Advances in Applied Probability (Project Euclid)

Advances in Applied Probability, Volume 40, Number 1 (2008)

Mon, 23 Jun 2008 11:28 EDT

Contents:

David J. Aldous, Wilfrid S. Kendall. Short-length routes in low-cost networks via Poisson line patterns. 1--21.

Jennie C. Hansen, Eric Schmutz, Li Sheng. Covering random points in a unit disk. 22--30.

Markus Kiderlen. Estimation of the mean normal measure from flat sections. 31--48.

Joseph Mecke, Werner Nagel, Viola Weiss. The iteration of random tessellations and a construction of a homogeneous process of cell divisions. 49--59.

Bernardo D'Auria, Sidney I. Resnick. The Influence of dependence on data network models. 60--94.

Junping Li, Anyue Chen. Decay property of stopped Markovian bulk-arriving queues. 95--121.

A. J. E. M. Janssen, J. S. H. van Leeuwaarden, B. Zwart. Gaussian expansions and bounds for the Poisson distribution applied to the Erlang B formula. 122--143.

Elisa Alòs, Christian-Oliver Ewald. Malliavin differentiability of the Heston volatility and applications to option pricing. 144--162.

Shek-Keung Tony Wong. The generalized perpetual American exchange-option problem. 163--182.

Jennie C. Hansen, Jerzy Jaworski. Local properties of random mappings with exchangeable in-degrees. 183--205.

Alex Iksanov, Martin Möhle. On the number of jumps of random walks with a barrier. 206--228.

Elizabeth S. Allman, Cécile Ané, John A. Rhodes. Identifiability of a Markovian model of molecular evolution with Gamma-distributed rates. 229--249.

Santanu Chakraborty, Jose Alfredo López-Mimbela. Nonexplosion of a class of semilinear equations via branching particle representations. 250--272.

Bruno Casella, Gareth O. Roberts. Exact Monte Carlo simulation of killed diffusions. 273--291.

Advances in Applied Probability, Volume 40, Number 2 (2008)

Tue, 01 Jul 2008 18:12 EDT

Contents:

Charles Bordenave, Giovanni Luca Torrisi. Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications. 293--320.

Jesper Møller, Kateřina Helisová. Power diagrams and interaction processes for unions of discs. 321--347.

Beatriz Pateiro-López, Alberto Rodríguez-Casal. Length and surface area estimation under smoothness restrictions. 348--358.

C. Charalambous, J. C. Gittins. Optimal selection policies for a sequence of candidate drugs. 359--376.

Savas Dayanik, Warren Powell, Kazutoshi Yamazaki. Index policies for discounted bandit problems with availability constraints. 377--400.

Christoph Frei, Martin Schweizer. Exponential utility indifference valuation in two Brownian settings with stochastic correlation. 401--423.

Lucia Caramellino, Barbara Pacchiarotti. Large deviation estimates of the crossing probability for pinned Gaussian processes. 424--453.

Ivan Gentil, Bruno Rémillard. Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations. 454--472.

Robert C. Griffiths, Paul A. Jenkins, Yun S. Song. Importance sampling and the two-locus model with subdivided population structure. 473--500.

Jonathan Touboul, Olivier Faugeras. A characterization of the first hitting time of double integral processes to curved boundaries. 501--528.

Francisco J. Piera, Ravi R. Mazumdar, Fabrice M. Guillemin. Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections. 529--547.

David Gamarnik, Petar Momčilović. Steady-state analysis of a multiserver queue in the Halfin-Whitt regime. 548--577.

Nicole Bäuerle, Rudolf Grübel. Multivariate risk processes with interacting intensities. 578--601.

Advances in Applied Probability, Volume 40, Number 3 (2008)

Wed, 01 Oct 2008 09:37 EDT

Contents:

Gunnar Hellmund, Michaela Prokešová, Eva B. Vedel Jensen. Lévy-based Cox point processes. 603--629.

Claudia Lautensack, Sergei Zuyev. Random Laguerre tessellations. 630--650.

Dominic Schuhmacher, Aihua Xia. A new metric between distributions of point processes. 651--672.

Takashi Tamura. Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs. 673--695.

Matthias Degen, Paul Embrechts. EVT-based estimation of risk capital and convergence of high quantiles. 696--715.

Hyun Suk Park, Ross Maller. Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes. 716--733.

Adam Bobrowski. Asymptotic behavior of a Feller evolution family involved in the Fisher-Wright model. 734--758.

Xin Qi. A functional central limit theorem for spatial birth and death processes. 759--797.

Erik Broman, Ronald Meester. Survival of inhomogeneous Galton-Watson processes. 798--814.

