## Book Reviews - Probability. The Mathematics of Uncertainty. (1993)

**Repository:** GDZ - Center for Retrospective Digitization, Göttingen (Georg-August-Universität Götingen)

1

**Repository:** GDZ - Center for Retrospective Digitization, Göttingen (Georg-August-Universität Götingen)

1

**Repository:** ArXiv.org (Cornell University Library)

We study the number of white balls in a classical P\'olya urn model with the additional feature that, at random times, a black ball is added to the urn. The number of draws between these random times are i.i.d. and, under certain moment conditions on the inter-arrival distribution, we characterize the limiting distribution of the (properly scaled) number of white balls as the number of draws goes to infinity. The possible limiting distributions obtained in this way vary considerably depending on the inter-arrival distribution and are difficult to describe explicitly. However, we show that the limits are fixed points of certain probabilistic distributional transformations, and this fact provides a proof of convergence and leads to properties of the limits. The model can alternatively be viewed as a preferential attachment random graph model where added vertices initially have a random number of edges, and from this perspective, our results describe the limit of the degree of a fixed vertex. ; Comment: 23 pages

2

**Repository:** ArXiv.org (Cornell University Library)

An enviromental-random effect over a deterministic population mo\-del, a resource ({\it e.g.}, a fish stock) is introduced. It is assumed that the harvest activity is concentrated at a non predetermined sequence of instants, at which the abundance reaches a certain predetermined level, for then to fall abruptly a constant capture quota (pulse harvesting). So that, the abundance is modeled by a stochastic impulsive type differential equation, incorporating an standard Brownian motion in the per capita rate of growth. With this random effect, the pulse times are images of a random variable, more precisely, they are "stopping-times" of the stochastic process. The proof of the finite expectation of the next access time, {\it i.e.}, the feasibility of the regulation, is the main result.

3

**Repository:** ArXiv.org (Cornell University Library)

Let $(X_1, \xi_1), (X_2,\xi_2),\ldots$ be i.i.d.~copies of a pair $(X,\xi)$ where $X$ is a random process with paths in the Skorokhod space $D[0,\infty)$ and $\xi$ is a positive random variable. Define $S_k := \xi_1+\ldots+\xi_k$, $k \in \mathbb{N}_0$ and $Y(t) := \sum_{k\geq 0} X_{k+1}(t-S_k) 1_{\{S_k \leq t\}}$, $t\geq 0$. We call the process $(Y(t))_{t \geq 0}$ random process with immigration at the epochs of a renewal process. We investigate weak convergence of the finite-dimensional distributions of $(Y(ut))_{u>0}$ as $t\to\infty$. Under the assumptions that the covariance function of $X$ is regularly varying in $(0,\infty)\times (0,\infty)$ in a uniform way, the class of limiting processes is rather rich and includes Gaussian processes with explicitly given covariance functions, fractionally integrated stable L\'evy motions and their sums when the law of $\xi$ belongs to the domain of attraction of a stable law with finite mean, and conditionally Gaussian processes with explicitly given (conditional) covariance functions, fractionally integrated inverse stable subordinators and their sums when the law of $\xi$ belongs to the domain of attraction of a stable law with infinite mean. ; Comment: 46 pages, accepted for publication in Bernoulli

4

**Repository:** ArXiv.org (Cornell University Library)

We introduce a notion of intervention for stochastic differential equations and a corresponding causal interpretation. For the case of the Ornstein-Uhlenbeck SDE, we show that the SDE resulting from a simple type of intervention again is an Ornstein-Uhlenbeck SDE. We discuss criteria for the existence of a stationary distribution for the solution to the intervened SDE. We illustrate the effect of interventions by calculating the mean and variance in the stationary distribution of an intervened process in a particularly simple case. ; Comment: Extended version of article to be presented at the 18th EYSM

