Consider a two-type Moran population of size N with selection and mutation, where the selective advantage of the fit individuals is amplified at extreme environmental conditions. Assume selection and mutation are weak with respect to N, and extreme environmental conditions rarely occur. We show that, as $N\to\infty$, the type frequency process with time sped up by N converges to the solution to a Wright–Fisher-type SDE with a jump term modeling the effect of the environment. We use an extension of the ancestral selection graph (ASG) to describe the genealogical picture of the model. Next, we show that the type frequency process and the line-counting process of a pruned version of the ASG satisfy a moment duality. This relation yields a characterization of the asymptotic type distribution. We characterize the ancestral type distribution using an alternative pruning of the ASG. Most of our results are stated in annealed and quenched form.

We study a stochastic differential equation with an unbounded drift and general Hölder continuous noise of order $\lambda \in (0,1)$. The corresponding equation turns out to have a unique solution that, depending on a particular shape of the drift, either stays above some continuous function or has continuous upper and lower bounds. Under some mild assumptions on the noise, we prove that the solution has moments of all orders. In addition, we provide its connection to the solution of some Skorokhod reflection problem. As an illustration of our results and motivation for applications, we also suggest two stochastic volatility models which we regard as generalizations of the CIR and CEV processes. We complete the study by providing a numerical scheme for the solution.

This paper deals with ergodic theorems for particular time-inhomogeneous Markov processes, whose time-inhomogeneity is asymptotically periodic. Under a Lyapunov/minorization condition, it is shown that, for any measurable bounded function f, the time average $\frac{1}{t} \int_0^t f(X_s)ds$ converges in $\mathbb{L}^2$ towards a limiting distribution, starting from any initial distribution for the process $(X_t)_{t \geq 0}$ . This convergence can be improved to an almost sure convergence under an additional assumption on the initial measure. This result is then applied to show the existence of a quasi-ergodic distribution for processes absorbed by an asymptotically periodic moving boundary, satisfying a conditional Doeblin condition.

We study a general model of recursive trees where vertices are equipped with independent weights and at each time-step a vertex is sampled with probability proportional to its fitness function, which is a function of its weight and degree, and connects to $\ell$ new-coming vertices. Under a certain technical assumption, applying the theory of Crump–Mode–Jagers branching processes, we derive formulas for the limiting distributions of the proportion of vertices with a given degree and weight, and proportion of edges with endpoint having a certain weight. As an application of this theorem, we rigorously prove observations of Bianconi related to the evolving Cayley tree (Phys. Rev. E 66, paper no. 036116, 2002). We also study the process in depth when the technical condition can fail in the particular case when the fitness function is affine, a model we call ‘generalised preferential attachment with fitness’. We show that this model can exhibit condensation, where a positive proportion of edges accumulates around vertices with maximal weight, or, more drastically, can have a degenerate limiting degree distribution, where the entire proportion of edges accumulates around these vertices. Finally, we prove stochastic convergence for the degree distribution under a different assumption of a strong law of large numbers for the partition function associated with the process.

We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ( $i=1,2,\dots$ ) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model the proportional gain feature; that is, if the surplus process just before the ith arrival is at level u, then for $a>0$ the capital jumps up to the level $(1+a)u+C_i$ . The ruin probability and the distribution of the time to ruin are determined. We furthermore identify the value of discounted cumulative dividend payments, for the case of a Poisson arrival process of proportional gains. In the dividend calculations, we also consider a random perturbation of our basic risk process modeled by an independent Brownian motion with drift.

Suppose that m drivers each choose a preferred parking space in a linear car park with n spots. In order, each driver goes to their chosen spot and parks there if possible, and otherwise takes the next available spot if it exists. If all drivers park successfully, the sequence of choices is called a parking function. Classical parking functions correspond to the case $m=n$.

We investigate various probabilistic properties of a uniform parking function. Through a combinatorial construction termed a parking function multi-shuffle, we give a formula for the law of multiple coordinates in the generic situation $m \lesssim n$. We further deduce all possible covariances: between two coordinates, between a coordinate and an unattempted spot, and between two unattempted spots. This asymptotic scenario in the generic situation $m \lesssim n$ is in sharp contrast with that of the special situation $m=n$.

A generalization of parking functions called interval parking functions is also studied, in which each driver is willing to park only in a fixed interval of spots. We construct a family of bijections between interval parking functions with n cars and n spots and edge-labeled spanning trees with $n+1$ vertices and a specified root.

Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises [2], where the infinite-horizon problem is solved. Using a similar argument as that in [24], we show that this optimal prediction problem is equivalent to solving an optimal prediction problem in a finite-horizon setting. Surprisingly (unlike the infinite-horizon problem), an optimal stopping time is based on a curve that is killed at the moment the mean of the exponential time is reached. That is, an optimal stopping time is the first time the process crosses above a non-negative, continuous, and non-increasing curve depending on time. This curve and the value function are characterised as a solution of a system of nonlinear integral equations which can be understood as a generalisation of the free boundary equations (see e.g. [21, Chapter IV.14.1]) in the presence of jumps. As an example, we numerically calculate this curve in the Brownian motion case and for a compound Poisson process with exponential-sized jumps perturbed by a Brownian motion.

The invariant Galton–Watson (IGW) tree measures are a one-parameter family of critical Galton–Watson measures invariant with respect to a large class of tree reduction operations. Such operations include the generalized dynamical pruning (also known as hereditary reduction in a real tree setting) that eliminates descendant subtrees according to the value of an arbitrary subtree function that is monotone nondecreasing with respect to an isometry-induced partial tree order. We show that, under a mild regularity condition, the IGW measures are attractors of arbitrary critical Galton–Watson measures with respect to the generalized dynamical pruning. We also derive the distributions of height, length, and size of the IGW trees.

