Expressions are derived for the third and fourth moments of the distribution of the numbers of sides of the polygons formed by random lines in a plane. These are evaluated numerically; it seems unlikely that they can be expressed simply in terms of elementary functions or constants. Using these results, the third and fourth moments of the distribution of the perimeters of the polygons are derived.

In economics, cash management problems may be modelled by birth-death processes which reset to central states when a boundary is reached. The nature of the transient behaviour of the probability distribution of such processes symmetric about a central state is investigated. A diffusion approximation of such processes is given and the transient probability behaviour derived from the diffusion equation.

For stationary Poisson or Poisson cluster processes ξ on R2 we study the distribution of the interpoint distances using the interpoint distance function and the nearest-neighbor indicator function . Here Sr (x) is the interior of a circle of radius r having center x, I(t) is that subset of D which has x ∊ D and St(x) ⊂ D and χ is the usual indicator function. We show that if the region D ⊂ R2 is large, then these functions are approximately distributed as Poisson processes indexed by and , where µ(D) is the Lebesgue measure of D.

The paper takes a closer look at some insensitivity results which are not contained in the class of insensitive generalised semi-Markov schemes. Based on a study of a special insensitive queue, a conjecture is proposed which covers all known results on insensitive equilibrium distributions. When insensitive events are also included, a study of the G/G/1 queue shows that the conjecture does not always hold.

Although the usual optimal stopping problem is described as a Markov decision process with two decisions, stop and continue, we shall consider a model which distinguishes the observer's strategy from the system's two decisions. The observer can select a strategy defined on an action space, and the decision of the system to stop or continue is determined by a prescribed conditional probability. For this model, it may happen that the strategy (a) to stop is refused, or (b) to continue is forcibly stopped. This is a slight modification of the one-dimensional stopping problem by involving refusal and forced stopping. The model is motivated by the uncertain secretary choice problem of Smith (1975) and the multivariate stopping problem of Kurano, Yasuda and Nakagami (1980), (1982).

A natural requirement to impose upon the life distribution of a component is that after inspection at some randomly chosen time to check whether it is still functioning, its life distribution from the time of checking should be bounded below by some specified distribution which may be defined by external considerations. Furthermore, the life distribution should ideally be minimal in the partial ordering obtained from the conditional probabilities. We prove that these specifications provide an apparently new characterization of the DFRA class of life distributions with a corresponding result for IFRA distributions. These results may be transferred, using Slepian's lemma, to obtain bounds for the boundary crossing probabilities of a stationary Gaussian process.

Let be the adjusted range of the cumulative sums of a sequence , where . Weak convergence results for random functions constructed from cumulative sums of {Xs} are used to obtain the asymptotic distribution and moments of when {Xs} are exchangeable, or symmetrically dependent, random variables.

Most generalizations of the classical occupancy model involve non-homogeneous shot assignment probabilities, but retain the independence of the individual shot assignments. Hence, these models are associated with non-homogeneous Poisson processes. The present article discusses a generalization in which the shot assignments are not independent, but which result in clustering of the shots. Conditions are given under which this clustered occupancy model converges to a Poisson cluster process. Limiting distributions for the number of empty cells are obtained for various allocation intensities when the total number of shots is deterministic as well as random. In particular, it is shown that when the allocation is sparse, then the limiting distribution of the number of empty cells is compound Poisson.

Asymptotic approximations and numerical computations are used to estimate the accuracy of the diffusion approximation for the expected time to extinction for some stochastic processes. The results differ for processes with a continuant transition matrix (e.g. a birth and death process), and those with a noncontinuant transition matrix (e.g. a non-linear branching process). In the latter case, the diffusion equation does not hold near the point of exit. Consequently, high-order corrections do not result in substantial improvement over the diffusion approximation.

Define a random variable

We refer to Yn as a sustained maximum. Under the assumption that the Xi's are i.i.d. the exact distribution of Yn is obtained. Under certain conditions on the underlying distribution F we obtain weak limit results for the Yn as well. Also a combinatorial extreme-value problem is solved.

The coupling method is well fitted to be used in the study of the asymptotics of one-dimensional diffusion processes. We give an elementary proof of Orey's theorem in the recurrent case, and establish rate results for tendency towards equilibrium under moment conditions on the speed measure and the initial distributions.

An asymptotic convolution property for the generalized inverse Gaussian distribution with λ < 0 is proved. This result is applied to calculate the probability of ruin in the general risk model when these distributions are used to model claim sizes. Some related applications are discussed.

An unbiased estimator is given for the drift of a Wiener process which is observed up to a stopping time. For first-passage times across a moving boundary the estimator can be calculated by a simple modification of standard computer programs for computing the first-passage density. Examples and interpretations of the estimator are given.

This paper studies the asymptotic properties of moment estimators for the general shifting level process (SLP). A law of large numbers and a weak convergence theorem are obtained under conditions involving the unobservable processes which make up SLP. Specific conditions about those underlying processes are added to give explicit results, applicable to a large class of moment estimators. Actual formulae for asymptotic variances, etc. are obtained for a simple example, the GNN model.

A class of quasi-stationary sequences of random variables is introduced. After giving the definition, it is shown that the limiting distributions of the maxima of such sequences, when suitably normalized, converge to one of the three extreme-value distributions.

Consider n cells into which balls are thrown at random until all but m cells contain at least l + 1 balls each. Asymptotic results when n →∞, m and l held fixed, are given for the number of cells containing exactly k balls and for related random variables.

Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The techniques of computing probabilities of the type are well known. The main purpose of this paper is to present ways of finding barrier-absorption probabilities when the barrier function is defined only on sub-intervals of [0, T].

The order statistics of a set of independent gamma variables, in general not identically distributed, may serve as a basis for ordering players in a hypothetical game. An alternative formulation in terms of negative binomial variables leads to an expression for the probability that the random gammas are in a given order. This expression may contain rather many terms and some approximations are discussed — firstly as the gamma parameters αi tend to equality with all ni the same, and secondly when the probability of an inversion is small. In another interpretation the probabilities discussed arise in the statement of confidence limits for the ratios of population variances, and here the inversion probability is small enough usually that lower and upper bounds may be given for the probability that the sample variances occur in their expected order. These bounds are calculated from the probability that two variables are in expected order, and for gamma variables this probability is obtained from the F-distribution.

Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The probabilities of the type P[sup0≦t ≦ TW(t) − f(t) ≧ 0] have been extensively studied when f(t) is a deterministic function. This paper discusses the probabilities of the type P{sup0≦t ≦ TW(t) − [f(t) + X(t)] ≧ 0} when X(t) is a stochastic process. By taking compound Poisson processes as X(t), the paper gives procedures for finding such probabilities.

Consider the number Xm of comparisons made in a sequence of comparisons between two opponents, which terminates as soon as one opponent wins m comparisons. The convergence of Xm to the normal variable is completely characterized. The normal approximations to the probability function and to the distribution function of Xm are obtained for any sufficiently large m, together with estimates of the errors in these approximations. Similar results are obtained for the negative binomial distribution as well. Finally, some simple estimates of the mean, variance and the incomplete beta function with equal arguments are constructed.