Forthcoming Papers

Journal of Applied Probability

ROMAIN ABRAHAM AND JEAN-FRANÇOIS DELMAS. A construction of a ¯-coalescent via the pruning of binary trees
GIACOMO ALETTI, ANDREA GHIGLIETTI AND ANNA MARIA PAGANONI. Randomly reinforced urn designs with prespecified allocations
DAVID ARISTOFF AND CHARLES RADIN. Emergent structures in large networks
S. ASMUSSEN AND S. FOSS. On exceedance times for some processes with dependent increments
K. B. ATHREYA AND JYY-I HONG. An application of the coalescence theory to branching random walks
KONSTANTIN AVRACHENKOV, ALEXEY PIUNOVSKIY AND YI ZHANG.  Markov processes with restart
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
FRANK BALL AND DAVID SIRL. Acquaintance vaccination in an epidemic on a random graph with specified degree distribution
SHAUL K. BAR-LEV, ERNST SCHULTE-GEERS AND WOLFGANG STADJE. Conditional limit theorems for the terms of a random walk revisited
NICOLE BÄUERLE AND ZEJING LI. Optimal portfolios for financial markets with Wishart volatility
LUISA BEGHIN AND CLAUDIO MACCI. Fractional discrete processes: compound and mixed Poisson representations
JEAN BERTOIN. Almost giant clusters for percolation on large trees with logarithmic heights
JEAN BERTOIN. On largest offsprings in a critical branching process with finite variance
NAFNA BLANGHAPS, YUVAL NOV AND GIDEON WEISS. Sojourn time estimation in an M/G/1 queue with partial information
JOCHEN BLATH, ADRIÁN GONZÁLEZ CASANOVA, NOEMI KURT AND DARIO SPANÒ. The ancestral process of long-range seed bank models
M. BONDAREVA.  Nondecreasing lower bound on the Poisson cumulative distribution function for z standard deviations above the mean
LOTHAR BREUER. The resolvent and expected local times for Markov-modulated Brownian motion with phase dependent termination rates
JI HWAN CHA. On stochastic predictions of failure processes under population heterogeneity
XIAONAN CHE AND ANGELOS DASSIOS. Stochastic boundary crossing probabilities for the Brownian motion
FENG CHEN AND PETER HALL.  Inference for a non-stationary self-exciting point process with an application in ultra-high frequency financial data modeling
MAY-RU CHEN AND MARKUS KUBA. On generalized Pólya urn models.
GUAN-YU CHEN AND LAURENT SALOFF-COSTE. Comparison of cutoffs between lazy walks and Markovian semigroups
STEPHEN CONNOR. Optimal co-adapted coupling for a random walk on the hyper-complete-graph
ANGELOS DASSIOS AND HONGBIAO ZHAO. A risk model with delayed claims
ANTONIO DI CRESCENZO, ESTHER FROSTIG AND FRANCO PELLEREY. Stochastic comparisons of symmetric supermodular functions of heterogeneous random vectors
ANTONIO DI CRESCENZO, ANTONELLA IULIANO, BARBARA MARTINUCCI AND SHELEMYAHU ZACKS. Generalized telegraph process with random jumps
SANTANU DEY, SANDEEP JUNEJA AND ANKUSH  AGARWAL. Efficient simulation of large deviations events for sums of random vectors using saddle point representations
KAI DU AND ARIEL DAVID NEUFELD. A note on asymptotic exponential arbitrage with exponentially decaying failure probability
ERIK EKSTRÖM AND CARL LINDBERG. Optimal closing of a momentum trade
QUNQIANG FENG AND ZHISHUI HU. Phase changes in the topological indices of scale-free trees
XIUYING FENG, SHUHONG ZHANG AND XIAOHU LI. A note on mixture representation of conditional residual lifetime of coherent system
HOLGER FINK. Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
BRIAN H. FRALIX, JOHAN S.H. VAN LEEUWAARDEN AND ONNO J. BOXMA. Factorization identities for reflected processes, with applications
TAKAYUKI FUJII.  Nonparametric estimation for a class of piecewise-deterministic Markov processes