K. Borovkov, G. Last. On level crossings for a general class of piecewise-deterministic Markov processes. 815--834.

Eunju Sohn, Charles Knessl. The distribution of wasted spaces in the M/M/∞ queue with ranked servers. 835--855.

Charles Knessl, Diego Ernesto Dominici. Asymptotic analysis of a fluid model modulated by an M/M/1 queue. 856--881.

David Vere-Jones. A limit theorem with application to Båth's law in seismology. 882--896.

Hongsheng Dai. Perfect sampling methods for random forests. 897--917.

Advances in Applied Probability, Volume 40, Number 4 (2008)

Wed, 07 Jan 2009 09:56 EST

Contents:

Kasra Alishahi, Mohsen Sharifitabar. Volume degeneracy of the typical cell and the chord length distribution for Poisson-Voronoi tessellations in high dimensions. 919--938.

Rama Cont, Emily Tanimura. Small-world graphs: characterization and alternative constructions. 939--965.

Archis Ghate. Decentralized search on spheres using small-world Markov chains: expected hitting times and structural properties. 966--978.

Kari Heine, Dan Crisan. Uniform approximations of discrete-time filters. 979--1001.

John K. Mcsweeney, Boris G. Pittel. Expected coalescence time for a nonuniform allocation process. 1002--1032.

José A. Adell, José M. Anoz, Alberto Lekuona. Exact values and sharp estimates for the total variation distance between binomial and Poisson distributions. 1033--1047.

Anne Fey, Remco van der Hofstad, Marten J. Klok. Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems. 1048--1071.

Takis Konstantopoulos, Andreas E. Kyprianou, Paavo Salminen, Marina Sirviö. Analysis of stochastic fluid queues driven by local-time processes. 1072--1103.

J. Blanchet, J. C. Liu. State-dependent importance sampling for regularly varying random walks. 1104--1128.

V. V. Anh, Nikolai N. Leonenko, Narn-Rueih Shieh. Multifractality of products of geometric Ornstein-Uhlenbeck-type processes. 1129--1156.

Winfried K. Grassmann, Javad Tavakoli. Stochastic and substochastic solutions for infinite-state Markov chains with applications to matrix-analytic methods. 1157--1173.

Lorens A. Imhof. Multiple-trial conflicts and stochastic evolutionary game dynamics. 1174--1197.

Donatas Surgailis. A quadratic ARCH(∞) model {with long memory and Lévy stable behavior of squares. 1198--1222.

Yaming Yu. On an inequality of Karlin and Rinott concerning weighted sums of i.i.d. random variables. 1223--1226.

Advances in Applied Probability, Volume 41, Number 1 (2009)

Tue, 21 Apr 2009 09:14 EDT

Contents:

Paul Balister, Béla Bollobás, Amites Sarkar, Mark Walters. A critical constant for the k nearest-neighbour model. 001--012.

Zakhar Kabluchko, Evgeny Spodarev. Scan statistics of lévy noises and marked empirical processes. 013--037.

Nathan Shank. Nearest-neighbor graphs on the Cantor set. 038--062.

G. N. Milstein, M. V. Tretyakov. Monte Carlo methods for backward equations in nonlinear filtering. 63--100.

Jean-François Chassagneux. A Discrete-time approximation for doubly reflected BSDEs. 101--130.

F. Thomas Bruss, Guy Louchard. The Odds algorithm based on sequential updating and its performance. 131--153.

Hsiao-Chi Chen, Yunshyong Chow. Evolutionary prisoner's dilemma games with one-dimensional local interaction and imitation. 154--176.

R. Bekker, O. J. Boxma, J. A. C. Resing. Lévy processes with adaptable exponent. 117--205.

C. C. Heyde, Dingcheng Wang. Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims. 206--224.

Serik Sagitov, Maria Conceição Serra. Multitype Bienaymé--Galton--Watson processes escaping extinction. 225--246.

Maude Gathy, Claude Lefèvre. From damage models to sir epidemics and cascading failures. 247--269.

Hua Zhou, Kenneth Lange. Composition Markov chains of multinomial type. 270--291.

James C. Fu, Brad C. Johnson. Approximate probabilities for runs and patterns in i.i.d. and Markov-dependent multistate trials. 292--308.

J. Touboul, O. Faugeras. Correction: A characterization of the first hitting time of double integral processes to curved boundaries. 309--309.

Advances in Applied Probability, Volume 41, Number 2 (2009)

Mon, 06 Jul 2009 09:24 EDT

Contents:

Inés Armendáriz, Antonio Cuevas, Ricardo Fraiman. Nonparametric estimation of boundary measures and related functionals: asymptotic results. 311--322.

Paul Balister, Béla Bollobás, Mark Walters. Random transceiver networks. 323--343.

