We consider fractional derivatives of characteristic functions. We use these fractional derivatives for the formulation of new conditions for the existence of non-integer moments. We also compare the known conditions for the existence of moments of arbitrary random variables with our new conditions. As a consequence many conditions can be written in a unified terminology.

In this article we examine a breakdown model in which the system's status can be determined only by a test. Upon detection of failure the system must be replaced by a new identical one. The costs incurred include cost of inspection, operating costs, failure cost and a cost associated with planned replacements. Throughout the paper we restrict attention to replacement rules in which the time interval between two successive inspections is regarded as a fixed quantity. The decision variables include the inspection interval and the scheduling for preventive (planned) replacements. The problem is to specify a replacement rule which minimizes the long-run average cost per unit time. We show that under certain monotone conditions there is a natural candidate for an optimal replacement rule.

In 1969 H. and D. Stoyan showed that the stationary waiting-time distribution in a GI/G/1 queue increases in the ordering determined by the expected value of all non-decreasing convex functions when the interarrival-time and service-time distributions become more variable, as expressed in the ordering determined by the expected value of all convex functions. Ross (1978) and Wolff (1977) showed by counterexample that this conclusion does not extend to all GI/G/s queues. Here it is shown that this conclusion does hold for all GI/G/s queues for several other measures of congestion which coincide with the waiting time in single-server systems. One such alternate measure of congestion is the clearing time, the time required after the arrival epoch of the nth customer for the system to serve all customers in the system at that time, excluding the nth customer. The stochastic comparisons also imply an ordering for the expected waiting times in M/G/s queues.

A single device shock model is studied. The device is subject to some damage process. Under the assumption that as the cumulative damage increases, the probability that any additional damage will cause failure increases, we find sufficient conditions on the shocking process so that the life distribution will be increasing failure rate.

In this paper a unified approach is used for proving relationships between customer-stationary and time-stationary characteristics of service systems with varying service rate and point processes. This approach is based on an intensity conservation principle for general stationary continuous-time processes with imbedded stationary marked point processes. It enables us to work under weaker independence assumptions than usual in queueing theory.

In this paper it is shown that for a large class of replacement problems the class of stationary replacement strategies is complete, i.e. in order to minimize the average long run cost per unit time it suffices to consider replacement rules which are equal for each new unit irrespectively of what has been observed from earlier units. The main result is based on a version of the law of large numbers for martingale differences proved in the appendix.

Recently, Billard, Lacayo and Langberg (1979) considered the classical simple epidemic process from the viewpoint of interinfection times. However, this concept can be expanded to include arbitrary generalized simple epidemic processes as well as non-exponential interinfection times. This work finds the distribution of the number of infectives for these generalizations as well as the mean and variance.

We introduce a class of increasing processes with independent increments that reduce to gamma processes under the further condition of stationarity. Each such process can be reduced to a simple gamma process by a stochastic integral transformation. Applications to deformation laws of materials such as concrete are mentioned.

By means of a general intensity conservation principle for stationary processes with imbedded marked point processes (PMP) stochastic inequalities are proved between customer-stationary and time-stationary characteristics of queueing systems G/G/s/r.

We consider preemptive scheduling of N tasks on m processors; processors have different speeds, tasks require amounts of work which are exponentially distributed, with different parameters. The policies of assigning at every moment the task with shortest (longest) expected processing time among those not yet completed to the fastest processor available, second shortest (longest) to the second fastest etc., are examined, and shown to minimize expected values of various cost functions. As special cases we obtain policies which minimize expected flowtime, expected makespan and expected lifetime of a series system with m component locations and N spares.

For a maintained reliability system, i.e., components may be repaired upon failures, we prove that the distribution of time to first system failure starting with all components new is NBU under the following conditions: (a) non-repairable components have NBU uptime distributions, (b) repairable components have exponential uptime and DFR downtime distributions. This is a slight generalization of a theorem of Barlow and Proschan (1976). However, our method of proof is different from theirs. We also show that the initial up-period of the system is stochastically larger than any other system up-period. Finally, a method of finding a lower bound for the expected time until first system failure is outlined using our main result.

One of the earliest population models to be studied gives rise to the Fibonacci sequence and has a history dating back more than 750 years. A stochastic version of the model is discussed in this paper, its basic defining property being E(Xn | Xn−1, · ··, X0) = Xn−1 + Xn−2 a.s. The process {Xn} mimics many of the standard properties of the Fibonacci sequence. In particular, under mild additional conditions, a.s. as n → where α is the ‘golden ratio'

In this paper a formula is derived for the probability density function of the lifetime for a system of identical units. The lifetime of the system is the sum of the lifetimes of the independent units when the units have lifetimes distributed independently by the law proposed by Birnbaum and Saunders (1969).

The exact time-dependent solution as well as the stationary solution of the logistic model for population growth with varying carrying capacity is worked out in both the Stratonovich and Ito calculi by solving the forward Kolmogorov equation.

In teletraffic measurements, a call arrival process is commonly studied using a method with time-uniform or periodic scanning. The information recorded is the number of calls arrived between the scannings, from which data the number of scans between two successive calls is obtained. These later numbers are used as a measure of the interarrival times.

For an exponential call arrival process, except in the case of Poisson scanning, all other scanning schemes yield the number of scans which are not independent in any two interarrival intervals. By treating the problem as an interaction of two stationary stochastic point processes, we determine the exact joint probability distribution of the number of scans in two adjacent and non-adjacent interarrival intervals. An explicit expression for the correlation coefficient is also obtained.

The method of invariant imbedding, used extensively in astrophysics and in neutron transport theory, is applied to the analysis of dams whose input rate is a finite state-space continuous-parameter Markov chain. Passage-time distributions are considered as functions of the dam capacity. When the release rate is constant the method yields first-order non-linear differential equations with initial conditions obtained from the easily derived behaviour of a dam with zero capacity. Solutions of these equations are given. Some possible correlation functions for the increments of the cumulative input process are examined when the underlying Markov chain is stationary. Finally the analysis is extended to deal with dams having content-dependent release-rate of the form

Level crossings in a stationary dam process with additive input and arbitrary release are considered and an explicit expression for the expected number of downcrossings (and also overcrossings) of a fixed level, per time unit, is obtained. This leads to a short derivation of a basic relation which the stationary distribution of a general dam must satisfy.

This paper discusses infinite-server queues with phase-type input. The problems of obtaining the transient and steady-state distributions and moments of the queue length are reduced to the solution of certain well-behaved systems of linear differential equations. Sample computations, provided with as many as ten phases, show that although (even the time-dependent) mean queue length is very insensitive to substantial random variability in the arrival process, the higher moments of the queue length are highly sensitive. These examples indicate that considerable caution should be exercised in using robustness results for such stochastic models.

The general solution of a Markov model for first-order kinetics is developed as a sum of independent, multinomially distributed random processes. Fluctuations in the mean and variance functions are discussed and shown to be unrelated in time during the early phase of the reaction. Numerical examples are presented for two- and three-component systems.

A criterion is given for positive recurrence of a multidimensional, aperiodic, irreducible Markov chain with a denumerable state space. This criterion extends to the multidimensional case Foster's one-dimensional criterion. The multidimensional criterion consists of several conditions, one for each coordinate of the process. The usefulness of this criterion is shown through a queueing network example.