VOL. 50 · NO. 2 | June 2013
Research Papers
Zechun Hu, Bin Jiang
J. Appl. Probab. 50 (2), 309-322, (June 2013) DOI: 10.1239/jap/1371648943
KEYWORDS: Two-dimensional risk model, constant interest rate, joint ruin probability, integral-differential equation, asymptotic expression, 91B30, 60J25
Renaud Marty
J. Appl. Probab. 50 (2), 323-343, (June 2013) DOI: 10.1239/jap/1371648944
KEYWORDS: Multifractional process, Hermite polynomial, limit theorem, Sample path properties, 60F17, 60G17, 60G22
Young Lee, Thorsten Rheinländer
J. Appl. Probab. 50 (2), 344-358, (June 2013) DOI: 10.1239/jap/1371648945
KEYWORDS: continuous-time Markov chain, Relative entropy, martingale measure, 60J25, 91B28
P. Patie
J. Appl. Probab. 50 (2), 359-373, (June 2013) DOI: 10.1239/jap/1371648946
KEYWORDS: Asian option, Lévy process, exponential functional, hypergeometric-type function, 91G20, 60G51
Erik Ekström, Carl Lindberg
J. Appl. Probab. 50 (2), 374-387, (June 2013) DOI: 10.1239/jap/1371648947
KEYWORDS: Optimal stopping, momentum, trading, quickest detection problem for Brownian motion, 91G10, 60G40
Xianyi Wu, Xian Zhou
J. Appl. Probab. 50 (2), 388-402, (June 2013) DOI: 10.1239/jap/1371648948
KEYWORDS: Open bandit process, generalized bandit process, Gittins index, priority scheduling, 90B36, 60G40, 90C40
Abba M. Krieger, Ester Samuel-Cahn
J. Appl. Probab. 50 (2), 403-418, (June 2013) DOI: 10.1239/jap/1371648949
KEYWORDS: Dynamic allocation, invincible fighter, frail fighter, hazard rate dominance, likelihood ratio dominance, optimality properties, 62L99, 60K10
Xiaonan Che, Angelos Dassios
J. Appl. Probab. 50 (2), 419-429, (June 2013) DOI: 10.1239/jap/1371648950
KEYWORDS: boundary crossing probability, first passage time probability, Brownian motion, 60G40, 62P05, 60G51
Lothar Breuer
J. Appl. Probab. 50 (2), 430-438, (June 2013) DOI: 10.1239/jap/1371648951
KEYWORDS: Markov-modulated Brownian motion, Local time, resolvent, Markov-additive process, 60J25, 60G51, 60J55
Offer Kella, Onno Boxma
J. Appl. Probab. 50 (2), 439-449, (June 2013) DOI: 10.1239/jap/1371648952
KEYWORDS: Lévy-type process, Lévy storage system, Kella-Whitt martingale, 60K25, 60K37, 60K30, 60H30
Antonio Di Crescenzo, Antonella Iuliano, Barbara Martinucci, Shelemyahu Zacks
J. Appl. Probab. 50 (2), 450-463, (June 2013) DOI: 10.1239/jap/1371648953
KEYWORDS: Jump-telegraph process, alternating renewal process, exponential random time, random jump, 60K15, 60J75
Antonio Di Crescenzo, Esther Frostig, Franco Pellerey
J. Appl. Probab. 50 (2), 464-474, (June 2013) DOI: 10.1239/jap/1371648954
KEYWORDS: Supermodular function, directionally convex function, increasing convex order, risks portfolio, cyclic queueing network, reliability, series system, 60E15, 62P05, 90B25
Xiuying Feng, Shuhong Zhang, Xiaohu Li
J. Appl. Probab. 50 (2), 475-485, (June 2013) DOI: 10.1239/jap/1371648955
KEYWORDS: Coherent system, order statistics, Residual lifetime, signature, stochastic order, 62E15, 60K10
Giacomo Aletti, Andrea Ghiglietti, Anna Maria Paganoni
J. Appl. Probab. 50 (2), 486-498, (June 2013) DOI: 10.1239/jap/1371648956
KEYWORDS: Reinforced process, urn scheme, sequential clinical trial, stochastic process, 60F15, 62L12
Yunjiang Jiang, Weijun Xu
J. Appl. Probab. 50 (2), 499-515, (June 2013) DOI: 10.1239/jap/1371648957
KEYWORDS: Signature of a path, reduced word, number of turns, 60F10, 60F17, 60G50
Qunqiang Feng, Zhishui Hu
J. Appl. Probab. 50 (2), 516-532, (June 2013) DOI: 10.1239/jap/1371648958
KEYWORDS: random network, small world, Zagreb index, scale-free tree, 05C05, 60C05, 60F05
Alexander Shapiro
J. Appl. Probab. 50 (2), 533-541, (June 2013) DOI: 10.1239/jap/1371648959
KEYWORDS: Law invariant convex and coherent risk measures, stochastic programming, Law of Large Numbers, consistency of statistical estimators, epiconvergence, sample average approximation, 62F12, 90C15
Rudolf Grübel, Paweł Hitczenko
J. Appl. Probab. 50 (2), 542-556, (June 2013) DOI: 10.1239/jap/1371648960
KEYWORDS: Chinese restaurant process, digital search trees, geometric distribution, Maxima, tail behaviour, 60C05, 60F99, 60J10
Michael R. Tehranchi
J. Appl. Probab. 50 (2), 557-575, (June 2013) DOI: 10.1239/jap/1371648961
KEYWORDS: fake Brownian motion, binomial tree model, Geometric Brownian motion, weak convergence to Brownian motion, 60G42, 60G44, 91B25
Jyy-I Hong
J. Appl. Probab. 50 (2), 576-591, (June 2013) DOI: 10.1239/jap/1371648962
KEYWORDS: branching process, Coalescence, subcritical, Bellman, Harris, age dependent, line of descent, 60J80, 60G50
Short Communications
Yaozhong Hu, Chihoon Lee
J. Appl. Probab. 50 (2), 592-597, (June 2013) DOI: 10.1239/jap/1371648963
KEYWORDS: Parameter estimation, fractional Brownian motion, reflected process, strong consistency, queueing model, asymptotic normality, 60G22, 62M09, 90B18
Loïc Hervé, James Ledoux
J. Appl. Probab. 50 (2), 598-601, (June 2013) DOI: 10.1239/jap/1371648964
KEYWORDS: Markov renewal process, 60J05, 60K15
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