If (F n )n∈ℕ is a sequence of independent and identically distributed random mappings from a second countable locally compact state space 𝕏 to 𝕏 which itself is independent of the 𝕏-valued initial variable X 0, the discrete-time stochastic process (X n )n≥0, defined by the recursion equation X n = F n (X n−1) for n∈ℕ, has the Markov property. Since 𝕏 is Polish in particular, a complete metric d exists. The random mappings (F n )n∈ℕ are assumed to satisfy ℙ-a.s. Conditions on the distribution of l(F n ) are given for the existence of an invariant distribution of X 0 making the process (X n )n≥0 stationary and ergodic. Our main result corrects a central limit theorem by Łoskot and Rudnicki (1995) and removes an error in its proof. Instead of trying to compare the sequence φ (X n )n≥0 for some φ : 𝕏 → ℝ with a triangular scheme of independent random variables our proof is based on an approximation by a martingale difference scheme.

We show that the horizontal position of a random walk on a two-dimensional anisotropic lattice converges weakly to a diffusion process.

Dynamic asset allocation strategies that are continuously rebalanced so as to always keep a fixed constant proportion of wealth invested in the various assets at each point in time play a fundamental role in the theory of optimal portfolio strategies. In this paper we study the rate of return on investment, defined here as the net gain in wealth divided by the cumulative investment, for such investment strategies in continuous time. Among other results, we prove that the limiting distribution of this measure of return is a gamma distribution. This limit theorem allows for comparisons of different strategies. For example, the mean return on investment is maximized by the same strategy that maximizes logarithmic utility, which is also known to maximize the exponential rate at which wealth grows. The return from this policy turns out to have other stochastic dominance properties as well. We also study the return on the risky investment alone, defined here as the present value of the gain from investment divided by the present value of the cumulative investment in the risky asset needed to achieve the gain. We show that for the log-optimal, or optimal growth policy, this return tends to an exponential distribution. We compare the return from the optimal growth policy with the return from a policy that invests a constant amount in the risky stock. We show that for the case of a single risky investment, the constant investor's expected return is twice that of the optimal growth policy. This difference can be considered the cost for insuring that the proportional investor does not go bankrupt.

In this paper we obtain the large deviation principle for scaled queue lengths at a multi-buffered resource, and simplify the corresponding variational problem in the case where the inputs are assumed to be independent.

Let T r be the first time at which a random walk S n escapes from the strip [-r,r], and let |S T r |-r be the overshoot of the boundary of the strip. We investigate the order of magnitude of the overshoot, as r → ∞, by providing necessary and sufficient conditions for the ‘stability’ of |S T r |, by which we mean that |S T r |/r converges to 1, either in probability (weakly) or almost surely (strongly), as r → ∞. These also turn out to be equivalent to requiring only the boundedness of |S T r |/r, rather than its convergence to 1, either in the weak or strong sense, as r → ∞. The almost sure characterisation turns out to be extremely simple to state and to apply: we have |S T r |/r → 1 a.s. if and only if EX 2 < ∞ and EX = 0 or 0 < |EX| ≤ E|X| < ∞. Proving this requires establishing the equivalence of the stability of S T r with certain dominance properties of the maximum partial sum S n * = max{|S j |: 1 ≤ j ≤ n} over its maximal increment.

The Brownian density process is a Gaussian distribution-valued process. It can be defined either as a limit of a functional over a Poisson system of independent Brownian particles or as a solution of a stochastic partial differential equation with respect to Gaussian martingale measure. We show that, with an appropriate change in the initial distribution of the infinite particle system, the limiting density process is non-Gaussian and it solves a stochastic partial differential equation where the initial measure and the driving measure are non-Gaussian, possibly having infinite second moment.

This paper provides a detailed stochastic analysis of leucocyte cell movement based on the dynamics of a rigid body. The cell's behavior is studied in two relevant anisotropic environments displaying adhesion mediated movement (haptotaxis) and stimulus mediated movement (chemotaxis). This behavior is modeled by diffusion processes on three successively longer time scales, termed locomotion, translocation, and migration.

An important model in communications is the stochastic FM signal st = A cos , where the message process {m t} is a stochastic process. In this paper, we investigate the linear models and limit distributions of FM signals. Firstly, we show that this non-linear model in the frequency domain can be converted to an ARMA (2, q + 1) model in the time domain when {mt } is a Gaussian MA (q) sequence. The spectral density of {St } can then be solved easily for MA message processes. Also, an error bound is given for an ARMA approximation for more general message processes. Secondly, we show that {St } is asymptotically strictly stationary if {mt } is a Markov chain satisfying a certain condition on its transition kernel. Also, we find the limit distribution of st for some message processes {mt }. These results show that a joint method of probability theory, linear and non-linear time series analysis can yield fruitful results. They also have significance for FM modulation and demodulation in communications.

