2014 Melbourne-Monash Meeting on Probability and Related Fields



Friday, 21 February, 2014


University of Melbourne
Richard Berry Building
Russell Love Theatre (map)

Speakers and talks:


Søren Asmussen
Aarhus University
Lévy processes, phase-type distributions, and martingales

Lévy processes are defined as processes with stationary independent increments and have become increasingly popular as models in queueing, finance etc.; apart from Brownian motion and compound Poisson processes, some popular examples are stable processes, variance Gamma processes, CGMY Lévy processes (tempered stable processes), NIG (normal inverse Gaussian) Lévy processes, hyperbolic Lévy processes. We consider here a dense class of Lévy processes, compound Poisson processes with phase-type jumps in both directions and an added Brownian component. Within this class, we survey how to explicitly compute a number of quantities that are traditionally studied in the area of Lévy processes, in particular two-sided exit probabilities and associated Laplace transforms, the closely related scale function, one-sided exit probabilities and associated Laplace transforms coming up in queueing problems, and similar quantities for a Lévy process with reflection in 0. The solutions are in terms of roots to polynomials, and the basic equations are derived by purely probabilistic arguments using martingale optional stopping; a particularly useful martingale is the so-called Kella-Whitt martingale. Also the relation to fluid models with a Brownian component is discussed.

Peter Brockwell
Colorado State University
Recent results in the theory and applications of CARMA processes

Just as ARMA processes play a central role in the representation of stationary time series with discrete time parameter, (Y_n)_{n\in Z}, CARMA processes play an analogous role in the representation of stationary time series with continuous time parameter, (Y(t))_{t\in R}. Lévy-driven CARMA processes permit the modelling of heavy-tailed and asymmetric time series and incorporate both distributional and sample-path information. In this talk we review recent results in the theory and application of these processes, including existence and uniqueness, causality and invertibility, sequences derived by sampling and integration, prediction of CARMA processes and inference based on high-frequency observations.

Louis H. Y. Chen
National University of Singapore
On the error bound in a combinatorial central limit theorem

The notion of exchangeable pair is central to Stein's method. The use of concentration inequalities is an effective means for bounding the Kolmogorov distance in normal approximation. Let {X_{ij}: i, j = 1,..., n} be independent random variables with finite 3rd moments and let \pi be a random permutation of (1,...,n), independent of the X_{ij}. Let U = \sum X_i \pi(i) and let W = (U - EU)/(Var(U))^{1/2}. In this talk we will use exchangeable pairs and the concentration inequality approach to obtain a 3rd-moment error bound on |P(W \le x) - \Phi(x)|, where \Phi is the standard normal distribution function. This result includes the case where the X_{ij} are constants and the case of sampling without replacement from independent random variables. This talk is based on joint work with Xiao Fang.

Peter Jagers
Chalmers University of Technology
On the persistence of populations

Unlike branching processes, real populations live in environments where resources are bounded. In ecological terminology their habitats have a finite carrying capacity. The mathematical interpretation of this would be that reproduction becomes subcritical when the population size exceeds the carrying capacity, whereas it is supercritical otherwise, i.e., while there is enough space and food. We shall discuss the life career of such populations, their establishment, growth, persistence, decay - and ultimate extinction, even though the carrying capacity is not undermined.



    3:00pm — 3:40pm     Chen  
    3:45pm — 4:25pm     Asmussen  
    4:50pm — 5:30pm     Brockwell  
    5:35pm — 6:15pm     Jagers  
    6:45pm     Dinner  
  Organizer: Aihua Xia