Forthcoming Papers

Journal of Applied Probability
 

Research Papers

HANSJÖRG ALBRECHER, ONNO J. BOXMA AND JEVGENIJS IVANOVS. On simple ruin expressions in dependent Sparre Andersen risk models
EMMANUELLE ANCEAUME, YANN BUSNEL AND BRUNO SERICOLA. New results on a generalized coupon collector problem using Markov chains
CHRISTOPHE ANDRIEU, GERSENDE FORT AND MATTI VIHOLA. Quantitative convergence rates for sub-geometric Markov chains
DAVID APPLEBAUM AND STEFAN BLACKWOOD. The Kalman–Bucy filter for integrable Lévy processes with infinite second moment
D. ARISTOFF. Percolation of hard disks
S. ASHRAFI AND M. ASADI. Dynamic reliability modeling of three-state networks
S. ASMUSSEN AND S. FOSS. On exceedance times for some processes with dependent increments
ÁGNES BACKHAUSZ AND TAMÁS F. MÓRI. Asymptotic properties of a random graph with duplications
F. G. BADIA AND C. SANGÜESA. The DFR property for counting processes stopped at an independent random time
GOLSHID BAHARIAN AND SHELDON H. JACOBSON. Limiting behavior of the target-dependent stochastic sequential assignment problem
N. BALAKRISHNAN AND WILLIAM VOLTERMAN. On the signatures of ordered system lifetimes
NARAYANASWAMY BALAKRISHNAN, GHOBAD  BARMALZAN AND ABEDIN  HAIDARI. Stochastic orderings and ageing properties of residual life-lengths of live components in (n-k+1)-out-of-n systems
ANTAR BANDYOPADHYAY AND FARKHONDEH SAJADI. On the nearest neighbor algorithm for the mean field traveling salesman problem
YONIT BARRON. A fluid EOQ model with Markovian environment
HENDRIK BAUMANN AND WERNER SANDMANN. Bounded truncation error for long run averages in infinite Markov chains
N. G. BEAN, R. ELLIOTT, A. ESHRAGH AND J. V. ROSS. On binomial observation of continuous-time Markovian population models
LUISA BEGHIN AND CLAUDIO MACCI. Fractional discrete processes: compound and mixed Poisson representations
JAKOB E. BJÖRNBERG AND ERIK I. BROMAN. Coexistence and non-coexistence of Markovian viruses and their hosts
BRUNO BUONAGUIDI AND PIETRO MULIERE. On the disorder problem for a negative binomial process
MASSIMO CAMPANINO AND DIMITRI PETRITIS. Type transition of simple random walks on randomly directed regular lattices
ROLANDO CAVAZOS-CADENA, RAÚL MONTES-DE-OCA AND KAREL SLADKÝ. Sample-path optimal stationary policies in stable Markov decision chains with the average reward criterion
JI HWAN CHA AND INMA T. CASTRO. A stochastic failure model with dependent competing risks and its applications to condition-based maintenance
ANYUE CHEN, JUNPING LI, YIQING CHEN AND DINGXUAN ZHOU. Asymptotic behaviour of extinction probability of interacting branching collision processes
LI-JUAN CHENG AND YONG-HUA MAO. Eigentime identity for one-dimensional diffusion processes
SAMUEL N. COHEN. Undiscounted Markov chain BSDEs to stopping times
ALESSANDRO D'ANDREA AND LUCA DE SANCTIS. The Kruskal–Katona theorem and a characterization of system signatures
KRZYSZTOF DEBICKI, ENKELEJD HASHORVA AND NATALIA SOJA-KUKIELA. Extremes of homogeneous Gaussian random fields
KRISTIAN DEBRABANT AND ANDREAS RÖSSLER. On the acceleration of the multi-level Monte Carlo method
