It is known that in a stationary Brownian queue with both arrival and service processes equal in law to Brownian motion, the departure process is a Brownian motion, identical in law to the arrival process: this is the analogue of Burke's theorem in this context. In this paper we prove convergence in law to this Brownian motion in a tandem network of Brownian queues: if we have an arbitrary continuous process, satisfying some mild conditions, as an initial arrival process and pass it through an infinite tandem network of queues, the resulting process weakly converges to a Brownian motion. We assume independent and exponential initial workloads for all queues.

In his well-known textbook Probability with Martingales, David Williams (1991) introduces the Mabinogion sheep problem in which there is a magical flock of sheep, some black, some white. At each stage n=1,2,..., a sheep (chosen randomly from the entire flock, independently of previous events) bleats; if this bleating sheep is white, one black sheep (if any remain) instantly becomes white; if the bleating sheep is black, one white sheep (if any remain) instantly becomes black. No births or deaths occur. Suppose that one may remove any number of white sheep from the flock at (the end of) each stage n=0,1,.... The object is to maximize the expected final number of black sheep. By applying the martingale optimality principle, Williams showed that the problem is solvable and admits a simple nice solution. In this paper we consider a generalization of the Mabinogion sheep problem with two parameters 0≤p, q≤1, denoted M(p,q), in which at each stage, when the bleating sheep is white (black, respectively), a black (white, respectively) sheep (if any remain) instantly becomes white (black, respectively), with probability p (q, respectively) and nothing changes with probability 1-p (1-q, respectively). Note that the original problem corresponds to (p,q)=(1,1). Following Williams' approach, we solve the two cases (p,q)=(1,1/2) and (1/2,1) which admit simple solutions.

We consider the distributional equation Z =D ∑k=1NAkZ(k), where N is a random variable taking value in N0 = {0, 1, . . .}, A1, A2, . . . are p x p nonnegative random matrices, and Z, Z(1), Z(2), . . ., are independent and identically distributed random vectors in R+p with R+ = [0, ∞), which are independent of (N, A1, A2, . . .). Let {Yn} be the multidimensional Mandelbrot martingale defined as sums of products of random matrices indexed by nodes of a Galton–Watson tree plus an appropriate vector. Its limit Y is a solution of the equation above. For α > 1, we show a sufficient condition for E|Y|α ∈ (0, ∞). Then for a nondegenerate solution Z of the distributional equation above, we show the decay rates of Ee-t∙Z as |t| → ∞ and those of the tail probability P(y ∙ Z ≤ x) as x → 0 for given y = (y1, . . ., yp) ∈ R+p, and the existence of the harmonic moments of y ∙ Z. As an application, these results concerning the moments (of positive and negative orders) of Y are applied to a special multitype branching random walk. Moreover, for the case where all the vectors and matrices of the equation above are complex, a sufficient condition for the Lα convergence and the αth-moment of the Mandelbrot martingale {Yn} are also established.

We consider the coupon collection problem, where each coupon is one of the types 1,…,s with probabilities given by a vector 𝒑. For specified numbers r1,…,rs, we are interested in finding 𝒑 that minimizes the expected time to obtain at least ri type-i coupons for all i=1,…,s. For example, for s=2, r1=1, and r2=r, we show that p1=(logr−log(logr))∕r is close to optimal.

The explosion probability before time t of a branching diffusion satisfies a nonlinear parabolic partial differential equation. This equation, along with the natural boundary and initial conditions, has only the trivial solution, i.e. explosion in finite time does not occur, provided the creation rate does not grow faster than the square power at ∞.

In the spirit of the axiomatic approach by Rogers (1998) we show the equivalence between a set of assumptions on the behaviour of prices and the existence of a representation of these prices as conditional expectations. We rely on only weak assumptions and avoid any a priori modelling of negligible events or of any market filtration. Rather, both endogenously emerge along with the representation as conditional expectations.

We describe an Euler scheme to approximate solutions of Lévy driven stochastic differential equations (SDEs) where the grid points are given by the arrival times of a Poisson process and thus are random. This result extends the previous work of Ferreiro-Castilla et al. (2014). We provide a complete numerical analysis of the algorithm to approximate the terminal value of the SDE and prove that the mean-square error converges with rate O(n-1/2). The only requirement of the methodology is to have exact samples from the resolvent of the Lévy process driving the SDE. Classical examples, such as stable processes, subclasses of spectrally one-sided Lévy processes, and new families, such as meromorphic Lévy processes (Kuznetsov et al. (2012), are examples for which our algorithm provides an interesting alternative to existing methods, due to its straightforward implementation and its robustness with respect to the jump structure of the driving Lévy process.

In this paper we investigate the functional central limit theorem (CLT) for stochastic processes associated to partial sums of additive functionals of reversible Markov chains with general spate space, under the normalization standard deviation of partial sums. For this case, we show that the functional CLT is equivalent to the fact that the variance of partial sums is regularly varying with exponent 1 and the partial sums satisfy the CLT. It is also equivalent to the conditional CLT.

