VOL. 48 · NO. 3 | September 2011
Research Papers
Jianping Jiang, Sanguo Zhang, Tiande Guo
J. Appl. Probab. 48 (3), 597-610, (September 2011) DOI: 10.1239/jap/1316796901
KEYWORDS: continuum percolation, Russo's formula, uniqueness of the infinite cluster, Free energy, Connectivity function, 60K35, 82B43, 60G55
A. Tzioufas
J. Appl. Probab. 48 (3), 611-623, (September 2011) DOI: 10.1239/jap/1316796902
KEYWORDS: contact process, Kuczek-type argument, 60K35, 82C22
Valdivino V. Junior, Fábio P. Machado, Mauricio Zuluaga
J. Appl. Probab. 48 (3), 624-636, (September 2011) DOI: 10.1239/jap/1316796903
KEYWORDS: Coverage of space, Epidemic model, disk percolation, rumor model, 60K35, 60G50
Ning Cai
J. Appl. Probab. 48 (3), 637-656, (September 2011) DOI: 10.1239/jap/1316796904
KEYWORDS: jump diffusion, option pricing, hyperexponential, quantile option, Euler inversion, 60J75, 44A10
Karl Sigman, Ward Whitt
J. Appl. Probab. 48 (3), 657-678, (September 2011) DOI: 10.1239/jap/1316796905
KEYWORDS: heavy traffic, nearly deterministic queue, Erlang queue, Many-server queue, deterministic service time, Gaussian random walk, cyclic thinning, functional central limit theorem, invariance principle, 60K25, 60F17, 90B22
Tsuyoshi Katayama
J. Appl. Probab. 48 (3), 679-687, (September 2011) DOI: 10.1239/jap/1316796906
KEYWORDS: Sojourn time limit, vacation system, balking, level crossing, integral equation, 45D05, 60G17, 60K25
Ken R. Duffy, Giovanni Luca Torrisi
J. Appl. Probab. 48 (3), 688-698, (September 2011) DOI: 10.1239/jap/1316796907
KEYWORDS: heavy-tailed distribution, sample path large deviation, Poisson shot noise, 60F10
Tomoyuki Ichiba, Constantinos Kardaras
J. Appl. Probab. 48 (3), 699-712, (September 2011) DOI: 10.1239/jap/1316796908
KEYWORDS: First passage time, Monte Carlo density estimation, One-dimensional diffusion, three-dimensional Brownian bridge, Rate function, 65C05, 60G44
P. Zipkin
J. Appl. Probab. 48 (3), 713-722, (September 2011) DOI: 10.1239/jap/1316796909
KEYWORDS: First passage time, Wiener process, 60J65, 65N21, 58J35
Lijun Bo, Yongjin Wang, Xuewei Yang
J. Appl. Probab. 48 (3), 723-732, (September 2011) DOI: 10.1239/jap/1316796910
KEYWORDS: First passage time, Ornstein-Uhlenbeck process, reflecting barrier, compound Poisson-type boundary, 60J60, 60K10
Julia Eisenberg, Hanspeter Schmidli
J. Appl. Probab. 48 (3), 733-748, (September 2011) DOI: 10.1239/jap/1316796911
KEYWORDS: optimal control, Stochastic control, Hamilton-Jacobi-Bellman equation, capital injection, classical risk model, constant interest rate, riskless asset, 60K10, 91B30, 60J65
Andrei L. Badescu, Eric C. K. Cheung, Landy Rabehasaina
J. Appl. Probab. 48 (3), 749-765, (September 2011) DOI: 10.1239/jap/1316796912
KEYWORDS: Two-dimensional risk model, proportional reinsurance, geometric argument, absorbing set, time to ruin, deficit at ruin, 60G51, 60K30, 60J75
Kouji Yano, Kenji Yasutomi
J. Appl. Probab. 48 (3), 766-777, (September 2011) DOI: 10.1239/jap/1316796913
KEYWORDS: Markov chain, random walk in a directed graph, road coloring problem, Tsirelson's equation, Coupling from the past, 60J10, 37A35, 05C81, 37H10
Harry Crane
J. Appl. Probab. 48 (3), 778-791, (September 2011) DOI: 10.1239/jap/1316796914
KEYWORDS: paintbox process, Ewens' partition, Poisson-Dirichlet distribution, partition process, 60J25, 60G09
Matthieu Marouby
J. Appl. Probab. 48 (3), 792-810, (September 2011) DOI: 10.1239/jap/1316796915
KEYWORDS: Sums of micropulses, fractional Brownian motion, Multifractional Brownian motion, Poisson random measure, 60G15, 60G22, 60G60
Aleksandar Mijatović, Mikhail Urusov
J. Appl. Probab. 48 (3), 811-819, (September 2011) DOI: 10.1239/jap/1316796916
KEYWORDS: Local martingales versus true martingales, stochastic exponential, 60G44, 60G48, 60H10, 60J60
Chihoon Lee
J. Appl. Probab. 48 (3), 820-831, (September 2011) DOI: 10.1239/jap/1316796917
KEYWORDS: Reflected fractional Brownian motion, heavy traffic theory, geometric drift inequality, Return time, 60G22, 90B18, 60G15, 60G18
Nader Ebrahimi, Yarong Yang
J. Appl. Probab. 48 (3), 832-842, (September 2011) DOI: 10.1239/jap/1316796918
KEYWORDS: Associated random variable, Conditionally increasing in sequence, Gibbs distribution, Gibbs sampling, Markov random field, reliability, 60N05, 60G55, 90B25
Ilya Gertsbakh, Yoseph Shpungin, Fabio Spizzichino
J. Appl. Probab. 48 (3), 843-855, (September 2011) DOI: 10.1239/jap/1316796919
KEYWORDS: Cumulative and tail signatures, recurrent, series, parallel system, anchor, homogeneous polynomial, 60K10, 90B25
Jorge Navarro, Francisco J. Samaniego, N. Balakrishnan
J. Appl. Probab. 48 (3), 856-867, (September 2011) DOI: 10.1239/jap/1316796920
KEYWORDS: Coherent system, k-out-of-n system, order statistic, signature, mixture, copula, stochastic order, 60E15, 60K10
Ji Hwan Cha, Maxim Finkelstein
J. Appl. Probab. 48 (3), 868-876, (September 2011) DOI: 10.1239/jap/1316796921
KEYWORDS: heterogeneous population, minimal repair, frailty, intensity process, updating procedure, 60K10, 90B25
Short Communications
Maochao Xu, N. Balakrishnan
J. Appl. Probab. 48 (3), 877-884, (September 2011) DOI: 10.1239/jap/1316796922
KEYWORDS: Bernoulli, heterogeneous variable, likelihood ratio order, majorization, reversed hazard rate order, 60E15, 62N05, 62G30, 62D05
Torrey Johnson, Edward C. Waymire
J. Appl. Probab. 48 (3), 885-891, (September 2011) DOI: 10.1239/jap/1316796923
KEYWORDS: multiplicative cascade, T-martingale, tree polymer, Strong disorder, 60K35, 60G42, 82D30
Stefan Gerhold
J. Appl. Probab. 48 (3), 892-899, (September 2011) DOI: 10.1239/jap/1316796924
KEYWORDS: Hartman-Watson distribution, Asian option, saddle point method, 62E20, 60J65
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