Forthcoming Papers

Journal of Applied Probability

Research Papers

PIETER C. ALLAART AND JOSÉ A. ISLAS. A sharp lower bound for choosing the maximum of an independent sequence
GEROLD ALSMEYER AND ALEXANDER MARYNYCH. Renewal approximation for the absorption time of a decreasing Markov chain
E. D. ANDJEL AND L. F. GRAY. Extreme paths in oriented 2D percolation
GOLSHID BAHARIAN, ARASH KHATIBI AND SHELDON H. JACOBSON. Sequential stochastic assignment problem with time-dependent random success rates
FRANK BALL, TOM BRITTON AND PETER NEAL. On expected durations of birth–death processes, with applications to branching processes and SIS epidemics
BOJAN BASRAK AND DRAGO SPOLJARIC. On randomly spaced observations and continuous time random walks
ERIK J. BAURDOUX, JUAN CARLOS PARDO, JOSÉ LUIS PÉREZ AND JEAN-FRANÇOIS RENAUD. Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
FÉLIX BELZUNCE, CAROLINA MARTÍNEZ-RIQUELME, JOSÉ M. RUIZ AND MIGUEL A. SORDO. On sufficient conditions for the comparison in the excess wealth order and spacings
GABRIEL BERZUNZA AND JUAN CARLOS PARDO. Asymptotic behaviour near extinction of continuous state branching processes
Z. I. BOTEV, A. RIDDER AND L. ROJAS-NANDAYAPA. Semiparametric cross entropy for rare-event simulation
ONNO BOXMA, MICHEL MANDJES AND JOSH REED. On a class of reflected AR(1) processes
CHEN CHEN AND HOSAM MAHMOUD. Degrees in random self-similar bipolar networks
MI CHEN AND KAM CHUEN YUEN. Optimal dividend and reinsurance in the presence of two reinsurers
CRISTIAN F. COLETTI, KARINA B. E. DE OLIVEIRA AND PABLO M. RODRIGUEZ. A stochastic two-stage innovation diffusion model on a lattice
ANDREA COLLEVECCHIO, ABBAS MEHRABIAN AND NICK WORMALD. Longest paths in random Apollonian networks and largest r-ary subtrees of random d-ary recursive trees
IRENE CRIMALDI. Central limit theorems for a hypergeometric randomly reinforced urn
FABIÁN CROCCE AND ERNESTO MORDECKI. A finite exact algorithm to solve a dice game
FRASER DALY. Compound geometric approximation under a failure rate constraint
WALTER A. F. DE CARVALHO, SANDRO GALLO AND NANCY L. GARCIA. Continuity properties of a factor of Markov chains
NGUYEN HUU DU, DANG HAI NGUYEN AND G. GEORGE YIN. Conditions for permanence and ergodicity of certain stochastic predator-prey models
ERIK EKSTRÖM AND MARTIN VANNESTÅL. Momentum liquidation under partial information
PARISA FATHEDDIN AND JIE XIONG. Moderate deviation principle for a class of SPDEs
EVA FERREIRA AND WINFRIED STUTE. Dynamic binomials with an application to gender bias analysis
A. FERREIRO-CASTILLA, A. E. KYPRIANOU AND R. SCHEICHL. An Euler–Poisson scheme for Lévy driven SDEs
ERIC FOXALL. The SEIS model, or, the contact process with a latent stage
JAMES C. FU AND TUNG-LUNG WU. Boundary crossing probabilities for high-dimensional Brownian motion
KATJA GABRYSCH. Convergence of directed random graphs to the Poisson-weighted infinite tree
M. GANNON, E. PECHERSKY, Y. SUHOV AND A. YAMBARTSEV. Random walks in a queueing network environment
CHRISTIAN HIRSCH. Bounded-hop percolation and wireless communication
ADRIEN HITZ AND ROBIN EVANS. One-component regular variation and graphical modeling of extremes
JYY-I HONG. Coalescence on critical and subcritical multitype branching processes
YANQING HU. Generalized Efron's biased coin design and its theoretical properties
