Advances in Applied Probability

Advances in Applied Probability has been published by the Applied Probability Trust for over four decades, and is a companion publication to the Journal of Applied Probability.

It contains mathematical and scientific papers of interest to applied probabilists, with emphasis on applications in a broad spectrum of disciplines, including the biosciences, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modelling is used.

For information on how to submit articles to this journal, read our author information.

The process for submitting articles to both Advances in Applied Probability and Journal of Applied Probability is exactly the same. Articles are assigned to one of the journals after the peer review process.

After articles have been accepted and completed the production process (copyediting and typesetting), they will be placed online as FirstView articles until their official date of publication.

Read all available issues online at Cambridge University Press.

2023

55.1 (March 2023)

  • A new matrix-infinite-product-form solution for upper block-Hessenberg Markov chains and its quasi-algorithmic constructibility (Masuyama, Hiroyuki)

  • Gradient estimation for smooth stopping criteria (Heidergott, Bernd; Peng, Yijie)

  • On Q-scale functions of spectrally negative Lévy processes (Behme, Anita; Oechsler, David; Schilling, René)

  • Large time behaviour and the second eigenvalue problem for finite state mean-field interacting particle systems (Yasodharan, Sarath; Sundaresan, Rajesh)

  • Matrix calculations for moments of Markov processes (Daw, Andrew; Pender, Jamol)

  • Optimal multiple stopping problem under nonlinear expectation (Li, Hanwu)

  • The direct-connectedness function in the random connection model (Jansen, Sabine; Kolesnikov, Leonid; Matzke, Kilian)

  • Construction of aggregation paradoxes through load-sharing dependence models (De Santis, Emilio; Spizzichino, Fabio)

  • Large-scale behaviour of a particle system with mean-field interaction: travelling wave solutions (Stolyar, Alexander)

  • Interacting non-linear reinforced stochastic processes: synchronisation or non-synchronisation (Crimaldi, Irene; Louis, Pierre-Yves; Minelli, Ida)

  • Full classification of dynamics for one-dimensional continuous time Markov chains with polynomial transition rates (Xu, Chuang; Hansen, Mads; Wiuf, Carsten)

55.2 (June 2023)

  • Critical cluster cascades (Kirchner, Matthias)

  • Convergence of the Kiefer-Wolfowitz algorithm in the presence of discontinuities (Rasonyi, Miklos; Tikosi, Kinga)

  • Degree distributions in recursive trees with fitnesses (Iyer, Tejas)

  • On decay-surge population models (Goncalves, Branda; Huillet, Thierry; Loecherbach, Eva)

  • John's walk (Gustafson, Adam; Narayanan, Hariharan)

  • Optimal scaling of MCMC beyond metropolis (Agrawal, Sanket; Vats, Dootika; Łatuszyński, Krzysztof; Roberts, Gareth)

  • Branching Brownian motion in a periodic environment and uniqueness of pulsating travelling waves (Ren, Yanxia; Song, Renming; Yang, Fan)

  • A dual risk model with additive and proportional gains: ruin probability and dividends (Boxma, Onno; Frostig, Esther; Palmowski, Zbigniew)

  • Thin-ended clusters in percolation in Hᴰ (Czajkowski, Jan)

  • Predicting the last zero before an exponential time of a spectrally negative Lévy process (Baurdoux, Erik; Pedraza Ramirez, Jose)

  • Invariant Galton-Watson trees: metric properties and attraction with respect to generalised dynamical pruning (Kovchegov, Yevgeniy; Xu, Guochen; Zaliapin, Ilya)

  • An ergodic theorem for asymptotically periodic time-inhomogeneous Markov processes, with application to quasi-stationarity with moving boundaries (Ocafrain, William)

2022

54.1 (March 2022)

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  • Random stable type minimal factorizations of the n-cycle. (Thévenin, Paul)

  • Asymptotics of quasi-stationary distributions of small noise stochastic dynamical systems in unbounded domains (Budhiraja, Amarjit; Fraiman, Nicolas; Waterbury, Adam)

  • Limit theorems for critical branching processes in finite state space Markovian environment (Grama, Ion; Lauvergnat, Ronan; Le Page, Emile)

  • On the cat-and-mouse Markov chain and its generalisations (Prasolov, Foss, Shneer)

  • Probabilistic analysis of replicator-mutator equations (Bo, Lijun; Liao, Huafu)

  • On model selection for dense stochastic block models (Norros, Ilkka; Reittu, Hannu; Bazsó, Fülöp)

  • Sinr percolation for cox point processes with random powers (Jahnel, Benedikt; Tóbiás, András)

  • A stochastic process on a network with connections to Laplacian systems of equations (Gillani, Iqra Altaf; Bagchi, Amitabha; Vyavahare, Pooja)

