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, ERNST SCHULTE-GEERS AND BRUNO SERICOLA. Optimization results for a generalized coupon collector problem
E. D. ANDJEL AND L. F. GRAY. Extreme paths in oriented 2D percolation
DAVID APPLEBAUM AND STEFAN BLACKWOOD. The Kalman–Bucy filter for integrable Lévy processes with infinite second moment
D. ARISTOFF. Percolation of hard disks
S. ASMUSSEN AND S. FOSS. On exceedance times for some processes with dependent increments
YVES ATCHADÉ AND YIZAO WANG. On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
KRISHNA B. ATHREYA AND VIVEKANANDA ROY. Estimation of integrals with respect to infinite measures using regenerative sequences
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
FRANK BALL, TOM BRITTON AND PETER NEAL. On expected durations of birth–death processes, with applications to branching processes and SIS epidemics
ANTAR BANDYOPADHYAY AND FARKHONDEH SAJADI. On the nearest neighbor algorithm for the mean field traveling salesman problem
KRZYSZTOF BARTOSZEK AND SERIK SAGITOV. Phylogenetic confidence intervals for the optimal trait value
HENDRIK BAUMANN AND WERNER SANDMANN. Bounded truncation error for long run averages in infinite Markov chains
ERIK J. BAURDOUX, JUAN CARLOS PARDO, JOSÉ LUIS PÉREZ AND JEAN-FRANÇOIS RENAUD. Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
LUISA BEGHIN AND CLAUDIO MACCI. Fractional discrete processes: compound and mixed Poisson representations
LUISA BEGHIN, ROBERTO GARRA AND CLAUDIO MACCI. Correlated fractional counting processes on a finite time interval
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
JAKOB E. BJÖRNBERG AND ERIK I. BROMAN. Coexistence and non-coexistence of Markovian viruses and their hosts
HENRY W. BLOCK, NAFTALI A. LANGBERG AND THOMAS H. SAVITS. The limiting failure rate for a convolution of life distributions
MARK BROWN. Sharp bounds for exponential approximations under a hazard rate upper bound
PATRICK BUCKINGHAM, BRIAN FRALIX AND OFFER KELLA. A note on integral representations of the Skorokhod map
AMARJIT BUDHIRAJA AND PIERRE NYQUIST. Large deviations for multidimensional state-dependent shot noise processes
BRUNO BUONAGUIDI. A remark on optimal variance stopping problems
XIULI CHAO, QI-MING HE AND SHELDON ROSS. Tollbooth tandem queues with infinite homogeneous servers
ANYUE CHEN, JUNPING LI, YIQING CHEN AND DINGXUAN ZHOU. Asymptotic behaviour of extinction probability of interacting branching collision 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
SAMUEL N. COHEN. Undiscounted Markov chain BSDEs to stopping times
HARRY CRANE AND PETER MCCULLAGH. Poisson superposition processes
HARRY CRANE AND PETER MCCULLAGH. Reversible Markov structures on divisible set partitions
FABIÁN CROCCE AND ERNESTO MORDECKI. A finite exact algorithm to solve a dice game
FRASER DALY. Compound geometric approximation under a failure rate constraint
KRZYSZTOF DEBICKI, ENKELEJD HASHORVA AND LANPENG JI. Parisian ruin of self-similar Gaussian risk processes
WALTER A. F. DE CARVALHO, SANDRO GALLO AND NANCY L. GARCIA. Continuity properties of a factor of Markov chains
LAURENT DECREUSEFOND, IAN FLINT AND ANAIS VERGNE. A note on the simulation of the Ginibre point process
MARIA DEIJFEN AND NINA GANTERT. Routing on trees
AMOGH DESHPANDE. On the role of Föllmer-Schweizer minimal martingale measure in risk sensitive control asset management
ANTONIO DI CRESCENZO AND ABDOLSAEED TOOMAJ. Extensions of the past lifetime and its connections to the cumulative entropy
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
B. S. EL-DESOUKY, F. A. SHIHA AND A. M. MAGAR. On a generalization of a waiting time problem and some combinatorial identities
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
MICHAEL FALK, MARTIN HOFMANN AND MAXIMILIAN ZOTT. On generalized max-linear models and their statistical interpolation
PARISA FATHEDDIN. Central limit theorem for a class of SPDEs
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
ESTHER FROSTIG. The moments of the  discounted loss and the discounted dividends for a spectrally negative Lévy risk process
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
RENATO JACOB GAVA AND DANILO SALOTTI. Stopping probabilities for patterns in Markov chains
FABRICE M. GUILLEMIN AND RAVI R. MAZUMDAR. Conditional sojourn times and the volatility of payment schemes for bandwidth sharing in packet networks
FABRICE GUILLEMIN AND BRUNO SERICOLA. Volume and duration of losses in finite buffer fluid queues
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
YANQING HU. Generalized Efron's biased coin design and its theoretical properties
LEI HUA, HARRY JOE AND HAIJUN LI. Relations between hidden regular variation and tail order of copulas
CHUNMAO HUANG. Moments for multi-dimensional Mandelbrot's cascades
MARK HUBER AND SARAH SCHOTT. Random construction of interpolating sets for high dimensional integration
J. JAKUBOWSKI AND A. PYTEL. The Markov consistency of Archimedean survival processes
SVANTE JANSON. On degenerate sums of m-dependent variables
KRZYSZTOF JASINSKI AND TOMASZ RYCHLIK. Inequalities for variances of order statistics coming from urn models
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
YOORA KIM, IREM KOPRULU AND NESS B. SHROFF. First exit time of a Lévy flight from a bounded region
RYOUTA KOZAKAI, AKINOBU SHIMIZU AND MORIHIRO NOTOHARA. Convergence to the structured coalescent process
V. LE. Coalescence times for the Bienaymé-Galton-Watson process
HYUNJU LEE AND JI HWAN CHA. Point process approach to modeling and analysis of general cascading failure models
JOSEPH LEHEC. Cover times and generic chaining
CARL LINDBERG. Pairs trading with opportunity cost
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
THOMAS O. MCDONALD AND MAREK KIMMEL. A multitype infinite-allele branching process with applications to cancer evolution
S. MCKINLAY AND K. BOROVKOV. On explicit form of the stationary distributions for a class of bounded Markov chains
ALEKSANDAR MIJATOVIC, MARTIJN R. PISTORIUS AND JOHANNES STOLTE. Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
BENT NATVIG. On the deterioration of nonrepairable multistate strongly coherent systems
PETER NEAL. A household SIR epidemic model incorporating time of day effects
ENZO ORSINGHER AND BRUNO TOALDO. Counting processes with Bernstein intertimes and random jumps
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
ORA E. PERCUS AND JEROME K. PERCUS. The maximum of a symmetric next neighbor walk on the nonnegative integers
MATS PIHLSGÅRD. Local martingales with two reflecting barriers
LEANDRO P. R. PIMENTEL. On the location of the maximum of a continuous stochastic process
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
MATTEO RUGGIERO. Species dynamics in the two-parameter Poisson-Dirichlet diffusion model
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
KONSTANTINOS SPILIOPOULOS. Non-asymptotic  performance analysis of importance sampling schemes for small noise diffusions
MITSUSHI TAMAKI On the optimal stopping problems with monotone thresholds
P. TARDELLI. Partially informed investors: hedging in incomplete market with default
VLADIMIR VATUTIN AND QUANSHENG LIU. Limit theorems for decomposable branching processes in random environment
PETER WINDRIDGE. The extinction time of a subcritical branching process related to the SIR epidemic on a random graph
DACHENG YAO, XIULI CHAO AND JINGCHEN WU. Optimal control policy for a Brownian inventory system with concave ordering cost
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
LINA ZHANG AND JUNPING LI. The M/M/c queue with mass exodus and mass arrivals when empty

