For over four decades, the Journal of Applied Probability has provided a forum for original research and reviews in applied probability. Its wide audience includes leading researchers in the many fields where stochastic models are used, including operations research, telecommunications, computer engineering, epidemiology, financial mathematics, information systems and traffic management.
Volume 45, Number 1
Publication Date: March 2008
Research Papers
On the structure of a swing contract's optimal value and optimal strategy
Sheldon M. Ross and Zegang Zhu; 1-15
Smile asymptotics II: models with known moment generating functions
Shalom Benaim and Peter Friz; 16-32
Optimal buy/sell rules for correlated random walks
Pieter Allaart and Michael Monticino; 33-44
Law of large numbers for dynamic bargaining markets
René Ferland and Gaston Giroux; 45-54
Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks
Ka Chun Cheung and Hailiang Yang; 55-66
The Pareto copula, aggregation of risks, and the emperor's socks
Claudia Klüppelberg and Sidney I. Resnick; 67-84
Sums of dependent nonnegative random variables with subexponential tails
Bangwon Ko and Qihe Tang; 85-94
Probabilistic investigations on the explosion of solutions of the Kac equation with infinite energy initial distribution
Eric Carlen, Ester Gabetta and Eugenio Regazzini; 95-106
The large deviation principle for the on-off Weibull sojourn process
Ken R. Duffy and Artem Sapozhnikov; 107-117
Wiener-Hopf factorization for Lévy processes having positive jumps with rational transforms
Alan L. Lewis and Ernesto Mordecki; 118-134
Evaluating scale functions of spectrally negative Lévy processes
B. A. Surya; 135-149
On the structure and estimation of reflection positive processes
R. McVinish; 150-162
Transient moments of the TCP window size process
Andreas H. Löpker and Johan S. H. van Leeuwaarden; 163-175
The limit behavior of dual Markov branching processes
Yangrong Li, Anthony G. Pakes, Jia Li and Anhui Gu; 176-189
Reduced branching processes with very heavy tails
Andreas N. Lagerås and Serik Sagitov; 190-200
Weak local linear discretizations for stochastic differential equations with jumps
F. Carbonell and J. C. Jimenez; 201-210
Markov chains with hybrid repeating rows - upper-Hessenberg, quasi-Toeplitz structure of the block transition probability matrix
Alexander Dudin, Chesoong Kim and Valentina Klimenok; 211-225
Pattern Markov chains: optimal Markov chain embedding through deterministic finite automata
Grégory Nuel; 226-243
Beat the mean: sequential selection by better than average rules
Abba M. Krieger, Moshe Pollak and Ester Samuel-Cahn; 244-259
Continuous mixtures with bathtub-shaped failure rates
Henry W. Block, Yulin Li, Thomas H. Savits and Jie Wang; 260-270
Short Communications
On a comparison result for Markov processes
Ludger Rüschendorf; 279-286
On the truncated long-range percolation on Z2
Bernardo Nunes Borges de Lima and Artëm Sapozhnikov; 287-291
Journal of Applied Probability