WILLIAM GARNER AND DIMITRIS N. POLITIS. The correct asymptotic variance for the sample mean of a homogeneous Poisson marked point process
RENATO JACOB GAVA AND DANILO SALOTTI. Stopping probabilities for patterns in Markov chains
LARRY GOLDSTEIN AND GESINE REINERT. Stein's method for the beta distribution and the Pólya-Eggenberger urn
RUDOLF GRÜBEL and PAWEŁ HITCZENKO. Pruned discrete random samples
MARIE-ANNE GUERRY. On the embedding problem for discrete-time Markov chains
NITIN GUPTA. Stochastic comparisons of residual life times and inactivity times of coherent systems
JENNIE C. HANSEN AND JERZY JAWORSKI. Predecessors and successors in random mappings with exchangeable in-degrees
LOÏC HERVÉ AND JAMES LEDOUX. Geometric ½-mixing property of the interarrival times of a stationary Markovian arrival process
LARS HOLST. Probabilistic proofs of Euler identities
JYY-I HONG. Coalescence on subcritical Bellman-Harris age-dependent branching processes
JAMES HOOK. Critical path statistics of max-plus linear systems with Gaussian noise
YAOZHONG HU AND CHIHOON LEE. Drift parameter estimation for a reflected fractional Brownian motion based on its local time
ZECHUN HU AND BIN JIANG. On joint ruin probabilities of a two-dimensional risk model with constant interest rate
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
YUNJIANG JIANG AND WEIJUN XU. On the number of turns in reduced random lattice paths
PREDRAG R. JELENKOVIC AND MARIANA OLVERA-CRAVIOTO. Convergence rates in the implicit renewal theorem on trees
OFFER KELLA AND ONNO BOXMA. Useful martingales for stochastic storage processes with Lévy-type input
ABBA M. KRIEGER AND ESTER SAMUEL-CAHN. Generalized bomber and fighter problems: offline optimal allocation of a discrete asset
JOHANNES KUGLER AND VITALI WACHTEL.  Upper bounds for the maximum of a random walk with negative drift
YOUNG LEE AND THORSTEN RHEINLÄNDER. The minimal entropy martingale measure for exponential Markov chains
CLAUDE LEFÈVRE AND STÉPHANE LOISEL. On multiply monotone distributions, continuous or discrete, with applications
XIN LIAO, ZUOXIANG PENG AND SARALEES NADARAJAH. Tail properties and asymptotic expansions for the maximum of
logarithmic skew-normal distribution
CARL LINDBERG. Pairs trading with opportunity cost
RENAUD MARTY. From Hermite polynomials to multifractional processes
SOPHIE MERCIER AND I. T. CASTRO. On the modelling of imperfect repairs for a continuously monitored gamma wear
process through age reduction
DANIEL WEI-CHUNG MIAO. Analysis of the discrete Ornstein-Uhlenbeck processes caused by tick size effect
THOMAS MIKOSCH, GENNADY SAMORODNITSKY AND LALEH TAFAKORI.  Fractional moments of  solutions to stochastic recurrence equations
P. PATIE. Asian options under one-sided Lévy models
ORA E. PERCUS AND JEROME K. PERCUS. The maximum of a symmetric next neighbor walk on the nonnegative integers
D. PERRY, W. STADJE AND S. ZACKS. A duality approach to queues with service restrictions and storage systems with state-dependent rates
MATS PIHLSGÅRD AND PETER W. GLYNN. On the dynamics of semimartingales with two reflecting barriers
JUSTIN SALEZ. Joint distribution of distances in large random regular networks
ALEXANDER SHAPIRO. Consistency  of sample  estimates of risk averse stochastic programs
MICHAEL R. TEHRANCHI. On the uniqueness of martingales with certain prescribed marginals
TUNG-LUNG WU, JOSEPH GLAZ AND JAMES C. FU.  Discrete, continuous and conditional multiple window scan statistics
XIANYI WU AND XIAN ZHOU. Open bandit processes with uncountable states and time-backward effects
LINGJIONG ZHU. Central limit theorem for nonlinear Hawkes processes
 
