VOL. 52 · NO. 1 | March 2015
Research Papers
François Roueff, Philippe Soulier
J. Appl. Probab. 52 (1), 1-17, (March 2015) DOI: 10.1239/jap/1429282603
KEYWORDS: regular variation, Stable process, Functional convergence, 60G52, 60G55, 60G70
R. Garra, E. Orsingher, F. Polito
J. Appl. Probab. 52 (1), 18-36, (March 2015) DOI: 10.1239/jap/1429282604
KEYWORDS: Dzhrbashyan-Caputo fractional derivative, Poisson process, Stable process, Mittag-Leffler function, pure birth process, 60G55, 26A33, 34A08, 60G22
Raúl Fierro, Víctor Leiva, Jesper Møller
J. Appl. Probab. 52 (1), 37-54, (March 2015) DOI: 10.1239/jap/1429282605
KEYWORDS: central limit theorem, clustering effect, Law of Large Numbers, unpredictable marks, 60G55, 60F05
Krzysztof Dębicki, Enkelejd Hashorva, Natalia Soja-Kukieła
J. Appl. Probab. 52 (1), 55-67, (March 2015) DOI: 10.1239/jap/1429282606
KEYWORDS: Gaussian random field, supremum, tail asymptoticy, extremal index, Berman condition, Strong dependence, 60G15, 60G70
K. M. Kosiński, M. Mandjes
J. Appl. Probab. 52 (1), 68-81, (March 2015) DOI: 10.1239/jap/1429282607
KEYWORDS: Extrema of stochastic process, large deviation theory, 60F10, 60G70
Vassili N. Kolokoltsov
J. Appl. Probab. 52 (1), 82-101, (March 2015) DOI: 10.1239/jap/1429282608
KEYWORDS: Stochastic monotonicity, stochastic duality, generators of dual processes, dual semigroup, put-call symmetry and reversal, powered and digital options, straddle, 60J25, 62P05, 97M30, 60J60, 60J75
Nuria Torrado, Subhash C. Kochar
J. Appl. Probab. 52 (1), 102-116, (March 2015) DOI: 10.1239/jap/1429282609
KEYWORDS: likelihood ratio order, reverse hazard rate order, majorization, order statistics, multiple-outlier model, 62G30, 60E15, 60K10
Patryk Miziuła, Tomasz Rychlik
J. Appl. Probab. 52 (1), 117-128, (March 2015) DOI: 10.1239/jap/1429282610
KEYWORDS: Semicoherent system, mixed system, Samaniego signature, Exchangeable random variables, sharp bound, dispersion measure, variance, median absolute deviation, 62N05, 60E15, 62G30
Albert Ferreiro-Castilla, Kees van Schaik
J. Appl. Probab. 52 (1), 129-148, (March 2015) DOI: 10.1239/jap/1429282611
KEYWORDS: Wiener-Hopf decomposition, Monte Carlo simulation, Multilevel Monte Carlo, Lévy process, exotic option pricing, First passage time, overshoot, insurance risk process, 65C05, 68U20, 60G51
Hanchao Wang
J. Appl. Probab. 52 (1), 149-166, (March 2015) DOI: 10.1239/jap/1429282612
KEYWORDS: Euler scheme, weak convergence, pure jump Itô semimartingale, Stochastic differential equation, 60J75, 65C30, 60J30, 60F17
Bruno Buonaguidi, Pietro Muliere
J. Appl. Probab. 52 (1), 167-179, (March 2015) DOI: 10.1239/jap/1429282613
KEYWORDS: disorder problem, free-boundary problem, negative binomial process, Optimal stopping, principles of continuous and smooth fit, regular boundary, sequential detection, 60G40, 62C10, 62L10, 35R35
Ernst Schulte-Geers, Wolfgang Stadje
J. Appl. Probab. 52 (1), 180-190, (March 2015) DOI: 10.1239/jap/1429282614
KEYWORDS: Pólya's urn, binomial random walk, all-time maximal percentage, exact distribution, 60C05
David Landriault, Bin Li, Hongzhong Zhang
J. Appl. Probab. 52 (1), 191-208, (March 2015) DOI: 10.1239/jap/1429282615
KEYWORDS: Drawdown, frequency, Brownian motion, 60G40, 60J65, 91B24
Zhengjun Jiang
J. Appl. Probab. 52 (1), 209-223, (March 2015) DOI: 10.1239/jap/1429282616
KEYWORDS: Optimal dividend policy, Markov chain, regime switching, jump-diffusion process, Stochastic control, 93E20, 91B70, 60H30
Li-Juan Cheng, Yong-Hua Mao
J. Appl. Probab. 52 (1), 224-237, (March 2015) DOI: 10.1239/jap/1429282617
KEYWORDS: hitting time, lifetime, eigentime identity, strong ergodicity, uniform decay, eigenvalue, 60J60, 47A75
Youzhou Zhou
J. Appl. Probab. 52 (1), 238-246, (March 2015) DOI: 10.1239/jap/1429282618
KEYWORDS: two-parameter Poisson-Dirichlet distribution, Transition density, ergodic inequality, 60J60, 37A30
A. V. Kalinkin, A. V. Mastikhin
J. Appl. Probab. 52 (1), 247-257, (March 2015) DOI: 10.1239/jap/1429282619
KEYWORDS: Markov epidemic process, transition probabilities, exponential generating function, closed solution, branching property, 60F99, 60J27, 60K35, 60J80, 92D30
Eric Foxall
J. Appl. Probab. 52 (1), 258-268, (March 2015) DOI: 10.1239/jap/1429282620
KEYWORDS: contact process, interacting particle systems, 60J25, 92B99
Babak Haji, Sheldon M. Ross
J. Appl. Probab. 52 (1), 269-277, (March 2015) DOI: 10.1239/jap/1429282621
KEYWORDS: heterogeneous server, queueing loss system, limiting probability, no-memory policy, method of stages, reverse chain, equilibrium distribution, Gibbs sampler, 60K25, 60J27, 90B22
Erik A. van Doorn
J. Appl. Probab. 52 (1), 278-289, (March 2015) DOI: 10.1239/jap/1429282622
KEYWORDS: birth-death process, Exponential decay, rate of convergence, orthogonal polynomials, 60J80, 42C05
Short Communications
Hosam M. Mahmoud, Mark D. Ward
J. Appl. Probab. 52 (1), 290-297, (March 2015) DOI: 10.1239/jap/1429282623
KEYWORDS: recursive tree, Random structure, combinatorial probability, 60C05, 60F05
Martin Egozcue, Luis Fuentes García
J. Appl. Probab. 52 (1), 298-304, (March 2015) DOI: 10.1239/jap/1429282624
KEYWORDS: Two-envelope problem, threshold strategy, decision theory, 91B06, 60G40
Letter to the Editor
S. Ashrafi, M. Asadi
J. Appl. Probab. 52 (1), 305, (March 2015) DOI: 10.1239/jap/1429282625
No abstract available
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