J. Díaz, D. Mitsche, X. Pérez-Giménez. On the probability of the existence of fixed-size components in random geometric graphs. 344--357.

H. S. Harutyunyan, V. K. Ohanyan. The chord length distribution function for regular polygons. 358--366.

Shai Covo. One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications. 367--392.

Vicky Fasen, Gennady Samorodnitsky. A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime. 393--427.

Claudia Brachner, Vicky Fasen, Alexander Lindner. Extremes of autoregressive threshold processes. 428--451.

Brice Franke, Tatsuhiko Saigo. The extremes of random walks in random sceneries. 452--468.

Zhaolei Cui, Yuebao Wang, Kaiyong Wang. Asymptotics for the moments of the overshoot and undershoot of a random walk. 469--494.

Jun Cai, Runhuan Feng, Gordon E. Willmot. On the expectation of total discounted operating costs up to default and its applications. 495--522.

Valeri T. Stefanov, Frank Ball. Reward distributions associated with some block tridiagonal transition matrices with applications to identity by descent. 523--545.

Yusik Kim, Rhonda Righter, Ronald Wolff. Job replication on multiserver systems. 546--575.

Yuqiang Li. The speed of extinction for some generalized Jiřina processes. 576--599.

Philippe Robert, Florian Simatos. Occupancy schemes associated to Yule processes. 600--622.

Advances in Applied Probability, Volume 41, Number 3 (2009)

Fri, 18 Sep 2009 09:38 EDT

Contents:

Błaszczyszyn Bartłomiej, Yogeshwaran D.. Directionally convex ordering of random measures, shot noise fields, and some applications to wireless communications. 623--646.

Chan Hock Peng. Maxima of moving sums in a Poisson random field. 647--663.

Dereudre David. The existence of quermass-interaction processes for nonlocally stable interaction and nonbounded convex grains. 664--681.

Schneider Rolf. Weighted faces of Poisson hyperplane tessellations. 682--694.

Caldentey René, Kaplan Edward H., Weiss Gideon. FCFS infinite bipartite matching of servers and customers. 695--730.

Leocard Stephanie. Selective sweep and the size of the hitchhiking set. 731--764.

Ball Frank, Sirl David, Trapman Pieter. Threshold behaviour and final outcome of an epidemic on a random network with household structure. 765--796.

Mitra Abhimanyu, Resnick Sidney I.. Aggregation of rapidly varying risks and asymptotic independence. 797--828.

Aletti Giacomo, May Caterina, Secchi Piercesare. A central limit theorem, and related results, for a two-color randomly reinforced urn. 829--844.

Bryc Wlodek, Minda David, Sethuraman Sunder. Large deviations for the leaves in some random trees. 845--873.

Alparslan UğuR Tuncay. Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes. 874--892.

Márquez-Carreras David. Generalized fractional kinetic equations: another point of view. 893--910.

Advances in Applied Probability, Volume 41, Number 4 (2009)

Thu, 24 Dec 2009 10:47 EST

Contents:

Volker Baumstark, Günter Last. Gamma distributions for stationary Poisson flat processes. 911--939.

Pierre Calka, Julien Michel, Katy Paroux. Refined convergence for the Boolean model. 940--957.

Mark L. Huber, Robert L. Wolpert. Likelihood-based inference for Matérn type-III repulsive point processes. 958--977.

Mathew D. Penrose, Vadim Shcherbakov. Maximum likelihood estimation for cooperative sequential adsorption. 978--1001.

Richard Cowan, R. E. Miles. Letter to the Editor: Convex hulls on a hemisphere. 1002--1004.

Mark Fackrell. An alternative characterization for matrix exponential distributions. 1005--1022.

Robb Koether, Marcus Pendergrass, John Osoinach. The lying oracle game with a biased coin. 1023--1040.

Abba M. Krieger, Ester Samuel-Cahn. The secretary problem of minimizing the expected rank: a simple suboptimal approach with generalizations. 1041--1058.

Vincent Bansaye. Cell contamination and branching processes in a random environment with immigration. 1059--1081.

F. FREUND, M. MÖHLE. On the number of allelic types for samples taken from exchangeable coalescents with mutation. 1082--1101.

Marina Axelson-Fisk, Olle Häggström. Conditional percolation on one-dimensional lattices. 1102--1122.

Luc Devroye, Joachim Gudmundsson, Pat Morin. On the expected maximum degree of Gabriel and Yao graphs. 1123--1140.

A. A. BOROVKOV. Insurance with borrowing: first- and second-order approximations. 1141--1160.

José E. Figueroa-López. Nonparametric estimation of time-changed Lévy models under high-frequency data. 1161--1188.

Vitali Wachtel. Transition phenomena for ladder epochs of random walks with small negative drift. 1189--1214.