Probability Limit Theorems Research Articles

Superconvergence and regularity of densities in free probability

The phenomenon of superconvergence, first observed in the central limit theorem of free probability, was subsequently extended to arbitrary limit laws for free additive convolution. We show that the same phenomenon occurs for the multiplicative versions of free convolution on the positive line and on the unit circle. We also show that a certain Hölder regularity, first demonstrated by Biane for the density of a free additive convolution with a semicircular law, extends to free (additive and multiplicative) convolutions with arbitrary freely infinitely divisible distributions.

Superconvergence in free probability limit theorems for arbitrary triangular arrays

It is known that limit theorems for triangular arrays with identically distributed rows yields convergence of densities rather than just convergence in distribution. We show that this superconvergence result holds—at least at points at which the limit density is nonzero—even if the rows of the array are not identically distributed.

On global values of virtual waiting time of a customer in open queueing networks

The object of this research on queueing theory is to analyze the behaviour of open queueing network, working under overload heavy traffic conditions. We have proved probability limit theorem for the global values of virtual waiting time of a customer in open queueing networks. Finally, we present application of the recurrent method in the further analysis of open queuing networks.

On Necessary Conditions of Probability Limit Theorems in Finite Algebras

We consider the conditions for a finite set with a given system of operations (a finite algebra) to be subject to a probability limit theorem, i.e., arbitrary computations with mutually independent random variables have value distributions that tend to a certain limit (limit law) as the number of random variables used in the computation grows. Such behavior may be seen as a generalization of the central limit theorem that holds for sums of continuous random variables. We show that the existence of a limit probability law in a finite algebra has strong implications for its set of operations. In particular, with some geometric exceptions excluded, the existence of a limit law without zero components implies that all operations in the algebra are quasigroup operations and the limit law is uniform.

On the law of the iterated logarithm in hybrid multiphase queueing systems

The model of a Hybrid Multi-phase Queueing System (HMQS) under conditions of heavy traffic is developed in this paper. This is a mathematical model to measure the performance of complex computer networks working under conditions of heavy traffic. Two probability limit theorems (Laws of the iterated logarithm, LIL) are presented for a queue length of jobs in HMQS.

Fifty years in the field of probability: A conversation with professor Vygantas Paulauskas

This year professor Vygantas Paulauskas is celebrating his 75 birthday. An outstanding probabilist he is well known for his research in the field of probability limit theorems and mathematical statistics. He was the moving spirit behind the organization of the Vilnius conferences in Probability and Statistics 2008–2018. The conversation gives a glimpse into the mathematical life of our country in the 1970s, 1980s, and 1990s.

Local theorems for arithmetic compound renewal processes when Cramer's condition holds

We continue the study of the compound renewal processes (c.r.p.), where the moment Cramer's condition holds (see [1]-[10], where the study of c.r.p. was started). In the paper arithmetic c.r.p. Z(n) are studied. In such processes random vector {\xi} = ({\tau},{\zeta}) has the arithmetic distribution, where {\tau} > 0 defines the distance between jumps, {\zeta} defines the values of jumps. For this processes the fine asymptotics in the local limit theorem for probabilities P(Z(n) = x) has been obtained in Cramer's deviation region of x $\in$ Z. In [6]-[10] the similar problem has been solved for non-lattice c.r.p., when the vector {\xi} = ({\tau},{\zeta}) has the non-lattice distribution.

Central limit theorems and bootstrap in high dimensions

This paper derives central limit and bootstrap theorems for probabilities that sums of centered high-dimensional random vectors hit hyperrectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for probabilities $\Pr(n^{-1/2}\sum_{i=1}^n X_i\in A)$ where $X_1,\dots,X_n$ are independent random vectors in $\mathbb{R}^p$ and $A$ is a hyperrectangle, or, more generally, a sparsely convex set, and show that the approximation error converges to zero even if $p=p_n\to \infty$ as $n \to \infty$ and $p \gg n$; in particular, $p$ can be as large as $O(e^{Cn^c})$ for some constants $c,C>0$. The result holds uniformly over all hyperrectangles, or more generally, sparsely convex sets, and does not require any restriction on the correlation structure among coordinates of $X_i$. Sparsely convex sets are sets that can be represented as intersections of many convex sets whose indicator functions depend only on a small subset of their arguments, with hyperrectangles being a special case.

A Discussion on “Problems of Ruin and Survival in Economics: Applications of Limit Theorems in Probability” by R. Bhattacharya et al.

A Discussion on “Problems of Ruin and Survival in Economics: Applications of Limit Theorems in Probability” by R. Bhattacharya et al.

A Discussion on “Problems of Ruin and Survival in Economics: Applications of Limit Theorems in Probability” by R. Bhattacharya et al

This is a discussion on the paper: Problems of ruin and survival in economics: applications of limit theorems in probability, by Bhattacharya et al. Sankhya Ser. B, Vol. 76. In particular, we indicate some connections with actuarial risk theory.

Rejoinder To: Problems of Ruin and Survival in Economics: Applications of Limit Theorems in Probability

Rejoinder To: Problems of Ruin and Survival in Economics: Applications of Limit Theorems in Probability

Stein's method for Brownian approximations

Motivated by a theorem of Barbour, we revisit some of the classical limit theorems in probability from the viewpoint of the Stein method. We setup the framework to bound Wasserstein distances between some distributions on infinite dimensional spaces. We show that the convergence rate for the Poisson approximation of the Brownian motion is as expected proportional to $\lambda^{-1/2}$ where $\lambda$ is the intensity of the Poisson process. We also exhibit the speed of convergence for the Donsker Theorem and for the linear interpolation of the Brownian motion. By iterating the procedure, we give Edgeworth expansions with precise error bounds.

