We aim to link random fields and marked point processes, and, therefore, introduce a new class of stochastic processes which are defined on a random set in . Unlike for random fields, the mark covariance function of a random marked set is in general not positive definite. This implies that in many situations the use of simple geostatistical methods appears to be questionable. Surprisingly, for a special class of processes based on Gaussian random fields, we do have positive definiteness for the corresponding mark covariance function and mark correlation function.

In this paper we introduce the transparent dead leaves (TDL) random field, a new germ-grain model in which the grains are combined according to a transparency principle. Informally, this model may be seen as the superposition of infinitely many semitransparent objects. It is therefore of interest in view of the modeling of natural images. Properties of this new model are established and a simulation algorithm is proposed. The main contribution of the paper is to establish a central limit theorem, showing that, when varying the transparency of the grain from opacity to total transparency, the TDL model ranges from the dead leaves model to a Gaussian random field.

Let M be a bounded domain of with a smooth boundary. We relate the Cheeger constant of M and the conductance of a neighborhood graph defined on a random sample from M. By restricting the minimization defining the latter over a particular class of subsets, we obtain consistency (after normalization) as the sample size increases, and show that any minimizing sequence of subsets has a subsequence converging to a Cheeger set of M.

Motivated by set estimation problems, we consider three closely related shape conditions for compact sets: positive reach, r-convexity, and the rolling condition. First, the relations between these shape conditions are analyzed. Second, for the estimation of sets fulfilling a rolling condition, we obtain a result of ‘full consistency’ (i.e. consistency with respect to the Hausdorff metric for the target set and for its boundary). Third, the class of uniformly bounded compact sets whose reach is not smaller than a given constant r is shown to be a P-uniformity class (in Billingsley and Topsøe's (1967) sense) and, in particular, a Glivenko-Cantelli class. Fourth, under broad conditions, the r-convex hull of the sample is proved to be a fully consistent estimator of an r-convex support in the two-dimensional case. Moreover, its boundary length is shown to converge (almost surely) to that of the underlying support. Fifth, the above results are applied to obtain new consistency statements for level set estimators based on the excess mass methodology (see Polonik (1995)).

Given two independent Poisson point processes Φ(1), Φ(2) in , the AB Poisson Boolean model is the graph with the points of Φ(1) as vertices and with edges between any pair of points for which the intersection of balls of radius 2r centered at these points contains at least one point of Φ(2). This is a generalization of the AB percolation model on discrete lattices. We show the existence of percolation for all d ≥ 2 and derive bounds for a critical intensity. We also provide a characterization for this critical intensity when d = 2. To study the connectivity problem, we consider independent Poisson point processes of intensities n and τn in the unit cube. The AB random geometric graph is defined as above but with balls of radius r. We derive a weak law result for the largest nearest-neighbor distance and almost-sure asymptotic bounds for the connectivity threshold.

Let Sn, k denote the random graph obtained by placing points in a square box of area n according to a Poisson process of intensity 1 and joining each point to its k nearest neighbours. Balister, Bollobás, Sarkar and Walters (2005) conjectured that, for every 0 < ε < 1 and all sufficiently large n, there exists C = C(ε) such that, whenever the probability that Sn, k is connected is at least ε, then the probability that Sn, k+C is connected is at least 1 - ε. In this paper we prove this conjecture. As a corollary, we prove that there exists a constant C' such that, whenever k(n) is a sequence of integers such that the probability Sn,k(n) is connected tends to 1 as n → ∞, then, for any integer sequence s(n) with s(n) = o(logn), the probability Sn,k(n)+⌊C'slog logn⌋ is s-connected (i.e. remains connected after the deletion of any s − 1 vertices) tends to 1 as n → ∞. This proves another conjecture given in Balister, Bollobás, Sarkar and Walters (2009).

