It is proved that for families of stochastic operators on a countable tensor product, depending smoothly on parameters, any spectral projection persists smoothly, where smoothness is defined using norms based on ideas of Dobrushin. A rigorous perturbation theory for families of stochastic operators with spectral gap is thereby created. It is illustrated by deriving an effective slow two-state dynamics for a three-state probabilistic cellular automaton.

We present and study a novel algorithm for the computation of 2-Wasserstein population barycenters of absolutely continuous probability measures on Euclidean space. The proposed method can be seen as a stochastic gradient descent procedure in the 2-Wasserstein space, as well as a manifestation of a law of large numbers therein. The algorithm aims to find a Karcher mean or critical point in this setting, and can be implemented ‘online’, sequentially using independent and identically distributed random measures sampled from the population law. We provide natural sufficient conditions for this algorithm to almost surely converge in the Wasserstein space towards the population barycenter, and we introduce a novel, general condition which ensures uniqueness of Karcher means and, moreover, allows us to obtain explicit, parametric convergence rates for the expected optimality gap. We also study the mini-batch version of this algorithm, and discuss examples of families of population laws to which our method and results can be applied. This work expands and deepens ideas and results introduced in an early version of Backhoff-Veraguas et al. (2022), in which a statistical application (and numerical implementation) of this method is developed in the context of Bayesian learning.

The binary contact path process (BCPP) introduced in Griffeath (1983) describes the spread of an epidemic on a graph and is an auxiliary model in the study of improving upper bounds of the critical value of the contact process. In this paper, we are concerned with limit theorems of the occupation time of a normalized version of the BCPP (NBCPP) on a lattice. We first show that the law of large numbers of the occupation time process is driven by the identity function when the dimension of the lattice is at least 3 and the infection rate of the model is sufficiently large conditioned on the initial state of the NBCPP being distributed with a particular invariant distribution. Then we show that the centered occupation time process of the NBCPP converges in finite-dimensional distributions to a Brownian motion when the dimension of the lattice and the infection rate of the model are sufficiently large and the initial state of the NBCPP is distributed with the aforementioned invariant distribution.

We propose a method for cutting down a random recursive tree that focuses on its higher-degree vertices. Enumerate the vertices of a random recursive tree of size n according to the decreasing order of their degrees; namely, let (v^{(i)})_{i=1}^{n}$(v^{(i)})_{i=1}^{n}$ be such that \deg(v^{(1)}) \geq \cdots \geq \deg (v^{(n)})$\deg(v^{(1)}) \geq \cdots \geq \deg (v^{(n)})$. The targeted vertex-cutting process is performed by sequentially removing vertices v^{(1)}, v^{(2)}, \ldots, v^{(n)}$v^{(1)}, v^{(2)}, \ldots, v^{(n)}$ and keeping only the subtree containing the root after each removal. The algorithm ends when the root is picked to be removed. The total number of steps for this procedure, K_n$K_n$, is upper bounded by Z_{\geq D}$Z_{\geq D}$, which denotes the number of vertices that have degree at least as large as the degree of the root. We prove that \ln Z_{\geq D}$\ln Z_{\geq D}$ grows as \ln n$\ln n$ asymptotically and obtain its limiting behavior in probability. Moreover, we obtain that the kth moment of \ln Z_{\geq D}$\ln Z_{\geq D}$ is proportional to (\!\ln n)^k$(\!\ln n)^k$. As a consequence, we obtain that the first-order growth of K_n$K_n$ is upper bounded by n^{1-\ln 2}$n^{1-\ln 2}$, which is substantially smaller than the required number of removals if, instead, the vertices were selected uniformly at random.

We consider the estimation of rare-event probabilities using sample proportions output by naive Monte Carlo or collected data. Unlike using variance reduction techniques, this naive estimator does not have an a priori relative efficiency guarantee. On the other hand, due to the recent surge of sophisticated rare-event problems arising in safety evaluations of intelligent systems, efficiency-guaranteed variance reduction may face implementation challenges which, coupled with the availability of computation or data collection power, motivate the use of such a naive estimator. In this paper we study the uncertainty quantification, namely the construction, coverage validity, and tightness of confidence intervals, for rare-event probabilities using only sample proportions. In addition to the known normality, Wilson, and exact intervals, we investigate and compare them with two new intervals derived from Chernoff’s inequality and the Berry–Esseen theorem. Moreover, we generalize our results to the natural situation where sampling stops by reaching a target number of rare-event hits. Our findings show that the normality and Wilson intervals are not always valid, but they are close to the newly developed valid intervals in terms of half-width. In contrast, the exact interval is conservative, but safely guarantees the attainment of the nominal confidence level. Our new intervals, while being more conservative than the exact interval, provide useful insights into understanding the tightness of the considered intervals.