AMOGH DESHPANDE. On the role of Föllmer-Schweizer minimal martingale measure in risk sensitive control asset management
ANTONIO DI CRESCENZO, BARBARA MARTINUCCI AND SHELEMYAHU ZACKS. Compound Poisson process with Poisson subordinator
MORITZ DUEMBGEN AND L. C. G. ROGERS. Investing and stopping
ROBERT J. ELLIOTT, TAK KUEN SIU AND SAMUEL N. COHEN. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
SERKAN ERYILMAZ. Component importance in coherent systems with exchangeable components
PARISA FATHEDDIN. Central limit theorem for a class of SPDEs
ALBERT FERREIRO-CASTILLA AND KEES VAN SCHAIK. Applying the Wiener–Hopf Monte Carlo simulation technique for Lévy processes to path functionals
RAÚL FIERRO, VÍCTOR LEIVA AND JESPER MØLLER. The Hawkes process with different exciting functions and its asymptotic behavior
RICHARD FINLAY AND EUGENE SENETA. Random fields with Pólya correlation structure
ERIC FOXALL. New results for the two-stage contact process
ESTHER FROSTIG. The moments of the  discounted loss and the discounted dividends for a spectrally negative Lévy risk process
MICHAEL FUCHS, HSIEN-KUEI HWANG, YOSHIAKI ITOH AND HOSAM H. MAHMOUD. A binomial splitting process in connection with corner parking problems
R. GARRA, E. ORSINGHER AND F. POLITO. State-dependent fractional point processes
RENATO JACOB GAVA AND DANILO SALOTTI. Stopping probabilities for patterns in Markov chains
BERNHARD C. GEIGER AND CHRISTOPH TEMMEL. Lumpings of Markov chains, entropy rate preservation, and higher-order lumpability
MICHAEL B. GORDY. Finite-dimensional distributions of a square-root diffusion
FABRICE GUILLEMIN AND BRUNO SERICOLA. Volume and duration of losses in finite buffer fluid queues
BABAK HAJI AND SHELDON M. ROSS. A queueing loss model with heterogeneous skill based servers under idle time ordering policies
LARS HOLST AND TAKIS KONSTANTOPOULOS. Runs in coin tossing: a general approach for deriving distributions for functionals
DAWEI HONG, SHUSHUANG MAN, JEAN-CAMILLE BIRGET AND DESMOND S. LUN. A wavelet-based almost sure uniform approximation of fractional Brownian motion with a parallel algorithm
PHIL HOWLETT, CHARLES PEARCE AND JULIA PIANTADOSI. A new look at urban water storage in a series of connected dams
LEI HUA, HARRY JOE AND HAIJUN LI. Relations between hidden regular variation and tail order of copulas
MARK HUBER AND SARAH SCHOTT. Random construction of interpolating sets for high dimensional integration
JEVGENIJS IVANOVS. Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
A. JANSSEN AND J. SEGERS. Markov tail chains
AJAY JASRA. On the behaviour of the backward interpretation of Feynman–Kac formulae under verifiable conditions
ZHENGJUN JIANG. Optimal dividend policy when cash reserves follow a jump-diffusion process under Markov-regime switching
A. V. KALINKIN AND A. V. MASTIKHIN. A limit theorem for Weiss epidemic process
VASSILI N. KOLOKOLTSOV. Stochastic monotonicity and duality of kth order with application to put-call symmetry of powered options
ARYEH KONTOROVICH AND ROI WEISS. Uniform Chernoff and Dvoretzky–Kiefer–Wolfowitz-type inequalities for Markov chains and related processes
