The existence and properties of a general ARMA (p, q) process, whose autocovariances, up to lag p, and impulse coefficients, up to lag q, coincide with some given values, are shown. A closed-form solution is obtained. Based on this, the maximal entropy property for ARMA process and the relation and difference between ARMA maximal entropy approximation and extended Padé approximation are discussed. This method may be used for the design of digital filters and for ARMA spectral estimation.

We consider sampling with replacement of equiprobable groups of a fixed size m from a finite population S. Given a subset A ⊂ S, the distributions of (a) the number of distinct elements of A in a sample of size k and (b) the sample size necessary to obtain at least say n elements of A are given. Neat formulas are given especially for the expected values of these, as well as of some related random variables. Further we derive an optimal strategy to collect all elements of S under the assumptions that sampling one group costs α monetary units and that it is possible to purchase the elements which are missing at the end of the sampling procedure at a price of β > α/m per element.

Use of one-parameter group transformations is made to obtain the transition p.d.f. of a Feller process confined between the origin and a hyperbolic-type boundary. Such a procedure, previously used by Bluman and Cole (cf., for instance, [4]), although useful for dealing with one-dimensional diffusion processes restricted between time-varying boundaries, does not appear to have been sufficiently exploited to obtain solutions to the diffusion equations associated to continuous Markov processes.

This paper deals with the thrown string problem posed by Synge [12]. The models studied are those of Willenborg [14] and Kingman [7]. The convergence results obtained are complementary to those of Kingman, although they are derived by quite different methods involving the use of martingales.

We use the notion of an invariant manifold to describe the long-term behaviour of absorbing continuous-time Markov processes with a denumerable infinity of states. We show that there exists an invariant manifold for the forward differential equations and we are able to describe the evolution of the state probabilities on this manifold. Our approach gives rise to a new method for calculating conditional limiting distributions, one which is also appropriate for dealing with processes whose transition probabilities satisfy a system of non-linear differential equations.

In this paper we attempt to develop an axiomatic theory of binary structure functions with dependent components. This is an important problem, hitherto largely ignored. The concept of coherent structure in probability is introduced and studied. The relationship to the classical coherent structure is discussed. In the new concept the relevancy is defined through reliability of the system, while in the classical concept it is defined through the structure function.

The extremal types theorem identifies asymptotic behaviour for the maxima of sequences of i.i.d. random variables. A parallel theorem is given which identifies the asymptotic behaviour of sequences of threshold-stopped random variables. Three new types of limit distributions arise, but normalizing constants remain the same as in the maxima case. Limiting joint distributions are also given for maxima and threshold-stopped random variables. Applications to the optimal stopping of i.i.d. random variables are given.

Making use of the integral equations given in [1], [2] and [3], the asymptotic behaviour of the first-passage time (FPT) p.d.f.'s through certain time-varying boundaries, including periodic boundaries, is determined for a class of one-dimensional diffusion processes with steady-state density. Sufficient conditions are given for the cases both of single and of pairs of asymptotically constant and asymptotically periodic boundaries, under which the FPT densities asymptotically exhibit an exponential behaviour. Explicit expressions are then worked out for the processes that can be obtained from the Ornstein–Uhlenbeck process by spatial transformations. Some new asymptotic results for the FPT density of the Wiener process are finally proved, together with a few miscellaneous results.

In this paper we analyse the motion of a particle P whose velocity is represented by a three-valued telegraph process. We prove that the probability law of the process describing the position of P is a solution of a third-order, linear, partial differential equation.

We obtain probability distributions of some generalised versions of the process of random signals, as well as other probabilistic features of the related process.

Finally, accelerated motions of P (where acceleration follows the classical telegraph process) are also analysed.

The problem of optimally allocating partially effective, defensive weapons against randomly arriving enemy aircraft so that a bomber maximizes its probability of reaching its designated target is considered in the usual continuous-time context, and in a discrete-time context. The problem becomes that of determining the optimal number of missiles K(n, t) to use against an enemy aircraft encountered at time (distance) t away from the target when n is the number of remaining weapons (missiles) in the bomber's arsenal. Various questions associated with the properties of the function K are explored including the long-standing, unproven conjecture that it is a non-decreasing function of its first variable.

The stationary stochastic difference equation Xt = YtXt–1 + Wt is analyzed with emphasis on conditions ensuring that ||Xt||p <∞. Some general results are obtained and then applied to different classes of input processes {(Yt, Wt)}. Especially both necessary and sufficient conditions are given in the Gaussian case. We also obtain results concerning moments of products of dependent variables.

