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.

Journal of Applied Probability, Volume 47, Number 1 (2010)

Fri, 26 Mar 2010 09:41 EDT

Contents:

Henrik Hult, Gennady Samorodnitsky. Large deviations for point processes based on stationary sequences with heavy tails. 1--40.

Edward Pollak. Coalescent theory for a monoecious random mating population with a varying size. 41--57.

M. González, R. Martínez, M. Slavtchova-Bojkova. Stochastic monotonicity and continuity properties of the extinction time of Bellman-Harris branching processes: an application to epidemic modelling. 58--71.

Maria Vlasiou, Zbigniew Palmowski. Tail asymptotics for a random sign Lindley recursion. 72--83.

Antonio Di Crescenzo, Barbara Martinucci. A damped telegraph random process with logistic stationary distribution. 84--96.

May-Ru Chen, Shoou-Ren Hsiau. Two new models for the two-person red-and-black game. 97--108.

Krzysztof Dębicki, Abdelghafour Es-Saghouani, Michel Mandjes. Transient asymptotics of Lévy-driven queues. 109--129.

Onno Boxma, David Perry, Wolfgang Stadje, Shelley Zacks. The busy period of an M/G/1 queue with customer impatience. 130--145.

Fraser Daly. Stein's method for compound geometric approximation. 146--156.

Frosso S. Makri. On occurrences of F - S strings in linearly and circularly ordered binary sequences. 157--178.

M. T. Alodat, M. Al-Rawwash, M. A. Jebrini. Duration distribution of the conjunction of two independent F processes. 179--190.

Qunqiang Feng, Hosam M. Mahmoud. On the variety of shapes on the fringe of a random recursive tree. 191--200.

Mustafa Khandwawala, Rajesh Sundaresan. Optimal multicommodity flow through the complete graph with random edge capacities. 201--215.

Filia Vonta, Alex Karagrigoriou. Generalized measures of divergence in survival analysis and reliability. 216--234.

Jorge Navarro, Francisco J. Samaniego, N. Balakrishnan. The joint signature of coherent systems with shared components. 235--253.

Xiaohu Li, Weiyong Ding. Optimal allocation of active redundancies to k -out-of- n systems with heterogeneous components. 254--263.

Michel M. Denuit, Mhamed Mesfioui. Generalized increasing convex and directionally convex orders. 264--276.

Jesús De La Cal, Javier Cárcamo. Inverse stochastic dominance, majorization, and mean order statistics. 277--292.

Shaul K. Bar-Lev, Onno Boxma, Gérard Letac. A characterization related to the equilibrium distribution associated with a polynomial structure. 293--299.

Journal of Applied Probability, Volume 47, Number 2 (2010)

Thu, 17 Jun 2010 10:29 EDT

Contents:

Jose Blanchet, Jingchen Liu. Efficient importance sampling in ruin problems for multidimensional regularly varying random walks. 301--322.

Dimitrios G. Konstantinides, Kai W. Ng, Qihe Tang. The probabilities of absolute ruin in the renewal risk model with constant force of interest. 323--334.

Xudong Zeng. A stochastic differential reinsurance game. 335--349.

Muneya Matsui, Thomas Mikosch. Prediction in a Poisson cluster model. 350--366.

Djilali Ait Aoudia, Éric Marchand. On the number of runs for Bernoulli arrays. 367--377.

Gesine Reinert, Adrian Röllin. Random subgraph counts and 𝑼-statistics: multivariate normal approximation via exchangeable pairs and embedding. 378--393.

Michael Tortorella. On reliability prediction and semi-renewal processes. 394--406.

Moshe Shaked, Miguel A. Sordo, Alfonso Suárez-Llorens. A class of location-independent variability orders, with applications. 407--425.

Ramesh C. Gupta, Rameshwar D. Gupta. Random effect bivariate survival models and stochastic comparisons. 426--440.

Lothar Breuer. A quintuple law for Markov additive processes with phase-type jumps. 441--458.

Brian H. Fralix, Germán Riaño. A new look at transient versions of Little's law, and M/G/1 preemptive Last-Come-First-Served queues. 459--473.

A. J. Field, P. G. Harrison. Busy periods in fluid queues with multiple emptying input states. 474--497.

Pascal Moyal. The queue with impatience: construction of the stationary workload under FIFO. 498--512.

