This paper introduces the general ideas for parametric integral stochastic orders, with which a continuum of parametric functions are defined as a bridge between different classes of non-parametric functions. This approach allows one to identify a parametric function class over which two given random variables may violate the non-parametric stochastic order with specific patterns. The parameter used to name the parametric function class also measures the ratio of dominance violation for the corresponding non-parametric stochastic orders. Our framework, expanding the domain of stochastic orders, covers the existing studies of almost stochastic dominance. This leads to intuitive explanations and simpler proofs of existing results and their extensions.

We consider a population consisting of two types of individuals, each of which can produce offspring on two different islands (in particular, the islands can be interpreted as active or dormant individuals). We model the evolution of the population of each type using a two-type Feller diffusion with immigration and study the frequency of one type on each island, when the total population size on each island is forced to be constant at a dense set of times. This leads to the solution of a stochastic differential equation, which we call the asymmetric two-island frequency process. We derive properties of this process and obtain a large population limit as the total size of each island tends to infinity. Additionally, we compute the fluctuations of the process around its deterministic limit. We establish conditions under which the asymmetric two-island frequency process has a moment dual. The dual is a continuous-time two-dimensional Markov chain that can be interpreted in terms of mutation, branching, pairwise branching, coalescence, and a novel mixed selection–migration term.

We study bond and site Bernoulli percolation models on $\mathbb{Z}^d$ for $d \geq 3$ with parameter p, in both the oriented and non-oriented versions. The main macroscopic quantity of interest is the probability of long-range order, and the existence of a non-trivial threshold is well established. Precise numerical results for the threshold values are available in the literature, but mathematically rigorous bounds are mostly restricted to two-dimensional lattices. Utilizing dynamical coupling techniques, we introduce a comprehensive set of new rigorous upper bounds that corroborate existing numerical values.

Exchangeable partitions of the integers and their corresponding mass partitions on $\mathcal{P}_{\infty} = \{\mathbf{s} = (s_{1},s_{2},\ldots)\colon s_{1} \geq s_{2} \geq \cdots \geq 0$ and $\sum_{k=1}^{\infty}s_{k} = 1\}$ play a vital role in combinatorial stochastic processes and their applications. In this work, we continue our focus on the class of Gibbs partitions of the integers and the corresponding stable Poisson–Kingman-distributed mass partitions generated by the normalized jumps of a stable subordinator with an index $\alpha \in (0,1)$, subject to further mixing. This remarkable class of infinitely exchangeable random partitions is characterized by probabilities that have Gibbs (product) form. These partitions have practical applications in combinatorial stochastic processes, random tree/graph growth models, and Bayesian statistics. The most notable class consists of random partitions generated from the two-parameter Poisson–Dirichlet distribution $\mathrm{PD}(\alpha,\theta)$. While the utility of Gibbs partitions is recognized, there is limited understanding of the broader class. Here, as a continuation of our work, we address this gap by extending the dual coagulation/fragmentation results of Pitman (1999), developed for the Poisson–Dirichlet family, to all Gibbs models and their corresponding Poisson–Kingman mass partitions, creating nested families of Gibbs partitions and mass partitions. We focus primarily on fragmentation operations, identifying which classes correspond to these operations and providing significant calculations for the resulting Gibbs partitions. Furthermore, for completion, we provide definitive results for dual coagulation operations using dependent processes. We demonstrate the applicability of our results by establishing new findings for Brownian excursion partitions, Mittag-Leffler, and size-biased generalized gamma models.

In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for any confidence level if and only if those are comonotonic. This result also gives a new equivalent condition for the comonotonicity of random vectors.

We prove large and moderate deviations for the output of Gaussian fully connected neural networks. The main achievements concern deep neural networks (i.e. when the model has more than one hidden layer) and hold for bounded and continuous pre-activation functions. However, for deep neural networks fed by a single input, we have results even if the pre-activation is ReLU. When the network is shallow (i.e. there is exactly one hidden layer), the large and moderate principles hold for quite general pre-activation functions.

We consider a generalization of the forest fire model on $\mathbb{Z}_+$ with ignition at zero only, studied by Volkov (2009 ALEA 6, 399–414). Unlike that model, we allow delays in the spread of the fires and the non-zero burning time of individual ‘trees’. We obtain some general properties for this model, which cover, among others, the phenomenon of an ‘infinite fire’, not present in the original model.

We prove a scaling limit theorem for two-type Galton–Watson branching processes with interaction. The limit theorem gives rise to a class of mixed-state branching processes with interaction used to simulate evolution for cell division affected by parasites. Such processes can also be obtained by the pathwise-unique solution to a stochastic equation system. Moreover, we present sufficient conditions for extinction with probability 1 and the exponential ergodicity in the $L^1$-Wasserstein distance of such processes in some cases.

