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
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
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
JIANHAI BAO AND CHENGGUI YUAN. Numerical approximation of stationary distributions for stochastic partial differential equations
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
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
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, 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
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
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
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
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
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
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
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
JEAN-LUC MARICHAL. Algorithms and formulas for conversion between system signatures and reliability functions
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.
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
SHELDON M. ROSS. Optimal server selection in a queueing loss model with heterogeneous exponential servers, discriminating arrivals, and arbitrary arrival times
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
FLORIAN SIMATOS. Coupling limit order books and branching random walks
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
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
XIAO WU AND XIANPING GUO. First passage optimality and variance minimization of Markov decision processes with varying discount factors
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
YOUZHOU ZHOU. Ergodic inequality of two-parameter infinitely-many-alleles diffusion model
LINGJIONG ZHU. Limit theorems for a Cox–Ingersoll–Ross process with Hawkes jumps


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
C. Y. ROBERT. On the De Vylder and Goovaerts conjecture about ruin for equalized claims
DIRK VEESTRAETEN. A recursion formula for the moments of the first-passage time of the Ornstein–Uhlenbeck process
VICENTE VERGARA. Asymptotic behaviour of the time-fractional telegraph equation

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
D. COUPIER AND YU. DAVYDOV. Random symmetrizations of convex bodies
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
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
DANIEL HUG, GÜNTER LAST, ZBYNEK PAWLAS AND WOLFGANG WEIL. Statistics for Poisson models of overlapping spheres
SERVET MARTINEZ AND WERNER NAGEL. STIT Tessellations have trivial tail ¾-algebra
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
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, 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
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
JI HWAN CHA AND GIANPAOLO PULCINI. Burn-in procedure based on dependent covariate process
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
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
FRANÇOIS DUFOUR AND A. B. PIUNOVSKIY. Impulsive control for continuous-time Markov decision processes
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
B. ERIKSSON AND M. R. PISTORIUS. American option valuation under continuous time Markov chains
VICKY FASEN. Limit theory for high frequency sampled MCARMA models
KAMILLE SOFIE TÅGHOLT GAD AND JESPER LUND PEDERSEN. Variance optimal stopping for geometric Lévy processes
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
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
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
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
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
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