Alexander Iksanov, Matthias Meiners. Exponential rate of almost-sure convergence of intrinsic martingales in supercritical branching random walks. 513--525.

Chunhua Ma, Longmin Wang. On estimation of the variances for critical branching processes with immigration. 526--542.

Joaquín Fontbona, Nathalie Krell, Servet Martínez. Energy efficiency of consecutive fragmentation processes. 543--561.

Elcio Lebensztayn, Fábio Prates Machado, Mauricio Zuluaga Martinez. Nonhomogeneous random walks systems on Z. 562--571.

Netta Cohen, Jonathan Jordan, Margaritis Voliotis. Preferential duplication graphs. 572--585.

Erik Ekström, Carl Lindberg, Johan Tysk, Henrik Wanntorp. Optimal liquidation of a call spread. 586--593.

Pavel S. Ruzankin. Approximation for expectations of unbounded functions of dependent integer-valued random variables. 594--600.

Maxim Finkelstein. A note on converging geometric-type processes. 601--607.

K. Markström. Correction: Negative association does not imply log-concavity of the rank sequence. 608--609.

Journal of Applied Probability, Volume 47, Number 3 (2010)

Fri, 24 Sep 2010 09:37 EDT

Contents:

Mark Fackrell, Qi-Ming He, Peter Taylor, Hanqin Zhang. The algebraic degree of phase-type distributions. 611--629.

Pepa Ramírez-Cobo, Rosa E. Lillo, Michael P. Wiper. Nonidentifiability of the two-state Markovian arrival process. 630--649.

Mikko S. Pakkanen. Stochastic integrals and conditional full support. 650--667.

Zuoxiang Peng, Saralees Nadarajah, Fuming Lin. Convergence rate of extremes for the general error distribution. 668--679.

Bing Lu. Recovering a piecewise constant volatility from perpetual put option prices. 680--692.

A. Kaplun. The continuous-time Ehrenfest process in term structure modelling. 693--712.

M. Möhle. Looking forwards and backwards in the multi-allelic neutral Cannings population model. 713--731.

Sabin Lessard. Recurrence equations for the probability distribution of sample configurations in exact population genetics models. 732--751.

Allan Gut. Limit theorems for a generalized St Petersburg game. 752--760.

Mitsushi Tamaki. Sum the multiplicative odds to one and stop. 761--777.

Armando F. Mendoza-Pérez, Onésimo Hernández-Lerma. Asymptotic normality of discrete-time Markov control processes. 778--795.

Elchanan Mossel, Arnab Sen. Branching process approach for 2-SAT thresholds. 796--810.

Matthias Meiners. An almost-sure renewal theorem for branching random walks on the line. 811--825.

Katarzyna Rybarczyk, Dudley Stark. Poisson approximation of the number of cliques in random intersection graphs. 826--840.

Srinivasan Balaji, Hosam Mahmoud, Zhang Tong. Phases in the diffusion of gases via the EHRENFEST urn model. 841--855.

Yuri Kondratiev, Yuri Kozitsky, Tanja Pasurek. Gibbs random fields with unbounded spins on unbounded degree graphs. 856--875.

Zhengcheng Zhang. Mixture representations of inactivity times of conditional coherent systems and their applications. 876--885.

Radha Krishna Ganti, Martin Haenggi. Limit of the transport capacity of a dense wireless network. 886--892.

Michel Denuit. Positive dependence of signals. 893--897.

Journal of Applied Probability, Volume 47, Number 4 (2010)

Tue, 04 Jan 2011 14:49 EST

Contents:

Henry W. Block, Naftali A. Langberg, Thomas H. Savits, Jie Wang. Continuous mixtures of exponentials and IFR gammas having bathtub-shaped failure rates. 899--907.

Yiqing Chen, Anyue Chen, Kai W. Ng. The strong law of large numbers for extended negatively dependent random variables. 908--922.

Shuhong Zhang, Xiaohu Li. Some new results on the moment generating function order and related life distributions. 923--933.

A. D. Barbour, P. K. Pollett. Total variation approximation for quasi-stationary distributions. 934--946.

F. Dufour, A. B. Piunovskiy. Multiobjective stopping problem for discrete-time Markov processes: convex analytic approach. 947--966.

Joe Suzuki. A Markov chain analysis of genetic algorithms: large deviation principle approach. 967--975.