In Groeneboom (1988) a central limit theorem for the number of vertices Nn of the convex hull of a uniform sample from the interior of a convex polygon was derived. To be more precise, it was shown that {Nn - (2/3)rlogn} / {(10/27)rlogn}1/2 converges in law to a standard normal distribution, if r is the number of vertices of the convex polygon from which the sample is taken. In the unpublished preprint Nagaev and Khamdamov (1991) a central limit result for the joint distribution of Nn and An is given, where An is the area of the convex hull, using a coupling of the sample process near the border of the polygon with a Poisson point process as in Groeneboom (1988), and representing the remaining area in the Poisson approximation as a union of a doubly infinite sequence of independent standard exponential random variables. We derive this representation from the representation in Groeneboom (1988) and also prove the central limit result of Nagaev and Khamdamov (1991), using this representation. The relation between the variances of the asymptotic normal distributions of the number of vertices and the area, established in Nagaev and Khamdamov (1991), corresponds to a relation between the actual sample variances of Nn and An in Buchta (2005). We show how these asymptotic results all follow from one simple guiding principle. This corrects at the same time the scaling constants in Cabo and Groeneboom (1994) and Nagaev (1995).

For a Borel set A and a homogeneous Poisson point process η in of intensity λ>0, define the Poisson–Voronoi approximation Aη of A as a union of all Voronoi cells with nuclei from η lying in A. If A has a finite volume and perimeter, we find an exact asymptotic of E Vol(AΔ Aη) as λ→∞, where Vol is the Lebesgue measure. Estimates for all moments of Vol(Aη) and Vol(AΔ Aη) together with their asymptotics for large λ are obtained as well.

A stochastic ordering approach is applied with Stein's method for approximation by the equilibrium distribution of a birth-death process. The usual stochastic order and the more general s-convex orders are discussed. Attention is focused on Poisson and translated Poisson approximations of a sum of dependent Bernoulli random variables, for example, k-runs in independent and identically distributed Bernoulli trials. Other applications include approximation by polynomial birth-death distributions.

Most finite spatial point process models specified by a density are locally stable, implying that the Papangelou intensity is bounded by some integrable function β defined on the space for the points of the process. It is possible to superpose a locally stable spatial point process X with a complementary spatial point process Y to obtain a Poisson process X ⋃ Y with intensity function β. Underlying this is a bivariate spatial birth-death process (Xt, Yt) which converges towards the distribution of (X, Y). We study the joint distribution of X and Y, and their marginal and conditional distributions. In particular, we introduce a fast and easy simulation procedure for Y conditional on X. This may be used for model checking: given a model for the Papangelou intensity of the original spatial point process, this model is used to generate the complementary process, and the resulting superposition is a Poisson process with intensity function β if and only if the true Papangelou intensity is used. Whether the superposition is actually such a Poisson process can easily be examined using well-known results and fast simulation procedures for Poisson processes. We illustrate this approach to model checking in the case of a Strauss process.

For stationary fiber processes, the estimation of the directional distribution is an important task. We consider a stereological approach, assuming that the intersection points of the process with a finite number of test hyperplanes can be observed in a bounded window. The intensity of these intersection processes is proportional to the cosine transform of the directional distribution. We use the approximate inverse method to invert the cosine transform and analyze asymptotic properties of the estimator in growing windows for Poisson line processes. We show almost-sure convergence of the estimator and derive Berry–Esseen bounds, including formulae for the variance.

In this paper we consider three-dimensional random tessellations that are stable under iteration (STIT tessellations). STIT tessellations arise as a result of subsequent cell division, which implies that their cells are not face-to-face. The edges of the cell-dividing polygons are the so-called I-segments of the tessellation. The main result is an explicit formula for the distribution of the number of vertices in the relative interior of the typical I-segment. In preparation for its proof, we obtain other distributional identities for the typical I-segment and the length-weighted typical I-segment, which provide new insight into the spatiotemporal construction process.

Motivated by stability questions on piecewise-deterministic Markov models of bacterial chemotaxis, we study the long-time behavior of a variant of the classic telegraph process having a nonconstant jump rate that induces a drift towards the origin. We compute its invariant law and show exponential ergodicity, obtaining a quantitative control of the total variation distance to equilibrium at each instant of time. These results rely on an exact description of the excursions of the process away from the origin and on the explicit construction of an original coalescent coupling for both the velocity and position. Sharpness of the obtained convergence rate is discussed.

