Forthcoming Papers

Journal of Applied Probability

Research Papers

E. D. ANDJEL AND L. F. GRAY. Extreme paths in oriented 2D percolation
KRISHNA B. ATHREYA AND VIVEKANANDA ROY. Estimation of integrals with respect to infinite measures using regenerative sequences
FRANK BALL, TOM BRITTON AND PETER NEAL. On expected durations of birth–death processes, with applications to branching processes and SIS epidemics
KRZYSZTOF BARTOSZEK AND SERIK SAGITOV. Phylogenetic confidence intervals for the optimal trait value
BOJAN BASRAK AND DRAGO SPOLJARIC. On randomly spaced observations and continuous time random walks
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, 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
Z. I. BOTEV, A. RIDDER AND L. ROJAS-NANDAYAPA. Semiparametric cross entropy for rare-event simulation
AMARJIT BUDHIRAJA AND PIERRE NYQUIST. Large deviations for multidimensional state-dependent shot noise processes
XIULI CHAO, QI-MING HE AND SHELDON ROSS. Tollbooth tandem queues with infinite homogeneous servers
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
ANDREA COLLEVECCHIO, ABBAS MEHRABIAN AND NICK WORMALD. Longest paths in random Apollonian networks and largest r-ary subtrees of random d-ary recursive trees
HARRY CRANE AND PETER MCCULLAGH. Poisson superposition processes
IRENE CRIMALDI. Central limit theorems for a hypergeometric randomly reinforced urn
FABIÁN CROCCE AND ERNESTO MORDECKI. A finite exact algorithm to solve a dice game
FRASER DALY. Compound geometric approximation under a failure rate constraint
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
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
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
ERIC FOXALL. The SEIS model, or, the contact process with a latent stage
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
FABRICE M. GUILLEMIN AND RAVI R. MAZUMDAR. Conditional sojourn times and the volatility of payment schemes for bandwidth sharing in packet networks
JYY-I HONG. Coalescence on critical and subcritical multitype branching processes
YANQING HU. Generalized Efron's biased coin design and its theoretical properties
CHUNMAO HUANG. Moments for multi-dimensional Mandelbrot's cascades
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
GUANGXIN JIANG AND MICHAEL C. FU. Quantile sensitivity estimation for dependent sequences
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
TAKIS KONSTANTOPOULOS, ZHENXIA LIU AND XIANGFENG YANG. Laplace transform asymptotics and large deviation principles for longest success runs in Bernoulli trials
RYOUTA KOZAKAI, AKINOBU SHIMIZU AND MORIHIRO NOTOHARA. Convergence to the structured coalescent process
HYUNJU LEE AND JI HWAN CHA. Point process approach to modeling and analysis of general cascading failure models
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
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
ANTON MURATOV AND SERGEI ZUYEV. Bit flipping and time to recover
PETER NEAL. A household SIR epidemic model incorporating time of day effects
FREDRIK OLSSON AND TATYANA S. TUROVA. Ergodicity of age-dependent inventory control systems
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
MATS PIHLSGÅRD. Local martingales with two reflecting barriers
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
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
MITSUSHI TAMAKI On the optimal stopping problems with monotone thresholds
ERIK THÖRNBLAD. The dominating colour of an infinite Pólya urn model
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

EMMANUELLE ANCEAUME, YANN BUSNEL, ERNST SCHULTE-GEERS AND BRUNO SERICOLA. Optimization results for a generalized coupon collector problem
K. B. ATHREYA AND H.-J. SCHUH. A Galton–Watson process with a threshold
MARK BROWN AND SHELDON M. ROSS. Optimality results for coupon collection
PATRICK BUCKINGHAM, BRIAN FRALIX AND OFFER KELLA. A note on integral representations of the Skorokhod map
BRUNO BUONAGUIDI. A remark on optimal variance stopping problems
JOSEBA DALMAU. Distribution of the quasispecies for a Galton–Watson process on the sharp peak landscape
ZHENLONG GAO AND YANHUA ZHANG. Limit theorems for a supercritical Poisson random indexed branching process
LOÏC HERVÉ AND JAMES LEDOUX. Computable bounds of l2-spectral gap for discrete Markov chains with band transition matrices
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
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
MARTIN MÖHLE AND MORIHIRO NOTOHARA. An extension of a convergence theorem for Markov chains arising in population genetics
MAGDA PELIGRAD AND SERGEY UTEV. On the invariance principle for reversible Markov chains
ACHILLEFS TZIOUFAS. The entirely coupled region of supercritical contact processes
PETER WINDRIDGE. The extinction time of a subcritical branching process related to the SIR epidemic on a random graph