In this manuscript, we address open questions raised by Dieker and Yakir (2014), who proposed a novel method of estimating (discrete) Pickands constants \mathcal{H}^\delta_\alpha$\mathcal{H}^\delta_\alpha$ using a family of estimators \xi^\delta_\alpha(T)$\xi^\delta_\alpha(T)$, T>0$T>0$, where \alpha\in(0,2]$\alpha\in(0,2]$ is the Hurst parameter, and \delta\geq0$\delta\geq0$ is the step size of the regular discretization grid. We derive an upper bound for the discretization error \mathcal{H}_\alpha^0 - \mathcal{H}_\alpha^\delta$\mathcal{H}_\alpha^0 - \mathcal{H}_\alpha^\delta$, whose rate of convergence agrees with Conjecture 1 of Dieker and Yakir (2014) in the case \alpha\in(0,1]$\alpha\in(0,1]$ and agrees up to logarithmic terms for \alpha\in(1,2)$\alpha\in(1,2)$. Moreover, we show that all moments of \xi_\alpha^\delta(T)$\xi_\alpha^\delta(T)$ are uniformly bounded and the bias of the estimator decays no slower than \exp\{-\mathcal CT^{\alpha}\}$\exp\{-\mathcal CT^{\alpha}\}$, as T becomes large.

Given a fixed small graph H and a larger graph G, an H-factor is a collection of vertex-disjoint subgraphs H'\subset G$H'\subset G$, each isomorphic to H, that cover the vertices of G. If G is the complete graph K_n$K_n$ equipped with independent U(0,1) edge weights, what is the lowest total weight of an H-factor? This problem has previously been considered for H=K_2$H=K_2$, for example. We show that if H contains a cycle, then the minimum weight is sharply concentrated around some L_n = \Theta(n^{1-1/d^*})$L_n = \Theta(n^{1-1/d^*})$ (where d^*$d^*$ is the maximum 1-density of any subgraph of H). Some of our results also hold for H-covers, where the copies of H are not required to be vertex-disjoint.

We consider two continuous-time generalizations of conservative random walks introduced in Englander and Volkov (2022), an orthogonal and a spherically symmetrical one; the latter model is also known as random flights. For both models, we show the transience of the walks when d\ge 2$d\ge 2$ and that the rate of direction changing follows a power law t^{-\alpha}$t^{-\alpha}$, 0<\alpha\le 1$0<\alpha\le 1$, or the law (\!\ln t)^{-\beta}$(\!\ln t)^{-\beta}$ where \beta>2$\beta>2$.

Random bridges have gained significant attention in recent years due to their potential applications in various areas, particularly in information-based asset pricing models. This paper aims to explore the potential influence of the pinning point’s distribution on the memorylessness and stochastic dynamics of the bridge process. We introduce Lévy bridges with random length and random pinning points, and analyze their Markov property. Our study demonstrates that the Markov property of Lévy bridges depends on the nature of the distribution of their pinning points. The law of any random variables can be decomposed into singular continuous, discrete, and absolutely continuous parts with respect to the Lebesgue measure (Lebesgue’s decomposition theorem). We show that the Markov property holds when the pinning points’ law does not have an absolutely continuous part. Conversely, the Lévy bridge fails to exhibit Markovian behavior when the pinning point has an absolutely continuous part.

We review criteria for comparing the efficiency of Markov chain Monte Carlo (MCMC) methods with respect to the asymptotic variance of estimates of expectations of functions of state, and show how such criteria can justify ways of combining improvements to MCMC methods. We say that a chain on a finite state space with transition matrix P efficiency-dominates one with transition matrix Q if for every function of state it has lower (or equal) asymptotic variance. We give elementary proofs of some previous results regarding efficiency dominance, leading to a self-contained demonstration that a reversible chain with transition matrix P efficiency-dominates a reversible chain with transition matrix Q if and only if none of the eigenvalues of Q-P$Q-P$ are negative. This allows us to conclude that modifying a reversible MCMC method to improve its efficiency will also improve the efficiency of a method that randomly chooses either this or some other reversible method, and to conclude that improving the efficiency of a reversible update for one component of state (as in Gibbs sampling) will improve the overall efficiency of a reversible method that combines this and other updates. It also explains how antithetic MCMC can be more efficient than independent and identically distributed sampling. We also establish conditions that can guarantee that a method is not efficiency-dominated by any other method.

We propose a monotone approximation scheme for a class of fully nonlinear degenerate partial integro-differential equations which characterize nonlinear \alpha$\alpha$-stable Lévy processes under a sublinear expectation space with \alpha\in(1,2)$\alpha\in(1,2)$. We further establish the error bounds for the monotone approximation scheme. This in turn yields an explicit Berry–Esseen bound and convergence rate for the \alpha$\alpha$-stable central limit theorem under sublinear expectation.

