VOL. 49 · NO. 4 | December 2012
The 2011 Applied Probability Trust Lecture
Jean Jacod, Claudia Klüppelberg, Gernot Müller
J. Appl. Probab. 49 (4), 901-914, (December 2012) DOI: 10.1239/jap/1354716647
KEYWORDS: Barndorff-Nielsen Shephard model, CARMA, continuous-time GARCH, COGARCH, Common jumps, high-frequency data, Itô semimartingale, Lévy process, Ornstein--Uhlenbeck process, stochastic volatility, 60G48, 60H30, 91G70, 62G10, 62M02
Research Papers
Martin Jacobsen
J. Appl. Probab. 49 (4), 915-938, (December 2012) DOI: 10.1239/jap/1354716648
KEYWORDS: time to ruin, deficit at ruin, partial eigenfunction, martingale, optional sampling, Cramér--Lundberg equation, Rouché's theorem, 60K20, 60G40, 60G44, 60J35
Xuemiao Hao, Qihe Tang
J. Appl. Probab. 49 (4), 939-953, (December 2012) DOI: 10.1239/jap/1354716649
KEYWORDS: (extended) regular variation, finite-time and infinite-time ruin probabilities, Lévy process, stochastic difference equation, tail probability, 91B30, 60G51, 91B28
R. Romera, W. Runggaldier
J. Appl. Probab. 49 (4), 954-966, (December 2012) DOI: 10.1239/jap/1354716650
KEYWORDS: Risk process, semi-Markov process, optimal reinsurance and investment, Lundberg-type bound, 91B30, 93E20, 60J28
Leo Shen, Robert Elliott
J. Appl. Probab. 49 (4), 967-977, (December 2012) DOI: 10.1239/jap/1354716651
KEYWORDS: inf-convolution, dynamic entropic risk measure, single jump process, backward stochastic differential equation, 60H10, 60G42, 65C30
Hui Jiang
J. Appl. Probab. 49 (4), 978-989, (December 2012) DOI: 10.1239/jap/1354716652
KEYWORDS: Berry--Esseen bound, Law of the iterated logarithm, maximum likelihood estimator, Ornstein--Uhlenbeck process, precise rate, 62N02, 60F15, 60G50
Jian Wang
J. Appl. Probab. 49 (4), 990-1004, (December 2012) DOI: 10.1239/jap/1354716653
KEYWORDS: Lévy process, Ornstein--Uhlenbeck process, Coupling property, exponential ergodicity, 60H10, 60J75, 60G51
Andreas E. Kyprianou, Curdin Ott
J. Appl. Probab. 49 (4), 1005-1014, (December 2012) DOI: 10.1239/jap/1354716654
KEYWORDS: spectrally negative Lévy process, Excursion theory, creeping, ruin, 60K05, 60K15, 91B30
Michael Grabchak
J. Appl. Probab. 49 (4), 1015-1035, (December 2012) DOI: 10.1239/jap/1354716655
KEYWORDS: Infinite divisibility, tempered stable distribution, regular variation, tail behavior, 60E07, 60G51
Damian Clancy
J. Appl. Probab. 49 (4), 1036-1051, (December 2012) DOI: 10.1239/jap/1354716656
KEYWORDS: Moment closure, cumulant closure, SIS epidemic model, logistic population growth, 60J28, 60J80, 92D25, 92D30
Esa Hyytiä, Samuli Aalto, Aleksi Penttinen, Jorma Virtamo
J. Appl. Probab. 49 (4), 1052-1071, (December 2012) DOI: 10.1239/jap/1354716657
KEYWORDS: M/G/1, FCFS, LCFS, value function, sojourn time, mean delay, 60K25, 90C40
Tomás Prieto-Rumeau, Onésimo Hernández-Lerma
J. Appl. Probab. 49 (4), 1072-1090, (December 2012) DOI: 10.1239/jap/1354716658
KEYWORDS: Continuous-time controlled Markov chain, approximation of control models, discount optimality, 90C40, 60J27
Martial Longla, Costel Peligrad, Magda Peligrad
J. Appl. Probab. 49 (4), 1091-1105, (December 2012) DOI: 10.1239/jap/1354716659
KEYWORDS: maximal inequality, reversible process, Martingale approximation, Markov chain, tightness, functional central limit theorem, 60F17, 60G05, 60G10
Zhongquan Tan, Enkelejd Hashorva, Zuoxiang Peng
J. Appl. Probab. 49 (4), 1106-1118, (December 2012) DOI: 10.1239/jap/1354716660
KEYWORDS: stationary Gaussian process, Strong dependence, Berman's condition, limit theorem, Pickands' constant, 60G15, 60G70
Lijun Bo, Chen Hao
J. Appl. Probab. 49 (4), 1119-1133, (December 2012) DOI: 10.1239/jap/1354716661
KEYWORDS: First passage time, CEV process, reflecting barrier, 60J60, 60K10
Hamed Amini, Marc Lelarge
J. Appl. Probab. 49 (4), 1134-1143, (December 2012) DOI: 10.1239/jap/1354716662
KEYWORDS: continuous-time branching process, split time, large deviation, 60J80, 60F10
Henry W. Block, Naftali A. Langberg, Thomas H. Savits
J. Appl. Probab. 49 (4), 1144-1155, (December 2012) DOI: 10.1239/jap/1354716663
KEYWORDS: reliability, Failure rate function, bathtub failure rate, 62N05
Tom Britton, Pieter Trapman
J. Appl. Probab. 49 (4), 1156-1165, (December 2012) DOI: 10.1239/jap/1354716664
KEYWORDS: random graph, branching process, epidemiology, 05C80, 60J80, 92D30, 82B43
TuǦrul Dayar, M. Can Orhan
J. Appl. Probab. 49 (4), 1166-1187, (December 2012) DOI: 10.1239/jap/1354716665
KEYWORDS: Markov process, numerical analysis, simulation, biology, queues: theory, 60J22, 60J28, 92C45, 92D25
Short Communications
Samim Ghamami, Sheldon M. Ross
J. Appl. Probab. 49 (4), 1188-1193, (December 2012) DOI: 10.1239/jap/1354716666
KEYWORDS: Heavy-tailed random variable, Rare event, efficient Monte Carlo estimation, variance reduction, conditioning; stratification, control variate, stop-loss transform, 65C05, 91G20
Tsuyoshi Katayama
J. Appl. Probab. 49 (4), 1194-1199, (December 2012) DOI: 10.1239/jap/1354716667
KEYWORDS: Sojourn time limit, vacation system, balking, level crossing, integral equation, 45D05, 60G17, 60K25
Back Matter
J. Appl. Probab. 49 (4), 1200-1203, (December 2012)
No abstract available
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