# Journal of Applied Probability

Published by Applied Probability Trust

Online ISSN: 0021-9002

Published by Applied Probability Trust

Online ISSN: 0021-9002

Publications

Article

We analyze certain self-organization filing techniques when accesses are assumed to be dependent on each other. The stream of requests for accessing records in a file is modelled as a Markov chain. A general framework is introduced to obtain the asymptotic search cost of a memory- free selforganizing heuristic. The move-to-front heuristic is studied in detail. A formula for the asymptotic search cost, which generalizes that in the case of independent accesses, is obtained. Numerical examples on the performance of the transposition heuristic are provided, and compared with that of the move-to-front heuristic.

…

Article

"In the familiar immigration-birth-death process the events of immigration, birth and death relate to the individual. There are processes in which the whole family and not just an individual migrates. Such population growth models are studied in some detail." Both human and animal populations are considered.

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Article

"The distribution of the maximum and the extinction probability for a Markovian population is derived. Asymptotic growth is described, using the sequence of sojourn times. A regularity criterion for the processes under consideration exists under certain assumptions. For a class of processes with specific population-dependent transition rates the asymptotic behaviour is given explicitly."

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Article

"Let X(t) be a non-homogeneous birth and death process. In this paper we develop a general method of estimating bounds for the state probabilities for X(t), based on inequalities for the solutions of the forward Kolmogorov equations."

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Article

Asymptotic formulas and Laplace-Stieltjes transforms are derived for the first two moments of a renewal process with a random number of delays. These are simplified when all the delays follow the same distribution. An asymptotic occupancy result is also derived for two-stage renewal processes with random numbers of delays. As an example, a demographic model of conception and birth is discussed. This model represents the sequence of live births to a woman as a renewal process. If the woman practises birth control after achieving her desired family composition, the renewal process has a random number of

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Article

"A generalization to continuous time is given for a discrete-time model of a birth and death process in a random environment. Some important properties of this process in the continuous-time setting are stated and proved including instability and extinction conditions, and when suitable absorbing barriers have been defined, methods are given for the calculation of extinction probabilities and the expected duration of the process."

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Article

"Algorithms for a stochastic population process, based on assumptions underlying general age-dependent branching processes in discrete time with time inhomogeneous laws of evolution, are developed through the use of a new representation of basic random functions involving birth cohorts and random sums of random variables. New algorithms provide a capability for computing the mean age structure of the process as well as variances and covariances, measuring variation about means. Four exploratory population projections, testing the implications of the algorithms for the case of time-homogeneous laws of evolution, are presented. Formulas extending mean and variance functions for unit population projections...are also presented. These formulas show that, in population processes with non-random laws of evolution, stochastic fluctuations about the mean function are negligible when initial population size is large. Further extensions of these formulas to the case of randomized laws of evolution suggest that stochastic fluctuations about the mean function can be significant even for large initial populations."

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Article

"A Malthusian parameter for the generation-dependent general branching process is introduced and some asymptotics of the expected population size, counted by a general non-negative characteristic, are discussed. Processes both with and without immigration are considered."

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Article

Cohen has generalized the classical strong ergodic theorem of demography to a stochastic setting. In this setting population projection matrices are chosen according to some homogeneous Markov chain. If this Markov chain converges to the same long-run distribution regardless of its starting point, then one can define an induced Markov chain on the product space of projection matrices and age structure vectors that also has a long-run distribution independent of its starting point. The present paper gives more natural conditions under which Cohen's result holds.

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Article

The kin number problem in its simplest form is that of the relationship between sibship sizes and offspring numbers. The fact that the distributions are different, and the relationship between the two, is well known to demographers. It is important in such applications as estimating fertility from sibship rather than offspring counts. Further studies have been made, concerning relatives of other degrees of affinity than siblings, but these did not usually yield joint distributions. Recently this aspect of the problem has been studied in the framework of a Galton–Watson process (Waugh (1981), Joffe and Waugh (1982)).
In these studies the population is treated as monotype. Applications such as pedigree studies of diseases require a multitype approach (in the example, two types: victims and others). In this paper such a study is undertaken. The existence of more than one type complicates the time-reversal used in the previous studies, and raises questions about the way in which the focal individual (called ‘Ego') is sampled. These are dealt with, and joint distributions obtained, under a number of sampling schemes which might arise naturally.