We study continuous-time birth–death type processes, where individuals have independent and identically distributed lifetimes, according to a random variable Q, with E[Q] = 1, and where the birth rate if the population is currently in state (has size) n is α(n). We focus on two important examples, namely α(n) = λ n being a branching process, and α(n) = λn(N - n) / N which corresponds to an SIS (susceptible → infective → susceptible) epidemic model in a homogeneously mixing community of fixed size N. The processes are assumed to start with a single individual, i.e. in state 1. Let T, An, C, and S denote the (random) time to extinction, the total time spent in state n, the total number of individuals ever alive, and the sum of the lifetimes of all individuals in the birth–death process, respectively. We give expressions for the expectation of all these quantities and show that these expectations are insensitive to the distribution of Q. We also derive an asymptotic expression for the expected time to extinction of the SIS epidemic, but now starting at the endemic state, which is not independent of the distribution of Q. The results are also applied to the household SIS epidemic, showing that, in contrast to the household SIR (susceptible → infective → recovered) epidemic, its threshold parameter R* is insensitive to the distribution of Q.

It is shown that the celebrated result of Sparre Andersen for random walks and Lévy processes has intriguing consequences when the last time of the process in (-∞, 0], say σ, is added to the picture. In the case of no positive jumps this leads to six random times, all of which have the same distribution—the uniform distribution on [0, σ]. Surprisingly, this result does not appear in the literature, even though it is based on some classical observations concerning exchangeable increments.

We improve the Chen‒Stein bounds when applied to the probability of a union. When the probability is small, the improvement in the distance from the lower to the upper bound is roughly a factor of 2. Further improvements are determined when the events of the union are either negatively or positively dependent.

We analyse the 𝓁²(𝜋)-convergence rate of irreducible and aperiodic Markov chains with N-band transition probability matrix P and with invariant distribution 𝜋. This analysis is heavily based on two steps. First, the study of the essential spectral radius ress(P|𝓁²(𝜋)) of P|𝓁²(𝜋) derived from Hennion’s quasi-compactness criteria. Second, the connection between the spectral gap property (SG2) of P on 𝓁²(𝜋) and the V-geometric ergodicity of P. Specifically, the (SG2) is shown to hold under the condition α0≔∑m=−NNlim supi→+∞(P(i,i+m)P*(i+m,i)1∕2<1. Moreover, ress(P|𝓁²(𝜋)≤α0. Effective bounds on the convergence rate can be provided from a truncation procedure.

We study a classical multitype Galton–Watson process with mutation and selection. The individuals are sequences of fixed length over a finite alphabet. On the sharp peak fitness landscape together with independent mutations per locus, we show that, as the length of the sequences goes to ∞ and the mutation probability goes to 0, the asymptotic relative frequency of the sequences differing on k digits from the master sequence approaches (σe-a - 1)(ak/k!)∑i≥ 1ik/σi, where σ is the selective advantage of the master sequence and a is the product of the length of the chains with the mutation probability. The probability distribution Q(σ, a) on the nonnegative integers given by the above equation is the quasispecies distribution with parameters σ and a.

An extension of a convergence theorem for sequences of Markov chains is derived. For every positive integer N let (XN(r))r be a Markov chain with the same finite state space S and transition matrix ΠN=I+dNBN, where I is the unit matrix, Q a generator matrix, (BN)N a sequence of matrices, limN℩∞cN= limN→∞dN=0 and limN→∞cN∕dN=0. Suppose that the limits P≔limm→∞(I+dNQ)m and G≔limN→∞PBNP exist. If the sequence of initial distributions PXN(0) converges weakly to some probability measure μ, then the finite-dimensional distributions of (XN([t∕cN))t≥0 converge to those of the Markov process (Xt)t≥0 with initial distribution μ, transition matrix PetG and limN→∞(I+dNQ+cNBN)[t∕cN]

In this paper we derive sufficient conditions for the permanence and ergodicity of a stochastic predator–prey model with a Beddington–DeAngelis functional response. The conditions obtained are in fact very close to the necessary conditions. Both nondegenerate and degenerate diffusions are considered. One of the distinctive features of our results is that they enable the characterization of the support of a unique invariant probability measure. It proves the convergence in total variation norm of the transition probability to the invariant measure. Comparisons to the existing literature and matters related to other stochastic predator–prey models are also given.

In this paper we study a special class of size dependent branching processes. We assume that for some positive integer K as long as the population size does not exceed level K, the process evolves as a discrete-time supercritical branching process, and when the population size exceeds level K, it evolves as a subcritical or critical branching process. It is shown that this process does die out in finite time T. The question of when the mean value E(T) is finite or infinite is also addressed.