The main objective of this paper is to investigate the conditional behavior of the multivariate reward process given the number of certain signals where the underlying system is described by a semi-Markov process and the signal is defined by a counting process. To this end, we study the joint behavior of the multivariate reward process and the multivariate counting process in detail. We derive transform results as well as the corresponding real domain expressions, thus providing clear probabilistic interpretation.

In a counting process considered at time t the focus is often on the length of the current interarrival time, whereas points in the past may be said to constitute information about the process. The paper introduces new concepts on how to quantify predictability of the future behavior of counting processes based on the past information and considers then situations in which the future points become more (or less) predictable. Various properties of our proposed concepts are studied and applications relevant to the reliability of repairable systems are given.

Limits in distribution of maxima of independent stochastic processes are characterized in terms of spectral functions acting on a Poisson point process.

Brownian flow systems, i.e. multidimensional Brownian motion with regulating barriers, can model queueing and inventory systems in which the behavior of different queues is correlated because of shared input processes. The behavior of such systems is typically difficult to describe exactly. We show how Brownian models of such systems, conditioned on one queue length exceeding a large value, decompose asymptotically into smaller subsystems. This conditioning induces a change in drift of the system's net input process and its components. The results here are analogous to results for jump-Markov queues recently obtained by Shwartz and Weiss. The Brownian setting leads to a simple description of the component processes' asymptotic behaviour, as well as to explicit distributional results.

This paper considers the absorption of a non-decreasing compound Poisson process of finite order in a general upper boundary. The problem is relevant in fields such as risk theory, Kolmogorov–Smirnov statistics and sequential analysis. The probability of absorption and first-passage times are given in terms of a generating function which depends on the boundary only and can be computed readily. Absorption is certain or not as the asymptotic slope of the boundary is greater or less than the expected increase of the process in unit time. The case of the linear boundary is considered in detail.

This paper considers the histogram of unit cell size built up from m independent observations on a Poisson (μ) distribution. The following question is addressed: what is the limiting probability of the event that there are no unoccupied cells lying to the left of occupied cells of the histogram? It is shown that the probability of there being no such isolated empty cells (or isolated finite groups of empty cells) tends to unity as the number m of observations tends to infinity, but that the corresponding almost sure convergence fails. Moreover this probability does not tend to unity when the Poisson distribution is replaced by the negative binomial distribution arising when μ is randomized by a gamma distribution. The relevance to empirical Bayes statistical methods is discussed.

We consider a bivariate Markov counting process with transition probabilities having a particular structure, which includes a number of useful population processes. Using a suitable random time-scale transformation, we derive some probability statements about the process and some asymptotic results. These asymptotic results are also derived using martingale methods. Further, it is shown that these methods and results can be used for inference on the rate parameters for the process. The general epidemic model and the square law conflict model are used as illustrative examples.

In this paper the class of cyclostationary Gaussian random processes is studied. Basic asymptotics are given for the class of Gaussian processes that are centered and differentiable in mean square. Then, under certain conditions on the non-degeneration of the centered cyclostationary Gaussian process with integrable covariance functions, the Gnedenko-type limit formula is established for and all x > 0.

We introduce and study a novel type of first-passage percolation problem on where the associated first-passage time measures the density of interface between two types of sites. If the types, designated + and –, are independently assigned their values with probability p and (1 — p) respectively, we show that the density of interface is non-zero provided that both species are subcritical with regard to percolation, i.e. pc > p > 1 – pc. Furthermore, we show that as p ↑ pc or p ↓ (1 – pc), the interface density vanishes with scaling behavior identical to the correlation length of the site percolation problem.

A Markovian arrival stream is a marked point process generated by the state transitions of a given Markovian environmental process and Poisson arrival rates depending on the environment. It is shown that to a given marked point process there is a sequence of such Markovian arrival streams with the property that as m →∞. Various related corollaries (involving stationarity, convergence of moments and ergodicity) and counterexamples are discussed as well.

A reference probability is explicitly constructed under which the signal and observation processes are independent. A simple, explicit recursive form is then obtained for the conditional density of the signal given the observations. Both non-linear and linear filters are considered, as well as two different information patterns.

