Journal of Applied Probability (Project Euclid)

Journal of Applied Probability, Volume 45, Number 1 (2008)

Mon, 23 Jun 2008 11:28 EDT

Contents:

Sheldon M. Ross, Zegang Zhu. On the structure of a swing contract's optimal value and optimal strategy. 1--15.

Shalom Benaim, Peter Friz. Smile asymptotics II: models with known moment generating functions. 16--32.

Pieter Allaart, Michael Monticino. Optimal buy/sell rules for correlated random walks. 33--44.

René Ferland, Gaston Giroux. Law of large numbers for dynamic bargaining markets. 45--54.

Ka Chun Cheung, Hailiang Yang. Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks. 55--66.

Claudia Klüppelberg, Sidney I. Resnick. The Pareto copula, aggregation of risks, and the emperor's socks. 67--84.

Bangwon Ko, Qihe Tang. Sums of dependent nonnegative random variables with subexponential tails. 85--94.

Eric Carlen, Ester Gabetta, Eugenio Regazzini. Probabilistic investigations on the explosion of solutions of the Kac equation with infinite energy initial distribution. 95--106.

Ken R. Duffy, Artem Sapozhnikov. The large deviation principle for the on-off Weibull sojourn process. 107--117.

Alan L. Lewis, Ernesto Mordecki. Wiener-Hopf factorization for Lévy processes having positive jumps with rational transforms. 118--134.

B. A. Surya. Evaluating scale functions of spectrally negative Lévy processes. 135--149.

R. McVinish. On the structure and estimation of reflection positive processes. 150--162.

Andreas H. Löpker, Johan S. H. van Leeuwaarden. Transient moments of the TCP window size process. 163--175.

Yangrong Li, Anthony G. Pakes, Jia Li, Anhui Gu. The limit behavior of dual Markov branching processes. 176--189.

Andreas N. Lagerås, Serik Sagitov. Reduced branching processes with very heavy tails. 190--200.

F. Carbonell, J. C. Jimenez. Weak local linear discretizations for stochastic differential equations with jumps. 201--210.

Alexander Dudin, Chesoong Kim, Valentina Klimenok. Markov chains with hybrid repeating rows - upper-Hessenberg, quasi-Toeplitz structure of the block transition probability matrix. 211--225.

Grégory Nuel. Pattern Markov chains: optimal Markov chain embedding through deterministic finite automata. 226--243.

Abba M. Krieger, Moshe Pollak, Ester Samuel-Cahn. Beat the mean: sequential selection by better than average rules. 244--259.

Henry W. Block, Yulin Li, Thomas H. Savits, Jie Wang. Continuous mixtures with bathtub-shaped failure rates. 260--270.

Colin Mallows, Larry Shepp. The necklace process. 271--278.

Ludger Rüschendorf. On a comparison result for Markov processes. 279--286.

Bernardo Nunes Borges de Lima, Artëm Sapozhnikov. On the truncated long-range percolation on Z 2. 287--291.

Journal of Applied Probability, Volume 45, Number 2 (2008)

Tue, 01 Jul 2008 18:15 EDT

Contents:

D. J. Daley, D. Vere-Jones. David George Kendall and applied probability. 293--296.

Alexander L. Stolyar. Dynamic distributed scheduling in random access networks. 297--313.

R. Bekker, O. J. Boxma, O. Kella. Queues with delays in two-state strategies and Lévy input. 314--332.

Hans Daduna, Christian Malchin, Ryszard Szekli. Weak convergence limits for sojourn times in cyclic queues under heavy traffic conditions. 333--346.

Saul C. Leite, Marcelo D. Fragoso. Diffusion approximation of state-dependent G-networks under heavy traffic. 347--362.

Hansjörg Albrecher, Jean-François Renaud, Xiaowen Zhou. A Lévy insurance risk process with tax. 363--375.

Matteo Ortisi. Polynomial-rate convergence to the stationary state for the continuum-time limit of the minority game. 376--387.

Hsiao-Chi Chen, Yunshyong Chow. Equilibrium selection in evolutionary games with imperfect monitoring. 388--402.

Yi-Ching Yao, May-Ru Chen. Strong optimality of bold play for discounted Dubins-Savage gambling problems with time-dependent parameters. 403--416.