  • Spectral alignment of correlated gaussian matrices (Ganassali, Luca; Lelarge, Marc; Massoulié, Laurent)

  • Kingman’s model with random mutation probabilities: convergence and condensation I (Yuan, Linglong)

54.2 (June 2022)

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  • Corrigendum: on a random search tree: asymptotic enumeration of vertices by distance from leaves, adv. Appl. Prob. \textbf{49} (2017), 850–876 (Bona, Miklos; Pittel, Boris)

  • An ephemerally self-exciting point process (Daw, Andrew; Pender, Jamol)

  • Moment constrained optimal dividends: precommitment and consistent planning (Christensen, Soren; Lindensjö, Kristoffer)

  • Optimal entry and consumption under habit formation (Yang, Yue; Yu, Xiang)

  • On equal-input and monotone Markov matrices (Baake, Michael; Sumner, Jeremy)

  • On operator fractional Lévy motion: integral representations and time reversibility (Boniece, Benjamin Cooper; Didier, Gustavo)

  • Normal approximation for functions of hidden Markov models (Houdré, Christian; Kerchev, George)

  • Nash equilibrium structure of cox process hotelling games (Baccelli, Francois; Anantharam, Venkat)

  • Limit theorems for continuous-state branching processes with immigration (Foucart, Clément; Ma, Chunhua; Yuan, Linglong)

  • Discrete-time risk-aware optimal switching with non-adapted costs (Martyr, Randall; Moriarty, John; Perninge, Magnus)

  • Fair gambler’s ruin stochastically maximises playing time (Peköz, Erol; Ross, Sheldon)

54.3 (September 2022)

  • Unbiased filtering of a class of partially observed diffusions (Jasra, Ajay; Law, Kody; Yu, Fangyuan)

  • Linking representations for multivariate extremes via a limit set (Nolde, Natalia; Wadsworth, Jennifer)

  • Measuring reciprocity in a directed preferential attachment network (Wang, Tiandong; Resnick, Sidney)

  • On a mixed singular/switching control problem with multiple regimes (Kelbert, Mark; Moreno-Franco, Harold)

  • Sub-exponential potential asymptotics with applications (Knopova, Victoria; Palmowski, Zbigniew)

  • Some results on the telegraph process driven by gamma components (Martinucci, Barbara; Meoli, Alessandra; Zacks, Shelemyahu)

  • The rescaled Polya urn: local reinforcement and chi-squared goodness of fit test (Aletti, Giacomo; Crimaldi, Irene)

  • A functional central limit theorem for Si processes on configuration model graphs (Wasiur R. Khudabukhsh, Casper Woroszylo, Grzegorz A. Rempala, Heinz Koeppl)

  • Non-asymptotic control of the cumulative distribution function of Lévy processes (Duval, Céline; Mariucci, Ester)

  • Extended reduced-form framework for non-life insurance (Biagini, Francesca; Zhang, Yinglin)

  • An extended class of the univariate and multivariate generalized Polya processes (Cha, Ji)

54.4 (December 2022)

  • Central limit theorem for bifurcating Markov chains under l²-ergodic conditions (Bitseki Penda, Simeon Valere; Delmas, Jean-François)

  • Sub-tree counts on hyperbolic random geometric graphs (Owada, Takashi; Yogeshwaran, D.)

  • Moments of Markovian growth-collapse processes (Privault, Nicolas)

  • Probability of total domination for transient reflecting processes in a quadrant (Fomichov, Vladimir; Franceschi, Sandro; Ivanovs, Jevgenijs)

  • Log-normalisation constant estimation using the ensemble kalman-bucy filter with application to high-dimensional models (Crisan, Dan; Del Moral, Pierre; Jasra, Ajay; Ruzayqat, Hamza)

  • Conditions for indexability of restless bandits and an o(k^3) algorithm to compute whittle index (Akbarzadeh, Nima; Mahajan, Aditya)

  • Spectral analysis of bilateral birth-death processes: some new explicit examples (De La Iglesia, Manuel)

  • Optimal consumption with Hindy-Huang-Kreps preferences under nonlinear expectations (Ferrari, Giorgio; Li, Hanwu; Riedel, Frank)

  • The β-Delaunay tessellation: description of the model and geometry of typical cells (Gusakova, Anna; Kabluchko, Zakhar; Thäle, Christoph)

  • Previously: tail expansions and other properties of first-passage distributions in semi-Markov processes now changed to: exponential and gamma form for tail expansions of first-passage distributions in semi-Markov processes (Butler, Ronald)

2021

53.1 (March 2021)

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  • Exponential ergodicity and steady-state approximations for a class of Markov processes under fast regime switching (Arapostathis, Ari; Pang, Guodong; Zheng, Yi)