An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and receives a management fee proportional to the value of the portfolio. He/she also has the right to walk out of the contract at any time with the net terminal value of the portfolio after payment of the investors' initial funds, and is not responsible for any deficit. To control the principal losses, investors may buy from the manager a limited protection which terminates the agreement as soon as the value of the portfolio drops below a predetermined threshold. We assume that the value of the portfolio is a jump diffusion process and find an optimal termination rule of the manager with and without protection. We also derive the indifference price of a limited protection. We illustrate the solution method on a numerical example. The motivation comes from the collateralized debt obligations.

We consider a stochastic SIR (susceptible → infective → removed) epidemic model with several types of individuals. Infectious individuals can make infectious contacts on two levels, within their own ‘household’ and with their neighbours in a random graph representing additional social contacts. This random graph is an extension of the well-known configuration model to allow for several types of individuals. We give a strong approximation theorem which leads to a threshold theorem for the epidemic model and a method for calculating the probability of a major outbreak given few initial infectives. A multitype analogue of a theorem of Ball, Sirl and Trapman (2009) heuristically motivates a method for calculating the expected size of such a major outbreak. We also consider vaccination and give some short numerical illustrations of our results.

Hazard rates play an important role in various areas, e.g. reliability theory, survival analysis, biostatistics, queueing theory, and actuarial studies. Mixtures of distributions are also of great preeminence in such areas as most populations of components are indeed heterogeneous. In this study we present a sufficient condition for mixtures of two elements of the same natural exponential family (NEF) to have an increasing hazard rate. We then apply this condition to some classical NEFs having either quadratic or cubic variance functions (VFs) and others as well. Particular attention is paid to the hyperbolic cosine NEF having a quadratic VF, the Ressel NEF having a cubic VF, and the NEF generated by Kummer distributions of type 2. The application of such a sufficient condition is quite intricate and cumbersome, in particular when applied to the latter three NEFs. Various lemmas and propositions are needed to verify this condition for such NEFs. It should be pointed out, however, that our results are mainly applied to a mixture of two populations.

We deal with the filtering problem of a general jump diffusion process, X, when the observation process, Y, is a correlated jump diffusion process having common jump times with X. In this setting, at any time t the σ-algebra provides all the available information about Xt, and the central goal is to characterize the filter, πt, which is the conditional distribution of Xt given observations . To this end, we prove that πt solves the Kushner-Stratonovich equation and, by applying the filtered martingale problem approach (see Kurtz and Ocone (1988)), that it is the unique weak solution to this equation. Under an additional hypothesis, we also provide a pathwise uniqueness result.

Cloud-computing shares a common pool of resources across customers at a scale that is orders of magnitude larger than traditional multiuser systems. Constituent physical compute servers are allocated multiple ‘virtual machines' (VMs) to serve simultaneously. Each VM user should ideally be unaffected by others’ demand. Naturally, this environment produces new challenges for the service providers in meeting customer expectations while extracting an efficient utilization from server resources. We study a new cloud service metric that measures prolonged latency or delay suffered by customers. We model the workload process of a cloud server and analyze the process as the customer population grows. The capacity required to ensure that the average workload does not exceed a threshold over long segments is characterized. This can be used by cloud operators to provide service guarantees on avoiding long durations of latency. As part of the analysis, we provide a uniform large deviation principle for collections of random variables that is of independent interest.

In this work we analyze a class of 2 × 2 Pólya-Eggenberger urn models with ball replacement matrix and c = pa with . We determine limiting distributions by obtaining a precise recursive description of the moments of the considered random variables, which allows us to deduce asymptotic expansions of the moments. In particular, we obtain limiting distributions for the pills problem a = c = d = 1, originally proposed by Knuth and McCarthy. Furthermore, we also obtain limiting distributions for the well-known sampling without replacement urn, a = d = 1 and c = 0, and generalizations of it to arbitrary and c = 0. Moreover, we obtain a recursive description of the moment sequence for a generalized problem.

Obtaining a closed-form sampling distribution for the coalescent with recombination is a challenging problem. In the case of two loci, a new framework based on an asymptotic series has recently been developed to derive closed-form results when the recombination rate is moderate to large. In this paper, an arbitrary number of loci is considered and combinatorial approaches are employed to find closed-form expressions for the first couple of terms in an asymptotic expansion of the multi-locus sampling distribution. These expressions are universal in the sense that their functional form in terms of the marginal one-locus distributions applies to all finite- and infinite-alleles models of mutation.