K. M. KOSINSKI AND M. MANDJES. Logarithmic asymptotics for multidimensional extremes under non-linear scalings
JERE KOSKELA, PAUL JENKINS AND DARIO SPANÒ. Computational inference beyond Kingman's coalescent
MIHÁLY KOVÁCS, STIG LARSSON AND FREDRIK LINDGREN. On the backward Euler approximation of the stochastic Allen–Cahn equation
HOANG-CHUONG LAM. Quenched central limit theorem for reversible random walk in random environment on Z
AMAURY LAMBERT AND CHUNHUA MA. The coalescent in peripatric metapopulations
DAVID LANDRIAULT, BIN LI AND HONGZHONG ZHANG. On the frequency of drawdowns for Brownian motion processes
V. LE. Coalescence times for the Bienaymé-Galton-Watson process
JOSEPH LEHEC. Cover times and generic chaining
GÉRARD LETAC AND MAURO PICCIONI. Dirichlet random walks
CARL LINDBERG. Pairs trading with opportunity cost
JINGCHEN LIU AND XIANG ZHOU. Extreme analysis of a random ordinary differential equation
JEAN-LUC MARICHAL. Algorithms and formulas for conversion between system signatures and reliability functions
PATRYK MIZIULA AND TOMASZ RYCHLIK. Extreme dispersions of semicoherent and mixed system lifetimes
BENT NATVIG. On the deterioration of nonrepairable multistate strongly coherent systems
A. PARVARDEH AND N. BALAKRISHNAN. On the conditional residual life and inactivity time of coherent systems
ORA E. PERCUS AND JEROME K. PERCUS. The maximum of a symmetric next neighbor walk on the nonnegative integers
LEANDRO P. R. PIMENTEL. On the location of the maximum of a continuous stochastic process
JEAN-FRANÇOIS RENAUD. On the time spent in the red by a refracted Lévy risk process
FRANÇOIS ROUEFF AND PHILIPPE SOULIER. Convergence to stable laws in the space D
ARINDAM ROYCHOUDHURY. Identifiability of a coalescent-based population tree model
MATTEO RUGGIERO. Species dynamics in the two-parameter Poisson-Dirichlet diffusion model
ERNST SCHULTE-GEERS AND WOLFGANG STADJE. Maximal percentages in Pólya's urn
KONSTANTINOS SPILIOPOULOS. Non-asymptotic  performance analysis of importance sampling schemes for small noise diffusions
P. TARDELLI. Partially informed investors: hedging in incomplete market with default
NURIA TORRADO AND SUBHASH C. KOCHAR. Stochastic order relations among parallel systems from Weibull distributions
ERIK A. VAN DOORN. Representations for the decay parameter of a birth–death process based on the Courant–Fischer theorem
VLADIMIR VATUTIN AND QUANSHENG LIU. Limit theorems for decomposable branching processes in random environment
RAHUL VAZE AND SRIKANTH IYER. Percolation on the information-theoretically secure signal to interference ratio graph
HANCHAO WANG. Euler scheme for stochastic differential equation driven by pure jump semimartingales
XIAO WU AND XIANPING GUO. First passage optimality and variance minimization of Markov decision processes with varying discount factors
YI ZHANG. Average optimality for continuous-time Markov decision processes under weak continuity conditions
YOUZHOU ZHOU. Ergodic inequality of two-parameter infinitely-many-alleles diffusion model