L. Coutin, L. Decreusefond, J. S. Dhersin. A Markov model for the spread of viruses in an open population. 976--996.

Yan Dolinsky. Shortfall risk approximations for American options in the multidimensional Black-Scholes model. 997--1012.

Michael R. Tehranchi. Characterizing attainable claims: a new proof. 1013--1022.

A. Kuznetsov. Wiener-Hopf factorization for a family of Lévy processes related to theta functions. 1023--1033.

Jevgenijs Ivanovs. Markov-modulated Brownian motion with two reflecting barriers. 1034--1047.

Bernardo D'Auria, Jevgenijs Ivanovs, Offer Kella, Michel Mandjes. First passage of a Markov additive process and generalized Jordan chains. 1048--1057.

James C. Fu, Tung-Lung Wu. Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes. 1058--1071.

Pieter Allaart. A general `bang-bang' principle for predicting the maximum of a random walk. 1072--1083.

Serkan Eryilmaz. Discrete scan statistics generated by exchangeable binary trials. 1084--1092.

Katsunori Ano, Hideo Kakinuma, Naoto Miyoshi. Odds theorem with multiple selection chances. 1093--1104.

G. Nuel. On the first k moments of the random count of a pattern in a multistate sequence generated by a Markov source. 1105--1123.

Svante Janson, Tomasz Łuczak, Ilkka Norros. Large cliques in a power-law random graph. 1124--1135.

Bojan Basrak. Limit theorems for the inductive mean on metric trees. 1136--1149.

Maria Deijfen. Random networks with preferential growth and vertex death. 1150--1163.

F. Papangelou. A simple model for random oscillations. 1164--1173.

Simeon M. Berman. Probabilistic analysis of the efficacy of periodic testing of employees. 1174--1190.

Paweł Hitczenko. On tails of perpetuities. 1191--1194.

Ou Zhao, Michael Woodroofe, Dalibor Volný. A central limit theorem for reversible processes with nonlinear growth of variance. 1195--1202.

Zbigniew Palmowski, Bert Zwart. On perturbed random walks. 1203--1204.

Journal of Applied Probability, Volume 48, Number 1 (2011)

Tue, 15 Mar 2011 10:10 EDT

Contents:

Angelos Dassios, Shanle Wu. Double-barrier Parisian options. 1--20.

Katsumasa Nishide, L. C. G. Rogers. Optimal time to exchange two baskets. 21--30.

Nader Ebrahimi. Assessing the reliability function of nanocomponents. 31--42.

Neeraj Misra, Amit Kumar Misra, Ishwari Dutt Dhariyal. Standby redundancy allocations in series and parallel systems. 43--55.

F. G. Badia. Hazard rate properties of a general counting process stopped at an independent random time. 56--67.

N. S. Walton. Utility optimization in congested queueing networks. 68--89.

Konstantin Avrachenkov, Alexey Piunovskiy, Yi Zhang. Asymptotic fluid optimality and efficiency of the tracking policy for bandwidth-sharing networks. 90--113.

Peter W. Glynn, Michel Mandjes. Simulation-based computation of the workload correlation function in a Lévy-driven queue. 114--130.

Rudolf Grübel, Hendrik Wegener. Matchmaking and testing for exponentiality in the M/G/∞ queue. 131--144.

Chihoon Lee. On the return time for a reflected fractional Brownian motion process on the positive orthant. 145--153.

Chang-Long Yao, Ge Chen, Tian-De Guo. Large deviations for the graph distance in supercritical continuum percolation. 154--172.

Simon E. F. Spencer, Philip D. O'Neill. The probability of containment for multitype branching process models for emerging epidemics. 173--188.

R. T. Smythe. Generalized coupon collection: the superlinear case. 189--199.

E. J. Baurdoux, K. Van Schaik. Further calculations for the McKean stochastic game for a spectrally negative é process: from a point to an interval. 200--216.

Mark S. Veillette, Murad S. Taqqu. A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables. 217--237.

Ken R. Duffy, Claudio Macci, Giovanni Luca Torrisi. Sample path large deviations for order statistics. 238--257.

Ji Hwan Cha, Maxim Finkelstein. On new classes of extreme shock models and some generalizations. 258--270.

Subhash Kochar, Maochao Xu. On the skewness of order statistics in multiple-outlier models. 271--284.

Patrick Fayard, Timothy R. Field. Discrete models for scattering populations. 285--292.

Rhonda Righter. Stochastic comparison of discounted rewards. 293--294.