Let $\{X_{i}\}_{i\geq1}$ be a sequence of independent and identically distributed random variables and $T\in\{1,2,\ldots\}$ a stopping time associated with this sequence. In this paper, the distribution of the minimum observation, $\min\{X_{1},X_{2},\ldots,X_{T}\}$, until the stopping time T is provided by proposing a methodology based on an appropriate change of the initial probability measure of the probability space to a truncated (shifted) one on the $X_{i}$. As an application of the aforementioned general result, the random variables $X_{1},X_{2},\ldots$ are considered to be the interarrival times (spacings) between successive appearances of events in a renewal counting process $\{Y_{t},t\geq0\}$, while the stopping time T is set to be the number of summands until the sum of the $X_{i}$ exceeds t for the first time, i.e. $T=Y_{t}+1$. Under this setup, the distribution of the minimal spacing, $D_{t}=\min\{X_{1},X_{2},\ldots,X_{Y_{t}+1}\}$, that starts in the interval [0, t] is investigated and a stochastic ordering relation for $D_{t}$ is obtained. In addition, bounds for the tail probability of $D_{t}$ are provided when the interarrival times have the increasing failure rate / decreasing failure rate property. In the special case of a Poisson process, an exact formula, as well as closed-form bounds and an asymptotic result, are derived for the tail probability of $D_{t}$. Furthermore, for renewal processes with Erlang and uniformly distributed interarrival times, exact and approximation formulae for the tail probability of $D_{t}$ are also proposed. Finally, numerical examples are presented to illustrate the aforementioned exact and asymptotic results, and practical applications are briefly discussed.

Let $\pi$ be a probability distribution in $\mathbb{R}^d$ and f a test function, and consider the problem of variance reduction in estimating $\mathbb{E}_\pi(f)$. We first construct a sequence of estimators for $\mathbb{E}_\pi (f)$, say $({1}/{k})\sum_{i=0}^{k-1} g_n(X_i)$, where the $X_i$ are samples from $\pi$ generated by the Metropolized Hamiltonian Monte Carlo algorithm and $g_n$ is the approximate solution of the Poisson equation through the weak approximate scheme recently invented by Mijatović and Vogrinc (2018). Then we prove under some regularity assumptions that the estimation error variance $\sigma_\pi^2(g_n)$ can be as arbitrarily small as the approximation order parameter $n\rightarrow\infty$. To illustrate, we confirm that the assumptions are satisfied by two typical concrete models, a Bayesian linear inverse problem and a two-component mixture of Gaussian distributions.

We study equations with nonlinearity in the form of a double-well potential, randomised by a velocity-switching (telegraph) stochastic process. If the speed parameters of the randomisation are small, then this dynamics has one metastable uncertainty interval and two invariant attractors. The probabilities of leaving the metastable interval through the upper boundary are determined, as well as characteristics of the first crossing times. Invariant measures are also found. When and if the direction of the telegraph process velocity coincides with the direction of the periodic change in potential, the system can go into a metastable state, having received a time window for the interwell transition. The obtained results can be used as an alternative to stochastic resonance models.

We study sequential optimal stopping with partial reversibility. The optimal stopping problem is subject to implementation delay, which is random and exponentially distributed. Once the stopping decision is made, the decision maker can, by incurring a cost, call the decision off and restart the stopping problem. The optimization criterion is to maximize the expected present value of the total payoff. We characterize the value function in terms of a Bellman principle for a wide class of payoff functions and potentially multidimensional strong Markov dynamics. We also analyse the case of linear diffusion dynamics and characterize the value function and the optimal decision rule for a wide class of payoff functions.

We consider the number of edge crossings in a random graph drawing generated by projecting a random geometric graph on some compact convex set $W\subset \mathbb{R}^d$, $d\geq 3$, onto a plane. The positions of these crossings form the support of a point process. We show that if the expected number of crossings converges to a positive but finite value, this point process converges to a Poisson point process in the Kantorovich–Rubinstein distance. We further show a multivariate central limit theorem between the number of crossings and a second variable called the stress that holds when the expected vertex degree in the random geometric graph converges to a positive finite value.

We introduce a new family of coalescent mean-field interacting particle systems by producing a pinning property that acts over a chosen sequence of multiple time segments. Throughout their evolution, these stochastic particles converge in time (i.e. get pinned) to their random ensemble average at the termination point of any one of the given time segments, only to burst back into life and repeat the underlying principle of convergence in each of the successive time segments, until they are fully exhausted. Although the architecture is represented by a system of piecewise stochastic differential equations, we prove that the conditions generating the pinning property enable every particle to preserve their continuity over their entire lifetime almost surely. As the number of particles in the system increases asymptotically, the system decouples into mutually independent diffusions, which, albeit displaying progressively uncorrelated behaviour, still close in on, and recouple at, a deterministic value at each termination point. Finally, we provide additional analytics including a universality statement for our framework, a study of what we call adjourned coalescent mean-field interacting particles, a set of results on commutativity of double limits, and a proposal of what we call covariance waves.

Asymptotic properties of random graph sequences, like the occurrence of a giant component or full connectivity in Erdös–Rényi graphs, are usually derived with very specific choices for the defining parameters. The question arises as to what extent those parameter choices may be perturbed without losing the asymptotic property. For two sequences of graph distributions, asymptotic equivalence (convergence in total variation) and contiguity have been considered by Janson (2010) and others; here we use so-called remote contiguity to show that connectivity properties are preserved in more heavily perturbed Erdös–Rényi graphs. The techniques we demonstrate here with random graphs also extend to general asymptotic properties, e.g. in more complex large-graph limits, scaling limits, large-sample limits, etc.

