In this work we introduce a stochastic model for the spread of a virus in a cell population where the virus has two ways of spreading: either by allowing its host cell to live and duplicate, or by multiplying in large numbers within the host cell, causing the host cell to burst and thereby let the virus enter new uninfected cells. The model is a kind of interacting Markov branching process. We focus in particular on the probability that the virus population survives and how this depends on a certain parameter λ which quantifies the ‘aggressiveness’ of the virus. Our main goal is to determine the optimal balance between aggressive growth and long-term success. Our analysis shows that the optimal strategy of the virus (in terms of survival) is obtained when the virus has no effect on the host cell's life cycle, corresponding to λ = 0. This is in agreement with experimental data about real viruses.

In this paper we discuss the decay properties of Markov branching processes with disasters, including the decay parameter, invariant measures, and quasistationary distributions. After showing that the corresponding q-matrix Q is always regular and, thus, that the Feller minimal Q-process is honest, we obtain the exact value of the decay parameter λC. We show that the decay parameter can be easily expressed explicitly. We further show that the Markov branching process with disaster is always λC-positive. The invariant vectors, the invariant measures, and the quasidistributions are given explicitly.

We consider a model for a one-sided limit order book proposed by Lakner, Reed and Stoikov (2013). We show that it can be coupled with a branching random walk and use this coupling to answer a nontrivial question about the long-term behavior of the price. The coupling relies on a classical idea of enriching the state space by artificially creating a filiation, in this context between orders of the book, which we believe has the potential of being useful for a broader class of models.

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

In this article we show the asymptotics of distribution and moments of the size Xn of the minimal clade of a randomly chosen individual in a Bolthausen-Sznitman n-coalescent for n → ∞. The Bolthausen-Sznitman n-coalescent is a Markov process taking states in the set of partitions of {1, …, n}, where 1, …, n are referred to as individuals. The minimal clade of an individual is the equivalence class the individual is in at the time of the first coalescence event this individual participates in. We also provide exact formulae for the distribution of Xn. The main tool used is the connection of the Bolthausen-Sznitman n-coalescent with random recursive trees introduced by Goldschmidt and Martin (2005). With it, we show that Xn - 1 is distributed as the size of a uniformly chosen table in a standard Chinese restaurant process with n - 1 customers.

In this paper we consider some nonstandard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to some classes of heavy-tailed distributions and a constraint is imposed on the Lévy process in terms of its Laplace exponent, we obtain some asymptotic formulae for the tail probability of discounted aggregate claims and ruin probabilities holding uniformly for some finite or infinite time horizons.

We consider the problem of stochastic comparison of general GARCH-like processes for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and we discuss their interpretations. We focus on the convex order and show that in the case of symmetric innovations it is also propagated to the cumulated sums of the GARCH process. More generally, we discuss multivariate comparison results related to the multivariate convex and supermodular orders. Finally, we discuss ordering with respect to the parameters in the GARCH(1, 1) case.

In this paper we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. We obtain Laplace transforms and limit theorems, including the law of large numbers, central limit theorems, and large deviations.

Define a γ-reflected process Wγ(t) = YH(t) - γinfs∈[0,t]YH(s), t ≥ 0, with input process {YH(t), t ≥ 0}, which is a fractional Brownian motion with Hurst index H ∈ (0, 1) and a negative linear trend. In risk theory Rγ(u) = u - Wγ(t), t ≥ 0, is referred to as the risk process with tax payments of a loss-carry-forward type. For various risk processes, numerous results are known for the approximation of the first and last passage times to 0 (ruin times) when the initial reserve u goes to ∞. In this paper we show that, for the γ-reflected process, the conditional (standardized) first and last passage times are jointly asymptotically Gaussian and completely dependent. An important contribution of this paper is that it links ruin problems with extremes of nonhomogeneous Gaussian random fields defined by YH, which we also investigate.

We study a renewal risk model in which the surplus process of the insurance company is modelled by a compound fractional Poisson process. We establish the long-range dependence property of this nonstationary process. Some results for ruin probabilities are presented under various assumptions on the distribution of the claim sizes.

Many complex systems can be modeled via Markov jump processes. Applications include chemical reactions, population dynamics, and telecommunication networks. Rare-event estimation for such models can be difficult and is often computationally expensive, because typically many (or very long) paths of the Markov jump process need to be simulated in order to observe the rare event. We present a state-dependent importance sampling approach to this problem that is adaptive and uses Markov chain Monte Carlo to sample from the zero-variance importance sampling distribution. The method is applicable to a wide range of Markov jump processes and achieves high accuracy, while requiring only a small sample to obtain the importance parameters. We demonstrate its efficiency through benchmark examples in queueing theory and stochastic chemical kinetics.

