We consider a multivariate distributional recursion of sum type, as arises in the probabilistic analysis of algorithms and random trees. We prove an upper tail bound for the solution using Chernoff's bounding technique by estimating the Laplace transform. The problem is traced back to the corresponding problem for binary search trees by stochastic domination. The result obtained is applied to the internal path length and Wiener index of random b-ary recursive trees with weighted edges and random linear recursive trees. Finally, lower tail bounds for the Wiener index of these trees are given.

In this paper, N particles el, · ··, eN occupying positions in finite state spaces S1, · ··, SN, respectively, are considered along with an element of a finite space S N+1 of hierarchies which describe the organization of the particles into pairs, pairs of pairs, etc. A stochastic process {Xt: t 0} on a probability measure space (Ω, , P) is a hierarchic process if it is a right-continuous Markov jump process taking on values in the state space Sj and having the property that the (N + 1)th component of Xt can jump from a hierarchy to a successor or antecedent of that hierarchy. Asymptotic distributions of perturbed hierarchic processes, bilateral processes, and unilateral processes are determined in terms of an interaction function and the asymptotic distributions of the particles in the absence of any interaction.

In this paper we obtain a duality result for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date. As an application of the duality, we treat utility-based hedging in the Bachelier model. For European contingent claims with a quadratic payoff, we compute the optimal trading strategy explicitly.

Let Xi,i ∈ ℕ, be independent and identically distributed random variables with values in ℕ0. We transform (‘prune’) the sequence {X1,…,Xn},n∈ ℕ, of discrete random samples into a sequence {0,1,2,…,Yn}, n∈ ℕ, of contiguous random sets by replacing Xn+1 with Yn +1 if Xn+1 >Yn. We consider the asymptotic behaviour of Yn as n→∞. Applications include path growth in digital search trees and the number of tables in Pitman's Chinese restaurant process if the latter is conditioned on its limit value.

In this paper, several linear two-dimensional consecutive k-type systems are studied, which include the linear connected-(k, r)-out-of-$(m,n)\colon\! F$ system and the linear l-connected-(k, r)-out-of-$(m,n)\colon\! F$ system without/with overlapping. Reliabilities of these systems are studied via the finite Markov chain imbedding approach (FMCIA) in a novel way. Some numerical examples are provided to illustrate the theoretical results established here and also to demonstrate the efficiency of the developed method. Finally, some possible applications and generalizations of the developed results are pointed out.

In this work we introduce a stochastic model for the spread of a virus in a cell population where the virus has two ways of spreading: either by allowing its host cell to live and duplicate, or by multiplying in large numbers within the host cell, causing the host cell to burst and thereby let the virus enter new uninfected cells. The model is a kind of interacting Markov branching process. We focus in particular on the probability that the virus population survives and how this depends on a certain parameter λ which quantifies the ‘aggressiveness’ of the virus. Our main goal is to determine the optimal balance between aggressive growth and long-term success. Our analysis shows that the optimal strategy of the virus (in terms of survival) is obtained when the virus has no effect on the host cell's life cycle, corresponding to λ = 0. This is in agreement with experimental data about real viruses.

We consider linear-fractional branching processes (one-type and two-type) with immigration in varying environments. For $n\ge0$, let $Z_n$ count the number of individuals of the nth generation, which excludes the immigrant who enters the system at time n. We call n a regeneration time if $Z_n=0$. For both the one-type and two-type cases, we give criteria for the finiteness or infiniteness of the number of regeneration times. We then construct some concrete examples to exhibit the strange phenomena caused by the so-called varying environments. For example, it may happen that the process is extinct, but there are only finitely many regeneration times. We also study the asymptotics of the number of regeneration times of the model in the example.

The object of this paper is to study the actual waiting time of a customer in a GI/G/1 queue. This is an important criterion from the viewpoint of both the customers and the efficient functioning of the counter. Suitable point processes in the product space of load and time parameters for any general inter-arrival and service time distributions are defined and integral equations governing the correlation functions are set up. Solutions of these equations are obtained and with the help of these, explicit expressions for the first two moments of the number of customers who have waited for a time longer than w in a given time interval (0, T) are calculated.

In this paper we study nonparametric estimation problems for a class of piecewise-deterministic Markov processes (PDMPs). Borovkov and Last (2008) proved a version of Rice's formula for PDMPs, which explains the relation between the stationary density and the level crossing intensity. From a statistical point of view, their result suggests a methodology for estimating the stationary density from observations of a sample path of PDMPs. First, we introduce the local time related to the level crossings and construct the local-time estimator for the stationary density, which is unbiased and uniformly consistent. Secondly, we investigate other estimation problems for the jump intensity and the conditional jump size distribution.