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Article

In classical demographic theory, the age structure of a population eventually stabilizes, and the population as a whole grows at a geometric rate. It is possible to prove stochastic analogues of these results if vital rates fluctuate according to a stationary stochastic process. The approach taken here is to study the action of random matrix products on random vectors. This permits the application of Hilbert's projective metric and leads to considerable simplification of the ergodic and central limit theory of population growth.

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Conference Paper

We analyse an ALOHA-type random multiple-access protocol where users have local interactions. We show that the fluid model of the system workload satisfies a certain differential equation. We obtain a sufficient condition for the stability of this differential equation and deduce from that a sufficient condition for the stability of the protocol. We discuss the necessary condition. Furthermore, for the underlying Markov chain, we estimate the rate of convergence to the stationary distribution. Then we establish an interesting and unexpected result showing that the main diagonal is locally unstable if the input rate is sufficiently small. Finally, we consider two generalisations of the model.

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Conference Paper

One result of both theoretic and practical importance regarding
point processes is the method of thinning. The basic idea of this method
is that under some conditions, there exists an embedded Poisson process
in any point process such that all its arrival points form a subsequence
of the Poisson process. The authors extend this result by showing that
on the embedded Poisson process a Markov chain can be defined with a
discrete state that characterizes the stage of the interarrival times.
This implies that embedded Markov chains can be constructed with
countable state spaces for the state processes of many practical systems
that can be modeled by point processes

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Conference Paper

In this paper, we consider period review ( s, S ) inventory systems with independent and identically distributed continuous demands and full backlogging. Using an approach recently proposed by Gong and Hu (1992), we derive an infinite system of linear equations for all moments of inventory level. Based on this infinite system, we develop two algorithms to calculate the moments of the inventory level. In the first one, we solve a finite system of linear equations whose solution converges to the moments as its dimension goes to infinity. In the second one, we in fact obtain the power series of the moments with respect to s and S. Both algorithms are based on some very simple recursive procedures. To show their efficiency and speed, we provide some numerical examples for the first algorithm.
( s, S ) INVENTORY SYSTEMS; DYNAMIC RECURSIVE EQUATIONS; INFINITE LINEAR EQUATIONS; MACLAURIN SERIES

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Article

Expressions for (absolute) moments of generalized hyperbolic and normal inverse Gaussian (NIG) laws are given in terms of moments of the corresponding symmetric laws. For the (absolute) moments centred at the location parameter "μ" explicit expressions as series containing Bessel functions are provided. Furthermore, the derivatives of the logarithms of absolute "μ"-centred moments with respect to the logarithm of time are calculated explicitly for NIG L�vy processes. Computer implementation of the formulae obtained is briefly discussed. Finally, some further insight into the apparent scaling behaviour of NIG L�vy processes is gained. Copyright 2005 Board of the Foundation of the Scandinavian Journal of Statistics..

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Article

We study the leading term in the small-time asymptotics of at-the-money call
option prices when the stock price process $S$ follows a general martingale.
This is equivalent to studying the first centered absolute moment of $S$. We
show that if $S$ has a continuous part, the leading term is of order $\sqrt{T}$
in time $T$ and depends only on the initial value of the volatility.
Furthermore, the term is linear in $T$ if and only if $S$ is of finite
variation. The leading terms for pure-jump processes with infinite variation
are between these two cases; we obtain their exact form for stable-like small
jumps. To derive these results, we use a natural approximation of $S$ so that
calculations are necessary only for the class of L\'evy processes.

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Article

In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy process. In particular a significant step forward is made in an article of Loeffen where it is shown that a natural and very general condition on the underlying Levy process which allows one to proceed with the analysis of the associated Hamilton-Jacobi-Bellman equation is that its Levy measure is absolutely continuous, having completely monotone density. In this paper we consider de Finetti's control problem but now with the restriction that control strategies are absolutely continuous with respect to Lebesgue measure. This problem has been considered by Asmussen and Taksar, Jeanblanc and Shiryaev and Boguslavskaya in the diffusive case and Gerber and Shiu for the case of a Cramer-Lundberg process with exponentially distributed jumps. We show the robustness of the condition that the underlying Levy measure has a completely monotone density and establish an explicit optimal strategy for this case that envelopes the aforementioned existing results. The explicit optimal strategy in question is the so-called refraction strategy.