Journal of Applied Probability, Volume 48, Number 2 (2011)

Tue, 21 Jun 2011 09:24 EDT

Contents:

Andreas Löpker, Wolfgang Stadje. Hitting times and the running maximum of Markovian growth-collapse processes. 295--312.

Wolfgang P. Angerer. New limiting distributions for Bellman-Harris processes. 313--321.

Amine Asselah, Pablo A. Ferrari, Pablo Groisman. Quasistationary distributions and Fleming-Viot processes in finite spaces. 322--332.

Tertuliano Franco, Adriana Neumann, Glauco Valle. Hydrodynamic limit for a type of exclusion process with slow bonds in dimension d ≥ 2. 333--351.

N. Lanchier. Contact process with destruction of cubes and hyperplanes: forest fires versus tornadoes. 352--365.

Eckhard Schlemm. On the Markov transition kernels for first passage percolation on the ladder. 366--388.

Peter Tankov. Improved Fréchet bounds and model-free pricing of multi-asset options. 389--403.

Yinghui Dong, Guojing Wang, Rong Wu. Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps. 404--419.

Peter J. Thomas. A lower bound for the first passage time density of the suprathreshold Ornstein-Uhlenbeck process. 420--434.

Jung Hyun Kim, Hyun-Soo Ahn, Rhonda Righter. Managing queues with heterogeneous servers. 435--452.

Ji Hwan Cha, Eui Yong Lee. A stochastic breakdown model for an unreliable web server system and an optimal admission control policy. 453--466.

Jose Blanchet, Chenxin Li. Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes. 467--489.

Ricardo Vélez Ibarrola, Tomás Prieto-Rumeau. Conditionally independent increment point processes. 490--513.

Adam Jakubowski, Joanna Karłowska-Pik. Processes with block-associated increments. 514--526.

Patrizia Berti, Irene Crimaldi, Luca Pratelli, Pietro Rigo. A central limit theorem and its applications to multicolor randomly reinforced urns. 527--546.

Iosif Pinelis. Exact lower bounds on the exponential moments of truncated random variables. 547--560.

Dario Gasbarra, Tommi Sottinen, Harry van Zanten. Conditional full support of Gaussian processes with stationary increments. 561--568.

Ravi Kalpathy, Hosam M. Mahmoud, Mark Daniel Ward. Asymptotic properties of a leader election algorithm. 569--575.

Jean Bertoin. On the maximal offspring in a critical branching process with infinite variance. 576--582.

Yaming Yu. Concave renewal functions do not imply DFR interrenewal times. 583--588.

Moshe Pollak, Alexander G. Tartakovsky. On the first exit time of a nonnegative Markov process started at a quasistationary distribution. 589--595.

Journal of Applied Probability, Volume 48, Number 3 (2011)

Fri, 23 Sep 2011 13:14 EDT

Contents:

Jianping Jiang, Sanguo Zhang, Tiande Guo. Russo's formula, uniqueness of the infinite cluster, and continuous differentiability of free energy for continuum percolation. 597--610.

A. Tzioufas. On the growth of the one-dimensional reverse immunization contact processes. 611--623.

Valdivino V. Junior, Fábio P. Machado, Mauricio Zuluaga. Rumor processes on N. 624--636.

Ning Cai. Pricing and hedging of quantile options in a flexible jump diffusion model. 637--656.

Karl Sigman, Ward Whitt. Heavy-traffic limits for nearly deterministic queues. 657--678.

Tsuyoshi Katayama. Some results for vacation systems with sojourn time limits. 679--687.

Ken R. Duffy, Giovanni Luca Torrisi. Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions. 688--698.

Tomoyuki Ichiba, Constantinos Kardaras. Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation. 699--712.

P. Zipkin. On Durbin's series for the density of first passage times. 713--722.

Lijun Bo, Yongjin Wang, Xuewei Yang. First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries. 723--732.

Julia Eisenberg, Hanspeter Schmidli. Optimal control of capital injections by reinsurance with a constant rate of interest. 733--748.

Andrei L. Badescu, Eric C. K. Cheung, Landy Rabehasaina. A two-dimensional risk model with proportional reinsurance. 749--765.

Kouji Yano, Kenji Yasutomi. Realization of an ergodic Markov chain as a random walk subject to a synchronizing road coloring. 766--777.

