VOL. 52 · NO. 2 | June 2015
Research Papers
Kristian Debrabant, Andreas Rössler
J. Appl. Probab. 52 (2), 307-322, (June 2015) DOI: 10.1239/jap/1437658600
KEYWORDS: multi-level Monte Carlo, Monte Carlo, weak approximation, variance reduction, Stochastic differential equation, 65C05, 60H35, 65C20, 68U20
Mihály Kovács, Stig Larsson, Fredrik Lindgren
J. Appl. Probab. 52 (2), 323-338, (June 2015) DOI: 10.1239/jap/1437658601
KEYWORDS: Stochastic partial differential equation, Allen-Cahn equation, Additive Noise, Wiener process, Euler method, pathwise convergence, strong convergence, factorization method, 60H15, 60H35, 65C30
Ajay Jasra
J. Appl. Probab. 52 (2), 339-359, (June 2015) DOI: 10.1239/jap/1437658602
KEYWORDS: particle filter, central limit theorem, smoothing, 64C05, 62F15
Antonio Di Crescenzo, Barbara Martinucci, Shelemyahu Zacks
J. Appl. Probab. 52 (2), 360-374, (June 2015) DOI: 10.1239/jap/1437658603
KEYWORDS: Bell polynomials, first-crossing time, iterated process, linear boundary, mean sojourn time, Poisson process, 60J27, 60G40
Ágnes Backhausz, Tamás F. Móri
J. Appl. Probab. 52 (2), 375-390, (June 2015) DOI: 10.1239/jap/1437658604
KEYWORDS: scale-free, duplication, deletion, random graph, martingale, 60G42, 05C80
Christophe Andrieu, Gersende Fort, Matti Vihola
J. Appl. Probab. 52 (2), 391-404, (June 2015) DOI: 10.1239/jap/1437658605
KEYWORDS: Markov chain, inhomogeneous, Subgeometric ergodicity, polynomial ergodicity, 60J05, 60J22
Emmanuelle Anceaume, Yann Busnel, Bruno Sericola
J. Appl. Probab. 52 (2), 405-418, (June 2015) DOI: 10.1239/jap/1437658606
KEYWORDS: Coupon collector problem, minimization, Markov chain, 60C05, 60J05
Rolando Cavazos-Cadena, Raúl Montes-de-Oca, Karel Sladký
J. Appl. Probab. 52 (2), 419-440, (June 2015) DOI: 10.1239/jap/1437658607
KEYWORDS: Dominated convergence theorem for the expected average criterion, discrepancy function, Kolmogorov inequality, innovations, strong sample-path optimality, 90C40, 93E20, 60J05
Xiao Wu, Xianping Guo
J. Appl. Probab. 52 (2), 441-456, (June 2015) DOI: 10.1239/jap/1437658608
KEYWORDS: Discrete-time Markov decision process, varying discount factor, unbounded reward, first passage optimality, variance minimisation, 90C40, 93E20, 60J27
N. G. Bean, R. Elliott, A. Eshragh, J. V. Ross
J. Appl. Probab. 52 (2), 457-472, (June 2015) DOI: 10.1239/jap/1437658609
KEYWORDS: Continuous-time Markovian population model, binomial observation, simple birth process, Filtering, 60J27, 60J80, 62M09, 62M20
Yonit Barron
J. Appl. Probab. 52 (2), 473-489, (June 2015) DOI: 10.1239/jap/1437658610
KEYWORDS: Production-inventory model, backlog, cost functional, fluid flow process, martingale, EOQ, 60K10, 90B05, 60J28
Jean-Luc Marichal
J. Appl. Probab. 52 (2), 490-507, (June 2015) DOI: 10.1239/jap/1437658611
KEYWORDS: Semicoherent system, system signature, reliability function, domination vector, 62N05, 90B25, 94C10
Alessandro D'Andrea, Luca De Sanctis
J. Appl. Probab. 52 (2), 508-518, (June 2015) DOI: 10.1239/jap/1437658612
KEYWORDS: signature, reliability, simplicial complexes, 60C05, 93E03
Jere Koskela, Paul Jenkins, Dario Spanò
J. Appl. Probab. 52 (2), 519-537, (June 2015) DOI: 10.1239/jap/1437658613
KEYWORDS: Lambda-coalescent, Xi-coalescent, product of approximate conditionals, importance sampling, conditional sampling distribution, Population genetics, 60G09, 93E10, 92D25
Amaury Lambert, Chunhua Ma
J. Appl. Probab. 52 (2), 538-557, (June 2015) DOI: 10.1239/jap/1437658614
KEYWORDS: Censored coalescent, metapopulation, weak convergence, peripheral isolate, Population genetics, peripatric speciation, 60K35, 60J05, 60G10, 92D10, 92D15
Ji Hwan Cha, Inma T. Castro
J. Appl. Probab. 52 (2), 558-573, (June 2015) DOI: 10.1239/jap/1437658615
KEYWORDS: Dependent competing risks, degradation process, catastrophic failure, external shock process, baseline failure rate function, condition-based maintenance, 60K10, 62P30
F. G. Badía, C. Sangüesa
J. Appl. Probab. 52 (2), 574-585, (June 2015) DOI: 10.1239/jap/1437658616
KEYWORDS: decreasing failure rate, counting process, Renewal process, stochastic order, association, Little's law, 62E10, 60E15
Short Communications
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
J. Appl. Probab. 52 (2), 586-594, (June 2015) DOI: 10.1239/jap/1437658617
KEYWORDS: Consistent price system, stickiness, martingale, Arbitrage, Transaction costs, 91G80, 60G44
Dirk Veestraeten
J. Appl. Probab. 52 (2), 595-601, (June 2015) DOI: 10.1239/jap/1437658618
KEYWORDS: Ornstein-Uhlenbeck process, First passage time, moments, constant threshold, 60J60, 60K30
Mark Huber, Nevena Marić
J. Appl. Probab. 52 (2), 602-608, (June 2015) DOI: 10.1239/jap/1437658619
KEYWORDS: multivariate, copula, Correlation, Monte Carlo algorithm, 65C05, 68W20
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