5

**Repository:** ArXiv.org (Cornell University Library)

Let $X_1, X_2,\ldots$ be random elements of the Skorokhod space $D(\mathbb{R})$ and $\xi_1, \xi_2, \ldots$ positive random variables such that the pairs $(X_1,\xi_1), (X_2,\xi_2),\ldots$ are independent and identically distributed. We call the random process $(Y(t))_{t \in \mathbb{R}}$ defined by $Y(t):=\sum_{k \geq 0}X_{k+1}(t-\xi_1-\ldots-\xi_k)1_{\{\xi_1+\ldots+\xi_k\leq t\}}$, $t\in\mathbb{R}$ random process with immigration at the epochs of a renewal process. Assuming that $X_k$ and $\xi_k$ are independent and that the distribution of $\xi_1$ is nonlattice and has finite mean we investigate weak convergence of $(Y(t))_{t\in\mathbb{R}}$ as $t\to\infty$ in $D(\mathbb{R})$ endowed with the $J_1$-topology. The limits are stationary processes with immigration. ; Comment: 20 pages, accepted for publication in Bernoulli

6

**Repository:** ArXiv.org (Cornell University Library)

Branching processes and Fleming-Viot processes are two main models in stochastic population theory. Incorporating an immigration in both models, we generalize the results of Shiga (1990) and Birkner et al. (2005) which respectively connect the Feller diffusion with the classical Fleming-Viot process and the alpha-stable continuous state branching process with the Beta(2-alpha, alpha)-generalized Fleming-Viot process. In a recent work, a new class of probability-measure valued processes, called M-generalized Fleming-Viot processes with immigration, has been set up in duality with the so-called M-coalescents. The purpose of this article is to investigate the links between this new class of processes and the continuous-state branching processes with immigration. In the specific case of the $\alpha$-stable branching process conditioned to be never extinct, we get that its genealogy is given, up to a random time change, by a Beta(2-alpha, alpha-1)-coalescent. ; Comment: 21 pages

7

**Repository:** ArXiv.org (Cornell University Library)

The generalized Fleming-Viot processes were defined in 1999 by Donnelly and Kurtz using a particle model and by Bertoin and Le Gall in 2003 using stochastic flows of bridges. In both methods, the key argument used to characterize these processes is the duality between these processes and exchangeable coalescents. A larger class of coalescent processes, called distinguished coalescents, was set up recently to incorporate an immigration phenomenon in the underlying population. The purpose of this article is to define and characterize a class of probability-measure valued processes called the generalized Fleming-Viot processes with immigration. We consider some stochastic flows of partitions of Z_{+}, in the same spirit as Bertoin and Le Gall's flows, replacing roughly speaking, composition of bridges by coagulation of partitions. Identifying at any time a population with the integers $\mathbb{N}:=\{1,2,.\}$, the formalism of partitions is effective in the past as well as in the future especially when there are several simultaneous births. We show how a stochastic population may be directly embedded in the dual flow. An extra individual 0 will be viewed as an external generic immigrant ancestor, with a distinguished type, whose progeny represents the immigrants. The "modified" lookdown construction of Donnelly-Kurtz is recovered when no simultaneous multiple births nor immigration are taken into account. In the last part of the paper we give a sufficient criterion for the initial types extinction. ; Comment: typos and corrections in references

8

**Repository:** ArXiv.org (Cornell University Library)

We consider the stepping stone model on the torus of side $L$ in $\mathbb{Z}^2$ in the limit $L\to\infty$, and study the time it takes two lineages tracing backward in time to coalesce. Our work fills a gap between the finite range migration case of [Ann. Appl. Probab. 15 (2005) 671--699] and the long range case of [Genetics 172 (2006) 701--708], where the migration range is a positive fraction of $L$. We obtain limit theorems for the intermediate case, and verify a conjecture in [Probability Models for DNA Sequence Evolution (2008) Springer] that the model is homogeneously mixing if and only if the migration range is of larger order than $(\log L)^{1/2}$. ; Comment: Published in at http://dx.doi.org/10.1214/09-AAP639 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

