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
LUIS H. R. ALVAREZ AND PEKKA MATOMÄKI. Optimal stopping of the maximum process
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
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
JIANHAI BAO AND CHENGGUI YUAN. Numerical approximation of stationary distributions for stochastic partial differential equations
LUISA BEGHIN AND CLAUDIO MACCI. Fractional discrete processes: compound and mixed Poisson representations
ROMAIN BIARD AND BRUNO SAUSSEREAU. Fractional Poisson process: long-range dependence and applications in ruin theory
JAKOB E. BJÖRNBERG AND ERIK I. BROMAN. Coexistence and non-coexistence of Markovian viruses and their hosts
J. E. BJÖRNBERG, T. BRITTON, E. I. BROMAN AND E. NATAN. A stochastic model for virus growth in a cell population
K. BOROVKOV, G. DECROUEZ AND M. GILSON. On stationary distributions of stochastic neural networks
M. V. BOUTSIKAS, D. L. ANTZOULAKOS AND A. C. RAKITZIS. On the joint distribution of stopping times and stopped sums in multistate exchangeable trials
RICHARD C. BRADLEY. On a `replicating character string' model
MASSIMO CAMPANINO AND DIMITRI PETRITIS. Type transition of simple random walks on randomly directed regular lattices
JI HWAN CHA AND MAXIM FINKELSTEIN. Stochastic modeling for environmental stress screening
ANYUE CHEN, KAI WANG NG AND HANJUN ZHANG. Uniqueness and decay properties of Markov branching processes with disaster
ANYUE CHEN, JUNPING LI, YIQING CHEN AND DINGXUAN ZHOU. Asymptotic behaviour of extinction probability of interacting branching collision processes
MARCUS C. CHRISTIANSEN AND NICOLA LOPERFIDO. Improved approximation of the sum of random vectors by the skew-normal distribution
SAMUEL N. COHEN. Undiscounted Markov chain BSDEs to stopping times
HONGSHENG DAI. Exact simulation for diffusion bridges: an adaptive approach
PAOLO DAI PRA, PIERRE-YVES LOUIS AND IDA G. MINELLI. Synchronization via interacting reinforcement
MORITZ DUEMBGEN AND L. C. G. ROGERS. Investing and stopping
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
FABIAN FREUND AND ARNO SIRI-JÉGOUSSE. Minimal clade size in the Bolthausen–Sznitman coalescent
MICHAEL FUCHS, HSIEN-KUEI HWANG, YOSHIAKI ITOH AND HOSAM H. MAHMOUD. A binomial splitting process in connection with corner parking problems
PAVEL V. GAPEEV AND NEOFYTOS RODOSTHENOUS. Optimal stopping problems in diffusion-type models with running maxima and drawdowns
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
ALESSANDRO GNOATTO AND MARTINO GRASSELLI. The explicit Laplace transform for the Wishart process
MICHAEL B. GORDY. Finite-dimensional distributions of a square-root diffusion
ADAM W. GRACE, DIRK P. KROESE AND WERNER SANDMANN. Automated state-dependent importance sampling for Markov jump processes via sampling from the zero-variance distribution
THORBJÖRN GUDMUNDSSON AND HENRIK HULT. Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
BABAK HAJI AND SHELDON M. ROSS. A queueing loss model with heterogeneous skill based servers under idle time ordering policies
ENKELEJD HASHORVA AND LANPENG JI. Approximation of passage times of gamma-reflected processes with fBm input
HUI HE AND RUGANG MA. Limit theorems for continuous time branching flows
PAWEL HITCZENKO AND GÉRARD LETAC. Dirichlet and quasi Bernoulli laws for perpetuities
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
ZHENGJUN JIANG. Optimal dividend policy when cash reserves follow a jump-diffusion process under Markov-regime switching
MARTIN KLIMMEK. Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
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
HOANG-CHUONG LAM. Quenched central limit theorem for reversible random walk in random environment on Z
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
CARL LINDBERG. Pairs trading with opportunity cost
JINGCHEN LIU AND XIANG ZHOU. Extreme analysis of a random ordinary differential equation
FABIO LOPES. Invariant bipartite random graphs on Rd
OSCAR LÓPEZ AND NIKITA RATANOV. On the asymmetric telegraph processes
SHANGZHEN LUO. Stochastic Brownian game of absolute dominance
SERVET MARTÍNEZ, JAIME SAN MARTÍN AND DENIS VILLEMONAIS. Existence and uniqueness of a quasi-stationary distribution for Markov processes with fast return from infinity
TOMOMI MATSUI AND KATSUNORI ANO. A note on a lower bound for the multiplicative odds theorem of optimal stopping.
S. MCKINLAY. A characterisation of transient random walks on stochastic matrices with Dirichlet distributed limits
R. MCVINISH AND P.K. POLLETT. The limiting behaviour of Hanski's incidence function metapopulation model
BENT NATVIG. On the deterioration of nonrepairable multistate strongly coherent systems
PETER OLOFSSON AND SUZANNE S. SINDI. A Crump–Mode–Jagers branching process model of prion loss in yeast
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
SHELDON M. ROSS. Optimal server selection in a queueing loss model with heterogeneous exponential servers, discriminating arrivals, and arbitrary arrival times
SHELDON M. ROSS. Simulation analysis of system life when component lives are determined by a marked point 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
FLORIAN SIMATOS. Coupling limit order books and branching random walks
ERIK A. VAN DOORN. Representations for the decay parameter of a birth–death process based on the Courant–Fischer theorem
R. VASUDEVA, J. VASANTHA KUMARI AND S. RAVI. On the asymptotic behaviour of extremes and near maxima of random observations from the general error distributions
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
RUODU WANG. Asymptotic bounds for the distribution of the sum of dependent random variables
YANG YANG, KAIYONG WANG AND DIMITRIOS G. KONSTANTINIDES. Uniform asymptotics for discounted aggregate claims in dependent
YI ZHANG. Average optimality for continuous-time Markov decision processes under weak continuity conditions
MING ZHOU AND JUN CAI. Optimal dynamic risk control for insurers with state dependent income
LINGJIONG ZHU. Limit theorems for a Cox–Ingersoll–Ross process with Hawkes jumps