CHUNMAO HUANG. Moments for multi-dimensional Mandelbrot's cascades
J. JAKUBOWSKI AND A. PYTEL. The Markov consistency of Archimedean survival processes
KRZYSZTOF JASINSKI AND TOMASZ RYCHLIK. Inequalities for variances of order statistics coming from urn models
GUANGXIN JIANG AND MICHAEL C. FU. Quantile sensitivity estimation for dependent sequences
STEFAN KASSBERGER AND THOMAS LIEBMANN. An alternative axiomatic characterisation of pricing operators
MICHAEL N. KATEHAKIS, LAURENS C. SMIT AND FLOSKE M. SPIEKSMA. A comparative analysis of the successive lumping and the lattice path counting algorithms
NAYEREH BAGHERI KHOOLENJANI AND MOHAMMAD HOSSEIN ALAMATSAZ. Extension of De Bruijn's identity to dependent non-Gaussian noise channels
JE GUK KIM. Optimal importance sampling for Laplace transform of exponential Brownian functionals
TAKIS KONSTANTOPOULOS, ZHENXIA LIU AND XIANGFENG YANG. Laplace transform asymptotics and large deviation principles for longest success runs in Bernoulli trials
RYOUTA KOZAKAI, AKINOBU SHIMIZU AND MORIHIRO NOTOHARA. Convergence to the structured coalescent process
EVANGELOS KRANAKIS AND GENNADY SHAIKHET. Sensor allocation problems on the real line
HYUNJU LEE AND JI HWAN CHA. Point process approach to modeling and analysis of general cascading failure models
A. MAHESHWARI AND P. VELLAISAMY. On the long-range dependence of fractional Poisson and negative binomial processes
J. MALMROS, F. LILJEROS AND T. BRITTON. Respondent-driven sampling and an unusual epidemic
SERVET MARTÍNEZ. A stationary distribution associated to a set of laws whose initial states are grouped into classes. An application in genomics
S. MCKINLAY AND K. BOROVKOV. On explicit form of the stationary distributions for a class of bounded Markov chains
ANTON MURATOV AND SERGEI ZUYEV. Bit flipping and time to recover
PETER NEAL. A household SIR epidemic model incorporating time of day effects
FREDRIK OLSSON AND TATYANA S. TUROVA. Ergodicity of age-dependent inventory control systems
N. PACKHAM, M. KALKBRENER AND L. OVERBECK. Asymptotic behaviour of multivariate default probabilities and default correlations under stress
RAMTIN PEDARSANI AND JEAN WALRAND. Stability of multiclass queueing networks under longest-queue and longest-dominating-queue scheduling
MATHEW D. PENROSE. The strong giant in a random digraph
VYTAUTE PILIPAUSKAITE AND DONATAS SURGAILIS. Anisotropic scaling of random grain model with application to network traffic
GIACOMO PLAZZOTTA AND CAROLINE COLIJN. Asymptotic frequency of shapes in supercritical branching trees
GARETH O. ROBERTS AND JEFFREY S. ROSENTHAL. Complexity bounds for MCMC via diffusion limits
ANDERS RØNN-NIELSEN AND EVA B. VEDEL JENSEN. Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
GENNADY SAMORODNITSKY, SIDNEY RESNICK, DON TOWSLEY, RICHARD DAVIS, AMY WILLIS, AND PHYLLIS WAN. Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
CHRISTIAN SCHLUTER AND MARK TREDE. Weak convergence to the Student and Laplace distributions
MIRIAM ISABEL SEIFERT. Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions
ERIK THÖRNBLAD. The dominating colour of an infinite Pólya urn model
YINPING YOU AND XIAOHU LI. Ordering scalar products with applications in financial engineering and actuarial science
QING-PEI ZANG AND LI-XIN ZHANG. A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes


Short Communications

EMMANUELLE ANCEAUME, YANN BUSNEL, ERNST SCHULTE-GEERS AND BRUNO SERICOLA. Optimization results for a generalized coupon collector problem
K. B. ATHREYA AND H.-J. SCHUH. A Galton–Watson process with a threshold
MARK BROWN AND SHELDON M. ROSS. Optimality results for coupon collection
PATRICK BUCKINGHAM, BRIAN FRALIX AND OFFER KELLA. A note on integral representations of the Skorokhod map
JOSEBA DALMAU. Distribution of the quasispecies for a Galton–Watson process on the sharp peak landscape
K. BRUCE ERICKSON Uniqueness of the null solution to a non-linear partial differential equation satisfied by the explosion probability of a branching diffusion
KATJA GABRYSCH. Distribution of the smallest visited point in a greedy walk on the line
ZHENLONG GAO AND YANHUA ZHANG. Limit theorems for a supercritical Poisson random indexed branching process
LOÏC HERVÉ AND JAMES LEDOUX. Computable bounds of l2-spectral gap for discrete Markov chains with band transition matrices
JEVGENIJS IVANOVS. Sparre–Andersen identity and the last passage time
EVE D. LATHROP, ISAAC H. GOLDSTEIN AND YUNG-PIN CHEN. A note on a generalized Ehrenfest urn model: another look at the mean transition times
SERGIO I. LÓPEZ. Convergence of tandem Brownian queues
Y. H. MAO, C. ZHANG AND Y. H. ZHANG. Separation cutoff for upward skip-free chains
MARTIN MÖHLE AND MORIHIRO NOTOHARA. An extension of a convergence theorem for Markov chains arising in population genetics
MAGDA PELIGRAD AND SERGEY UTEV. On the invariance principle for reversible Markov chains
SHELDON M. ROSS. Improved Chen–Stein bounds on the probability of a union
ACHILLEFS TZIOUFAS. The entirely coupled region of supercritical contact processes