Quanxin Zhu, Tomás Prieto-Rumeau. Bias and overtaking optimality for continuous-time jump Markov decision processes in Polish spaces. 417--429.

Toshio Nakata. A Poisson approximation for an occupancy problem with collisions. 430--439.

Narjiss Touyar, Sophie Schbath, Dominique Cellier, Hélène Dauchel. Poisson approximation for the number of repeats in a stationary Markov chain. 440--455.

Xiaoxin Wang, Aihua Xia. On negative binomial approximation to k -runs. 456--471.

Daniel Tokarev. Growth of integral transforms and extinction in critical Galton-Watson processes. 472--480.

Daniela Bertacchi, Fabio Zucca. Critical behaviors and critical values of branching random walks on multigraphs. 481--497.

Joel C. Miller. Bounding the size and probability of epidemics on networks. 498--512.

Peter Neal. The SIS great circle epidemic model. 513--530.

A. G. Rossberg. Laplace transforms of probability distributions and their inversions are easy on logarithmic scales. 531--541.

Valdo Durrleman. Convergence of at-the-money implied volatilities to the spot volatility. 542--550.

E. Rapoo. A variable step size Riemannian sum for an Itô integral. 551--567.

Erol A. Peköz, Sheldon M. Ross. Relating time and customer averages for queues using `forward' coupling from the past. 568--574.

Devdatt Dubhashi, Olle Häggström. A note on conditioning and stochastic domination for order statistics. 575--579.

Ehud Lehrer, Eran Shmaya. Two remarks on Blackwell's theorem. 580--586.

Journal of Applied Probability, Volume 45, Number 3 (2008)

Fri, 26 Sep 2008 11:12 EDT

Contents:

Joe Gani, Eugene Seneta. Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA. 587--592.

L. Nash. Chris Heyde: an appreciation. 593--594.

A. Gerardi, P. Tardelli. Controlled heterogeneous collection: the role of occupation numbers. 595--609.

Offer Kella, Wolfgang Stadje. A collector's problem with renewal arrival processes. 610--620.

Peter Neal. The generalised coupon collector problem. 621--629.

Víctor Ruiz. A compact framework for hidden Markov chains with applications to fractal geometry. 630--639.

Victor de la Peña, Henryk Gzyl, Patrick McDonald. Hitting time and inverse problems for Markov chains. 640--649.

James Ledoux, Langford B. White, Gary D. Brushe. On the relationships between lumpability and filtering of finite stochastic systems. 650--669.

Saul Jacka, Marcus Sheehan. The noisy veto-voter model: a recursive distributional equation on [0, 1]. 670--688.

Francis Comets, François Simenhaus. Random walk delayed on percolation clusters. 689--702.

Stephen Connor, Saul Jacka. Optimal co-adapted coupling for the symmetric random walk on the hypercube. 703--713.

Jean Bertoin, Joaquin Fontbona, Servet Martínez. On prolific individuals in a supercritical continuous-state branching process. 714--726.

Didier Piau. Asymptotics of posteriors for binary branching processes. 727--742.

Tom Britton, Maria Deijfen, Andreas N. Lagerås, Mathias Lindholm. Epidemics on random graphs with tunable clustering. 743--756.

David A. Kessler. Epidemic size in the SIS model of endemic infections. 757--778.

Lothar Breuer. First passage times for Markov additive processes with positive jumps of phase type. 779--799.

Fuqing Gao, Jun Yan. Functional large deviations and moderate deviations for Markov-modulated risk models with reinsurance. 800--817.

Jinxia Zhu, Hailiang Yang. Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest. 818--830.

Francesca Biagini, Yuliya Bregman, Thilo Meyer-Brandis. Pricing of catastrophe insurance options under immediate loss reestimation. 831--845.

Hans Daduna, Ryszard Szekli. Impact of routeing on correlation strength in stationary queueing network processes. 846--878.

Nader Ebrahimi. Assessing a linear nanosystem's limiting reliability from its components. 879--887.

Hosam M. Mahmoud, Mark Daniel Ward. Average-case analysis of cousins in m -ary tries. 888--900.

Lars Holst. The number of two consecutive successes in a Hoppe-Pólya urn. 901--906.

Journal of Applied Probability, Volume 45, Number 4 (2008)

Wed, 07 Jan 2009 09:57 EST

Contents:

Andrew W. Swift. Stochastic models of cascading failures. 907--921.