Let ξ (t); t ≧ 0 be a normalized continuous mean square differentiable stationary normal process with covariance function r(t). Further, let and set . We give bounds which are roughly of order Τ –δ for the rate of convergence of the distribution of the maximum and of the number of upcrossings of a high level by ξ (t) in the interval [0, T]. The results assume that r(t) and r′(t) decay polynomially at infinity and that r ″ (t) is suitably bounded. For the number of upcrossings it is in addition assumed that r(t) is non-negative.

The asymptotic behaviour of the recursion is investigated; Yk describes the number of comparisons which have to be carried out to merge two sorted subsequences of length 2k –1 and Mk can be interpreted as the number of comparisons of ‘Simultaneous Merge–Sort'. The challenging problem in the analysis of the above recursion lies in the fact that it contains a maximum as well as a sum. This demands different ideal properties for the metric in the contraction method. By use of the weighted Kolmogorov metric it is shown that an exponential normalization provides the recursion's convergence. Furthermore, one can show that any sequence of linear normalizations of Mk must converge towards a constant if it converges in distribution at all.

In this paper we describe how the joint large deviation properties of traffic streams are altered when the traffic passes through a shared buffer according to a FCFS service policy with stochastic service capacity. We also consider the stationary case, proving large deviation principles for the state of the system in equilibrium and for departures from an equilibrium system.

Let (X, S) = {(Xn , Sn ); n ≧0} be a Markov random walk with finite state space. For a ≦ 0 < b define the stopping times τ= inf {n:Sn > b} and T= inf{n:Sn ∉(a, b)}. The diffusion approximations of a one-barrier probability P {τ < ∝ | X o= i}, and a two-barrier probability P{ST ≧b | X o = i} with correction terms are derived. Furthermore, to approximate the above ruin probabilities, the limiting distributions of overshoot for a driftless Markov random walk are involved.

We study the long-term behaviour of a sequence of multitype general stochastic epidemics, converging in probability to a deterministic spatial epidemic model, proposed by D. G. Kendall. More precisely, we use branching and deterministic approximations in order to study the asymptotic behaviour of the total size of the epidemics as the number of types and the number of individuals of each type both grow to infinity.

For autoregressive time series with positive innovations which either have heavy right or left tails, linear programming parameter estimates of the autoregressive coefficients have good rates of convergence. However, the asymptotic distribution of the estimators depends heavily on the distribution of the process and thus cannot be used for inference. A bootstrap procedure circumvents this difficulty. We verify the validity of the bootstrap and also give some general comments on the bootstrapping of heavy tailed phenomena.

A sequence of irreducible closed queueing networks is considered in this paper. We obtain that the queue length processes can be approximated by reflected Brownian motions. Using these approximations, we get rates of convergence of the distributions of queue lengths.

Assume a given sequence of events to be strongly mixing at a polynomial or exponential rate. We show that the conclusion of the second Borel-Cantelli lemma holds if the series of the probabilities of the events diverges at a certain rate depending on the mixing rate of the events. An application to necessary moment conditions for the strong law of large numbers is given.

We prove strong convergence of the proportions Un /Tn of balls in a multitype generalized Pólya urn model, using martingale arguments. The limit is characterized as a convex combination of left dominant eigenvectors of the replacement matrix R, with random Dirichlet coefficients.

The ‘scanning process' Z(t), t ∈ ℝk of the title is a Gaussian random field obtained by associating with Z(t) the value of a set-indexed Brownian motion on the translate t + A 0 of some ‘scanning set' A 0. We study the basic properties of the random field Z relating, for example, its continuity and other sample path properties to the geometrical properties of A 0. We ask if the set A 0 determines the scanning process, and investigate when, and how, it is possible to recover the structure of A 0 from realisations of the sample paths of the random field Z.

The accuracy of the Normal or Poisson approximations can be significantly improved by adding part of an asymptotic expansion in the exponent. The signed-compound-Poisson measures obtained in this manner can be of the same structure as the Poisson distribution. For large deviations we prove that signed-compound-Poisson measures enlarge the zone of equivalence for tails.

A result for the propagation of chaos is obtained for a class of pure jump particle systems of two species with mean field interaction. This result leads to the corresponding result for particle systems with one species and the argument used is valid for particle systems with more than two species. The model is motivated by the study of the phenomenon of self-organization in biology, chemistry and physics, and the technical difficulty is the unboundedness of the jump rates.