 

Short Communications
 
CHRISTIAN BENDER, MIKKO S. PAKKANEN AND HASANJAN SAYIT. Sticky continuous processes have consistent price systems
MARTIN EGOZCUE AND LUIS FUENTES GARCÍA. An optimal threshold strategy in the two-envelope problem with partial information
MARK HUBER AND NEVENA MARIC. Multivariate distributions with fixed marginals and correlations
KRZYSZTOF LATUSZYNSKI AND JEFFREY S. ROSENTHAL. The containment condition and AdapFail algorithms
HOSAM M. MAHMOUD AND MARK DANIEL WARD. Asymptotic properties of protected nodes in random recursive trees
DIRK VEESTRAETEN. A recursion formula for the moments of the first-passage time of the Ornstein–Uhlenbeck process

 

Letters to the Editor

HÜSEYIN ACAN AND PAWEL HITCZENKO. On the covariances of outdegrees in random plane recursive trees
 
 

Advances in Applied Probability

 

Stochastic Geometry and Statistical Applications
 
VENKAT ANANTHARAM AND FRANÇOIS BACCELLI. Capacity and error exponents of stationary point processes under random additive displacements
B. BLASZCZYSZYN AND D. YOGESHWARAN. On comparison of clustering properties of  point processes
F. FODOR, P. KEVEI AND V. VÍGH. On random disc-polygons in smooth convex discs
C. HIRSCH, D. NEUHÄUSER, C. GLOAGUEN AND V. SCHMIDT. First-passage percolation on random geometric graphs and an application to shortest-path trees
DANIEL HUG AND ROLF SCHNEIDER. Approximation properties of random polytopes associated with Poisson hyperplane processes
DANIEL HUG, GÜNTER LAST, ZBYNEK PAWLAS AND WOLFGANG WEIL. Statistics for Poisson models of overlapping spheres
STEFAN STEINERBERGER. New bounds for the traveling salesman constant
KASPAR STUCKI AND DOMINIC SCHUHMACHER. Bounds for the probability generating functional of a Gibbs point process
ANNE MARIE SVANE. Local digital estimators of intrinsic volumes for Boolean models and in the design based setting
 
