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ORCIDJournal of Applied Probability, Volume 49
Volume 49, Number 1, March 2012
- Denis Belomestny, Volker Krätschmer:
Central Limit Theorems for Law-Invariant Coherent Risk Measures. 1-21 - Sören Christensen
:
Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. 22-39 - Peter Buchholz, Miklós Telek:
Rational Processes Related to Communicating Markov Processes. 40-59 - Ole Stenzel, Hans Daduna:
Weak Convergence Limits for Closed Cyclic Networks of Queues with Multiple Bottleneck Nodes. 60-83 - Alexandre Brandwajn, Thomas Begin:
A Recurrent Solution of PH/M/c/N-Like and PH/M/c-Like Queues. 84-99 - Hermine Biermé, Agnès Desolneux:
A Fourier Approach for the Level Crossings of Shot Noise Processes with Jumps. 100-113 - Bruno Jedynak, Peter I. Frazier, Raphael Sznitman:
Twenty Questions with Noise: Bayes Optimal Policies for Entropy Loss. 114-136 - Damien Lamberton, Mohammed Adam Mikou:
The Smooth-Fit Property in an Exponential Lévy Model. 137-149 - Andreas E. Kyprianou, Ronnie Loeffen, José Luis Pérez:
Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes. 150-166 - Boris Baeumer, Mihály Kovács:
Approximating Multivariate Tempered Stable Processes. 167-183 - Patrik Andersson:
Card Counting in Continuous Time. 184-198 - James C. Fu, Tung-Lung Wu, W. Y. Wendy Lou:
Continuous, Discrete, and Conditional Scan Statistics. 199-209 - Mamadou Ba, Étienne Pardoux, Ahmadou Bamba Sow:
Binary Trees, Exploration Processes, and an Extended Ray-Knight Theorem. 210-225 - Zakhar Kabluchko:
Persistence and Equilibria of Branching Populations with Exponential Intensity. 226-244 - Achim Wübker:
Spectral Theory for Weakly Reversible Markov Chains. 245-265 - Lasse Leskelä, Harri Varpanen:
Juggler's Exclusion Process. 266-279 - Yuqiang Li:
Moderate Deviations for Stable Random Walks in Random Scenery. 280-294 - Pepa Ramírez-Cobo, Emilio Carrizosa:
A Note on the Dependence Structure of the Two-State Markovian Arrival Process. 295-302
Volume 49, Number 2, June 2012
- Lev B. Klebanov, Ashot V. Kakosyan, Svetlozar T. Rachev, Grigory Temnov:
On a Class of Distributions Stable Under Random Summation. 303-318 - Emilio De Santis, Mauro Piccioni:
Backward Coalescence Times for Perfect Simulation of Chains with Infinite Memory. 319-337 - Jean-Marc Derrien, Frédérique Plantevin:
A Symmetry Property for a Class of Random Walks in Stationary Random Environments on Z. 338-350 - Konstantin Borovkov, Günter Last:
On Rice's Formula for Stationary Multivariate Piecewise Smooth Processes. 351-363 - Anne-Laure Fougères, Cécile Mercadier:
Risk Measures and Multivariate Extensions of Breiman's Theorem. 364-384 - S. Goliforushani, Majid Asadi, Narayanaswamy Balakrishnan:
On the Residual and Inactivity Times of the Components of Used Coherent Systems. 385-404 - Ji Hwan Cha, Massimiliano Giorgio:
A Note on the Failure Rates in Finite Mixed Populations. 405-415 - Ilya B. Gertsbakh, Yoseph Shpungin, Fabio Spizzichino:
Two-Dimensional Signatures. 416-429 - Giovanni Puccetti, Bin Wang, Ruodu Wang:
Advances in Complete Mixability. 430-440 - Richard Finlay, Eugene Seneta, Dingcheng Wang:
An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit. 441-450 - Barlas Oguz, Venkat Anantharam:
Hurst Index of Functions of Long-Range-Dependent Markov Chains. 451-471 - Thomas A. House:
Lie Algebra Solution of Population Models Based on Time-Inhomogeneous Markov Chains. 472-481 - Emmanuel Bacry, Laurent Duvernet, Jean-François Muzy:
Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns. 482-502 - David K. George, Cathy H. Xia, Mark S. Squillante:
Exact-Order Asymptotic Analysis for Closed Queueing Networks. 503-520 - Ross McVinish, Philip K. Pollett:
A Central Limit Theorem for a Discrete-Time SIS Model with Individual Variation. 521-530 - Yuan-Chung Sheu, Ming-Yao Tsai:
On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes. 531-548 - Lothar Breuer:
Occupation Times for Markov-Modulated Brownian Motion. 549-565 - Götz Olaf Munsonius:
On Tail Bounds for Random Recursive Trees. 566-581 - Dimitrios G. Pandelis, Mark P. Van Oyen:
Sample Path Optimal Policies for Serial Lines with Flexible Workers. 582-589 - Aidan Sudbury:
Means and Variances in Stochastic Multistage Cancer Models. 590-594