We give explicit expressions for the Slepian model process of non-stationary Gaussian processes following level crossings and local maxima. We also include a detailed analysis of the high-level case.

Let {Fn}n ≧ 0 be a sequence of c.d.f. and let {Rn}n ≧ 1 be the sequence of record values in a non-stationary record model where after the (n − 1)th record the population is distributed according to Fn. Then the equidistribution of the nth population and the record increment Rn – Rn– 1 (i.e. Rn – Rn– 1~ Fn) characterizes Fn to have an exponentially decreasing hazard function. To be more precise Fn is the exponential distribution if the support of Rn– 1 generates a dense subgroup in and otherwise the entity of all possible solutions can be obtained in the following way: let for simplicity the above additive subgroup be any c.d.f. F satisfying F(0) = 0, F(1) < 1 can be chosen arbitrarily. Setting λ = – log(1 – F(1)), Fn(x) = 1 – F(x – [x])exp(–λ [x]) is an admissible solution coinciding with F on the interval [0, 1] ([x] denotes the integer part of x). Simple additional assumptions ensuring that Fn is either exponential or geometric are given. Similar results for exponential or geometric tail distributions based on the independence of Rn– 1 and Rn – Rn– 1 are proved.

We obtain the distribution of the length of a clump in a coverage process where the first line segment of a clump has a distribution that differs from the remaining segments of the clump. This result allows us to provide the distribution of the busy period in an M/G/∞ queueing system with exceptional first service, and applications are considered. The result also provides the tool necessary to analyze the transient behavior of an ordinary coverage process, namely the depletion time of the ordinary M/G/∞ system.

Under appropriate long-range dependence conditions, it is well known that the joint distribution of the number of exceedances of several high levels is asymptotically compound Poisson. Here we investigate the structure of a cluster of exceedances for stationary sequences satisfying a suitable local dependence condition, under which it is only necessary to get certain limiting probabilities, easy to compute, in order to obtain limiting results for the highest order statistics, exceedance counts and upcrossing counts.

This paper considers the joint limiting behavior of sums and maxima of stationary discrete-valued processes. The asymptotic behavior is a cross between a central limit theorem and asymptotic bounds for the distribution of the maxima. Some applications and simulations are also included.

A continuum percolation model on is considered. Using a renormalization technique developed by Grimmett and Marstrand, we show a continuum analogue of their results. We prove the critical value of the percolation equals the limit of the critical value of a slice as the thickness of the slice tends to infinity. We also prove that the effective conductivity in the model is bounded from below by a positive constant in the supercritical case.

Let γ t and δ t denote the residual life at t and current life at t, respectively, of a renewal process , with the sequence of interarrival times. We prove that, given a function G, under mild conditions, as long as holds for a single positive integer n, then is a Poisson process. On the other hand, for a delayed renewal process with the residual life at t, we find that for some fixed positive integer n, if is independent of t, then is an arbitrarily delayed Poisson process. We also give some corresponding results about characterizing the common distribution function F of the interarrival times to be geometric when F is discrete. Finally, we obtain some characterization results based on the total life or independence of γ t and δ t.

Suppose n possibly censored survival times are observed under an independent censoring model, in which the observed times are generated as the minimum of independent positive failure and censor random variables. A practical difficulty arises when the largest observation is censored since then the usual non-parametric estimator of the distribution of the survival time is improper. We calculate the probability that this occurs and give necessary and sufficient conditions for this probability to converge to 0 as n →∞. As an application, we show that if this probability is 0, asymptotically, then a consistent estimator for the mean failure time can be found. An almost sure version of the problem is also considered.

Exceedances of a non-stationary sequence above a boundary define certain point processes, which converge in distribution under mild mixing conditions to Poisson processes. We investigate necessary and sufficient conditions for the convergence of the point process of exceedances, the point process of upcrossings and the point process of clusters of exceedances. Smooth regularity conditions, as smooth oscillation of the non-stationary sequence, imply that these point processes converge to the same Poisson process. Since exceedances are asymptotically rare, the results are extended to triangular arrays of rare events.