Advances in Applied Probability


Stochastic Geometry and Statistical Applications
NICOLAS PRIVAULT. Laplace transform identities for the volume of stopping sets based on Poisson point processes
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
LUISA BEGHIN AND CLAUDIO MACCI. Multivariate fractional Poisson processes and compound sums
J. BLANCHET, P. GLYNN AND S. ZHENG. Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions
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
JAMES BURRIDGE AND RICHARD COWAN. Planar tessellations that have the half-Gilbert structure
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
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
J. DÍAZ, D. MITSCHE, G. PERARNAU AND X. PÉREZ-GIMÉNEZ. On the relation between graph distance and Euclidean distance in random geometric graphs
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
YAN DOLINSKY AND YURI KIFER. Risk minimization for game options in markets imposing minimal transaction costs
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
GARY FROYLAND AND ROBYN M. STUART. Cheeger inequalities for absorbing Markov chains
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
HUI HE. On large deviation rates for sums associated with Galton–Watson processes
BERND HEIDERGOTT, HARALAMBIE LEAHU, ANDREAS LÖPKER AND GEORG PFLUG. Perturbation analysis of inhomogeneous finite Markov chains
CHRISTIAN HIRSCH, BENEDIKT JAHNEL, PAUL KEELER AND ROBERT I. A. PATTERSON. Large-deviation principles for connectable receivers in wireless networks
G. HUANG, H. M. JANSEN, M. MANDJES, P. SPREIJ AND K. DE TURCK. Markov-modulated Ornstein–Uhlenbeck processes
CLIFFORD HURVICH AND JOSH REED. Series expansions for the all-time maximum of alpha-stable random walks
CLAUDIA KLÜPPELBERG AND MUNEYA MATSUI. Generalized fractional Lévy processes with fractional Brownian motion limit
ISTVÁN KOLOSSVÁRY, JÚLIA KOMJÁTHY AND LAJOS VÁGÓ. Degrees and distances in random and evolving Apollonian networks
MICHAEL A. KOURITZIN AND SAMIRA SADEGHI. Marcinkiewicz law of large numbers for outer-products of heavy-tailed, long-range dependent data
MARIE KRATZ AND WERNER NAGEL. On the capacity functional of excursion sets of Gaussian random fields on R2
RUSLAN KRENZLER, HANS DADUNA AND SONJA OTTEN. Jackson networks in non-autonomous random environments
CLAUDE LEFÈVRE AND MATTHIEU SIMON. SIR epidemics with stages of infection
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
MAURO MARIANI AND LORENZO ZAMBOTTI. Large deviations for the empirical measure of heavy tailed Markov renewal processes
R. MARTYR. Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs
GRIGORI N. MILSTEIN AND JOHN SCHOENMAKERS. Uniform approximation of the Cox-Ingersoll-Ross process
HARRI NYRHINEN. On real growth and run-off companies in insurance ruin theory
GUODONG PANG AND YUHANG ZHOU. G/G/infinity queues with renewal alternating interruptions
IKER PEREZ, DAVID HODGE AND HUILING LE. MDP algorithms for wealth allocation problems with defaultable bonds
ROSS G. PINSKY. The speed of a random walk excited by its recent history
LUDGER RÜSCHENDORF, ALEXANDER SCHNURR AND VIKTOR WOLF. Comparison of time-inhomogeneous Markov processes
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
MITSUSHI TAMAKI. Optimal stopping rule for the full-information duration problem with random horizon
MITSUSHI TAMAKI. Urn sampling distributions giving alternate correspondences between two optimal stopping problems
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