Harry Crane. A consistent Markov partition process generated from the paintbox process. 778--791.

Matthieu Marouby. Micropulses and different types of Brownian motion. 792--810.

Aleksandar Mijatović, Mikhail Urusov. A note on a paper by Wong and Heyde. 811--819.

Chihoon Lee. A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant. 820--831.

Nader Ebrahimi, Yarong Yang. An integrated probabilistic model for assessing a nanocomponent's reliability. 832--842.

Ilya Gertsbakh, Yoseph Shpungin, Fabio Spizzichino. Signatures of coherent systems built with separate modules. 843--855.

Jorge Navarro, Francisco J. Samaniego, N. Balakrishnan. Signature-based representations for the reliability of systems with heterogeneous components. 856--867.

Ji Hwan Cha, Maxim Finkelstein. Stochastic intensity for minimal repairs in heterogeneous populations. 868--876.

Maochao Xu, N. Balakrishnan. On the convolution of heterogeneous Bernoulli random variables. 877--884.

Torrey Johnson, Edward C. Waymire. Tree polymers in the infinite volume limit at critical strong disorder. 885--891.

Stefan Gerhold. The Hartman-Watson distribution revisited: asymptotics for pricing Asian options. 892--899.

Journal of Applied Probability, Volume 48, Number 4 (2011)

Fri, 16 Dec 2011 09:34 EST

Contents:

Vladimir Ejov, Nelly Litvak, Giang T. Nguyen, Peter G. Taylor. Proof of the Hamiltonicity-trace conjecture for singularly perturbed Markov chains. 901--910.

Asger Hobolth, Jens Ledet Jensen. Summary statistics for endpoint-conditioned continuous-time Markov chains. 911--924.

Yuanyuan Liu. Additive functionals for discrete-time Markov chains with applications to birth-death processes. 925--937.

Michel Dekking, Derong Kong. Multimodality of the Markov binomial distribution. 938--953.

Chin Hon Tan, Joseph C. Hartman. Sensitivity analysis in Markov decision processes with uncertain reward parameters. 954--967.

Matthias Degen, Paul Embrechts. Scaling of high-quantile estimators. 968--983.

Irmina Czarna, Zbigniew Palmowski. Ruin probability with Parisian delay for a spectrally negative Lévy risk process. 984--1002.

Johannes Muhle-Karbe, Marcel Nutz. Small-time asymptotics of option prices and first absolute moments. 1003--1020.

Ao Chen, Liming Feng, Renming Song. On the monitoring error of the supremum of a normal jump diffusion process. 1021--1034.

Yiqing Chen. The finite-time ruin probability with dependent insurance and financial risks. 1035--1048.

Donald E. K. Martin, Deidra A. Coleman. Distribution of clump statistics for a collection of words. 1049--1059.

Götz Olaf Munsonius, Ludger Rüschendorf. Limit theorems for depths and distances in weighted random b -ary recursive trees. 1060--1080.

Weiyu Xu, A. Kevin Tang. A generalized coupon collector problem. 1081--1094.

Estáte V. Khmaladze. Convergence properties in certain occupancy problems including the Karlin-Rouault law. 1095--1113.

Alessandro Arlotto, Robert W. Chen, Lawrence A. Shepp, J. Michael Steele. Online selection of alternating subsequences from a random sample. 1114--1132.

Alexander Gnedin, Alexander Iksanov, Alexander Marynych. On Λ-coalescents with dust component. 1133--1151.

B. N. B. de Lima, R. Sanchis, R. W. C. Silva. Percolation of words on Z d with long-range connections. 1152--1162.

Tom Britton, Mathias Lindholm, Tatyana Turova. A dynamic network in a dynamic population: asymptotic properties. 1163--1178.

Maochao Xu, Taizhong Hu. Some inequalities of linear combinations of independent random variables. I.. 1179--1188.

Qunqiang Feng, Zhishui Hu. On the Zagreb index of random recursive trees. 1189--1196.

Alexander Gnedin, Alexander Iksanov. Moments of random sums and Robbins' problem of optimal stopping. 1197--1199.

Bernard Wong. On Wong and Heyde (2004). 1200--1200.

Journal of Applied Probability, Volume 49, Number 1 (2011)

Thu, 08 Mar 2012 09:28 EST

Contents:

Denis Belomestny, Volker Krätschmer. Central limit theorems for law-invariant coherent risk measures. 1--21.