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Article

The multi-level Monte Carlo method proposed by M. Giles (2008) approximates
the expectation of some functionals applied to a stochastic process with
optimal order of convergence for the mean-square error. In this paper, a
modified multi-level Monte Carlo estimator is proposed with significantly
reduced computational costs. As the main result, it is proved that the modified
estimator reduces the computational costs asymptotically by a factor
$(p/\alpha)^2$ if weak approximation methods of orders $\alpha$ and $p$ are
applied in case of computational costs growing with same order as variances
decay.

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Article

This short note investigates convergence of adaptive MCMC algorithms, i.e.\
algorithms which modify the Markov chain update probabilities on the fly. We
focus on the Containment condition introduced in \cite{roberts2007coupling}. We
show that if the Containment condition is \emph{not} satisfied, then the
algorithm will perform very poorly. Specifically, with positive probability,
the adaptive algorithm will be asymptotically less efficient then \emph{any}
nonadaptive ergodic MCMC algorithm. We call such algorithms \texttt{AdapFail},
and conclude that they should not be used.

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Article

Let X and Y be two simple symmetric continuous-time random walks on the vertices of the n-dimensional hypercube. We consider the class of co-adapted couplings of these processes, and describe an intuitive coupling which is shown to be the fastest in this class.

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Article

In this paper we study the mixing time of certain adaptive Markov chain Monte Carlo (MCMC) algorithms. Under some regularity conditions, we show that the convergence rate of importance resampling MCMC algorithms, measured in terms of the total variation distance, is
O
(
n
-1
). By means of an example, we establish that, in general, this algorithm does not converge at a faster rate. We also study the interacting tempering algorithm, a simplified version of the equi-energy sampler, and establish that its mixing time is of order
O
(
n
-1/2
).

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Working Paper

We analyse the $\ell^2(\pi)$-convergence rate of irreducible and aperiodic Markov chains with $N$-band transition probability matrix $P$ and with invariant distribution $\pi$. This analysis is heavily based on: first the study of the essential spectral radius $r_{ess}(P_{|\ell^2(\pi)})$ of $P_{|\ell^2(\pi)}$ derived from Hennion's quasi-compactness criteria; second the connection between the spectral gap property (SG$_2$) of $P$ on $\ell^2(\pi)$ and the $V$-geometric ergodicity of $P$. Specifically, (SG$_2$) is shown to hold under the condition
\[
\alpha_0 := \sum_{{m}=-N}^N \limsup_{i\rightarrow +\infty} \sqrt{P(i,i+{m})\, P^*(i+{m},i)}\ <\, 1.
\]
Moreover $r_{ess}(P_{|\ell^2(\pi)}) \leq \alpha_0$. Simple conditions on asymptotic properties of $P$ and of its invariant probability distribution $\pi$ to ensure that $\alpha_0<1$ are given. In particular this allows us to obtain estimates of the $\ell^2(\pi)$-geometric convergence rate of random walks with bounded increments. The specific case of reversible $P$ is also addressed. Numerical bounds on the convergence rate can be provided via a truncation procedure. This is illustrated on the Metropolis-Hastings algorithm.

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Article

Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and nondefective processes, and all possible scenarios, we identify the corresponding potential measures, which help to generalize a number of results for one-sided Lévy processes. The resulting rather neat formulae have various applications in risk and queueing theories, and, in particular, they lead to quasistationary distributions of the corresponding processes.

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Article

Admission control can be employed to avoid congestion in queueing networks subject to overload. In distributed networks the admission decisions are often based on imperfect measurements on the network state. This paper studies how the lack of complete state information affects the system performance by considering a simple network model for distributed admission control. The stability region of the network is characterized and it is shown how feedback signaling makes the system very sensitive to its parameters.

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Article

In this paper, we present counter-intuitive examples for the multiclass queueing network system. In the system, each station may serve more than one job class with differentiated service priority, and each job may require service sequentially by more than one service station. In our examples, the network performance is improved even when more workloads are admitted for service.

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Article

Hamilton's method is a natural and common method to distribute seats proportionally between states (or parties) in a parliament. In the USA it has been abandoned due to some drawbacks, in particular the possibility of the Alabama paradox, but it is still in use in many other countries. In this paper we give, under certain assumptions, a closed formula for the asymptotic probability, as the number of seats tends to infinity, that the Alabama paradox occurs given the vector
p
1
,…,
p
m
of relative sizes of the states. From the formula we deduce a number of consequences. For example, the expected number of states that will suffer from the Alabama paradox is asymptotically bounded above by 1 / e and on average approximately 0.123.