General additive functionals of patricia tries are studied asymptotically in a probabilistic model with independent, identically distributed letters from a finite alphabet. Asymptotic normality is shown after normalization together with asymptotic expansions of the moments. There are two regimes depending on the algebraic structure of the letter probabilities, with and without oscillations in the expansion of moments. As applications firstly the proportion of fringe trees of patricia tries with k keys is studied, which is oscillating around $(1-\rho(k))/(2H)k(k-1)$, where H denotes the source entropy and $\rho(k)$ is exponentially decreasing. The oscillations are identified explicitly. Secondly, the independence number of patricia tries and of tries is considered. The general results for additive functions also apply, where a leading constant is numerically approximated. The results extend work of Janson on tries by relating additive functionals on patricia tries to additive functionals on tries.

We establish a novel duality relationship between continuous/discrete non-negative non-decreasing functionals of stochastic (not necessarily Markovian) processes and their right inverses, and further discuss its applications. For general Markov processes, we develop a theoretical and computational framework for the transform analysis via an operator-based approach, i.e. through the infinitesimal generators. More precisely, we characterize the joint double transforms of additive functionals of Markov processes and the terminal values in continuous/discrete time. Under the continuous-time Markov chain (CTMC) setting, we obtain single Laplace transforms for continuous/discrete additive functionals and their inverses. We apply the proposed transform methodology to computing option prices related to the occupation time of the underlying asset price process.

We consider an inhomogeneous Erdős–Rényi random graph ensemble with exponentially decaying random disconnection probabilities determined by an independent and identically distributed field of variables with heavy tails and infinite mean associated with the vertices of the graph. This model was recently investigated in the physics literature (Garuccio, Lalli, and Garlaschelli 2023) as a scale-invariant random graph within the context of network renormalization. From a mathematical perspective, the model fits in the class of scale-free inhomogeneous random graphs whose asymptotic geometrical features have recently attracted interest. While for this type of graph several results are known when the underlying vertex variables have finite mean and variance, here instead we consider the case of one-sided stable variables with necessarily infinite mean. To simplify our analysis, we assume that the variables are sampled from a Pareto distribution with parameter $\alpha\in(0,1)$. We start by characterizing the asymptotic distributions of the typical degrees and some related observables. In particular, we show that the degree of a vertex converges in distribution, after proper scaling, to a mixed Poisson law. We then show that correlations among degrees of different vertices are asymptotically non-vanishing, but at the same time a form of asymptotic tail independence is found when looking at the behavior of the joint Laplace transform around zero. Moreover, we present some findings concerning the asymptotic density of wedges and triangles, and show a cross-over for the existence of dust (i.e. disconnected vertices).

In this paper we investigate large-scale linear systems driven by a fractional Brownian motion (fBm) with Hurst parameter $H\in [1/2, 1)$. We interpret these equations either in the sense of Young ($H>1/2$) or Stratonovich ($H=1/2$). In particular, fractional Young differential equations are well suited to modeling real-world phenomena as they capture memory effects, unlike other frameworks. Although it is very complex to solve them in high dimensions, model reduction schemes for Young or Stratonovich settings have not yet been much studied. To address this gap, we analyze important features of fundamental solutions associated with the underlying systems. We prove a weak type of semigroup property which is the foundation of studying system Gramians. From the Gramians introduced, a dominant subspace can be identified, which is shown in this paper as well. The difficulty for fractional drivers with $H>1/2$ is that there is no link between the corresponding Gramians and algebraic equations, making the computation very difficult. Therefore we further propose empirical Gramians that can be learned from simulation data. Subsequently, we introduce projection-based reduced-order models using the dominant subspace information. We point out that such projections are not always optimal for Stratonovich equations, as stability might not be preserved and since the error might be larger than expected. Therefore an improved reduced-order model is proposed for $H=1/2$. We validate our techniques conducting numerical experiments on some large-scale stochastic differential equations driven by fBm resulting from spatial discretizations of fractional stochastic PDEs. Overall, our study provides useful insights into the applicability and effectiveness of reduced-order methods for stochastic systems with fractional noise, which can potentially aid in the development of more efficient computational strategies for practical applications.

The generalised random graph contains n vertices with positive i.i.d. weights. The probability of adding an edge between two vertices is increasing in their weights. We require the weight distribution to have finite second moments, and study the point process $\mathcal{C}_n$ on $\{3,4,\ldots\}$, which counts how many cycles of the respective length are present in the graph. We establish convergence of $\mathcal{C}_n$ to a Poisson point process. Under the stronger assumption of the weights having finite fourth moments we provide the following results. When $\mathcal{C}_n$ is evaluated on a bounded set A, we provide a rate of convergence. If the graph is additionally subcritical, we extend this to unbounded sets A at the cost of a slower rate of convergence. From this we deduce the limiting distribution of the length of the shortest and longest cycles when the graph is subcritical, including rates of convergence. All mentioned results also apply to the Chung–Lu model and the Norros–Reittu model.