Sören Christensen. Phase-type distributions and optimal stopping for autoregressive processes. 22--39.

Peter Buchholz, Miklós Telek. Rational processes related to communicating Markov processes. 40--59.

Ole Stenzel, Hans Daduna. Weak convergence limits for closed cyclic networks of queues with multiple bottleneck nodes. 60--83.

Alexandre Brandwajn, Thomas Begin. A recurrent solution of PH/M/ c / N -like and PH/M/ c -like queues. 84--99.

Hermine Biermé, Agnès Desolneux. A Fourier approach for the level crossings of shot noise processes with jumps. 100--113.

Bruno Jedynak, Peter I. Frazier, Raphael Sznitman. Twenty questions with noise: Bayes optimal policies for entropy loss. 114--136.

Damien Lamberton, Mohammed Mikou. The smooth-fit property in an exponential Lévy model. 137--149.

Andreas E. Kyprianou, Ronnie Loeffen, José-Luis Pérez. Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. 150--166.

Boris Baeumer, Mihály Kovács. Approximating multivariate tempered stable processes. 167--183.

Patrik Andersson. Card counting in continuous time. 184--198.

James C. Fu, Tung-Lung Wu, W.Y. Wendy Lou. Continuous, discrete, and conditional scan statistics. 199--209.

Mamadou Ba, Etienne Pardoux, Ahmadou Bamba Sow. Binary trees, exploration processes, and an extended Ray-Knight theorem. 210--225.

Zakhar Kabluchko. Persistence and equilibria of branching populations with exponential intensity. 226--244.

Achim Wübker. Spectral theory for weakly reversible Markov chains. 245--265.

Lasse Leskelä, Harri Varpanen. Juggler's exclusion process. 266--279.

Yuqiang Li. Moderate deviations for stable random walks in random scenery. 280--294.

Pepa Ramírez-Cobo, Emilio Carrizosa. A note on the dependence structure of the two-state Markovian arrival process. 295--302.

Journal of Applied Probability, Volume 49, Number 2 (2012)

Sat, 16 Jun 2012 16:34 EDT

Contents:

L. B. Klebanov, A. V. Kakosyan, S. T. Rachev, G. Temnov. On a class of distributions stable under random summation. 303--318.

Emilio De Santis, Mauro Piccioni. Backward coalescence times for perfect simulation of chains with infinite memory. 319--337.

Jean-Marc Derrien, Frédérique Plantevin. A symmetry property for a class of random walks in stationary random environments on Z. 338--350.

K. Borovkov, G. Last. On Rice's formula for stationary multivariate piecewise smooth processes. 351--363.

Anne-Laure Fougeres, Cecile Mercadier. Risk measures and multivariate extensions of Breiman's theorem. 364--384.

S. Goliforushani, M. Asadi, N. Balakrishnan. On the residual and inactivity times of the components of used coherent systems. 385--404.

Ji Hwan Cha, Massimiliano Giorgio. A note on the failure rates in finite mixed populations. 405--415.

Ilya Gertsbakh, Yoseph Shpungin, Fabio Spizzichino. Two-dimensional signatures. 416--429.

Giovanni Puccetti, Bin Wang, Ruodu Wang. Advances in complete mixability. 430--440.

Richard Finlay, Eugene Seneta, Dingcheng Wang. An inverse gamma activity time process with noninteger parameters and a self-similar limit. 441--450.

Barlas Oğuz, Venkat Anantharam. Hurst index of functions of long-range-dependent Markov chains. 451--471.

Thomas House. Lie algebra solution of population models based on time-inhomogeneous Markov chains. 472--481.

Emmanuel Bacry, Laurent Duvernet, Jean-François Muzy. Continuous-time skewed multifractal processes as a model for financial returns. 482--502.

David K. George, Cathy H. Xia, Mark S. Squillante. Exact-order asymptotic analysis for closed queueing networks. 503--520.

R. McVinish, P. K. Pollett. A central limit theorem for a discrete-time SIS model with individual variation. 521--530.

Yuan-Chung Sheu, Ming-Yao Tsai. On optimal stopping problems for matrix-exponential jump-diffusion processes. 531--548.

Lothar Breuer. Occupation times for Markov-modulated Brownian motion. 549--565.

Götz Olaf Munsonius. On tail bounds for random recursive trees. 566--581.