We study the long-time behaviour of a Markov process evolving in N and conditioned not to hit 0. Assuming that the process comes back quickly from ∞, we prove that the process admits a unique quasistationary distribution (in particular, the distribution of the conditioned process admits a limit when time goes to ∞). Moreover, we prove that the distribution of the process converges exponentially fast in the total variation norm to its quasistationary distribution and we provide a bound for the rate of convergence. As a first application of our result, we bring a new insight on the speed of convergence to the quasistationary distribution for birth-and-death processes: we prove that starting from any initial distribution the conditional probability converges in law to a unique distribution ρ supported in N* if and only if the process has a unique quasistationary distribution. Moreover, ρ is this unique quasistationary distribution and the convergence is shown to be exponentially fast in the total variation norm. Also, considering the lack of results on quasistationary distributions for nonirreducible processes on countable spaces, we show, as a second application of our result, the existence and uniqueness of a quasistationary distribution for a class of possibly nonirreducible processes.

Suppose that red and blue points occur in Rd according to two simple point processes with finite intensities λR and λB, respectively. Furthermore, let ν and μ be two probability distributions on the strictly positive integers with means ν̅ and μ̅, respectively. Assign independently a random number of stubs (half-edges) to each red (blue) point with law ν (μ). We are interested in translation-invariant schemes for matching stubs between points of different colors in order to obtain random bipartite graphs in which each point has a prescribed degree distribution with law ν or μ depending on its color. For a large class of point processes, we show that such translation-invariant schemes matching almost surely all stubs are possible if and only if λRν̅ = λBμ̅, including the case when ν̅ = μ̅ = ∞ so that both sides are infinite. Furthermore, we study a particular scheme based on the Gale-Shapley stable marriage problem. For this scheme, we give sufficient conditions on ν and μ for the presence and absence of infinite components. These results are two-color versions of those obtained by Deijfen, Holroyd and Häggström.

Suppose that X1, …, Xn are random variables with the same known marginal distribution F but unknown dependence structure. In this paper we study the smallest possible value of P(X1 + · · · + Xn < s) over all possible dependence structures, denoted by mn,F(s). We show that mn,F(ns) → 0 for s no more than the mean of F under weak assumptions. We also derive a limit of mn,F(ns) for any s ∈ R with an error of at most n-1/6 for general continuous distributions. An application of our result to risk management confirms that the worst-case value at risk is asymptotically equivalent to the worst-case expected shortfall for risk aggregation with dependence uncertainty. In the last part of this paper we present a dual presentation of the theory of complete mixability and give dual proofs of theorems in the literature on this concept.

We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown. The optimal stopping times of the exercise are shown to be the first times at which the price of the underlying asset exits some regions restricted by certain boundaries depending on the running values of the associated maximum and maximum drawdown processes. We obtain closed-form solutions to the equivalent free-boundary problems for the value functions with smooth fit at the optimal stopping boundaries and normal reflection at the edges of the state space of the resulting three-dimensional Markov process. We derive first-order nonlinear ordinary differential equations for the optimal exercise boundaries of the perpetual American standard options.

We consider a class of optimal stopping problems involving both the running maximum as well as the prevailing state of a linear diffusion. Instead of tackling the problem directly via the standard free boundary approach, we take an alternative route and present a parameterized family of standard stopping problems of the underlying diffusion. We apply this family to delineate circumstances under which the original problem admits a unique, well-defined solution. We then develop a discretized approach resulting in a numerical algorithm for solving the considered class of stopping problems. We illustrate the use of the algorithm in both a geometric Brownian motion and a mean reverting diffusion setting.

The paper deals with nonlinear Poisson neuron network models with bounded memory dynamics, which can include both Hebbian learning mechanisms and refractory periods. The state of the network is described by the times elapsed since its neurons fired within the post-synaptic transfer kernel memory span, and the current strengths of synaptic connections, the state spaces of our models being hierarchies of finite-dimensional components. We prove the ergodicity of the stochastic processes describing the behaviour of the networks, establish the existence of continuously differentiable stationary distribution densities (with respect to the Lebesgue measures of corresponding dimensionality) on the components of the state space, and find upper bounds for them. For the density components, we derive a system of differential equations that can be solved in a few simplest cases only. Approaches to approximate computation of the stationary density are discussed. One approach is to reduce the dimensionality of the problem by modifying the network so that each neuron cannot fire if the number of spikes it emitted within the post-synaptic transfer kernel memory span reaches a given threshold. We show that the stationary distribution of this ‘truncated’ network converges to that of the unrestricted network as the threshold increases, and that the convergence is at a superexponential rate. A complementary approach uses discrete Markov chain approximations to the network process.

In this paper we discuss an exponential integrator scheme, based on spatial discretization and time discretization, for a class of stochastic partial differential equations. We show that the scheme has a unique stationary distribution whenever the step size is sufficiently small, and that the weak limit of the stationary distribution of the scheme as the step size tends to 0 is in fact the stationary distribution of the corresponding stochastic partial differential equations.

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.

We consider a multiple server queueing loss system where the service times of server i are exponential with rate μi, where μi decreases in i. Arrivals have associated vectors (X1, …, Xn) of binary variables, with Xi = 1 indicating that server i is eligible to serve that arrival. Arrivals finding no idle eligible servers are lost. Letting Ij be the indicator variable for the event that the jth arrival enters service, we show that, for any arrival process, the policy that assigns arrivals to the smallest numbered idle eligible server stochastically maximizes the vector (I1, …, Ir) for every r if the eligibility vector of arrivals is either (a) exchangeable, or (b) a vector of independent variables for which P(Xi = 1) increases in i.