Devavrat Shah, John N. Tsitsiklis. Bin packing with queues. 922--939.

Abdelghafour Es-Saghouani, Michel Mandjes. On the correlation structure of a Lévy-driven queue. 940--952.

Pascal Moyal. Stability of a processor-sharing queue with varying throughput. 953--962.

Erol A. Peköz, Sheldon M. Ross, Sridhar Seshadri. How nearly do arriving customers see time-average behavior?. 963--971.

Jianxi Lin. Some Blackwell-type renewal theorems for weighted renewal functions. 972--993.

Daniel Berend, Yuri Chernyavsky, Luba Sapir. Ranking of weighted majority rules. 994--1006.

Serkan Eryilmaz. Run statistics defined on the multicolor urn model. 1007--1023.

May-Ru Chen, Pei-Shou Chung, Shoou-Ren Hsiau, Yi-Ching Yao. On nonoptimality of bold play for subfair red-and-black with a rational-valued house limit. 1024--1038.

Marius Costeniuc, Michaela Schnetzer, Luca Taschini. Entry and exit decision problem with implementation delay. 1039--1059.

Mark Brown, Erol A. Peköz, Sheldon M. Ross. A random permutation model arising in chemistry. 1060--1070.

L. C. G. Rogers, L. A. M. Veraart. A stochastic volatility alternative to SABR. 1071--1085.

Olivier Durieu. A fourth moment inequality for functionals of stationary processes. 1086--1096.

Jorge Navarro, N. Balakrishnan, Francisco J. Samaniego. Mixture representations of residual lifetimes of used systems. 1097--1112.

Peng Zhao, Xiaohu Li, N. Balakrishnan. Conditional ordering of k -out-of- n systems with independent but nonidentical components. 1113--1125.

N. Unnikrishnan Nair, P. G. Sankaran, B. Vinesh Kumar. Total time on test transforms of order n and their implications in reliability analysis. 1126--1139.

A. E. Kyprianou, J. C. Pardo. Continuous-state branching processes and self-similarity. 1140--1160.

Anthony G. Pakes. Tails of stopped random products: the factoid and some relatives. 1161--1180.

Lars Holst. A note on embedding certain Bernoulli sequences in marked Poisson processes. 1181--1185.

Alexander Gnedin, Alex Iksanov, Martin Möhle. On asymptotics of exchangeable coalescents with multiple collisions. 1186--1195.

Carl Graham. Chaoticity for multiclass systems and exchangeability within classes. 1196--1203.

Yang Zhou. Correction to Bingham and Doney (1988). 1204--1206.

Journal of Applied Probability, Volume 46, Number 2 (2009)

Wed, 01 Jul 2009 16:41 EDT

Contents:

Wojciech Niemiro, Piotr Pokarowski. Fixed precision MCMC estimation by median of products of averages. 309--329.

Terje Aven. Optimal test interval for a monotone safety system. 330--341.

Subhash Kochar, Maochao Xu. Comparisons of parallel systems according to the convex transform order. 342--352.

Ji Hwan Cha, Maxim Finkelstein. On a terminating shock process with independent wear increments. 353--362.

Offer Kella. On growth-collapse processes with stationary structure and their shot-noise counterparts. 363--371.

Héctor Jasso-Fuentes, Onésimo Hernández-Lerma. Blackwell optimality for controlled diffusion processes. 372--391.

Fang Xu. A central limit theorem associated with the transformed two-parameter Poisson--Dirichlet distribution. 392--401.

Aiko Kurushima, Katsunori Ano. Maximizing the expected duration of owning a relatively best object in a Poisson process with rankable observations. 402--414.

Anna Karpowicz. Double optimal stopping in the fishing problem. 415--428.

Agnès Lagnoux-Renaudie. A two-step branching splitting model under cost constraint for rare event analysis. 429--452.

Yuqiang Li. A weak limit theorem for generalized Jiřina processes. 453--462.

Daniela Bertacchi, Fabio Zucca. Approximating critical parameters of branching random walks. 463--478.

Rong-Li Liu, Yan-Xia Ren, Renming Song. L log L criterion for a class of superdiffusions. 479--496.