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Article

Many natural populations are well modelled through time-inhomogeneous
stochastic processes. Such processes have been analysed in the physical
sciences using a method based on Lie algebras, but this methodology is not
widely used for models with ecological, medical and social applications. This
paper presents the Lie algebraic method, and applies it to three biologically
well motivated examples. The result of this is a solution form that is often
highly computationally advantageous.

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Article

We consider the stochastic Allen-Cahn equation perturbed by smooth additive
Gaussian noise in a spatial domain with smooth boundary in dimension $d\le 3$,
and study the semidiscretization in time of the equation by an implicit Euler
method. We show that the method converges pathwise with a rate $O(\Delta
t^{\gamma}) $ for any $\gamma<\frac12$. We also prove that the scheme converges
uniformly in the strong $L^p$-sense but with no rate given.

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Article

We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of any even order converge in the almost sure cental limit theorem for martingales. A conjecture about almost sure upper bounds under wider hypotheses is formulated. The theoretical results are supported by examples borrowed from statistical applications, including linear autoregressive models and branching processes with immigration, for which new asymptotic properties are established on estimation and prediction errors.

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Article

This text is based on a lecture for the Sheffield Probability Day; its main
purpose is to survey some recent asymptotic results about Bernoulli bond
percolation on certain large random trees with logarithmic height. We also
provide a general criterion for the existence of giant percolation clusters in
large trees, which answers a question raised by David Croydon.

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Article

We provide sufficient conditions which ensure that the intrinsic martingale
in the supercritical branching random walk converges exponentially fast to its
limit. The case of Galton-Watson processes is particularly included so that our
results can be seen as a generalization of a result given in the classical
treatise by Asmussen and Hering. As an auxiliary tool, we prove ultimate
versions of two results concerning the exponential renewal measures which may
be interesting on its own and which correct, generalize and simplify some
earlier works.

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Article

We consider sequential selection of an alternating subsequence from a
sequence of independent, identically distributed, continuous random variables,
and we determine the exact asymptotic behavior of an optimal sequentially
selected subsequence. Moreover, we find (in a sense we make precise) that a
person who is constrained to make sequential selections does only about 12%
worse than a person who can make selections with full knowledge of the random
sequence.

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Article

We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar American options in the multidimensional BS market with path dependent payoffs. In comparison to previous papers we consider the multi assets case for which we use the weak convergence approach.

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Chapter

It is possible to interpret the classical central limit theorem for sums of independent random variables as a convergence rate result for the law of large numbers. For example, if Xi, i = 1,2,3, … are independent and identically distributed random variables with EXi = μ, varXi = σ2 < ∞ and \(S_n = \sum\nolimits_{l = 1}^n {X_i } \), then the central limit theorem can be written in the form
$$\mathop {\lim }\limits_{n \to \infty } P\left({\sigma ^{ - 1} n^{\frac{1}
{2}} \left({n^{ - 1} S_n - \mu } \right)\underset{\raise0.3em\hbox{$\smash{\scriptscriptstyle-}$}}{ \leq } x} \right) = \Phi \left(x \right) = \left({2\pi } \right)^{ - \frac{1}
{2}} \int_{ - \infty }^x {e^{ - \frac{1}
{2}u^2 } du}.$$ This provides information on the rate of convergence in the strong law \(n^{-1} S_n \underset{\rightarrow}{\rm a.s.} \mu {\rm as} n \rightarrow \infty\). (“ a.s. ” denotes almost sure convergence.) It is our object in this paper to discuss analogues for the super-critical Galton-Watson process.

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Article

Known results on the moments of the distribution generated by the two-locus Wright-Fisher diffusion model, and the duality between the diffusion process and the ancestral process with recombination are briefly summarized. A numerical method for computing moments using a Markov chain Monte Carlo simulation and a method to compute closed-form expressions of the moments are presented. By applying the duality argument, the properties of the ancestral recombination graph are studied in terms of the moments.