  • Model-independent pricing with insider information: a Skorokhod embedding approach (Acciaio, Beatrice; Cox, Alexander; Huesmann, Martin)

  • Functional limit theorems for the Euler characteristic process in the critical regime. (Thomas, Andrew; Owada, Takashi)

  • The fluid limit of a random graph model for a shared ledger (King, Christopher)

  • Load-sharing reliability models with different component sensibilities on other component working states (Rychlik, Tomasz; Spizzichino, Fabio)

  • Can coherent predictions be contradictory? (Burdzy, Krzysztof; Pal, Soumik)

  • Normal approximation for mixtures of normal distributions and the evolution of phenotypic traits (Bartoszek, Krzysztof; Erhardsson, Torkel)

  • Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs (Gapeev, Kort, Lavrutich)

  • Long-time trajectorial large deviations and importance sampling for affine stochastic volatility models (Grbac, Krief, Tankov)

  • Branching processes with interactions: sub-critical cooperative regime (Casanova, Pardo, Pérez)

  • Optimally stopping at a given distance from the ultimate supremum of a spectrally negative Lévy process (Carvajal Pinto, Monica; Van Schaik, Kees)

53.2 (June 2021)

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  • On gradual-impulse control of continuous-time Markov decision processes with multiplicative cost (Guo, Kurushima, Piunovskiy, Zhang)

  • Markov chain approximation of one-dimensional sticky diffusions (Meier, Christian; Li, Lingfei; Zhang, Gongqiu)

  • A generalised Dickman distribution and the number of species in a negative binomial process model (Ipsen, Yuguang; Maller, Ross; Shemehsavar, Soudabeh)

  • A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty (Alvarez E., Luis H. R.; Christensen, Soren)

  • From microscopic price dynamics to multidimensional rough volatility models (Tomas, Mehdi; Rosenbaum, Mathieu)

  • Kelly and Jackson networks with interchangeable, cooperative servers (Wang, Chia-Li; Wolff, Ronald W)

  • Ruin problems for epidemic insurance (Lefevre, Claude; Simon, Matthieu)

  • Continuum line-of-sight percolation on Poisson-Voronoi tessellations (Le Gall, Quentin; Blaszczyszyn, Bartek; Cali, Elie; En-Najjary, Taoufik)

  • Exact simulation of the genealogical tree for a stationary branching population and application to the asymptotics of its total length (Romain Abraham)

  • One-dimensional system arising in stochastic gradient decent (Kostis Karatapanis)

53.3 (September 2021)

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  • Avalanches in a short-memory excitable network (Rastegar, Reza; Roitershtein, Alexander)

  • Yaglom limit for stochastic fluid models (Bean, Nigel; O’reilly, Malgorzata; Palmowski, Zbigniew)

  • Variational inference for Markovian queueing networks (Perez, Iker; Casale, Giuliano)

  • Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis (Chevallier, Julien; Melnykova, Anna; Tubikanec, Irene)

  • On spatial matchings: the first-in-first-match case (Manjrekar, Mayank)

  • Non-gaussian fluctuations of randomly trapped random walks (Bowditch, Adam)

  • Rejection and importance sampling based perfect simulation for Gibbs processes with a focus on hard-sphere models (Sarat Moka, Sandeep Juneja, Michel Mandjes)

  • The reversibility of stochastic reaction model and its relationship with multi-stability (C. Jia, D-Q. Jiang, Y. Li)

53.4 (December 2021)

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  • Exact simulation of coupled wright-fisher diffusions (García-Pareja, Celia; Hult, Henrik; Koski, Timo)

  • A stochastic matching model on hypergraphs (Rahme, Youssef; Moyal, Pascal)

  • Approximations of geometrically ergodic reversible Markov chains (Negrea, Jeffrey; Rosenthal, Jeffrey)

  • Asymptotic behaviour of projections of supercritical multi-type continuous state and continuous time branching processes with immigration (Barczy, Matyas; Palau, Sandra; Pap, Gyula)

  • Random intersection graphs with communities (Van Der Hofstad, Remco; Komjathy, Julia; Vadon, Viktoria)

  • Percolation phase transition in weight-dependent random connection models (Gracar, Peter; Lüchtrath, Lukas; Mörters, Peter)

  • Sparse regular variation (Meyer, Nicolas; Wintenberger, Olivier)

  • Fragmentations with self-similar branching speeds (Duchamps, Jean-Jil)

  • Shot noise processes with randomly delayed cluster arrivals and dependent noises in the large intensity regime (Li, Bo; Pang, Guodong)

2020

52.1 (March 2020)

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  • Limit theorems for process-level Betti numbers for sparse and critical regimes (Owada, Thomas)

  • Transient analysis for exponential time-limited polling models under the pre-emptive repeat random policy (De Haan, Al Hanbali, Boucherie, Van Ommeren)

