bounds in the regime $1\leq q < \infty$ are derived and complemented by a non-central limit theorem together with moderate and large deviations in the case where $q=\infty$ . An application to the intersection volume of a regular simplex with an $\ell_p^n$ -ball is also carried out.

This paper studies the joint tail asymptotics of extrema of the multi-dimensional Gaussian process over random intervals defined as $P(u)\;:\!=\; \mathbb{P}\{\cap_{i=1}^n (\sup_{t\in[0,\mathcal{T}_i]} ( X_{i}(t) +c_i t )>a_i u )\}$ , $u\rightarrow\infty$ , where $X_i(t)$ , $t\ge0$ , $i=1,2,\ldots,n$ , are independent centered Gaussian processes with stationary increments, $\boldsymbol{\mathcal{T}}=(\mathcal{T}_1, \ldots, \mathcal{T}_n)$ is a regularly varying random vector with positive components, which is independent of the Gaussian processes, and $c_i\in \mathbb{R}$ , $a_i>0$ , $i=1,2,\ldots,n$ . Our result shows that the structure of the asymptotics of P(u) is determined by the signs of the drifts $c_i$ . We also discuss a relevant multi-dimensional regenerative model and derive the corresponding ruin probability.