9

**Repository:** ArXiv.org (Cornell University Library)

We consider a connection-level model of Internet congestion control, introduced by Massouli\'{e} and Roberts [Telecommunication Systems 15 (2000) 185--201], that represents the randomly varying number of flows present in a network. Here, bandwidth is shared fairly among elastic document transfers according to a weighted $\alpha$-fair bandwidth sharing policy introduced by Mo and Walrand [IEEE/ACM Transactions on Networking 8 (2000) 556--567] [$\alpha\in (0,\infty)$]. Assuming Poisson arrivals and exponentially distributed document sizes, we focus on the heavy traffic regime in which the average load placed on each resource is approximately equal to its capacity. A fluid model (or functional law of large numbers approximation) for this stochastic model was derived and analyzed in a prior work [Ann. Appl. Probab. 14 (2004) 1055--1083] by two of the authors. Here, we use the long-time behavior of the solutions of the fluid model established in that paper to derive a property called multiplicative state space collapse, which, loosely speaking, shows that in diffusion scale, the flow count process for the stochastic model can be approximately recovered as a continuous lifting of the workload process. ; Comment: Published in at http://dx.doi.org/10.1214/08-AAP591 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

10

**Repository:** ArXiv.org (Cornell University Library)

A superprocess with dependent spatial motion and interactive immigration is constructed as the pathwise unique solution of a stochastic integral equation carried by a stochastic flow and driven by Poisson processes of one-dimensional excursions.

11

**Repository:** ArXiv.org (Cornell University Library)

In this paper, by the singular-perturbation technique, we investigate the heavy-traffic behavior of a priority polling system consisting of three M/M/1 queues with threshold policy. It turns out that the scaled queue-length of the critically loaded queue is exponentially distributed, independent of that of the stable queues. In addition, the queue lengths of stable queues possess the same distributions as a priority polling system with N-policy vacation. Based on this fact, we provide the exact tail asymptotics of the vacation polling system to approximate the tail distribution of the queue lengths of the stable queues, which shows that it has the same prefactors and decay rates as the classical M/M/1 preemptive priority queues. Finally, a stochastic simulation is taken to test the results aforementioned.

12

**Repository:** ArXiv.org (Cornell University Library)

We study certain consistent families $(F_\lambda)_{\lambda\ge 0}$ of Galton-Watson forests with lifetimes as edge lengths and/or immigrants as progenitors of the trees in $F_\lambda$. Specifically, consistency here refers to the property that for each $\mu\le\lambda$, the forest $F_\mu$ has the same distribution as the subforest of $F_\lambda$ spanned by the black leaves in a Bernoulli leaf colouring, where each leaf of $F_\lambda$ is coloured in black independently with probability $\mu/\lambda$. The case of exponentially distributed lifetimes and no immigration was studied by Duquesne and Winkel and related to the genealogy of Markovian continuous-state branching processes. We characterise here such families in the framework of arbitrary lifetime distributions and immigration according to a renewal process, related to Sagitov's (non-Markovian) generalisation of continuous-state branching renewal processes, and similar processes with immigration. ; Comment: 31 pages, 2 figures

13

**Repository:** ArXiv.org (Cornell University Library)

A non-critical branching immigration superprocess with dependent spatial motion is constructed and characterized as the solution of a stochastic equation driven by a time-space white noise and an orthogonal martingale measure. A representation of its conditional log-Laplace functionals is established, which gives the uniqueness of the solution and hence its Markov property. Some properties of the superprocess including an ergodic theorem are also obtained.

14

**Repository:** ArXiv.org (Cornell University Library)

This is a survey on recent progresses in the study of branching processes with immigration, generalized Ornstein-Uhlenbeck processes and affine Markov processes. We mainly focus on the applications of skew convolution semigroups and the connections in those processes.

15