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Article

We present a new model for seed banks, where direct ancestors of individuals
may have lived in the near as well as the very far past. The classical
Wright-Fisher model, as well as a seed bank model with bounded age distribution
considered by Kaj, Krone and Lascoux (2001) are special cases of our model. We
discern three parameter regimes of the seed bank age distribution, which lead
to substantially different behaviour in terms of genetic variability, in
particular with respect to fixation of types and time to the most recent common
ancestor. We prove that for age distributions with finite mean, the ancestral
process converges to a time-changed Kingman coalescent, while in the case of
infinite mean, ancestral lineages might not merge at all with positive
probability. Further, we present a construction of the forward in time process
in equilibrium. The mathematical methods are based on renewal theory, the urn
process introduced by Kaj et al., as well as on a paper by Hammond and
Sheffield (2011).

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Article

Gene conversion is a mechanism by which a double-strand break in a DNA
molecule is repaired using a homologous DNA molecule as a template. As a
result, one gene is 'copied and pasted' onto the other gene. It was recently
reported that the direction of gene conversion appears to be biased towards G
and C nucleotides. In this paper a stochastic model of the dynamics of the bias
in gene conversion is developed for a finite population of members in a
multigene family. The dual process is the biased voter model, which generates
an ancestral random graph for a given sample. An importance-sampling algorithm
for computing the likelihood of the sample is also given.

…

Article

Let $r$ and $d$ be positive integers with $r<d$. Consider a random $d$-ary
tree constructed as follows. We start with a single vertex, and in each
time-step we choose a uniformly random leaf and give it $d$ newly created
offspring. After $t$ steps, we obtain a random $d$-ary recursive tree. We show
that there exists a fixed $\delta<1$ depending on $d$ and $r$ such that for
large $t$, every $r$-ary subtree has less $t^{\delta}$ vertices.
The proof involves analysis that also yields a related result. Consider the
following iterative construction of a random planar triangulation. Start with a
triangle embedded in the plane. In each step, choose a bounded face uniformly
at random, add a vertex inside that face and join it to the vertices of the
face. In this way, one face is destroyed and three new faces are created. After
$t$ steps, we obtain a random triangulated plane graph with $t+3$ vertices,
which is called a random Apollonian network. We prove that there exists a fixed
$\delta<1$, such that eventually every path in this graph has length less than
$t^{\delta}$, which verifies a conjecture of Cooper and Frieze.

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Article

Given a branching random walk on a graph, we consider two kinds of
truncations: by inhibiting the reproduction outside a subset of vertices and by
allowing at most $m$ particles per site. We investigate the convergence of weak
and strong critical parameters of these truncated branching random walks to the
analogous parameters of the original branching random walk. As a corollary, we
apply our results to the study of the strong critical parameter of a branching
random walk restricted to the cluster of a Bernoulli bond percolation.

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Article

We consider compound geometric approximation for a nonnegative,
integer-valued random variable $W$. The bound we give is straightforward but
relies on having a lower bound on the failure rate of $W$. Applications are
presented to M/G/1 queuing systems, for which we state explicit bounds in
approximations for the number of customers in the system and the number of
customers served during a busy period. Other applications are given to
birth-death processes and Poisson processes.

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Article

In a recent paper by the authors, a new approach--called the "embedding method"--was introduced, which allows to make use of exchangeable pairs for normal and multivariate normal approximation with Stein's method in cases where the corresponding couplings do not satisfy a certain linearity condition. The key idea is to embed the problem into a higher dimensional space in such a way that the linearity condition is then satisfied. Here we apply the embedding to U-statistics as well as to subgraph counts in random graphs.

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Article

We give explicit upper bounds for convergence rates when approximating both one- and two-sided general curvilinear boundary crossing probabilities for the Wiener process by similar probabilities for close boundaries of simpler form, for which computation of the boundary crossing probabilities is feasible. In particular, we partially generalize and improve results obtained by Potzelberger and Wang in the case when the approximating boundaries are piecewise linear. Applications to barrier option pricing are also discussed.

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Article

We approximate the distribution of the sum of independent but not necessarily identically distributed Bernoulli random variables using a shifted binomial distribution where the three parameters (the number of trials, the probability of success, and the shift amount) are chosen to match up the first three moments of the two distributions. We give a bound on the approximation error in terms of the total variation metric using Stein's method. A numerical study is discussed that shows shifted binomial approximations typically are more accurate than Poisson or standard binomial approximations. The application of the approximation to solving a problem arising in Bayesian hierarchical modeling is also discussed.

