Consider a Pólya urn with balls of several colours, where balls are drawn sequentially and each drawn ball is immediately replaced together with a fixed number of balls of the same colour. It is well known that the proportions of balls of the different colours converge in distribution to a Dirichlet distribution. We show that the rate of convergence is $\Theta(1/n)$ in the minimal $L_p$ metric for any $p\in[1,\infty]$, extending a result by Goldstein and Reinert; we further show the same rate for the Lévy distance, while the rate for the Kolmogorov distance depends on the parameters, i.e. on the initial composition of the urn. The method used here differs from the one used by Goldstein and Reinert, and uses direct calculations based on the known exact distributions.

We study a renewal theory approach to perpetual two-state switching problems with infinite value functions. Since the corresponding value functions are infinite, the problems fall outside the standard class of problems which can be analyzed using dynamic programming. Instead, we propose an alternative formulation of optimal switching theory in which optimality of a strategy is defined in terms of its long-term mean return, which can be determined using renewal theory. The approach is illustrated by examples in connection with trend-following strategies in finance.

Suppose k balls are dropped into n boxes independently with uniform probability, where n, k are large with ratio approximately equal to some positive real $\lambda$ . The maximum box count has a counterintuitive behavior: first of all, with high probability it takes at most two values $m_n$ or $m_n+1$ , where $m_n$ is roughly $\frac{\ln n}{\ln \ln n}$ . Moreover, it oscillates between these two values with an unusual periodicity. In order to prove this statement and various generalizations, it is first shown that for $X_1,\ldots,X_n$ independent and identically distributed discrete random variables with common distribution F, under mild conditions, the limiting distribution of their maximum oscillates in three possible families, depending on the tail of the distribution. The result stated at the beginning follows from the ensemble equivalence for the order statistics in various allocations problems, obtained via conditioning limit theory. Results about the number of ties for the maximum, as well as applications, are also provided.

Two definitions of Birnbaum’s importance measure for coherent systems are studied in the case of exchangeable components. Representations of these measures in terms of distribution functions of the ordered component lifetimes are given. As an example, coherent systems with failure-dependent component lifetimes based on the notion of sequential order statistics are considered. Furthermore, it is shown that the two measures are ordered in the case of associated component lifetimes. Finally, the limiting behavior of the measures with respect to time is examined.

We consider planar first-passage percolation and show that the time constant can be bounded by multiples of the first and second tertiles of the weight distribution. As a consequence, we obtain a counter-example to a problem proposed by Alm and Deijfen (2015).

Perron–Frobenius theory developed for irreducible non-negative kernels deals with so-called R-positive recurrent kernels. If the kernel M is R-positive recurrent, then the main result determines the limit of the scaled kernel iterations $R^nM^n$ as $n\to\infty$ . In Nummelin (1984) this important result is proven using a regeneration method whose major focus is on M having an atom. In the special case when $M=P$ is a stochastic kernel with an atom, the regeneration method has an elegant explanation in terms of an associated split chain. In this paper we give a new probabilistic interpretation of the general regeneration method in terms of multi-type Galton–Watson processes producing clusters of particles. Treating clusters as macro-individuals, we arrive at a single-type Crump–Mode–Jagers process with a naturally embedded renewal structure.

We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner–Ellis theorem and sharp large deviations tools.

For a spectrally negative self-similar Markov process on $[0,\infty)$ with an a.s. finite overall supremum, we provide, in tractable detail, a kind of conditional Wiener–Hopf factorization at the maximum of the absorption time at zero, the conditioning being on the overall supremum and the jump at the overall supremum. In a companion result the Laplace transform of this absorption time (on the event that the process does not go above a given level) is identified under no other assumptions (such as the process admitting a recurrent extension and/or hitting zero continuously), generalizing some existing results in the literature.

We study the limit behaviour of a class of random walk models taking values in the standard d-dimensional ( $d\ge 1$ ) simplex. From an interior point z, the process chooses one of the $d+1$ vertices of the simplex, with probabilities depending on z, and then the particle randomly jumps to a new location z′ on the segment connecting z to the chosen vertex. In some special cases, using properties of the Beta distribution, we prove that the limiting distributions of the Markov chain are Dirichlet. We also consider a related history-dependent random walk model in [0, 1] based on an urn-type scheme. We show that this random walk converges in distribution to an arcsine random variable.

We discuss a continuous-time Markov branching model in which each individual can trigger an alarm according to a Poisson process. The model is stopped when a given number of alarms is triggered or when there are no more individuals present. Our goal is to determine the distribution of the state of the population at this stopping time. In addition, the state distribution at any fixed time is also obtained. The model is then modified to take into account the possible influence of death cases. All distributions are derived using probability-generating functions, and the approach followed is based on the construction of families of martingales.

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart multidimensional stochastic volatility model (WMSV). More explicitly, we show that the approaches taken in Forde and Jacquier (2009) and Forde, Jacqiuer and Lee (2012) are applicable to the WMSV model under mild conditions, and obtain explicit small-time expansions of implied volatilities.