Advances in Applied Probability

HÜSEYIN ACAN AND PAWEL HITCZENKO. On a memory game and preferential attachment graphs
VENKAT ANANTHARAM AND FRANÇOIS BACCELLI. The Boolean model in the Shannon regime: three thresholds and related asymptotics
FRANÇOIS BACCELLI, HÉCTOR A. CHANG-LARA AND SERGEY FOSS. Shape theorems for Poisson Hail on a bivariate ground
LUISA BEGHIN AND CLAUDIO MACCI. Multivariate fractional Poisson processes and compound sums
J. BLANCHET, P. GLYNN AND S. ZHENG. Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions
ALEXANDRE BOUMEZOUED. Population viewpoint on Hawkes processes
KRISTIAN BUCHARDT. Continuous affine processes: transformations, Markov chains and life insurance
JAMES BURRIDGE AND RICHARD COWAN. Planar tessellations that have the half-Gilbert structure
JÉRÔME CASSE. Probabilistic cellular automata with general alphabets letting a Markov chain invariant
JI HWAN CHA AND MASSIMILIANO GIORGIO. On a class of multivariate counting processes
HOCK PENG CHAN, CHIANG-WEE HENG AND AJAY JASRA. Theory of segmented particle filters
NINGYUAN CHEN AND MARIANA OLVERA-CRAVIOTO. Coupling on weighted branching trees
NICOLAS CHENAVIER AND ROSS HEMSLEY. Extremes for the inradius in the Poisson line tessellation
HANS DADUNA AND RYSZARD SZEKLI. Correlation formulas for Markovian network processes in a random environment
TUGRUL DAYAR AND M. CAN ORHAN. Steady-state analysis of a multi-class MAP/PH/c queue with acyclic PH retrials
J. DÍAZ, D. MITSCHE, G. PERARNAU AND X. PÉREZ-GIMÉNEZ. On the relation between graph distance and Euclidean distance in random geometric graphs
ZI DING AND ILYA O. RYZHOV. Optimal learning with non-Gaussian rewards
YAN DOLINSKY AND YURI KIFER. Risk minimization for game options in markets imposing minimal transaction costs
GIORGIO FERRARI AND PAAVO SALMINEN. Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
ERIC FOXALL. Duality and complete convergence for multi-type additive growth models
GARY FROYLAND AND ROBYN M. STUART. Cheeger inequalities for absorbing Markov chains
BRUNO GALERNE. Random fields of bounded variation and computation of their variation intensity
ALBERTO GANDOLFI AND LORENZO CECCONI. SIR epidemics on a scale-free spatial nested modular network
ILIE GRIGORESCU AND YI-CHING YAO. Maximizing the variance of the time to ruin in a multi-player game with selection
NICOLAS GROSJEAN AND THIERRY HUILLET. On a coalescence process and its branching genealogy
HÉLÈNE GUÉRIN AND JEAN-FRANÇOIS RENAUD. Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
HUI HE. On large deviation rates for sums associated with Galton–Watson processes
BERND HEIDERGOTT, HARALAMBIE LEAHU, ANDREAS LÖPKER AND GEORG PFLUG. Perturbation analysis of inhomogeneous finite Markov chains
CHRISTIAN HIRSCH, BENEDIKT JAHNEL, PAUL KEELER AND ROBERT I. A. PATTERSON. Large-deviation principles for connectable receivers in wireless networks
G. HUANG, H. M. JANSEN, M. MANDJES, P. SPREIJ AND K. DE TURCK. Markov-modulated Ornstein–Uhlenbeck processes
CLIFFORD HURVICH AND JOSH REED. Series expansions for the all-time maximum of alpha-stable random walks
ALEXANDER IKSANOV AND ZAKHAR KABLUCHKO. A central limit theorem and a law of the iterated logarithm for the Biggins martingale of the supercritical branching random walk
ALEXANDER KATZUR AND UDO KAMPS. Order statistics with memory: a model with reliability applications
ISTVÁN KOLOSSVÁRY, JÚLIA KOMJÁTHY AND LAJOS VÁGÓ. Degrees and distances in random and evolving Apollonian networks
STEVEN KOU AND HAOWEN ZHONG. First passage times of two-dimensional Brownian motion
MICHAEL A. KOURITZIN AND SAMIRA SADEGHI. Marcinkiewicz law of large numbers for outer-products of heavy-tailed, long-range dependent data
MARIE KRATZ AND WERNER NAGEL. On the capacity functional of excursion sets of Gaussian random fields on R2
RUSLAN KRENZLER, HANS DADUNA AND SONJA OTTEN. Jackson networks in non-autonomous random environments
CLAUDE LEFÈVRE AND MATTHIEU SIMON. SIR epidemics with stages of infection
BO H. LINDQVIST, FRANCISCO J. SAMANIEGO AND ARNE B. HUSEBY. On the equivalence of systems of different sizes, with applications to system comparisons
R. J. MAILLARDET AND P. G. TAYLOR. Queues with advanced reservations: an infinite-server proxy for the bookings diary
JEAN MAIRESSE AND PASCAL MOYAL. Stability of the stochastic matching model
MAURO MARIANI AND LORENZO ZAMBOTTI. Large deviations for the empirical measure of heavy tailed Markov renewal processes
R. MARTYR. Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs
R. MARTYR. Solving finite time horizon Dynkin games by optimal switching
GRIGORI N. MILSTEIN AND JOHN SCHOENMAKERS. Uniform approximation of the CIR process via exact simulation at random times
HARRI NYRHINEN. On real growth and run-off companies in insurance ruin theory
GUODONG PANG AND YUHANG ZHOU. G/G/infinity queues with renewal alternating interruptions
IKER PEREZ, DAVID HODGE AND HUILING LE. MDP algorithms for wealth allocation problems with defaultable bonds
ROSS G. PINSKY. The speed of a random walk excited by its recent history
LUDGER RÜSCHENDORF, ALEXANDER SCHNURR AND VIKTOR WOLF. Comparison of time-inhomogeneous Markov processes
FRANCISCO J. SAMANIEGO AND JORGE NAVARRO. On comparing coherent systems with heterogeneous components
AMITES SARKAR. Secrecy coverage in two dimensions
WERNER R. W. SCHEINHARDT AND DIRK P. KROESE. A comparison of random walks in dependent random environments
GAGANDEEP SINGH, U. C. GUPTA AND M. L. CHAUDHRY. Detailed computational analysis of queueing-time distributions of BMAP/G/1 queue using roots
MITSUSHI TAMAKI. Optimal stopping rule for the full-information duration problem with random horizon
MITSUSHI TAMAKI. Urn sampling distributions giving alternate correspondences between two optimal stopping problems
GUGAN C. THOPPE, D. YOGESHWARAN AND ROBERT J. ADLER. On the evolution of topology in dynamic clique complexes
PANPAN ZHANG AND HOSAM MAHMOUD. The degree profile and weight in Apollonian networks and k-trees
JINXIA ZHU AND HAILIANG YANG. Optimal financing and dividend distribution in a general diffusion model with regime switching