The problem of finding optimal replacement strategies for certain classes of failure systems is considered. These systems can be repaired upon failure, but are stochastically deteriorating, i.e., the lengths of the operating intervals decrease in some sense, whereas the durations of the repairs increase. For several models of this type optimal replacement strategies are derived under natural assumptions on the reward and the cost structure.

This expository paper deals with the right tail behaviour of a class of Poisson mixtures. An Abelian-type result is obtained using basic theory of regular variation. Applications to compound distributions in insurance risk theory and queue length distributions under various queue disciplines in the case of Poisson arrivals are then discussed.

We analyze a stable GI/G/1 queue that starts operating at time t = 0 with N0 ≠ 0 customers. First, we analyze the time required for this queue to empty for the first time. Under the assumption that both the interarrival and the service time distributions are of the exponential type, we prove that , where λ and μ are the arrival and the service rates. Furthermore, assuming in addition that the interarrival time distribution is of the non-lattice type, we show that the settling time of the queue is essentially equal to N0/(μ –λ); that is, we prove that where is the total variation distance between the distribution of the number of customers in the system at time t and its steady-state distribution. Finally, we show that there is a similarity between the queue we analyze and a simple fluid model.

We develop a performance modeling methodology for product-form circuit-switched networks. These networks allow for: arbitrary topology and link capacities; Poisson and finite population arrivals; multiple classes of calls, each class with a different route and bandwidth requirement; conference as well as point-to-point calls. The methodology is first applied to generalized tree networks, which consist of multiple access links feeding into a common link. Each access link may support multiple ‘long-distance' classes (requiring circuits only on the access link and on the common link) and multiple ‘local' classes (requiring circuits only on the access link). For generalized tree networks an efficient algorithm is given to determine the blocking probabilities. The methodology is then applied to hierarchical tree networks, where traffic is repeatedly merged in the direction of a root node.

We also establish a ‘Norton' theorem for product-form circuit-switched networks. This theorem implies that for any given calling class, the entire network can be replaced by an Erlang loss system with a state-dependent arrival rate, without modifying the equilibrium probabilities for the particular calling class.

Reversible spatial birth-death processes are studied with simultaneous jumps of multi-components. A relationship is established between (i) a product-form solution, (ii) a partial symmetry condition on the jump rates and (iii) a solution of a deterministic concentration equation. Applications studied are reversible networks of queues with batch services and blocking and clustering processes such as those found in polymerization chemistry. As illustrated by examples, known results are hereby unified and extended. An expectation interpretation of the transition rates is included.

It is shown that a set of random variables with increasing and convex (concave) survival functions are stochastically increasing and convex (concave) in the sample path sense. This stochastic convexity (concavity) result is then used to establish convexity (concavity) results for (i) a single-server queueing system with a time-out control policy, (ii) residual life, (iii) stationary renewal excess life and (iv) M/G/1 queues. These results are new and could not be derived without the direct or indirect aid of the above stochastic convexity (concavity) result. Furthermore, we illustrate that the above stochastic convexity (concavity) result can be applied to obtain new bounds for queueing systems. Specifically, let be the waiting time of the nth customer in a GI/G/1 queue with inter-arrival time survival function and service time survival function . Using the above convexity result it is shown that if and for some such that then for all increasing convex functions φ, whenever the expectations exist. A similar result for and is also obtained. Other examples are also included.

For the queue M/G/1 under the discipline SRPT (shortest remaining processing time) the system state is taken to be the counting measure N which assigns to each Borel set A of R+ the number N(A) of customers present with residual service times taking values in A. A steady-state analysis is given for the corresponding Laplace functional. As a corollary, the steady-state number in queue is obtained in terms of its generating function.

We study a single-server queue in which the server takes a vacation whenever the system becomes empty. The service and vacation times and the arrival process are all assumed to be mutually independent. The successive service times and the vacation times each form independent, identically distributed sequences with general distributions. A new class of non-renewal arrival processes is introduced. As special cases, it includes the Markov-modulated Poisson process and the superposition of phase-type renewal processes.

Algorithmically tractable equations for the distributions of the waiting times at an arbitrary time and at arrivals, as well as for the queue length at an arbitrary time, at arrivals, and at departures are established. Some factorizations, which are known for the case of renewal input, are generalized to this new framework and new factorizations are obtained. The algorithmic implementation of these results is discussed.