Let $(A_i)_{i \geq 0}$ be a finite-state irreducible aperiodic Markov chain and f a lattice score function such that the average score is negative and positive scores are possible. Define $S_0\coloneqq 0$ and $S_k\coloneqq \sum_{i=1}^k f(A_i)$ the successive partial sums, $S^+$ the maximal non-negative partial sum, $Q_1$ the maximal segmental score of the first excursion above 0, and $M_n\coloneqq \max_{0\leq k\leq\ell\leq n} (S_{\ell}-S_k)$ the local score, first defined by Karlin and Altschul (1990). We establish recursive formulae for the exact distribution of $S^+$ and derive a new approximation for the tail behaviour of $Q_1$ , together with an asymptotic equivalence for the distribution of $M_n$ . Computational methods are explicitly presented in a simple application case. The new approximations are compared with those proposed by Karlin and Dembo (1992) in order to evaluate improvements, both in the simple application case and on the real data examples considered by Karlin and Altschul (1990).

This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed, we assume that they follow a regime-switching Markov chain. For this model, we (1) give finite sample bounds on the expected occupancy probabilities, and (2) provide detailed asymptotics in the case where the underlying distribution is regularly varying. We find that in the regularly varying case the finite sample bounds are rate optimal and have, up to a constant, the same rate of decay as the asymptotic result.

We define a new family of multivariate stochastic processes over a finite time horizon that we call generalised Liouville processes (GLPs). GLPs are Markov processes constructed by splitting Lévy random bridges into non-overlapping subprocesses via time changes. We show that the terminal values and the increments of GLPs have generalised multivariate Liouville distributions, justifying their name. We provide various other properties of GLPs and some examples.

For independent exponentially distributed random variables $X_i$ , $i\in {\mathcal{N}}$ , with distinct rates ${\lambda}_i$ we consider sums $\sum_{i\in\mathcal{A}} X_i$ for $\mathcal{A}\subseteq {\mathcal{N}}$ which follow generalized exponential mixture distributions. We provide novel explicit results on the conditional distribution of the total sum $\sum_{i\in {\mathcal{N}}}X_i$ given that a subset sum $\sum_{j\in \mathcal{A}}X_j$ exceeds a certain threshold value $t>0$ , and vice versa. Moreover, we investigate the characteristic tail behavior of these conditional distributions for $t\to\infty$ . Finally, we illustrate how our probabilistic results can be applied in practice by providing examples from both reliability theory and risk management.

The signature representation shows that the reliability of the system is a mixture of the reliability functions of the k-out-of-n systems. The first representation was obtained for systems with independent and identically distributed (IID) components and after it was extended to exchangeable (EXC) components. The purpose of the present paper is to extend it to the class of systems with identically distributed (ID) components which have a diagonal-dependent copula. We prove that this class is much larger than the class with EXC components. This extension is used to compare systems with non-EXC components.

A uniform recursive tree on n vertices is a random tree where each possible $(n-1)!$ labelled recursive rooted tree is selected with equal probability. We introduce and study weighted trees, a non-uniform recursive tree model departing from the recently introduced Hoppe trees. This class generalizes both uniform recursive trees and Hoppe trees, providing diversity among the nodes and making the model more flexible for applications. We analyse the number of leaves, the height, the depth, the number of branches, and the size of the largest branch in these weighted trees.

It is well understood that a supercritical superprocess is equal in law to a discrete Markov branching process whose genealogy is dressed in a Poissonian way with immigration which initiates subcritical superprocesses. The Markov branching process corresponds to the genealogical description of prolific individuals, that is, individuals who produce eternal genealogical lines of descent, and is often referred to as the skeleton or backbone of the original superprocess. The Poissonian dressing along the skeleton may be considered to be the remaining non-prolific genealogical mass in the superprocess. Such skeletal decompositions are equally well understood for continuous-state branching processes (CSBP).

In a previous article [16] we developed an SDE approach to study the skeletal representation of CSBPs, which provided a common framework for the skeletal decompositions of supercritical and (sub)critical CSBPs. It also helped us to understand how the skeleton thins down onto one infinite line of descent when conditioning on survival until larger and larger times, and eventually forever.

Here our main motivation is to show the robustness of the SDE approach by expanding it to the spatial setting of superprocesses. The current article only considers supercritical superprocesses, leaving the subcritical case open.

We provide a new proof of the existence of Gibbs point processes with infinite range interactions, based on the compactness of entropy levels. Our main existence theorem holds under two assumptions. The first one is the standard stability assumption, which means that the energy of any finite configuration is superlinear with respect to the number of points. The second assumption is the so-called intensity regularity, which controls the long range of the interaction via the intensity of the process. This assumption is new and introduced here since it is well adapted to the entropy approach. As a corollary of our main result we improve the existence results by Ruelle (1970) for pairwise interactions by relaxing the superstabilty assumption. Note that our setting is not reduced to pairwise interaction and can contain infinite-range multi-body counterparts.

For a zero-mean, unit-variance stationary univariate Gaussian process we derive the probability that a record at the time n, say $X_n$ , takes place, and derive its distribution function. We study the joint distribution of the arrival time process of records and the distribution of the increments between records. We compute the expected number of records. We also consider two consecutive and non-consecutive records, one at time j and one at time n, and we derive the probability that the joint records $(X_j,X_n)$ occur, as well as their distribution function. The probability that the records $X_n$ and $(X_j,X_n)$ take place and the arrival time of the nth record are independent of the marginal distribution function, provided that it is continuous. These results actually hold for a strictly stationary process with Gaussian copulas.