VOL. 48 · NO. 1 | March 2011
Research Papers
Angelos Dassios, Shanle Wu
J. Appl. Probab. 48 (1), 1-20, (March 2011) DOI: 10.1239/jap/1300198132
KEYWORDS: Excursion time, four-state semi-Markov model, double-barrier Parisian option, Laplace transform, 91B28, 60J65, 60G44, 60J25
Katsumasa Nishide, L. C. G. Rogers
J. Appl. Probab. 48 (1), 21-30, (March 2011) DOI: 10.1239/jap/1300198133
KEYWORDS: Log Brownian motion, optimal stopping time, continuation region, Convex hull, 60G40, 62L15, 93E20
Nader Ebrahimi
J. Appl. Probab. 48 (1), 31-42, (March 2011) DOI: 10.1239/jap/1300198134
KEYWORDS: copula function, Farlie-Gumbel-Morgenstern copula, Gaussian copula, isotropic covariance function, Markov random field, multivariate hazard gradient, reliability function, survival function, 60N05, 60G55, 90B25
Neeraj Misra, Amit Kumar Misra, Ishwari Dutt Dhariyal
J. Appl. Probab. 48 (1), 43-55, (March 2011) DOI: 10.1239/jap/1300198135
KEYWORDS: Hazard rate order, IFR, increasing concave (convex) order, likelihood ratio order, reversed hazard rate order, stochastic precedence order, usual stochastic order, 62N05, 90B25
F. G. Badia
J. Appl. Probab. 48 (1), 56-67, (March 2011) DOI: 10.1239/jap/1300198136
KEYWORDS: IFR property, DRHR property, generalized renewal process, trend renewal process, 62E10, 60E15
N. S. Walton
J. Appl. Probab. 48 (1), 68-89, (March 2011) DOI: 10.1239/jap/1300198137
KEYWORDS: utility optimization, Queueing network, quasi-reversible, large deviation, congestion window, congestion control, 90B15, 60K25, 90B22, 90B18
Konstantin Avrachenkov, Alexey Piunovskiy, Yi Zhang
J. Appl. Probab. 48 (1), 90-113, (March 2011) DOI: 10.1239/jap/1300198138
KEYWORDS: Bandwidth-sharing network, fluid model, optimal control, tracking policy, rate of convergence, 60K25, 68M20
Peter W. Glynn, Michel Mandjes
J. Appl. Probab. 48 (1), 114-130, (March 2011) DOI: 10.1239/jap/1300198139
KEYWORDS: Lévy process, reflection, workload process, correlation function, simulation, coupling, importance sampling, 60G51, 60K25
Rudolf Grübel, Hendrik Wegener
J. Appl. Probab. 48 (1), 131-144, (March 2011) DOI: 10.1239/jap/1300198140
KEYWORDS: asymptotics, Kendall's tau, log-concave density, log-convex density, queue, prediction, permutation, 60K25, 62M07, 62M20
Chihoon Lee
J. Appl. Probab. 48 (1), 145-153, (March 2011) DOI: 10.1239/jap/1300198141
KEYWORDS: Reflected fractional Brownian motion, heavy traffic theory, Return time, 60G22, 90B18, 60G15, 60G18
Chang-Long Yao, Ge Chen, Tian-De Guo
J. Appl. Probab. 48 (1), 154-172, (March 2011) DOI: 10.1239/jap/1300198142
KEYWORDS: continuum percolation, Chemical distance, shape theorem, large deviation inequality, 60K35, 82B43
Simon E. F. Spencer, Philip D. O'Neill
J. Appl. Probab. 48 (1), 173-188, (March 2011) DOI: 10.1239/jap/1300198143
KEYWORDS: branching process, Epidemic, influenza, Stochastic epidemic, 92D30, 60J80
R. T. Smythe
J. Appl. Probab. 48 (1), 189-199, (March 2011) DOI: 10.1239/jap/1300198144
KEYWORDS: urn model, martingale, occupancy problem, coupon collection, central limit theorem, Poisson limit, 60F05, 60G42, 05A05, 60C05
E. J. Baurdoux, K. Van Schaik
J. Appl. Probab. 48 (1), 200-216, (March 2011) DOI: 10.1239/jap/1300198145
KEYWORDS: stochastic game, Optimal stopping, é process, fluctuation theory, 60G40, 91A15
Mark S. Veillette, Murad S. Taqqu
J. Appl. Probab. 48 (1), 217-237, (March 2011) DOI: 10.1239/jap/1300198146
KEYWORDS: infinitely divisible distribution, Post-Widder formula, stable distribution, stochastic integration, 60E07, 65C50, 60-08, 60-04
Ken R. Duffy, Claudio Macci, Giovanni Luca Torrisi
J. Appl. Probab. 48 (1), 238-257, (March 2011) DOI: 10.1239/jap/1300198147
KEYWORDS: large deviation, order statistic, empirical law, Skorokhod topology, weak convergence, 60F10, 62G30
Ji Hwan Cha, Maxim Finkelstein
J. Appl. Probab. 48 (1), 258-270, (March 2011) DOI: 10.1239/jap/1300198148
KEYWORDS: Extreme shock model, combined shock model, wear, virtual age, probability approximation, 60K10, 62P30
Subhash Kochar, Maochao Xu
J. Appl. Probab. 48 (1), 271-284, (March 2011) DOI: 10.1239/jap/1300198149
KEYWORDS: Dispersive order, exponential distribution, decreasing failure rate, k-out-of-n system, proportional hazard rate, right spread order, skewness, star order, 60E15, 62N05, 62G30, 62D05
Short Communications
Patrick Fayard, Timothy R. Field
J. Appl. Probab. 48 (1), 285-292, (March 2011) DOI: 10.1239/jap/1300198150
KEYWORDS: Stochastic differential equation, scattering of waves, K-distribution, Fokker-Planck equation, Population dynamics, diffusion process, 74J20, 93E03
Rhonda Righter
J. Appl. Probab. 48 (1), 293-294, (March 2011) DOI: 10.1239/jap/1300198151
KEYWORDS: Total discounted reward, stopping time, stochastic ordering, 60G40, 90C40
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