 

Short Communications
 

K. B. ATHREYA AND H.-J. SCHUH. A Galton–Watson process with a threshold
JOSEBA DALMAU. Distribution of the quasispecies for a Galton–Watson process on the sharp peak landscape
FABRIZIO DURANTE, JUAN FERNÁNDEZ-SÁNCHEZ AND WOLFGANG TRUTSCHNIG. On the singular components of a copula
ZHENLONG GAO AND YANHUA ZHANG. Limit theorems for a supercritical Poisson random indexed branching process
JEVGENIJS IVANOVS. Sparre–Andersen identity and the last passage time
MARIA KAMINSKA-ZABIEROWSKA AND JORGE NAVARRO. Erratum to: Mixture representations of residual lifetimes of used systems
KEN'ICHI KAWANISHI AND TETSUYA TAKINE. A note on the virtual waiting time in the stationary PH/M/c+D queue
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
MAGDA PELIGRAD AND SERGEY UTEV. On the invariance principle for reversible Markov chains

 

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
 
B. BLASZCZYSZYN AND D. YOGESHWARAN. On comparison of clustering properties of  point processes
BRUNO GALERNE AND RAPHAEL LACHIEZE-REY. Random measurable sets and covariogram realisability problems
WERNER NAGEL AND EIKE BIEHLER. Consistency of constructions for cell division processes
NICOLAS PRIVAULT. Laplace transform identities for the volume of stopping sets based on Poisson point processes
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
AIHUA XIA AND J. E. YUKICH. Normal approximation for statistics of Gibbsian input in geometric probability
 