V. B. Yap. Similar states in continuous-time Markov chains. 497--506.

Johan S. H. van Leeuwaarden, Mark S. Squillante, Erik M. M. Winands. Quasi-birth-and-death processes, lattice path counting, and hypergeometric functions. 507--520.

Eric C. K. Cheung, David Landriault. Perturbed MAP risk models with dividend barrier strategies. 521--541.

E. J. Baurdoux. Last exit before an exponential time for spectrally negative Léevy processes. 542--558.

Xuemiao Ha, Qihe Tang, Li Wei. On the maximum exceedance of a sequence of random variables over a renewal threshold. 559--570.

Arup Bose, Amites Dasgupta, Krishanu Maulik. Strong laws for balanced triangular urns. 571--584.

Anna Pósfai. Poisson approximation in a Poisson limit theorem inspired by coupon collecting. 585--592.

Svante Janson, Niclas Petersson. The integral of the supremum process of Brownian motion. 593--600.

Thomas M. Liggett, Rinaldo B. Schinazi. A stochastic model for phylogenetic trees. 601--607.

Journal of Applied Probability, Volume 46, Number 1 (2009)

Wed, 08 Jul 2009 09:08 EDT

Contents:

F. Thomas Brusss. A continuous-time approach to Robbins' problem of minimizing the expected rank. 1--18.

Neeraj Misra, Ishwari D. Dhariyal, Nitin Gupta. Optimal allocation of active spares in series systems and comparison of component and system redundancies. 19--34.

David Hartvigsen. The action gambler and equal-sized wagering. 35--54.

Jaime A. Londoño. State-dependent utility. 55--70.

Yu-Ting Chen, Cheng-Few Lee, Yuan-Chung Sheu. An Integral-equation approach for defaultable bond prices with application to credit spreads. 71--84.

R. L. Loeffen. An optimal dividends problem with a terminal value for spectrally negative Lévy processes with a completely monotone jump density. 85--98.

Maikol A. Diasparra, Rosario Romera. Bounds for the ruin probability of a discrete-time risk process. 99--112.

Andrei L. Badescu, Eric C. K. Cheung, David Landriault. Dependent risk models with bivariate phase-type distributions. 113--131.

Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij, Jeannette H. C. Woerner. Bipower variation for Gaussian processes with stationary increments. 132--150.

Bernard Bercu, Peggy Cénac, Guy Fayolle. On the almost sure central limit theorem for vector martingales: convergence of moments and statistical applications. 151--169.

Erik Ekström, Henrik Wanntorp. Optimal stopping of a Brownian bridge. 170--180.

T. R. Hurd, A. Kuznetsov. On the first passage time for Brownian motion subordinated by a Lévy Process. 181--198.

M. Draief, A. Ganesh, L. Massoulié. Exponential random graphs as models of overlay networks. 199--220.

Fubao Xi, G. Yin. Asymptotic properties of a mean-field model with a continuous-state-dependent switching process. 221--243.

Yaming Yu. Stochastic ordering of exponential family distributions and their mixtures. 244--254.

Tasos C. Christofides, Eutichia Vaggelatou. Bounds for the distance between the distributions of sums of absolutely continuous i.i.d. convex-ordered random variables with applications. 255--271.

P. Vellaisamy, N. S. Upadhye. On the sums of compound negative binomial and gamma random variables. 272--283.

Toshio Nakata. Necklace processes via Pólya urns. 281--295.

Dominik Heinzmann. Extinction times in multitype Markov branching processes. 296--307.

Journal of Applied Probability, Volume 46, Number 3 (2009)

Fri, 18 Sep 2009 09:26 EDT

Contents:

Bender Christian, Marquardt Tina. Integrating volatility clustering into exponential Lévy models. 609--628.

Tehranchi Michael R.. Asymptotics of implied volatility far from maturity. 629--650.

Yam S. C. P., Yung S. P., Zhou W.. Two rationales behind the `buy-and-hold or sell-at-once' strategy. 651--668.

Pardoux Etienne, Salamat Majid. On the height and length of the ancestral recombination graph. 669--689.

Socoll Sanda N., Barbour A.D.. Local limit approximations for Markov population processes. 690--708.

Xing Xiaoyu, Zhang Wei, Wang Yongjin. The stationary distributions of two classes of reflected Ornstein--Uhlenbeck processes. 709--720.