Arnold and Laguna introduced a model for income distributions in which the income of the present generation of individuals has the same distribution as the minimum of a random number Nn of independent copies of some random variable and {Nn} is independent. The present paper gives a fairly complete analysis of this model and a number of extensions of it.

In recent papers Yassky (1962) and Gani (1965) have considered respectively deterministic and stochastic models for the attachment of phages to bacteria. Following Brenner's (1965) conjecture they assumed that there is a maximum, S (say), to the number of phages that can be attached to a bacterium. In this note, Gani's (1965) results will be obtained starting from a different set of assumptions. This modification enables us to consider the case when S is a random variable, which probably is a more realistic assumption. Some remarks on the problem of estimation for the latter model are given in Section 3.

Let x denote a vector of length q consisting of 0s and 1s. It can be interpreted as an ‘opinion’ comprised of a particular set of responses to a questionnaire consisting of q questions, each having {0, 1}-valued answers. Suppose that the questionnaire is answered by n individuals, thus providing n ‘opinions’. Probabilities of the answer 1 to each question can be, basically, arbitrary and different for different questions. Out of the 2q different opinions, what number, μn , would one expect to see in the sample? How many of these opinions, μn (k), will occur exactly k times? In this paper we give an asymptotic expression for μn / 2q and the limit for the ratios μn (k)/μn , when the number of questions q increases along with the sample size n so that n = λ2q , where λ is a constant. Let p(x ) denote the probability of opinion x . The key step in proving the asymptotic results as indicated is the asymptotic analysis of the joint behaviour of the intensities np(x ). For example, one of our results states that, under certain natural conditions, for any z > 0, ∑1 {np( x) > z} = d n z −u ,d n = o(2q ).

This paper considers two variants of M/G/1 queues with impatient customers, which are denoted by M/G/1+Gw and M/G/1+Gs. In the M/G/1+Gw queue customers have deadlines for their waiting times, and they leave the system immediately if their services do not start before the expiration of their deadlines. On the other hand, in the M/G/1+Gs queue customers have deadlines for their sojourn times, where customers in service also immediately leave the system when their deadlines expire. In this paper we derive comparison results for performance measures of these models. In particular, we show that if the service time distribution is new better than used in expectation, then the loss probability in the M/G/1+Gs queue is greater than that in the M/G/1+Gw queue.

In more than four decades of prolific scientific activity, Lajos Takács has produced so much that no one contributor to this Festschrift can hope to cover all of it in a balanced way. I thus propose to make a virtue of necessity, and concentrate on those aspects of Takács' work which have particularly interested or influenced me, and on the impact Takács' ideas in these areas have had on the subsequent development of the subject.

Branching processes are studied in random environments that are influenced by the population size and approach criticality as the population gets large. Results are applied to the polymerase chain reaction (PCR), which is empirically known to exhibit first exponential and then linear growth of molecule numbers.

Let {X(t): t ≧ 0} be a regenerative process with excursion process {Y(u): 0 ≦ u < T, T} and state space . Let An be a sequence of sets in such that pn=P(Y(u)∊An for some 0≦ u < T) → 0. Let Vn be the hitting time of An for the process X. This paper gives a variety of conditions on the excursion process Y to obtain limit theorems for Vn. Apart from obtaining an exponential limit in the positive recurrent case, i.e. ET < x, some non-exponential limits are obtained in the null recurrent case. The results are illustrated via the age process.

Negative dependence of sequences of random variables is often an interesting characteristic of their distribution, as well as a useful tool for studying various asymptotic results, including central limit theorems, Poisson approximations, the rate of increase of the maximum, and more. In the study of probability models of tournaments, negative dependence of participants’ outcomes arises naturally, with application to various asymptotic results. In particular, the property of negative orthant dependence was proved in several articles for different tournament models, with a special proof for each model. In this note we unify these results by proving a stronger property, negative association, a generalization leading to a very simple proof. We also present a natural example of a knockout tournament where the scores are negatively orthant dependent but not negatively associated. The proof requires a new result on a preservation property of negative orthant dependence that is of independent interest.

Motivated by a problem arising in the mining industry, we present a first study of the energy required to reduce a unit mass fragment by consecutively using several devices. Two devices are considered, which we represent as different stochastic fragmentation processes. Following the self-similar energy model introduced in Bertoin and Martínez (2005), we compute the average energy required to attain a size η0 with this two-device procedure. We then asymptotically compare, as η0 goes to 0 or 1, its energy requirement with that of individual fragmentation processes. In particular, we show that, for a certain range of parameters of the fragmentation processes and of their energy cost functions, the consecutive use of two devices can be asymptotically more efficient than using each of them separately, or vice versa.

We give conditions under which the number of events which occur in a sequence of m-dependent events is stochastically smaller than a suitably defined compound Poisson random variable. The results are applied to counts of sequence pattern appearances and to system reliability. We also provide a numerical example.