 
 

Advances in Applied Probability

 

Stochastic Geometry and Statistical Applications
 
FRANÇOIS BACCELLI, DAVID COUPIER AND VIET CHI TRAN. Semi-infinite paths of the 2d-radial spanning tree
B.  BLASZCZYSZYN AND D. YOGESHWARAN. On comparison of clustering properties of  point processes
CHRISTIAN BUCHTA. Exact formulae for variances of functionals of convex hulls
RICHARD COWAN. Line segments in the isotropic planar STIT tessellation
LOTHAR HEINRICH AND MALTE SPIESS. Central limit theorem for the volume of stationary poisson cylinder processes in expanding domains
MIKKO KURONEN AND LASSE LESKELÄ. Hard-core thinnings of germ--grain models with power-law grain sizes
ONDŘEJ ŠEDIVÝ JAKUB STANĚK, BLAŽENA KRATOCHVÍLOVÁ and VIKTOR BENEŠ. Sliced inverse regression and independence in random marked sets with covariates
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
Ó. THÓRISDÓTTIR AND M. KIDERLEN. Wicksell's problem in local stereology
JOHAN TYKESSON AND PIERRE CALKA. Asymptotics of visibility in the hyperbolic plane
 
 
General Applied Probability
 
SOUFIANE AAZIZI. Discrete time approximation of decoupled forward-backward SDE driven by pure jump Lévy-processes
KONRAD ABRAMOWICZ AND OLEG SELEZNJEV. Piecewise multilinear interpolation of a random field
OSMAN T. AKGUN AND RHONDA RIGHTER. Partial flexibility in routeing and scheduling
H. K. ALEXANDER. Conditional distributions and waiting times in multi-type branching processes
JAMES ALLEN FILL AND TAKEHIKO NAKAMA. Distributional convergence for the number of symbol comparisons used by QuickSelect
GEROLD ALSMEYER AND SÖREN GRÖTTRUP. A host-parasite model for a two-type cell population
A. D. BARBOUR AND G. REINERT. Asymptotic behaviour of gossip processes and small world networks
F. E. BENTH AND L. VOS. Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
F. E. BENTH AND L. VOS. Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets
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
ANA BUŠIĆ, VARUN GUPTA AND JEAN MAIRESSE. Stability of the bipartite matching model
ANA BUŠIĆ, JEAN MAIRESSE AND IRÈNE MARCOVICI. Probabilistic cellular automata, invariant measures, and  perfect sampling
PIERRE COLLET, SERVET MARTINEZ, SYLVIE MELEARD AND JAIME SAN MARTIN. Stochastic models for a chemostat and long time behavior
IRENE CRIMALDI, ANTONIO DI CRESCENZO, ANTONELLA IULIANO AND BARBARA MARTINUCCI. A generalized telegraph process with velocity driven by random trials
FRANÇOIS DUFOUR AND A. B. PIUNOVSKIY. The expected total cost criterion for Markov Decision Processes under constraints
SHUI FENG AND JIE XIONG. Asymptotic behavior of the Moran particle system
MARTIN FORDE, ANDREY POGUDIN AND HONGZHONG ZHANG. Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
SERGEY FOSS AND STAN ZACHARY. Stochastic sequences with a regenerative structure that may depend both on the future and on the past
ESTHER FROSTIG. A Markov additive risk process with a dividend barrier
XIANPING GUO, MANTAS VYKERTAS AND YI ZHANG. Absorbing continuous-time Markov decision processes with total cost criteria
S. HAUTPHENNE, G. LATOUCHE AND G. NGUYEN. Extinction probabilities of branching processes with countably infinitely many types
M. JIRAK. Limit theorems for aggregated linear processes
MATTHIEU JONCKHEERE AND SEVA SHNEER. Stability of multi-dimensional birth-and-death processes with state-dependent 0-homogeneous jumps
S. JUNEJA AND M. MANDJES. Overlap problems on the circle
N. LANCHIER. Stochastic spatial model of producer-consumer systems on the lattice
N. LANCHIER. The role of dispersal in interacting patches subject to an Allee effect
SAUL C. LEITE AND MARCELO D. FRAGOSO. Reducing response time in fork-join systems under heavy traffic via imbalance control
BIN LI AND XIAOWEN ZHOU. The joint Laplace transforms for diffusion occupation times
JINGCHEN LIU AND GONGJUN XU. On the density functions of integrals of Gaussian random fields
G. N. MILSTEIN AND M. V. TRETYAKOV. Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
TOSHIO NAKATA. The number of collisions for the occupancy problem with unequal probabilities
JORGE NAVARRO, FRANCISCO J. SAMANIEGO AND N. BALAKRISHNAN. Mixture representations for the joint distribution of lifetimes of two coherent systems with shared components
PETER NEAL. Endemic behaviour of  SIS epidemics with general infectious period distributions
GUODONG PANG AND DAVID D. YAO. Heavy-traffic limits for a many-server queueing network with switchover
NATHAN ROSS. Power laws in preferential attachment graphs and Stein's method for the negative binomial distribution
MITSUSHI TAMAKI. Optimal stopping rule for the no-information duration problem with random horizon