Dimitrios G. Pandelis, Mark P. Van Oyen. Sample path optimal policies for serial lines with flexible workers. 582--589.

Aidan Sudbury. Means and variances in stochastic multistage cancer models. 590--594.

John Darroch, Eugene Seneta. OBITUARY: Miloslav Jiřina. 595--599.

Journal of Applied Probability, Volume 49, Number 3 (2012)

Thu, 06 Sep 2012 14:16 EDT

Contents:

Mindaugas Bloznelis, Friedrich Götze, Jerzy Jaworski. Birth of a strongly connected giant in an inhomogeneous random digraph. 601--611.

Boris L. Granovsky, Alexander V. Kryvoshaev. Coagulation processes with Gibbsian time evolution. 612--626.

K. B. Athreya. Coalescence in critical and subcritical Galton-Watson branching processes. 627--638.

Sophie Hautphenne. Extinction probabilities of supercritical decomposable branching processes. 639--651.

Ming Fang. Tightness for maxima of generalized branching random walks. 652--670.

A. E. Kyprianou, A. Murillo-Salas, J. L. Pérez. An application of the backbone decomposition to supercritical super-Brownian motion with a barrier. 671--684.

Thilanka Appuhamillage, Daniel Sheldon. First passage time of skew Brownian motion. 685--696.

Lothar Breuer. Exit problems for reflected Markov-modulated Brownian motion. 697--709.

Victor F. Araman, Peter W. Glynn. Fractional Brownian motion with H < 1/2 as a limit of scheduled traffic. 710--718.

Jorge Littin C.. Uniqueness of quasistationary distributions and discrete spectra when ∞ is an entrance boundary and 0 is singular. 719--730.

Wenbo V. Li, Vladislav V. Vysotsky. Probabilities of competing binomial random variables. 731--744.

Max Skipper. A Pólya approximation to the Poisson-binomial law. 745--757.

Fred W. Huffer, Jayaram Sethuraman. Joint distributions of counts of strings in finite Bernoulli sequences. 758--772.

Svante Janson, Svante Linusson. The probability of the Alabama paradox. 773--794.

Ryan Martin, Omkar Tilak. On ε-optimality of the pursuit learning algorithm. 795--805.

Pieter C. Allaart. Predicting the supremum: optimality of 'stop at once or not at all'. 806--820.

Abba M. Krieger, Ester Samuel-Cahn. The noisy secretary problem and some results on extreme concomitant variables. 821--837.

Oscar López, Nikita Ratanov. Option pricing driven by a telegraph process with random jumps. 838--849.

Daoud Bshouty, Antonio Di Crescenzo, Barbara Martinucci, Shelemyahu Zacks. Generalized telegraph process with random delays. 850--865.

Carole Bernard, Xiao Jiang, Steven Vanduffel. A note on 'Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011). 866--875.

Brian Fralix, Colin Gallagher. A new proof of the Wiener-Hopf factorization via Basu's theorem. 876--882.

Offer Kella. The class of distributions associated with the generalized Pollaczek-Khinchine formula. 883--887.

J. Theodore Cox, Rinaldo B. Schinazi. A branching process for virus survival. 888--894.

Sheldon M. Ross. Distribution of minimal path lengths when edge lengths are independent heterogeneous exponential random variables. 895--900.

Journal of Applied Probability, Volume 49, Number 4 (2012)

Wed, 05 Dec 2012 09:11 EST

Contents:

Jean Jacod, Claudia Klüppelberg, Gernot Müller. Functional relationships between price and volatility jumps and their consequences for discretely observed data. 901--914.

Martin Jacobsen. The time to ruin in some additive risk models with random premium rates. 915--938.

Xuemiao Hao, Qihe Tang. Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments. 939--953.

R. Romera, W. Runggaldier. Ruin probabilities in a finite-horizon risk model with investment and reinsurance. 954--966.

Leo Shen, Robert Elliott. Optimal design of dynamic default risk measures. 967--977.

Hui Jiang. Berry--Esseen bounds and the law of the iterated logarithm for estimators of parameters in an Ornstein--Uhlenbeck process with linear drift. 978--989.

Jian Wang. On the exponential ergodicity of Lévy-driven Ornstein--Uhlenbeck processes. 990--1004.

Andreas E. Kyprianou, Curdin Ott. Spectrally negative Lévy processes perturbed by functionals of their running supremum. 1005--1014.