  • A non-exponential extension of Sanov’s theorem via convex duality (Lacker)

  • An elementary derivation of moments of Hawkes processes (Cui, Hawkes, Yi)

  • Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris-Lecar model (Nicolas; Michèle; Vincent)

  • Simulation of elliptic and hypo-elliptic conditional diffusions (Bierkens, Van Der Meulen, Schauer)

  • Gumbel and Fréchet convergence of the maxima of independent random walks (Mikosch, Thomas; Yslas Altamirano, Jorge)

  • Joint temporal and contemporaneous aggregation of random-coefficient ar(1) processes with infinite variance (Pilipauskaitė, Vytautė; Skorniakov, Viktor; Surgailis, Donatas)

  • The existence of a giant cluster for percolation on large crump-mode-Jagers trees (Berzunza, Gabriel)

  • On the multi-state signatures of ordered systems lifetimes (He, Yi; Narayanaswamy, Balakrishnan; Lirong Cui)

  • The potentially negative effects of cooperation in service systems (Hakjin, Chung; Hyun-Soo, Ahn; Rhonda Righter)

  • On relative ageing of coherent systems with dependent identically distributed components (Hazra, Nil; Misra, Neeraj)

52.2 (June 2020)

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  • Limit sequences for Sequentil MCMC methods (Finke, Doucet, Johansen)

  • Fluctuation identities for omega-killed Markov additive processes and dividend problem (Czarna, Irmina; Kaszubowski, Adam; Li, Shu; Palmowski, Zbigniew)

  • Speed and concentration of the covering time for structured coupon collectors (Falgas-Ravry, Victor; Larsson, Joel; Markström, Klas)

  • Stability and moment bounds under utility-maximising service allocations, with applications to some infinite networks (Shneer, Stolyar)

  • Samples with a limit shape, multivariate extremes and risk (Balkema, Guus; Nolde, Natalia)

  • Mean reflected stochastic differential equations with jumps (Briand, Ghannoum, Lambert)

  • Failure rate properties of parallel systems (Arab, Hadjikyriakou, Oliveira)

  • Absorption probabilities for gaussian polytopes, and regular spherical simplices (Kabluchko, Zaporozhets)

  • The equilibrium states of large networks of erlang queues (Martirosyan, Davit; Robert, Philippe)

  • Asymptotic properties of random Voronoi cells with arbitrary underlying density (Gibbs, Isaac; Chen, Linan)

  • Explicit asymptotics on first passage times of diffusion processes (Dassios, Angelos; Li, Luting)

52.3 (September 2020)

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  • Almost sure central limit theorems in stochastic geometry (Torrisi, Giovanni Luca; Leonardi, Emilio)

  • Mean square rate of convergence for random walk approximation of forward-backward sdes (Geiss, Christel; Labart, Céline; Luoto, Antti)

  • Out-of-equilibrium random walks (Videla)

  • Improved queue-size scaling for input-queued switches via graph factorisation (Xu, Jiaming; Zhong, Yuan)

  • Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Friesen, Martin; Jin, Peng; Kremer, Jonas; Rüdiger, Barbara)

  • One- versus multi-component regular variation and extremes of Markov trees (Segers, Johan)

  • Renewal in Hawkes processes with self-excitation and inhibition (Costa, Manon; Graham, Carl; Marsalle, Laurence; Tran, Viet Chi)

  • Functional central limit theorems and moderate deviations for Poisson cluster processes (Gao, Fuqing; Wang, Yujing)

  • Central limit theorems for coupled particle filters (Jasra, Ajay; Yu, Fangyuan)

52.4 (December 2020)

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  • Exact simulation for multivariate ITO diffusions (Blanchett, Zhang)

  • Limit theorems for assortativity and clustering in null models for scale-free networks (Van Der Hofstad, Van Der Hoorn, Litvak, Stegehuis)

  • Geometric functionals of fractal percolation (Winter, Steffen; Klatt, Michael)

  • Limit theorems for multi-type general branching processes with population dependence (Fan, Jie Yen; Hamza, Kais; Jagers, Peter; Klebaner, Fima)

  • Draw-down Parisian ruin for spectrally negative Lévy processes (Wang, Wenyuan; Zhou, Xiaowen)

  • On the components failure in coherent systems with applications to maintenance strategies (Asadi, Majid; Hashemi, M.)

  • Mean and variance of balanced poly urns (Janson)

  • Characterisation of the conditional stationary distribution in Markov chains via systems of linear inequalities (Kimura, Masatoshi; Takine, Tetsuya)

  • Asymptotic variance of Newton-cotes quadratures based on randomised sampling points (Stehr, Mads; Kiderlen, Markus)

  • A bayesian sequential test for the drift of a fractional Brownian motion (Muravlev, Zhitlukhin)