Motivated by the investigation of probability distributions with finite variance but heavy tails, we study infinitely divisible laws whose Lévy measure is characterized by a radial component of geometric (tempered) stable type. We closely investigate the univariate case: characteristic exponents and cumulants are calculated, as well as spectral densities; absolute continuity relations are shown, and short- and long-time scaling limits of the associated Lévy processes analyzed. Finally, we derive some properties of the involved probability density functions.

Let $(X_t)_{t \geqslant 0}$ be the solution of the stochastic differential equation

\[\mathrm{d} X_t = b(X_t) \,\mathrm{d} t+A\,\mathrm{d} Z_t, \quad X_{0}=x,\]

$b\,:\, \mathbb{R}^d \rightarrow \mathbb{R}^d$

$A \in \mathbb{R}^{d \times d}$

$(Z_t)_{t\geqslant 0}$

$\alpha$

$\alpha \in (1,2)$

$x\in\mathbb{R}^{d}$

$\Gamma = (\gamma_n)_{n\in \mathbb{N}}$

$(X_t)_{t \geqslant 0}$

$\alpha$

$\gamma^{\frac{1}{\alpha}}_n$

$\gamma^{1+\frac {1}{\alpha}-\frac{1}{\kappa}}_n$

$\kappa \in [1,\alpha)$

$\gamma^{\frac{2-\alpha}{\alpha}}_n$

$\alpha$

Let X be the sum of a diffusion process and a Lévy jump process, and for any integer $n\ge 1$ let $\phi_n$ be a function defined on $\mathbb{R}^2$ and taking values in $\mathbb{R}$, with adequate properties. We study the convergence of functionals of the type

\begin{align*} \Delta_n\sum_{i=1}^{[t/\Delta_n]} \phi_n\!\left(\alpha_n\left[\frac{X_{(i-1)\Delta_n}}{\alpha_n}\right], \:\frac{\alpha_n}{\sqrt{\Delta_n}}\left(\left[\frac{X_{i\Delta_n}}{\alpha_n}\right]-\left[\frac{X_{(i-1)\Delta_n}}{\alpha_n}\right]\right)\right),\end{align*}

$(\Delta_n)$

$(\alpha_n)$

$n\to +\infty$

$\frac{\alpha_n}{\sqrt{\Delta_n}}$

$[0,+\infty)$]

We study an optimal inventory control problem under a reflected jump–diffusion netflow process with state-dependent jumps, in which the intensity of the jump process can depend on the inventory level. We examine the well-posedness of the associated integro-differential Hamilton–Jacobi–Bellman (ID-HJB) equation with Neumann boundary condition in the classical sense. To achieve this, we first establish the existence of viscosity solutions to the ID-HJB equation of an auxiliary control problem with a compact policy space, which is proved to be equivalent to the primal problem. We reformulate the ID-HJB equation as a Neumann HJB equation with the (non-local) integral term expressed in terms of the value function of the auxiliary problem and prove the existence of a unique classical solution to the Neumann HJB equation. Then, the well-posedness of the primal ID-HJB equation follows from the unique classical solution of the Neumann HJB equation and the existence of viscosity solutions to the auxiliary ID-HJB equation. Based on this classical solution, we characterize the optimal (admissible) inventory control strategy and show the verification result for the primal control problem.

This paper concerns an insurance firm’s surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an explicit expression for the corresponding transform is given. In addition, Cramér–Lundberg-type asymptotics are established. Also, an importance sampling-based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient.

Motivated by recent developments of quasi-stationary Monte Carlo methods, we investigate the stability of quasi-stationary distributions of killed Markov processes under perturbations of the generator. We first consider a general bounded self-adjoint perturbation operator, and then study a particular unbounded perturbation corresponding to truncation of the killing rate. In both scenarios, we quantify the difference between eigenfunctions of the smallest eigenvalue of the perturbed and unperturbed generators in a Hilbert space norm. As a consequence, $\mathcal{L}^1$-norm estimates of the difference of the resulting quasi-stationary distributions in terms of the perturbation are provided.