Problems of ruin and survival in economics: applications of limit theorems in probability

In this paper the focus is on characterizing and computing the probabilities of ruin in three mathematical models arising in economics. First, we examine a credit system in which small loans without collaterals are extended to a large number of costumers, and study the probability of collapse due to defaults. Next, we consider a Walrasian model of an exchange economy in which the endowments are random, and analyze the probability that at equilibrium prices an agent does not have the minimum income needed for survival. Finally, the problem of sustaining a constant consumption of a resource the stock of which is augmented by a random input is considered. The steady state of the resulting Markov process, the speed at which it is approached, and the possibility of exhaustion of the stock are examined.

Pivotal, cluster, and interface measures for critical planar percolation

This work is the first in a series of papers devoted to the construction and study of scaling limits of dynamical and near-critical planar percolation and related objects like invasion percolation and the Minimal Spanning Tree. We show here that the counting measure on the set of pivotal points of critical site percolation on the triangular grid, normalized appropriately, has a scaling limit, which is a function of the scaling limit of the percolation configuration. We also show that this limit measure is conformally covariant, with exponent 3/4. Similar results hold for the counting measure on macroscopic open clusters (the area measure), and for the counting measure on interfaces (length measure). Since the aforementioned processes are very much governed by pivotal sites, the construction and properties of the local time-like pivotal measure are key results in this project. Another application is that the existence of the limit length measure on the interface is a key step towards constructing the so-called natural time-parametrization of the SLE(6) curve. The proofs make extensive use of coupling arguments, based on the separation of interfaces phenomenon. This is a very useful tool in planar statistical physics, on which we included a self-contained Appendix. Simple corollaries of our methods include ratio limit theorems for arm probabilities and the rotational invariance of the two-point function.

Computing the partition function, ensemble averages, and density of states for lattice spin systems by sampling the mean

An algorithm to approximately calculate the partition function (and subsequently ensemble averages) and density of states of lattice spin systems through non-Monte-Carlo random sampling is developed. This algorithm (called the sampling-the-mean algorithm) can be applied to models where the up or down spins at lattice nodes interact to change the spin states of other lattice nodes, especially non-Ising-like models with long-range interactions such as the biological model considered here. Because it is based on the Central Limit Theorem of probability, the sampling-the-mean algorithm also gives estimates of the error in the partition function, ensemble averages, and density of states. Easily implemented parallelization strategies and error minimizing sampling strategies are discussed. The sampling-the-mean method works especially well for relatively small systems, systems with a density of energy states that contains sharp spikes or oscillations, or systems with little a priori knowledge of the density of states.

Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps

This paper presents limit theorems of realized multipower variation for semimartingales and Gaussian integral processes with jumps observed in high frequency. In particular, we obtain a central limit theorem of realized multipower variation for semimartingale where some of the powers equal one and the others are less one. Convergence in probability and central limit theorems of realized threshold bipower variation for Gaussian integral processes with jumps are also obtained. These results provide new statistical tools to analyze and test the long memory effect in high frequency situation.

Limit theorems for small deviation probabilities of some iterated Stochastic processes

We derive logarithmic asymptotics for probabilities of small deviations for some iterated processes. We show that under appropriate conditions, these asymptotics are the same as those of the processes which generate the iterated processes. When these conditions do not hold, the asymptotics of small deviations for iterated processes are quite different. We apply our results to the iterated processes generated by the compound Cox processes and compound renewal processes. Bibliography: 10 titles.

A hierarchical structure of transformation semigroups with applications to probability limit measures

The structure of transformation semigroups on a finite set is analysed by introducing a hierarchy of functions mapping subsets to subsets. The resulting hierarchy of semigroups has a corresponding hierarchy of minimal ideals, or kernels. This kernel hierarchy produces a set of tools that provides direct access to computations of interest in probability limit theorems; in particular, finding certain factors of idempotent limit measures. In addition, when considering transformation semigroups that arise naturally from edge colourings of directed graphs, as in the road-colouring problem, the hierarchy produces simple techniques to determine the rank of the kernel and to decide when a given kernel is a right group. In particular, it is shown that all kernels of rank one less than the number of vertices must be right groups and their structure for the case of two generators is described.

Infinite divisibility and a non-commutative Boolean-to-free Bercovici–Pata bijection

We use the theory of fully matricial, or non-commutative, functions to investigate infinite divisibility and limit theorems in operator-valued non-commutative probability. Our main result is an operator-valued analogue for the Bercovici–Pata bijection. An important tool is Voiculescuʼs subordination property for operator-valued free convolution.

Context-free pairs of groups II — Cuts, tree sets, and random walks

This is a continuation of the study, begun by Ceccherini-Silberstein and Woess (2009) [5], of context-free pairs of groups and the related context-free graphs in the sense of Muller and Schupp (1985) [22]. The graphs under consideration are Schreier graphs of a subgroup of some finitely generated group, and context-freeness relates to a tree-like structure of those graphs. Instead of the cones of Muller and Schupp (1985) [22] (connected components resulting from deletion of finite balls with respect to the graph metric), a more general approach to context-free graphs is proposed via tree sets consisting of cuts of the graph, and associated structure trees. The existence of tree sets with certain “good” properties is studied. With a tree set, a natural context-free grammar is associated. These investigations of the structure of context free pairs, resp. graphs are then applied to study random walk asymptotics via complex analysis. In particular, a complete proof of the local limit theorem for return probabilities on any virtually free group is given, as well as on Schreier graphs of a finitely generated subgoup of a free group. This extends, respectively completes, the significant work of Lalley (1993, 2001) [18,20].