VOL. 53 · NO. 1 | March 2016
Research Papers
Chunmao Huang
J. Appl. Probab. 53 (1), 1-21, (March 2016)
KEYWORDS: moments, Mandelbrot martingales, multiplicative cascades, harmonic moments, multibranching random walks, 60J80, 60G42
Qing-Pei Zang, Li-Xin Zhang
J. Appl. Probab. 53 (1), 22-32, (March 2016)
KEYWORDS: Reflected Ornstein-Uhlenbeck process, maximum likelihood estimation, Cramer-Rao lower bound, 60F15, 62F12
Félix Belzunce, Carolina Martínez-Riquelme, José M. Ruiz, Miguel A. Sordo
J. Appl. Probab. 53 (1), 33-46, (March 2016)
KEYWORDS: Excess wealth order, generalized order statistics, spacings, 60E15, 62P05
Yinping You, Xiaohu Li
J. Appl. Probab. 53 (1), 47-56, (March 2016)
KEYWORDS: Archimedean copula, coverage limit, deductible, majorization, upper tail permutation decreasing, 91B16, 91B30, 60E15
Mathew D. Penrose
J. Appl. Probab. 53 (1), 57-70, (March 2016)
KEYWORDS: Semi-homogeneous random digraph, Giant component, branching process, 05C80, 60J85, 92D30
N. Packham, M. Kalkbrener, L. Overbeck
J. Appl. Probab. 53 (1), 71-81, (March 2016)
KEYWORDS: Financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain of attraction, 60G70, 91G40
Eva Ferreira, Winfried Stute
J. Appl. Probab. 53 (1), 82-90, (March 2016)
KEYWORDS: Dynamic binomials, policy function, fixed point, stationary limit, 60J10, 91D10, 60E10
Fabián Crocce, Ernesto Mordecki
J. Appl. Probab. 53 (1), 91-105, (March 2016)
KEYWORDS: Markov control process, dice game, optimal control, finite exact algorithm, 90C40, 60G40
Michael N. Katehakis, Laurens C. Smit, Floske M. Spieksma
J. Appl. Probab. 53 (1), 106-120, (March 2016)
KEYWORDS: steady state analysis, Queueing, successive lumping, 60K25, 68M20
Christian Schluter, Mark Trede
J. Appl. Probab. 53 (1), 121-129, (March 2016)
KEYWORDS: limit theorem, city-size growth, high-frequency return process, 60F05, 62E20, 91B30, 91B70
Miriam Isabel Seifert
J. Appl. Probab. 53 (1), 130-145, (March 2016)
KEYWORDS: Conditional extreme value model, polar representation, elliptical distribution, Gumbel max-domain of attraction, random norming, 60F05, 60G70, 62E20, 62G32
Gennady Samorodnitsky, Sidney Resnick, Don Towsley, Richard Davis, Amy Willis, Phyllis Wan
J. Appl. Probab. 53 (1), 146-161, (March 2016)
KEYWORDS: Multivariate heavy tails, Preferential attachment model, scale-free networks, 60G70, 05C80
Krzysztof Jasiński, Tomasz Rychlik
J. Appl. Probab. 53 (1), 162-173, (March 2016)
KEYWORDS: Drawing with replacement, drawing without replacement, order statistics, variance, optimal bound, 60C05, 60E15, 62G32
Hyunju Lee, Ji Hwan Cha
J. Appl. Probab. 53 (1), 174-186, (March 2016)
KEYWORDS: Cascading failure, Stochastic intensity, k-out-of-n system, risk measure, information-based residual lifetime, 60K10, 62P30
Nguyen Huu Du, Dang Hai Nguyen, G. George Yin
J. Appl. Probab. 53 (1), 187-202, (March 2016)
KEYWORDS: ergodicity, extinction, permanence, Predator-prey, Beddington-DeAngelis functional response, stationary distribution, 34C12, 60H10, 92D25
Frank Ball, Tom Britton, Peter Neal
J. Appl. Probab. 53 (1), 203-215, (March 2016)
KEYWORDS: birth-death process, branching processes, SIS epidemics, insensitivity results, 60J80, 60G10, 92D30
Walter A. F. de Carvalho, Sandro Gallo, Nancy L. Garcia
J. Appl. Probab. 53 (1), 216-230, (March 2016)
KEYWORDS: factor map, continuity rate, Chains of infinite order, 60K15, 60J10, 60G10
S. McKinlay, K. Borovkov
J. Appl. Probab. 53 (1), 231-243, (March 2016)
KEYWORDS: stationary distribution, Markov chain, ergodicity, Beta distribution, give-and-take model, semidegenerate kernel, random search, 60J05, 60J20, 45B05
Anders Rønn-Nielsen, Eva B. Vedel Jensen
J. Appl. Probab. 53 (1), 244-261, (March 2016)
KEYWORDS: Asymptotic supremum, convolution equivalence, Infinite divisibility, Lévy-based modelling, 60G60, 60E07, 60D05
A. Ferreiro-Castilla, A. E. Kyprianou, R. Scheichl
J. Appl. Probab. 53 (1), 262-278, (March 2016)
KEYWORDS: Lévy process, Euler scheme, meromorphic Lévy process, Stochastic differential equation, 60H10, 65C05
Parisa Fatheddin, Jie Xiong
J. Appl. Probab. 53 (1), 279-292, (March 2016)
KEYWORDS: Moderate deviation principle, Fleming-Viot process, Stochastic partial differential equation, Super-Brownian motion, 60F10, 60H15, 60J68
Short Communications
Patrick Buckingham, Brian Fralix, Offer Kella
J. Appl. Probab. 53 (1), 293-298, (March 2016)
KEYWORDS: reflection map, regulator map, Skorokhod problem, 60G17, 45G99, 90B05
Y. H. Mao, C. Zhang, Y. H. Zhang
J. Appl. Probab. 53 (1), 299-306, (March 2016)
KEYWORDS: separation cutoff, upward skip-free chain, Stochastic monotonicity, strong stationary time, boundary theory, 60B10, 60J27
Zhenlong Gao, Yanhua Zhang
J. Appl. Probab. 53 (1), 307-314, (March 2016)
KEYWORDS: central limit theorem, large deviation principle, Moderate deviation principle, random indexed branching process, stock prices, 60J80, 60F10
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