The typical cell of a stationary Poisson hyperplane tessellation in the d-dimensional Euclidean space is called the Poisson polytope, and the cell containing the origin is called the Poisson 0-polytope. The intention of the paper is to show that the cells of the anisotropic tessellations are in some sense larger than those of the isotropic tessellations. Under the condition of equal intensities, it is proved that the moments of order n = 1, 2, … for the volume of the Poisson 0-polytope in the anisotropic case are not smaller than the corresponding moments in the isotropic case. Similar results are derived for the Poisson polytope. Finally, generalizations are mentioned.

We consider the distribution of the free coordinates of a time-homogeneous Markov process at the time of its first passage into a prescribed stopping set. This calculation (for an uncontrolled process) is of interest because under some circumstances it enables one to calculate the optimal control for a related controlled process. Scaling assumptions are made which allow the application of large deviation techniques. However, the first-order evaluation obtained by these techniques is often too crude to be useful, and the second-order correction term must be calculated. An expression for this correction term as an integral over time is obtained in Equation (20). The integration can be performed in some cases to yield the conclusions of Theorems 1 and 2, expressed in Equations (7) and (9). Theorem 1 gives the probability density of the state vector (to the required degree of approximation) at a prescribed time for a class of processes we may reasonably term linear. Theorem 2 evaluates (without any assumption of linearity) the ratio of this density to the probability density of the coordinates under general stopping rules.

Simulation procedures for typical Johnson-Mehl crystals generated under various models for random nucleation are proposed. These procedures include algorithms for simulating spatio-time-inhomogeneous Poisson processes. Empirical results for a particular class of Johnson-Mehl tessellations in two and three dimensions show remarkably different crystals.

We study the limiting behaviour of large systems of two types of Brownian particles undergoing bisexual branching. Particles of each type generate individuals of both types, and the respective branching law is asymptotically critical for the two-dimensional system, while being subcritical for each individual population.

The main result of the paper is that the limiting behaviour of suitably scaled sums and differences of the two populations is given by a pair of measure and distribution valued processes which, together, determine the limit behaviours of the individual populations.

Our proofs are based on the martingale problem approach to general state space processes. The fact that our limit involves both measure and distribution valued processes requires the development of some new methodologies of independent interest.

A general method for solving stereological problems for particle systems is applied to polyhedron structures. We suggested computing the kernel function of the respective stereological integral equation by means of computer simulation. Two models of random polyhedrons are investigated. First, regular prisms are considered which are described by their size and shape. The size-shape distribution of a stationary and isotropic spatial ensemble of regular prisms can be estimated from the size-shape distribution of the polygons observed in a section plane. Secondly, random polyhedrons are constructed as the convex hull of points which are uniformly distributed on surfaces of spheres. It is assumed that the size of the polyhedrons and the number of points (i.e. the number of vertices) are random variables. Then the distribution of a spatially distributed ensemble of polyhedrons is determined by its size-number distribution. The corresponding numerical density of this bivariate size-number distribution can be stereologically determined from the estimated numerical density of the bivariate size-number distribution of the intersection profiles.

We consider a migration process whose singleton process is a time-dependent Markov replacement process. For the singleton process, which may be treated as either open or closed, we study the limiting distribution, the distribution of the time to replacement and related quantities. For a replacement process in equilibrium we obtain a version of Little's law and we provide conditions for reversibility. For the resulting linear population process we characterize exponential ergodicity for two types of environmental behaviour, i.e. either convergent or cyclic, and finally for large population sizes a diffusion approximation analysis is provided.

In this paper, we develop mathematical machinery for verifying that a broad class of general state space Markov chains reacts smoothly to certain types of perturbations in the underlying transition structure. Our main result provides conditions under which the stationary probability measure of an ergodic Harris-recurrent Markov chain is differentiable in a certain strong sense. The approach is based on likelihood ratio ‘change-of-measure' arguments, and leads directly to a ‘likelihood ratio gradient estimator' that can be computed numerically.

Non-parametric estimators of the distribution of the grain of the Boolean model are considered. The technique is based on the study of point processes of tangent points in different directions related to the Boolean model. Their second- and higher-order characteristics are used to estimate the mean body and the distribution of the typical grain. Central limit theorems for the improved estimator of the intensity and surface measures of the Boolean model are also proved.

Inspired by recent developments in stereology, rotational versions of the Crofton formula are derived. The first version involves rotation averages of Minkowski functionals. It is shown that for the special case where the Minkowski functional is surface area, the rotation average can be expressed in terms of hypergeometric functions. The second rotational version of the Crofton formula solves the ‘opposite’ problem of finding functions with rotation averages equal to the Minkowski functionals. For the case of surface area, hypergeometric functions appear again. The second type of rotational Crofton formula has applications in local stereology. As a by-product, a formula involving mixed volumes is found.

We consider a non-Bayesian infinite horizon version of the multi-armed bandit problem with the objective of designing simple policies whose regret increases slowly with time. In their seminal work on this problem, Lai and Robbins had obtained a O(log n) lower bound on the regret with a constant that depends on the Kullback–Leibler number. They also constructed policies for some specific families of probability distributions (including exponential families) that achieved the lower bound. In this paper we construct index policies that depend on the rewards from each arm only through their sample mean. These policies are computationally much simpler and are also applicable much more generally. They achieve a O(log n) regret with a constant that is also based on the Kullback–Leibler number. This constant turns out to be optimal for one-parameter exponential families; however, in general it is derived from the optimal one via a ‘contraction' principle. Our results rely entirely on a few key lemmas from the theory of large deviations.