The problem of optimally scaling the proposal distribution in a Markov chain Monte Carlo algorithm is critical to the quality of the generated samples. Much work has gone into obtaining such results for various Metropolis–Hastings (MH) algorithms. Recently, acceptance probabilities other than MH are being employed in problems with intractable target distributions. There are few resources available on tuning the Gaussian proposal distributions for this situation. We obtain optimal scaling results for a general class of acceptance functions, which includes Barker’s and lazy MH. In particular, optimal values for Barker’s algorithm are derived and found to be significantly different from that obtained for the MH algorithm. Our theoretical conclusions are supported by numerical simulations indicating that when the optimal proposal variance is unknown, tuning to the optimal acceptance probability remains an effective strategy.

We present an affine-invariant random walk for drawing uniform random samples from a convex body $\mathcal{K} \subset \mathbb{R}^n$ that uses maximum-volume inscribed ellipsoids, known as John’s ellipsoids, for the proposal distribution. Our algorithm makes steps using uniform sampling from the John’s ellipsoid of the symmetrization of $\mathcal{K}$ at the current point. We show that from a warm start, the random walk mixes in ${\widetilde{O}}\!\left(n^7\right)$ steps, where the log factors hidden in the ${\widetilde{O}}$ depend only on constants associated with the warm start and desired total variation distance to uniformity. We also prove polynomial mixing bounds starting from any fixed point x such that for any chord pq of $\mathcal{K}$ containing x, $\left|\log \frac{|p-x|}{|q-x|}\right|$ is bounded above by a polynomial in n.

Using one-dimensional branching Brownian motion in a periodic environment, we give probabilistic proofs of the asymptotics and uniqueness of pulsating traveling waves of the Fisher–Kolmogorov–Petrovskii–Piskounov (F-KPP) equation in a periodic environment. This paper is a sequel to ‘Branching Brownian motion in a periodic environment and existence of pulsating travelling waves’ (Ren et al., 2022), in which we proved the existence of the pulsating traveling waves in the supercritical and critical cases, using the limits of the additive and derivative martingales of branching Brownian motion in a periodic environment.

We consider continuous space–time decay–surge population models, which are semi-stochastic processes for which deterministically declining populations, bound to fade away, are reinvigorated at random times by bursts or surges of random sizes. In a particular separable framework (in a sense made precise below) we provide explicit formulae for the scale (or harmonic) function and the speed measure of the process. The behavior of the scale function at infinity allows us to formulate conditions under which such processes either explode or are transient at infinity, or Harris recurrent. A description of the structures of both the discrete-time embedded chain and extreme record chain of such continuous-time processes is supplied.

We use probabilistic methods to study properties of mean-field models, which arise as large-scale limits of certain particle systems with mean-field interaction. The underlying particle system is such that n particles move forward on the real line. Specifically, each particle ‘jumps forward’ at some time points, with the instantaneous rate of jumps given by a decreasing function of the particle’s location quantile within the overall distribution of particle locations. A mean-field model describes the evolution of the particles’ distribution when n is large. It is essentially a solution to an integro-differential equation within a certain class. Our main results concern the existence and uniqueness of—and attraction to—mean-field models which are traveling waves, under general conditions on the jump-rate function and the jump-size distribution.

In this paper we estimate the expected error of a stochastic approximation algorithm where the maximum of a function is found using finite differences of a stochastic representation of that function. An error estimate of the order $n^{-1/5}$ for the nth iteration is achieved using suitable parameters. The novelty with respect to previous studies is that we allow the stochastic representation to be discontinuous and to consist of possibly dependent random variables (satisfying a mixing condition).

We consider a sequence of Poisson cluster point processes on $\mathbb{R}^d$ : at step $n\in\mathbb{N}_0$ of the construction, the cluster centers have intensity $c/(n+1)$ for some $c>0$ , and each cluster consists of the particles of a branching random walk up to generation n—generated by a point process with mean 1. We show that this ‘critical cluster cascade’ converges weakly, and that either the limit point process equals the void process (extinction), or it has the same intensity c as the critical cluster cascade (persistence). We obtain persistence if and only if the Palm version of the outgrown critical branching random walk is locally almost surely finite. This result allows us to give numerous examples for persistent critical cluster cascades.

This paper provides a full classification of the dynamics for continuous-time Markov chains (CTMCs) on the nonnegative integers with polynomial transition rate functions and without arbitrary large backward jumps. Such stochastic processes are abundant in applications, in particular in biology. More precisely, for CTMCs of bounded jumps, we provide necessary and sufficient conditions in terms of calculable parameters for explosivity, recurrence versus transience, positive recurrence versus null recurrence, certain absorption, and implosivity. Simple sufficient conditions for exponential ergodicity of stationary distributions and quasi-stationary distributions as well as existence and nonexistence of moments of hitting times are also obtained. Similar simple sufficient conditions for the aforementioned dynamics together with their opposite dynamics are established for CTMCs with unbounded forward jumps. Finally, we apply our results to stochastic reaction networks, an extended class of branching processes, a general bursty single-cell stochastic gene expression model, and population processes, none of which are birth–death processes. The approach is based on a mixture of Lyapunov–Foster-type results, the classical semimartingale approach, and estimates of stationary measures.