The preferential attachment model is a natural and popular random graph model for a growing network that contains very well-connected ‘hubs’. We study the higher-order connectivity of such a network by investigating the topological properties of its clique complex. We concentrate on the Betti numbers, a sequence of topological invariants of the complex related to the numbers of holes (equivalently, repeated connections) of different dimensions. We prove that the expected Betti numbers grow sublinearly fast, with the trivial exceptions of those at dimensions 0 and 1. Our result also shows that preferential attachment graphs undergo infinitely many phase transitions within the parameter regime where the limiting degree distribution has an infinite variance. Regarding higher-order connectivity, our result shows that preferential attachment favors higher-order connectivity. We illustrate our theoretical results with simulations.

This paper characterizes irreducible phase-type representations for exponential distributions. Bean and Green (2000) gave a set of necessary and sufficient conditions for a phase-type distribution with an irreducible generator matrix to be exponential. We extend these conditions to irreducible representations, and we thus give a characterization of all irreducible phase-type representations for exponential distributions. We consider the results in relation to time-reversal of phase-type distributions, PH-simplicity, and the algebraic degree of a phase-type distribution, and we give applications of the results. In particular we give the conditions under which a Coxian distribution becomes exponential, and we construct bivariate exponential distributions. Finally, we translate the main findings to the discrete case of geometric distributions.

For a continuous-time phase-type (PH) distribution, starting with its Laplace–Stieltjes transform, we obtain a necessary and sufficient condition for its minimal PH representation to have the same order as its algebraic degree. To facilitate finding this minimal representation, we transform this condition equivalently into a non-convex optimization problem, which can be effectively addressed using an alternating minimization algorithm. The algorithm convergence is also proved. Moreover, the method we develop for the continuous-time PH distributions can be used directly for the discrete-time PH distributions after establishing an equivalence between the minimal representation problems for continuous-time and discrete-time PH distributions.

The study of many population growth models is complicated by only partial observation of the underlying stochastic process driving the model. For example, in an epidemic outbreak we might know when individuals show symptoms to a disease and are removed, but not when individuals are infected. Motivated by the above example and the long-established approximation of epidemic processes by branching processes, we explore the number of individuals alive in a time-inhomogeneous branching process with a general phase-type lifetime distribution given only (partial) information on the times of deaths of individuals. Deaths are detected independently with a detection probability that can vary with time and type. We show that the number of individuals alive immediately after the kth detected death can be expressed as the mixture of random variables each of which consists of the sum of k independent zero-modified geometric distributions. Furthermore, in the case of an Erlang lifetime distribution, we derive an easy-to-compute mixture of negative binomial distributions as an approximation of the number of individuals alive immediately after the kth detected death.

We introduce and study a game-theoretic model to understand the spread of an epidemic in a homogeneous population. A discrete-time stochastic process is considered where, in each epoch, first, a randomly chosen agent updates their action trying to maximize a proposed utility function, and then agents who have viral exposures beyond their immunity get infected. Our main results discuss asymptotic limiting distributions of both the cardinality of the subset of infected agents and the action profile, considered under various values of two parameters (initial action and immunity profile). We also show that the theoretical distributions are almost always achieved in the first few epochs.

Let $\mathbb{P}_\kappa(n)$ be the probability that n points $z_1,\ldots,z_n$ picked uniformly and independently in $\mathfrak{C}_\kappa$, a regular $\kappa$-gon with area 1, are in convex position, that is, form the vertex set of a convex polygon. In this paper, we compute $\mathbb{P}_\kappa(n)$ up to asymptotic equivalence, as $n\to+\infty$, for all $\kappa\geq 3$, which improves on a famous result of Bárány (Ann. Prob. 27, 1999). The second purpose of this paper is to establish a limit theorem which describes the fluctuations around the limit shape of an n-tuple of points in convex position when $n\to+\infty$. Finally, we give an asymptotically exact algorithm for the random generation of $z_1,\ldots,z_n$, conditioned to be in convex position in $\mathfrak{C}_\kappa$.