In the early 1940s David Kendall conjectured that the shapes of the ‘large' (i.e. large area A) convex polygons determined by a standard Poisson line process in the plane tend to circularity (as A increases). Subject only to one heuristic argument, this conjecture and the corresponding two results with A replaced in turn by number of sides N and perimeter S, are proved. Two further similar limiting distributions are considered and, finally, corresponding limiting non-deterministic shape distributions for the small polygons are determined.

We study a fundamental feature of the generalized semi-Markov processes (GSMPs), called event coupling. The event coupling reflects the logical behavior of a GSMP that specifies which events can be affected by any given event. Based on the event-coupling property, GSMPs can be classified into three classes: the strongly coupled, the hierarchically coupled, and the decomposable GSMPs. The event-coupling property on a sample path of a GSMP can be represented by the event-coupling trees. With the event-coupling tree, we can quantify the effect of a single perturbation on a performance measure by using realization factors. A set of equations that specifies the realization factors is derived. We show that the sensitivity of steady-state performance with respect to a parameter of an event lifetime distribution can be obtained by a simple formula based on realization factors and that the sample-path performance sensitivity converges to the sensitivity of the steady-state performance with probability one as the length of the sample path goes to infinity. This generalizes the existing results of perturbation analysis of queueing networks to GSMPs.

First, some basic concepts from the theory of point processes are recalled and expanded. Then some notions of stochastic comparisons, which compare whole processes, are introduced. The use of these notions is illustrated by stochastically comparing renewal and related processes. Finally, applications of the different notions of stochastic ordering of point processes to many replacement policies are given.

We give a proof of the Steiner formula based on the theory of random convex bodies. In particular, we make use of laws of large numbers for both random volumes and random convex bodies themselves.

We obtain a weak approximation for the reduced family tree in a near-critical Markov branching process when the time interval considered is long; we also extend Yaglom's theorem and the exponential law to this case. These results are then applied to the problem of estimating the age of our most recent common female ancestor, using mitochondrial DNA sequences taken from a sample of contemporary humans.

It is shown by means of several examples that probability metrics are a useful tool to study the asymptotic behaviour of (stochastic) recursive algorithms. The basic idea of this approach is to find a ‘suitable' probability metric which yields contraction properties of the transformations describing the limits of the algorithm. In order to demonstrate the wide range of applicability of this contraction method we investigate examples from various fields, some of which have already been analysed in the literature.

In this paper we consider a family of product-form loss models, including loss networks (or circuit-switched communication networks) and a class of resource-sharing models. There can be multiple classes of requests for multiple resources. Requests arrive according to independent Poisson processes. The requests can be for multiple units in each resource (the multi-rate case, e.g. several circuits on a trunk). There can be upper-limit and guaranteed-minimum sharing policies as well as the standard complete-sharing policy. If all the requirements of a request cannot be met upon arrival, then the request is blocked and lost. We develop an algorithm for computing the (exact) steady-state blocking probability of each class and other steady state descriptions in these loss models. The algorithm is based on numerically inverting generating functions of the normalization constants. In a previous paper we introduced this approach to product-form models and developed a full algorithm for a class of closed queueing networks. The inversion algorithm promises to be even more useful for loss models than for closed queueing networks because fewer alternative algorithms are available for loss models. Indeed, for many loss models with sharing policies other than traditional complete sharing, our algorithm is the first effective algorithm. Unlike some recursive algorithms, our algorithm has a low storage requirement. To treat the loss models here, we derive the generating functions of the normalization constants and develop a new scaling algorithm especially tailored to the loss models. In general, the computational complexity grows exponentially in the number of resources, but the computation can often be reduced dramatically by exploiting conditional decomposition based on special structure and by appropriately truncating large finite sums. We illustrate our numerical inversion algorithm by applying it to several examples. To validate our algorithm on small models, we also develop a direct algorithm. The direct algorithm itself is of interest, because it tends to be more efficient when the number of resources is large, but the number of request classes is small. Furthermore, it also allows a form of conditional decomposition based on special structure.

A stationary (but not necessarily isotropic) Boolean model Y in the plane is considered as a model for overlapping particle systems. The primary grain (i.e. the typical particle) is assumed to be simply connected, but no convexity assumptions are made. A new method is presented to estimate the intensity y of the underlying Poisson process (i.e. the mean number of particles per unit area) from measurements on the union set Y. The method is based mainly on the concept of convexification of a non-convex set, it also produces an unbiased estimator for a (suitably defined) mean body of Y, which in turn makes it possible to estimate the mean grain of the particle process.

We present a systematic method of approximating, to an arbitrary accuracy, a probability measure µ on x = [0,1]q, q 1, with invariant measures for iterated function systems by matching its moments. There are two novel features in our treatment. 1. An infinite set of fixed affine contraction maps on , w2, · ·· }, subject to an ‘ϵ-contractivity' condition, is employed. Thus, only an optimization over the associated probabilities pi is required. 2. We prove a collage theorem for moments which reduces the moment matching problem to that of minimizing the collage distance between moment vectors. The minimization procedure is a standard quadratic programming problem in the pi which can be solved in a finite number of steps. Some numerical calculations for the approximation of measures on [0, 1] are presented.

We present a stochastic model for the movement of a white blood cell both in uniform concentration of chemoattractant and in the presence of a chemoattractant gradient. It is assumed that the rotational velocity is proportional to the weighted difference of the occupied receptors in the two halves of the cell and that each of the receptors stays free or occupied for an exponential length of time. We define processes corresponding to a cell with 2nß + 1 receptors (receptor sites). In the case of constant concentration, we show that the limiting process for the rotational velocity is an Ornstein–Uhlenbeck process. Its drift coefficient depends on the parameters of the exponential waiting times and its diffusion coefficient depends in addition also on the weight function. In the inhomogeneous case, the velocity process has a diffusion limit with drift coefficient depending on the concentration gradient and diffusion coefficient depending on the concentration and the weight function.