Michael Grabchak. On a new class of tempered stable distributions: moments and regular variation. 1015--1035.

Damian Clancy. Approximating quasistationary distributions of birth--death processes. 1036--1051.

Esa Hyytiä, Samuli Aalto, Aleksi Penttinen, Jorma Virtamo. On the value function of the M/G/1 FCFS and LCFS queues. 1052--1071.

Tomás Prieto-Rumeau, Onésimo Hernández-Lerma. Discounted continuous-time controlled Markov chains: convergence of control models. 1072--1090.

Martial Longla, Costel Peligrad, Magda Peligrad. On the functional central limit theorem for reversible Markov chains with nonlinear growth of the variance. 1091--1105.

Zhongquan Tan, Enkelejd Hashorva, Zuoxiang Peng. Asymptotics of maxima of strongly dependent Gaussian processes. 1106--1118.

Lijun Bo, Chen Hao. First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers. 1119--1133.

Hamed Amini, Marc Lelarge. Upper deviations for split times of branching processes. 1134--1143.

Henry W. Block, Naftali A. Langberg, Thomas H. Savits. A Glaser twist: focus on the mixture parameters. 1144--1155.

Tom Britton, Pieter Trapman. Maximizing the size of the giant. 1156--1165.

TuǦrul Dayar, M. Can Orhan. Kronecker-based infinite level-dependent QBD processes. 1166--1187.

Samim Ghamami, Sheldon M. Ross. Improving the Asmusse}--Kroese-type simulation estimators. 1188--1193.

Tsuyoshi Katayama. A note on M/G/1 vacation systems with sojourn time limits. 1194--1199.

Journal of Applied Probability, Volume 50, Number 1 (2013)

Wed, 20 Mar 2013 09:01 EDT

Contents:

Chris Sherlock. Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule. 1--15.

Josh Reed, Amy Ward, Dongyuan Zhan. On the generalized drift Skorokhod problem in one dimension. 16--28.

Alexandra Chronopoulou, Georgios Fellouris. Optimal sequential change detection for fractional diffusion-type processes. 29--41.

Giovanni Puccetti, Ludger Rüschendorf. Sharp bounds for sums of dependent risks. 42--53.

Keisuke Matsumoto, Toshio Nakata. Limit theorems for a generalized Feller game. 54--63.

Denis Denisov, Vsevolod Shneer. Asymptotics for the first passage times of Lévy processes and random walks. 64--84.

Johan S. H. van Leeuwaarden, Kilian Raschel. Random walks reaching against all odds the other side of the quarter plane. 85--102.

Krzysztof Dębicki, Iwona Sierpińska, Bert Zwart. Asymptotics of hybrid fluid queues with Lévy input. 103--113.

Hanjun Zhang, Yixia Zhu. Domain of attraction of the quasistationary distribution for birth-and-death processes. 114--126.

Bo Jiang, Jian Tan, Wei Wei, Ness Shroff, Don Towsley. Heavy tails in queueing systems: impact of parallelism on tail performance. 127--150.

Hendrik Baumann, Werner Sandmann. Computing stationary expectations in level-dependent QBD processes. 151--165.

Holger Fink, Claudia Klüppelberg, Martina Zähle. Conditional distributions of processes related to fractional Brownian motion. 166--183.

Déborah Ferré, Loïc Hervé, James Ledoux. Regular perturbation of V -geometrically ergodic Markov chains. 184--194.

Bin Li, Qihe Tang, Xiaowen Zhou. A time-homogeneous diffusion model with tax. 195--207.

Amaury Lambert, Pieter Trapman. Splitting trees stopped when the first clock rings and Vervaat's transformation. 208--227.

Kevin Leckey, Ralph Neininger. Asymptotic analysis of Hoppe trees. 228--238.

Shuhei Mano. Ancestral graph with bias in gene conversion. 239--255.

Shuhei Mano. Duality between the two-locus Wright–Fisher diffusion model and the ancestral process with recombination. 256--271.

M. Burkschat, J. Navarro. Dynamic signatures of coherent systems based on sequential order statistics. --.

Offer Kella, Wolfgang Stadje. Asymptotic expected number of passages of a random walk through an interval. 288--294.

Adam Metzler. The Laplace transform of hitting times of integrated geometric Brownian motion. 295--299.

Yi-Ching Yao. A duality relation between the workload and attained waiting time in FCFS G/G/ s queues. 300--307.