Zhang Shibin, Zhang Xinsheng. On the transition law of tempered stable Ornstein--Uhlenbeck processes. 721--731.

Covo Shai. On approximations of small jumps of subordinators with particular emphasis on a Dickman-type limit. 732--755.

Foss Sergey, Korshunov Dmitry, Zachary Stan. Convolutions of long-tailed and subexponential distributions. 756--767.

Asmussen Søren. Importance sampling for failure probabilities in computing and data transmission. 768--790.

Elie Romuald. Double kernel estimation of sensitivities. 791--811.

Jacka Saul. Markov chains conditioned never to wait too long at the origin. 812--826.

Aguech Rafik. Limit theorems for random triangular urn schemes. 827--843.

Bordenave Charles, Foss Serguei, Shneer Vsevolod. A random multiple-access protocol with spatial interactions. 844--865.

Huillet Thierry, Möhle Martin. Duality and asymptotics for a class of nonneutral discrete Moran models. 866--893.

Jasiński Krzysztof, Navarro Jorge, Rychlik Tomasz. Bounds on variances of lifetimes of coherent and mixed systems. 894--908.

Lin Gwo Dong, Stoyanov Jordan. The logarithmic skew-normal distributions are moment-indeterminate. 909--916.

Piau Didier. Asymptotics of iterated branching processes. 917--924.

Journal of Applied Probability, Volume 46, Number 4 (2009)

Thu, 24 Dec 2009 11:05 EST

Contents:

Haijun Li, Yannan Sun. Tail dependence for heavy-tailed scale mixtures of multivariate distributions. 925--937.

Jean-Françcois Delmas, Benjamin Jourdain. Does waste recycling really improve the multi-proposal Metropolis--Hastings algorithm? An analysis based on control variates. 938--959.

F. Mendivil, R. SHONKWILER, M. C. SPRUILL. Geometric convergence of genetic algorithms under tempered random restart. 960--974.

TOM BRITTON, MATHIAS LINDHOLM. The early stage behaviour of a stochastic SIR epidemic with term-time forcing. 975--992.

S. MA, M. MOLINA. Two-sex branching processes with offspring and mating in a random environment. 993--1004.

Miklós Bóona, PHILIPPE FLAJOLET. Isomorphism and symmetries in random phylogenetic trees. 1005--1019.

Sarah Behrens, Matthias Löwe. Moderate deviations for word counts in biological sequences. 1020--1037.

Rudolf Grübel, Paweł Hitczenko. Gaps in discrete random samples. 1038--1051.

M. BURKSCHAT. Systems with failure-dependent lifetimes of components. 1052--1072.

Erol A. Peköz, Adrian Röllin, Vydas Čekanavičius, Michael Shwartz. A three-parameter binomial approximation. 1073--1085.

Mitsushi Tamaki. Optimal choice of the best available applicant in full-information models. 1086--1099.

Boris Baeumer, Mark M. Meerschaert, Erkan Nane. Space--time duality for fractional diffusion. 1100--1115.

David Applebaum, Michailina Siakalli. Asymptotic stability of stochastic differential equations driven by Lévy noise. 1116--1129.

G. Deligiannidis, H. Le, S. Utev. Optimal stopping for processes with independent increments, and applications. 1130--1145.

ANDREAS E. KYPRIANOU, XIAOWEN ZHOU. General tax structures and the Lévy insurance risk model. 1146--1156.

O.~L.~V. Costa, F. Dufour. The vanishing discount approach for the average continuous control of piecewise deterministic Markov processes. 1157--1183.

C.~F. Coletti, L.~R.~G. Fontes, E.~S. Dias. Scaling limit for a drainage network model. 1184--1197.

KENSHI HOSAKA. An alternative condition for stochastic domination. 1198--1200.

LARS HOLST. On consecutive records in certain Bernoulli sequences. 1201--1208.

EUGENE A. FEINBERG, JUN FEI. An inequality for variances of the discounted rewards. 1209--1212.

Xian-Yuan Wu, ZHAO DONG, KE LIU, KAI-YUAN CAI. On the degree sequence of an evolving random graph process and its critical phenomenon. 1213--1220.

Qi Zheng. Remarks on the asymptotics of the Luria--Delbrück and related distributions. 1221--1224.