VOL. 51 · NO. 3 | September 2014
Research Papers
J. E. Björnberg, T. Britton, E. I. Broman, E. Natan
J. Appl. Probab. 51 (3), 599-612, (September 2014) DOI: 10.1239/jap/1409932661
KEYWORDS: branching process, interacting branching process, model for virus growth, 60J80, 60J85, 60J27, 60J28, 92D15
Anyue Chen, Kai Wang Ng, Hanjun Zhang
J. Appl. Probab. 51 (3), 613-624, (September 2014) DOI: 10.1239/jap/1409932662
KEYWORDS: Markov branching process, disaster, decay parameter, invariant measure, invariant vector, quasistationary distribution, 60J27, 60J35, 60J80
Florian Simatos
J. Appl. Probab. 51 (3), 625-639, (September 2014) DOI: 10.1239/jap/1409932663
KEYWORDS: limit order book, Branching random walk, branching random walk with a barrier, 60J85, 60G55
Alessandro Gnoatto, Martino Grasselli
J. Appl. Probab. 51 (3), 640-656, (September 2014) DOI: 10.1239/jap/1409932664
KEYWORDS: Affine process, Wishart process, ordinary differential equation, Laplace transform, 65C30, 60H35, 91B70
Fabian Freund, Arno Siri-Jégousse
J. Appl. Probab. 51 (3), 657-668, (September 2014) DOI: 10.1239/jap/1409932665
KEYWORDS: Minimal clade size, Bolthausen-Sznitman n-coalescent, Chinese restaurant process, 60C05, 05C80, 60G09, 60F05, 60J27, 92D25
Yang Yang, Kaiyong Wang, Dimitrios G. Konstantinides
J. Appl. Probab. 51 (3), 669-684, (September 2014) DOI: 10.1239/jap/1409932666
KEYWORDS: Discounted aggregate claim, Dependence, Lévy process, consistently varying tail, dominatedly varying tail, long tail, uniformity, 91B30, 60G51, 60K05
Fabio Bellini, Franco Pellerey, Carlo Sgarra, Salimeh Yasaei Sekeh
J. Appl. Probab. 51 (3), 685-698, (September 2014) DOI: 10.1239/jap/1409932667
KEYWORDS: GARCH, Convex order, peakedness, kurtosis, supermodularity, 60E15, 91G70
Lingjiong Zhu
J. Appl. Probab. 51 (3), 699-712, (September 2014) DOI: 10.1239/jap/1409932668
KEYWORDS: Cox-Ingersoll-Ross process, point process, Hawkes process, self-exciting process, central limit theorem, large deviations, 60G07, 60G55, 60F05, 60F10
Enkelejd Hashorva, Lanpeng Ji
J. Appl. Probab. 51 (3), 713-726, (September 2014) DOI: 10.1239/jap/1409932669
KEYWORDS: Gaussian approximation, passage time, γ-reflected process, workload process, risk process with tax, fractional Brownian motion, Piterbarg constant, Pickands constant, 60G15, 60G70
Romain Biard, Bruno Saussereau
J. Appl. Probab. 51 (3), 727-740, (September 2014) DOI: 10.1239/jap/1409932670
KEYWORDS: Fractional Poisson process, Renewal process, long-range dependence, ruin probability, 60G22, 60G55, 91B30, 60K05, 33E12
Adam W. Grace, Dirk P. Kroese, Werner Sandmann
J. Appl. Probab. 51 (3), 741-755, (September 2014) DOI: 10.1239/jap/1409932671
KEYWORDS: importance sampling, adaptive, automated, improved cross entropy, state dependent, zero-variance distribution, Markov jump process, continuous-time Markov chain, Stochastic chemical kinetics, queueing system, 60J28, 62M05
Servet Martínez, Jaime San Martín, Denis Villemonais
J. Appl. Probab. 51 (3), 756-768, (September 2014) DOI: 10.1239/jap/1409932672
KEYWORDS: process with absorption, quasistationary distribution, Yaglom limit, mixing property, Birth-and-death process, 37A25, 60B10, 60F99, 60J80
Fabio Lopes
J. Appl. Probab. 51 (3), 769-779, (September 2014) DOI: 10.1239/jap/1409932673
KEYWORDS: Poisson process, random graph, bipartite, Stable matching, percolation, 60D05, 60G55, 05C80
Ruodu Wang
J. Appl. Probab. 51 (3), 780-798, (September 2014) DOI: 10.1239/jap/1409932674
KEYWORDS: Dependence bound, Complete mixability, value at risk, modeling uncertainty, 60E05, 60E15, 91E30
Pavel V. Gapeev, Neofytos Rodosthenous
J. Appl. Probab. 51 (3), 799-817, (September 2014) DOI: 10.1239/jap/1409932675
KEYWORDS: Multidimensional optimal stopping problem, Brownian motion, running maximum and running maximum drawdown process, free-boundary problem, instantaneous stopping and smooth fit, normal reflection, change-of-variable formula with local time on surfaces, perpetual American option, 60G40, 34K10, 91B70, 60J60, 34L30, 91B25
Luis H. R. Alvarez, Pekka Matomäki
J. Appl. Probab. 51 (3), 818-836, (September 2014) DOI: 10.1239/jap/1409932676
KEYWORDS: Optimal stopping, Linear diffusions, maximum process, 60J60, 62L15, 60G40
K. Borovkov, G. Decrouez, M. Gilson
J. Appl. Probab. 51 (3), 837-857, (September 2014) DOI: 10.1239/jap/1409932677
KEYWORDS: neural network, nonlinear Poisson neuron, Markov process, ergodicity, stationary distribution, 60J25, 92B20, 60J99
Jianhai Bao, Chenggui Yuan
J. Appl. Probab. 51 (3), 858-873, (September 2014) DOI: 10.1239/jap/1409932678
KEYWORDS: Stochastic partial differential equation, mild solution, stationary distribution, exponential integrator scheme, numerical approximation, 60H15, 65C30, 35K90
Short Communications
C. Y. Robert
J. Appl. Probab. 51 (3), 874-879, (September 2014) DOI: 10.1239/jap/1409932679
KEYWORDS: De Vylder and Goovaerts' conjecture, homogeneous risk model, finite time ruin probability, stochastic dominance, 60G50, 60G09, 60K30
Sheldon M. Ross
J. Appl. Probab. 51 (3), 880-884, (September 2014) DOI: 10.1239/jap/1409932680
KEYWORDS: Loss model, server eligibility, server selection, stochastic maximization, 60K25, 90B22, 90B36, 68M20
Tomomi Matsui, Katsunori Ano
J. Appl. Probab. 51 (3), 885-889, (September 2014) DOI: 10.1239/jap/1409932681
KEYWORDS: Optimal stopping, odd problem, lower bound, secretary problem, Maclaurin's inequality, 60G40, 60L15
Vicente Vergara
J. Appl. Probab. 51 (3), 890-893, (September 2014) DOI: 10.1239/jap/1409932682
KEYWORDS: telegraph equation, fractional derivative, Mittag-Leffler function, Tauberian theorem, 60G22, 45K05, 45M05
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