 
General Applied Probability
 
HÜSEYIN ACAN AND PAWEL HITCZENKO. On a memory game and preferential attachment graphs
JAFAR AHMADI, ANTONIO DI CRESCENZO AND MARIA LONGOBARDI. On dynamic mutual information for bivariate lifetimes
FRANÇOIS BACCELLI, HÉCTOR A. CHANG-LARA AND SERGEY FOSS. Shape theorems for Poisson Hail on a bivariate ground
A. D. BARBOUR, K. HAMZA, HAYA KASPI AND F. C. KLEBANER. Escape from the boundary in Markov population processes
ERIK J. BAURDOUX, NAN CHEN, BUDHI A. SURYA AND KAZUTOSHI YAMAZAKI. Optimal double stopping of a Brownian bridge
BERNARD BERCU AND ADRIEN RICHOU. Large deviations for the Ornstein–Uhlenbeck process with shift
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
H. BLOK AND F. M. SPIEKSMA. Countable state Markov decision processes with unbounded jump rates and discounted cost: optimality equation and approximations
ALEXANDRE BOUMEZOUED. Population viewpoint on Hawkes processes
KRISTIAN BUCHARDT. Continuous affine processes: transformations, Markov chains and life insurance
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
XINXIN CHEN. A necessary and sufficient condition for the nontrivial limit of the derivative martingale in a branching random walk
NICOLAS CHENAVIER AND ROSS HEMSLEY. Extremes for the inradius in the Poisson line tessellation
STEPHEN B. CONNOR AND WILFRID S. KENDALL. Perfect simulation of M/G/c queues
EMILIE COUPECHOUX AND MARC LELARGE. Contagions in random networks with overlapping communities
HANS DADUNA AND RYSZARD SZEKLI. Correlation formulas for Markovian network processes in a random environment
JEAN-STÉPHANE DHERSIN AND LINGLONG YUAN. On the total length of external branches for beta-coalescents
A. B. DIEKER AND T. SUK. Randomized longest-queue-first scheduling for large-scale buffered systems
ZI DING AND ILYA O. RYZHOV. Optimal learning with non-Gaussian rewards
MASAHIKO EGAMI AND KAZUTOSHI YAMAZAKI. On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
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
ALBERTO GANDOLFI AND LORENZO CECCONI. SIR epidemics on a scale-free spatial nested modular network
RAUL GOUET, F. JAVIER LÓPEZ AND GERARDO SANZ. Records from stationary observations subject to a random trend
ILIE GRIGORESCU AND YI-CHING YAO. Maximizing the variance of the time to ruin in a multi-player game with selection
HÉLÈNE GUÉRIN AND JEAN-FRANÇOIS RENAUD. Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
XIANPING GUO, XIANGXIANG HUANG AND YONGHUI HUANG. Finite horizon optimality for continuous-time Markov decision processes with unbounded transition rates
BERND HEIDERGOTT, HARALAMBIE LEAHU, ANDREAS LÖPKER AND GEORG PFLUG. Perturbation analysis of inhomogeneous finite Markov chains
D. J. HODGE AND K. D. GLAZEBROOK. On the asymptotic optimality of greedy index heuristics for multi-action restless bandits
G. HUANG, H. M. JANSEN, M. MANDJES, P. SPREIJ AND K. DE TURCK. Markov-modulated Ornstein–Uhlenbeck processes
ANTOINE JACQUIER AND MATTHEW LORIG. From characteristic functions to implied volatility expansions
MATTHIEU JONCKHEERE AND SEVA SHNEER. Stability of multi-dimensional birth-and-death processes with state-dependent 0-homogeneous jumps
RAVI KALPATHY AND HOSAM MAHMOUD. Perpetuities in fair leader election algorithms
CLAUDIA KLÜPPELBERG AND MUNEYA MATSUI. Generalized fractional Lévy processes with fractional Brownian motion limit
MICHAEL A. KOURITZIN AND SAMIRA SADEGHI. Marcinkiewicz law of large numbers for outer-products of heavy-tailed, long-range dependent data
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
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
GRIGORI N. MILSTEIN AND JOHN SCHOENMAKERS. Uniform approximation of the Cox-Ingersoll-Ross process
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
ENZO ORSINGHER, COSTANTINO RICCIUTI AND BRUNO TOALDO. Population models at stochastic times
IKER PEREZ, DAVID HODGE AND HUILING LE. MDP algorithms for wealth allocation problems with defaultable bonds
NICHOLAS R. PETERSON AND BORIS PITTEL. Distance between two random k-out digraphs, with and without preferential attachment
ROSS G. PINSKY. The speed of a random walk excited by its recent history
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 
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
FLORIAN SIMATOS. State space collapse for critical multistage epidemics
MITSUSHI TAMAKI. Optimal stopping rule for the full-information duration problem with random horizon
HUEI-WEN TENG, MING-HSUAN KANG AND CHENG-DER FUH. On spherical Monte Carlo simulations for multivariate normal probabilities
P. VIS, R. BEKKER AND R. D. VAN DER MEI. Heavy-traffic limits for polling models with exhaustive service and non-FCFS service order policies
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