Short Communications
MARTIN EGOZCUE AND LUIS FUENTES GARCÍA. An optimal threshold strategy in the two-envelope problem with partial information
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
C. Y. ROBERT. On the De Vylder and Goovaerts conjecture about ruin for equalized claims
VICENTE VERGARA. Asymptotic behaviour of the time-fractional telegraph equation

Advances in Applied Probability


Stochastic Geometry and Statistical Applications
B. BLASZCZYSZYN AND D. YOGESHWARAN. On comparison of clustering properties of  point processes
GE CHEN, CHANGLONG YAO AND TIANDE GUO. The asymptotic size of the largest component in random geometric graphs with some applications
D. COUPIER AND YU. DAVYDOV. Random symmetrizations of convex bodies
L. DECREUSEFOND, E. FERRAZ, H. RANDRIAMBOLOLONA AND A. VERGNE. Simplicial homology of random configurations
F. FODOR, P. KEVEI AND V. VÍGH. On random disc-polygons in smooth convex discs
JULIA HÖRRMANN AND DANIEL HUG. On the volume of the zero cell of a class of isotropic Poisson hyperplane tessellations
DANIEL HUG AND ROLF SCHNEIDER. Approximation properties of random polytopes associated with Poisson hyperplane processes
GÜNTER LAST, MATHEW D. PENROSE, MATTHIAS SCHULTE AND CHRISTOPH THÄLE. Moments and central limit theorems for some multivariate Poisson functionals
SERVET MARTINEZ AND WERNER NAGEL. STIT Tessellations have trivial tail ¾-algebra
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
ALESSANDRO ARLOTTO AND J. MICHAEL STEELE. Optimal online selection of an alternating subsequence: a central limit theorem
E. S. BADILA, O. J. BOXMA, J. A. C. RESING AND E. M. M. WINANDS. Queues and risk models with simultaneous arrivals
MÁTYÁS BARCZY, LEIF DÖRING, ZENGHU LI AND GYULA PAP. Stationarity and ergodicity for an affine two factor model
OLE E. BARNDORFF-NIELSEN, FRED ESPEN BENTH AND ALMUT E. D. VERAART. Modelling electricity futures by ambit fields
ELISABETH BAUERNSCHUBERT. Recurrence and transience of critical branching processes in random environment with immigration and an application to excited random walks
DANIELA BERTACCHI AND FABIO ZUCCA Strong local survival of branching random walks is not monotone
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
NING CAI, S. G. KOU AND ZONGJIAN LIU. A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
JI HWAN CHA. Characterization of the generalized Polya process and its applications
RUI CHEN AND OLLIVIER HYRIEN. On classes of equivalence and identifiability of age-dependent branching processes
ZHIYI CHI. Non-normal small jump approximation of infinitely divisible distributions
ALBERTO CHIARINI AND MARKUS FISCHER. On large deviations for small noise Itô processes
CAMILLE CORON. Stochastic modeling of density-dependent diploid populations and extinction vortex
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
DOMINIC EDELMANN AND CORNELIA WICHELHAUS. Nonparametric inference for queueing networks of GEOMX/G/1-queues in discrete time
MASAHIKO EGAMI AND KAZUTOSHI YAMAZAKI. On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
ERIK EKSTRÖM AND BING LU. The optimal dividend problem in the dual model
SEBASTIAN ENGELKE, ALEXANDER MALINOWSKI, MARCO OESTING AND MARTIN SCHLATHER. Statistical inference for max-stable processes by conditioning on extreme events
VICKY FASEN. Limit theory for high frequency sampled MCARMA models
MATHIEU FEUILLET AND PHILIPPE ROBERT A scaling analysis of a transient stochastic network
ERIC FOXALL Convergence and monotonicity for a model of spontaneous infection and transmission
GHURUMURUHAN GANESAN. Infection spread in random geometric graphs
OLIVIER GARET AND RÉGINE MARCHAND. Growth of a population of bacteria in a dynamical hostile environment
ROBERT C. GRIFFITHS. The Lambda–Fleming–Viot process and a connection with Wright–Fisher diffusion
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
MATTHIEU JONCKHEERE AND SEVA SHNEER. Stability of multi-dimensional birth-and-death processes with state-dependent 0-homogeneous jumps
GALIN L. JONES, GARETH O. ROBERTS AND JEFFREY S. ROSENTHAL. Convergence of conditional Metropolis-Hastings samplers
RAVI KALPATHY AND HOSAM MAHMOUD. Perpetuities in fair leader election algorithms
MASAHIRO KOBAYASHI AND MASAKIYO MIYAZAWA. Tail asymptotics of the stationary distribution of a two-dimensional reflecting random walk with unbounded upward jumps
ALEXANDER D. KOLESNIK. Probability distribution function for the Euclidean distance between two telegraph processes
MALGORZATA KUCHTA AND MICHAL MORAYNE. Monotone case for an extended process
JUKKA LEMPA Bounded variation control of Itô diffusions with exogenously restricted intervention times
NAOTO MIYOSHI AND TOMOYUKI SHIRAI. A cellular network model with Ginibre configurated base stations
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
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
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
HONGZHONG ZHANG. Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
LI-XIN ZHANG, FEIFANG HU, SIU HUNG CHEUNG AND WAI SUM CHAN. Asymptotic properties of multicolor randomly reinforced Pólya urns