We investigate some aspects of the problem of the estimation of birth distributions (BDs) in multi-type Galton–Watson trees (MGWs) with unobserved types. More precisely, we consider two-type MGWs called spinal-structured trees. This kind of tree is characterized by a spine of special individuals whose BD \nu$\nu$ is different from the other individuals in the tree (called normal, and whose BD is denoted by \mu$\mu$). In this work, we show that even in such a very structured two-type population, our ability to distinguish the two types and estimate \mu$\mu$ and \nu$\nu$ is constrained by a trade-off between the growth-rate of the population and the similarity of \mu$\mu$ and \nu$\nu$. Indeed, if the growth-rate is too large, large deviation events are likely to be observed in the sampling of the normal individuals, preventing us from distinguishing them from special ones. Roughly speaking, our approach succeeds if r\lt \mathfrak{D}(\mu,\nu)$r\lt \mathfrak{D}(\mu,\nu)$, where r is the exponential growth-rate of the population and \mathfrak{D}$\mathfrak{D}$ is a divergence measuring the dissimilarity between \mu$\mu$ and \nu$\nu$.

We consider the following problem: the drift of the wealth process of two companies, modelled by a two-dimensional Brownian motion, is controllable such that the total drift adds up to a constant. The aim is to maximize the probability that both companies survive. We assume that the volatility of one company is small with respect to the other, and use methods from singular perturbation theory to construct a formal approximation of the value function. Moreover, we validate this formal result by explicitly constructing a strategy that provides a target functional, approximating the value function uniformly on the whole state space.

We revisit processes generated by iterated random functions driven by a stationary and ergodic sequence. Such a process is called strongly stable if a random initialization exists for which the process is stationary and ergodic, and for any other initialization the difference of the two processes converges to zero almost surely. Under some mild conditions on the corresponding recursive map, without any condition on the driving sequence we show the strong stability of iterations. Several applications are surveyed such as generalized autoregression and queuing. Furthermore, new results are deduced for Langevin-type iterations with dependent noise and for multitype branching processes.

We determine the order of the k-core in a large class of dense graph sequences. Let G_n$G_n$ be a sequence of undirected, n-vertex graphs with edge weights \{a^n_{i,j}\}_{i,j \in [n]}$\{a^n_{i,j}\}_{i,j \in [n]}$ that converges to a graphon W\colon[0,1]^2 \to [0,+\infty)$W\colon[0,1]^2 \to [0,+\infty)$ in the cut metric. Keeping an edge (i,j) of G_n$G_n$ with probability {a^n_{i,j}}/{n}${a^n_{i,j}}/{n}$ independently, we obtain a sequence of random graphs G_n({1}/{n})$G_n({1}/{n})$. Using a branching process and the theory of dense graph limits, under mild assumptions we obtain the order of the k-core of random graphs G_n({1}/{n})$G_n({1}/{n})$. Our result can also be used to obtain the threshold of appearance of a k-core of order n.

In this paper we consider the workload of a storage system with the unconventional feature that the arrival times, rather than the interarrival times, are independent and identically distributed samples from a given distribution. We start by analyzing the ‘base model’ in which the arrival times are exponentially distributed, leading to a closed-form characterization of the queue’s workload at a given moment in time (i.e. in terms of Laplace–Stieltjes transforms), assuming the initial workload was 0. Then we consider four more general models, each of them having a specific additional feature: (a) the initial workload being allowed to have any arbitrary non-negative value, (b) an additional stream of Poisson arrivals, (c) phase-type arrival times, (d) balking customers. For all four variants the transform of the transient workload is identified in closed form.

The system signature is a useful tool for studying coherent systems. For a given coherent system, various methods have been proposed in the literature to compute its signature. However, when any system signature is given, the literature does not address how to construct the corresponding coherent system(s). In this article we propose an algorithm to address this research gap. This algorithm enables the validation of whether a provided probability vector qualifies as a signature. If it does, the algorithm proceeds to generate the corresponding coherent system(s). To illustrate the applicability of this algorithm, we consider all three and four-dimensional probability vectors, verify if they are signatures, and finally obtain 5 and 20 coherent systems, respectively, which coincides with the literature (Shaked and Suarez-Llorens 2003).

A numerical method is proposed for a class of one-dimensional stochastic control problems with unbounded state space. This method solves an infinite-dimensional linear program, equivalent to the original formulation based on a stochastic differential equation, using a finite element approximation. The discretization scheme itself and the necessary assumptions are discussed, and a convergence argument for the method is presented. Its performance is illustrated by examples featuring long-term average and infinite horizon discounted costs, and additional optimization constraints.

We are interested in the law of the first passage time of an Ornstein–Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first passage time of the process to members of a two-parameter family of functional transformations of a time-varying boundary. For specific values of the parameters, these transformations appear in a realisation of a standard Ornstein–Uhlenbeck bridge. We provide three different proofs of this connection. The first is based on a similar result for Brownian motion, the second uses a generalisation of the so-called Gauss–Markov processes, and the third relies on the Lie group symmetry method. We investigate the properties of these transformations and study the algebraic and analytical properties of an involution operator which is used in constructing them. We also show that these transformations map the space of solutions of Sturm–Liouville equations into the space of solutions of the associated nonlinear ordinary differential equations. Lastly, we interpret our results through the method of images and give new examples of curves with explicit first passage time densities.

We consider linear-fractional branching processes (one-type and two-type) with immigration in varying environments. For n\ge0$n\ge0$, let Z_n$Z_n$ 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$Z_n=0$. 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.