 
General Applied Probability
 
LOUIGI ADDARIO-BERRY AND TAO LEI. The mixing time of the Newman–Watts small world
DANIEL AHLBERG. Asymptotics of first-passage percolation on one-dimensional graphs
RICHARD ARRATIA AND STEPHEN DESALVO. On the random sampling of pairs, with pedestrian examples
DANIELA BERTACCHI, FABIO PRATES MACHADO AND FABIO ZUCCA. Local and global survival for nonhomogeneous random walk systems on Z
ALEXANDROS BESKOS, DAN O. CRISAN, AJAY JASRA AND NICK WHITELEY. Error bounds and normalizing constants for sequential Monte Carlo samplers in high dimensions
JOSE BLANCHET AND JING DONG. Perfect sampling for infinite server and loss systems
AMARJIT BUDHIRAJA, VLADAS PIPIRAS AND XIAOMING SONG. Admission control for multidimensional workload input with heavy tails and fractional Ornstein–Uhlenbeck process
JI HWAN CHA. Characterization of the generalized Polya process and its applications
JI HWAN CHA AND GIANPAOLO PULCINI. Burn-in procedure based on dependent covariate process
XINXIN CHEN. A necessary and sufficient condition for the nontrivial limit of the derivative martingale in a branching random walk
ZHIYI CHI. Non-normal small jump approximation of infinitely divisible distributions
ALBERTO CHIARINI AND MARKUS FISCHER. On large deviations for small noise Itô processes
EMILIE COUPECHOUX AND MARC LELARGE. How clustering affects epidemics in random networks
DARYL J. DALEY, JOHAN S.H. VAN LEEUWAARDEN AND YONI NAZARATHY. BRAVO for many-server QED systems with finite buffers
JEAN-STÉPHANE DHERSIN AND LINGLONG YUAN. On the total length of external branches for beta-coalescents
FRANÇOIS DUFOUR AND A. B. PIUNOVSKIY. Impulsive control for continuous-time Markov decision processes
MASAHIKO EGAMI AND KAZUTOSHI YAMAZAKI. On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
B. ERIKSSON AND M. R. PISTORIUS. American option valuation under continuous time Markov chains
KAMILLE SOFIE TÅGHOLT GAD AND JESPER LUND PEDERSEN. Variance optimal stopping for geometric Lévy processes
GHURUMURUHAN GANESAN. Infection spread in random geometric graphs
ROBERT C. GRIFFITHS. The Lambda–Fleming–Viot process and a connection with Wright–Fisher diffusion
MICHAEL GRINFELD, STANISLAV VOLKOV AND ANDREW R. WADE. Convergence in a multidimensional randomized Keynesian beauty contest
IEVA GRUBLYTE AND DONATAS SURGAILIS. Projective stochastic equations and nonlinear long memory
LOÏC HERVÉ AND JAMES LEDOUX. Spectral analysis of Markov kernels and application to the convergence rate of discrete random walks
D. J. HODGE AND K. D. GLAZEBROOK. On the asymptotic optimality of greedy index heuristics for multi-action restless bandits
ANTOINE JACQUIER AND MATTHEW LORIG. From characteristic functions to implied volatility expansions
PREDRAG R. JELENKOVIC AND EVANGELIA D. SKIANI. Distribution of the number of retransmissions of bounded documents
MATTHIEU JONCKHEERE AND SEVA SHNEER. Stability of multi-dimensional birth-and-death processes with state-dependent 0-homogeneous jumps
JONATHAN JORDAN AND ANDREW R. WADE. Phase transitions for random geometric preferential attachment graphs
RAVI KALPATHY AND HOSAM MAHMOUD. Perpetuities in fair leader election algorithms
ALEXANDER D. KOLESNIK. Probability distribution function for the Euclidean distance between two telegraph processes
ISTVÁN KOLOSSVÁRY AND JÚLIA KOMJÁTHY. First passage percolation on inhomogeneous random graphs
MALGORZATA KUCHTA AND MICHAL MORAYNE. Monotone case for an extended process
N. LANCHIER AND N. TAYLOR. Galam's bottom-up hierarchical system and public debate model revisited
JUKKA LEMPA Bounded variation control of Itô diffusions with exogenously restricted intervention times
XIAOOU LI AND JINGCHEN LIU. Rare-event simulation and efficient discretization for the supremum of Gaussian random fields
XIAOHU LI AND YINPING YOU. Permutation monotone functions of random vectors with applications in financial and actuarial risk management
QIAN LIN. Nash equilibrium payoffs for stochastic differential games with two reflecting barriers
PAWEL LOREK AND RYSZARD SZEKLI. Computable bounds on the spectral gap for unreliable Jackson networks
SANA LOUHICHI AND BERNARD YCART. Exponential growth of bifurcating processes with ancestral dependence
HIROYUKI MASUYAMA. Error bounds for augmented truncations of discrete-time block-monotone Markov chains under geometric drift conditions
TOSHIO NAKATA. The number of collisions for the occupancy problem with unequal probabilities
PETER NEAL. Endemic behaviour of  SIS epidemics with general infectious period distributions
NICHOLAS R. PETERSON AND BORIS PITTEL. Distance between two random k-out digraphs, with and without preferential attachment
HUIJIE QIAO AND JINQIAO DUAN. Nonlinear filtering of stochastic dynamical systems with Lévy noises
MARIA REMEROVA, SERGEY FOSS AND BERT ZWART. Random fluid limit of an overloaded polling model
YAN-XIA REN AND TING YANG. Multitype branching Brownian motion and traveling waves
ULRICH RIEDER AND MARC WITTLINGER On optimal terminal wealth problems with random trading times and drawdown constraints
LAURA SACERDOTE, OTTAVIA TELVE AND CRISTINA ZUCCA. Joint densities of first hitting times of a diffusion process through two time dependent boundaries
SERIK SAGITOV AND MARIA CONCEIÇÃO SERRA. Skeletons of near-critical Bienaymé–Galton–Watson branching processes
HIRONOBU SAKAGAWA. Persistence probability for a class of Gaussian processes related to random interface models
QIFAN SONG, MINGQI WU AND FAMING LIANG. Weak convergence rates of population versus single-chain stochastic approximation MCMC algorithms
A. L. STOLYAR. Diffusion scale tightness of invariant distributions of a large-scale flexible service system
HUEI-WEN TENG, MING-HSUAN KANG AND CHENG-DER FUH. On spherical Monte Carlo simulations for multivariate normal probabilities
HONGZHONG ZHANG. Occupation times, drawdowns, and drawups for one-dimensional regular diffusions