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Article

We construct a wavelet-based almost sure uniform approximation of fractional
Brownian motion (fBm) B_t^(H), t in [0, 1], of Hurst index H in (0, 1). Our
results show that by Haar wavelets which merely have one vanishing moment, an
almost sure uniform expansion of fBm of H in (0, 1) can be established. The
convergence rate of our approximation is derived. We also describe a parallel
algorithm that generates sample paths of an fBm efficiently.

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Article

Define a γ-reflected process Wγ(t) = Y
H
(t) - γinf
s∈[0,t]Y
H
(s), t ≥ 0, with input process {Y
H
(t), t ≥ 0}, which is a fractional Brownian motion with Hurst index H ∈ (0, 1) and a negative linear trend. In risk theory Rγ(u) = u - Wγ(t), t ≥ 0, is referred to as the risk process with tax payments of a loss-carry-forward type. For various risk processes, numerous results are known for the approximation of the first and last passage times to 0 (ruin times) when the initial reserve u goes to ∞. In this paper we show that, for the γ-reflected process, the conditional (standardized) first and last passage times are jointly asymptotically Gaussian and completely dependent. An important contribution of this paper is that it links ruin problems with extremes of nonhomogeneous Gaussian random fields defined by Y
H
, which we also investigate.

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Article

Collective risk theory is concerned with the random fluctations of the total assets, the risk reserve , of an insurance company. Consider a company which only writes ordinary insurance policies such as accident, disability, fire, health, and whole life. The policyholders pay premiums regularly and at certain random times make claims to the company. A policyholder's premium, the gross risk premium , is a positive amount composed of two components. The net risk premium is the component calculated to cover the payments of claims on the average, while the security risk premium , or safety loading , is the component which protects the company from large deviations of claims from the average and also allows an accumulation of capital. When a claim occurs the company pays the policyholder a positive amount called the positive risk sum .

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Article

The paper is concerned with the equilibrium distribution $\Pi_n$ of the $n$-th element in a sequence of continuous-time density dependent Markov processes on the integers. Under a $(2+\a)$-th moment condition on the jump distributions, we establish a bound of order $O(n^{-(\a+1)/2}\sqrt{\log n})$ on the difference between the point probabilities of $\Pi_n$ and those of a translated Poisson distribution with the same variance. Except for the factor $\sqrt{\log n}$, the result is as good as could be obtained in the simpler setting of sums of independent integer-valued random variables. Our arguments are based on the Stein-Chen method and coupling.

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Article

Stein's method is used to obtain two theorems on multivariate normal approximation. Our main theorem, Theorem 1.2, provides a bound on the distance to normality for any nonnegative random vector. Theorem 1.2 requires multivariate size bias coupling, which we discuss in studying the approximation of distributions of sums of dependent random vectors. In the univariate case, we briefly illustrate this approach for certain sums of nonlinear functions of multivariate normal variables. As a second illustration, we show that the multivariate distribution counting the number of vertices with given degrees in certain random graphs is asymptotically multivariate normal and obtain a bound on the rate of convergence. Both examples demonstrate that this approach may be suitable for situations involving non-local dependence. We also present Theorem 1.4 for sums of vectors having a local type of dependence. We apply this theorem to obtain a multivariate normal approximation for the distribution of the random $p$-vector which counts the number of edges in a fixed graph both of whose vertices have the same given color when each vertex is colored by one of $p$ colors independently. All normal approximation results presented here do not require an ordering of the summands related to the dependence structure. This is in contrast to hypotheses of classical central limit theorems and examples, which involve e.g., martingale, Markov chain, or various mixing assumptions.

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Article

The goal of this paper is to prove a result conjectured in F\"ollmer and
Schachermayer [FS07], even in slightly more general form. Suppose that S is a
continuous semimartingale and satisfies a large deviations estimate; this is a
particular growth condition on the mean-variance tradeoff process of S. We show
that S then allows asymptotic exponential arbitrage with exponentially decaying
failure probability, which is a strong and quantitative form of long-term
arbitrage. In contrast to F\"ollmer and Schachermayer [FS07], our result does
not assume that S is a diffusion, nor does it need any ergodicity assumption.

…

Article

We investigate the threshold widths of some symmetric properties which range asymptotically between 1/\sqrt{n} and 1/(log n). These properties are built using a combination of failure sets arising from reliability theory. This combination of sets is simply called a product. Some general results on the threshold width of the product of two sets A and B in terms of the threshold locations and widths of A and B are provided.

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