- John Darroch, Eugene Seneta:
Obituary: Miloslav Jiřina. 595-599
Volume 49, Number 3, September 2012
- Mindaugas Bloznelis, Friedrich Götze, Jerzy Jaworski:
Birth of a Strongly Connected Giant in an Inhomogeneous Random Digraph. 601-611 - Boris L. Granovsky, Alexander V. Kryvoshaev:
Coagulation Processes with Gibbsian Time Evolution. 612-626 - Krishna B. Athreya:
Coalescence in Critical and Subcritical Galton-Watson Branching Processes. 627-638 - Sophie Hautphenne:
Extinction Probabilities of Supercritical Decomposable Branching Processes. 639-651 - Ming Fang:
Tightness for Maxima of Generalized Branching Random Walks. 652-670 - Andreas E. Kyprianou, Antonio Murillo-Salas, José Luis Pérez:
An Application of the Backbone Decomposition to Supercritical Super-Brownian Motion with a Barrier. 671-684 - Thilanka Appuhamillage, Daniel Sheldon:
First Passage Time of Skew Brownian Motion. 685-696 - Lothar Breuer:
Exit Problems for Reflected Markov-Modulated Brownian Motion. 697-709 - Victor F. Araman, Peter W. Glynn:
Fractional Brownian Motion with H < 1/2 as a Limit of Scheduled Traffic. 710-718 - Jorge Littin C.:
Uniqueness of Quasistationary Distributions and Discrete Spectra when ∞ is an Entrance Boundary and 0 is Singular. 719-730 - Wenbo V. Li, Vladislav V. Vysotsky:
Probabilities of Competing Binomial Random Variables. 731-744 - Max Skipper:
A Pólya Approximation to the Poisson-Binomial Law. 745-757 - Fred W. Huffer, Jayaram Sethuraman:
Joint Distributions of Counts of Strings in Finite Bernoulli Sequences. 758-772 - Svante Janson, Svante Linusson:
The Probability of the Alabama Paradox. 773-794 - Ryan Martin, Omkar J. Tilak:
On ε-Optimality of the Pursuit Learning Algorithm. 795-805 - Pieter C. Allaart:
Predicting the Supremum: Optimality of 'Stop at Once or Not at All'. 806-820 - Abba M. Krieger, Ester Samuel-Cahn:
The Noisy Secretary Problem and Some Results on Extreme Concomitant Variables. 821-837 - Oscar López, Nikita Ratanov:
Option Pricing Driven by a Telegraph Process with Random Jumps. 838-849 - Daoud Bshouty, Antonio Di Crescenzo, Barbara Martinucci, Shelemyahu Zacks:
Generalized Telegraph Process with Random Delays. 850-865 - Carole Bernard, Xiao Jiang, Steven Vanduffel:
A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011). 866-875 - Brian H. Fralix, Colin M. Gallagher:
A New Proof of the Wiener-Hopf Factorization via Basu's Theorem. 876-882 - Offer Kella:
The Class of Distributions Associated with the Generalized Pollaczek-Khinchine Formula. 883-887 - J. Theodore Cox, Rinaldo B. Schinazi:
A Branching Process for Virus Survival. 888-894 - Sheldon M. Ross:
Distribution of Minimal Path Lengths when Edge Lengths are Independent Heterogeneous Exponential Random Variables. 895-900
Volume 49, Number 4, December 2012
- Jean Jacod, Claudia Klüppelberg, Gernot Müller:
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data. 901-914 - Martin Jacobsen:
The Time to Ruin in Some Additive Risk Models with Random Premium Rates. 915-938 - Xuemiao Hao, Qihe Tang:
Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments. 939-953 - Rosario Romera, Wolfgang J. Runggaldier:
Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance. 954-966 - Leo Shen, Robert J. Elliott:
Optimal Design of Dynamic Default Risk Measures. 967-977 - Hui Jiang:
Berry-Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein-Uhlenbeck Process with Linear Drift. 978-989 - Jian Wang:
On the Exponential Ergodicity of Lévy-Driven Ornstein-Uhlenbeck Processes. 990-1004 - Andreas E. Kyprianou, Curdin Ott:
Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum. 1005-1014 - Michael Grabchak:
On a new Class of Tempered Stable Distributions: Moments and Regular Variation. 1015-1035 - Damian Clancy:
Approximating Quasistationary Distributions of Birth-Death Processes. 1036-1051 - Esa Hyytiä, Samuli Aalto, Aleksi Penttinen, Jorma T. Virtamo:
On the Value Function of the M/G/1 FCFS and LCFS Queues. 1052-1071 - Tomás Prieto-Rumeau, Onésimo Hernández-Lerma:
Discounted Continuous-Time Controlled Markov Chains: Convergence of Control Models. 1072-1090 - Martial Longla, Costel Peligrad, Magda Peligrad:
On the Functional Central Limit Theorem for Reversible Markov Chains with Nonlinear Growth of the Variance. 1091-1105 - Zhongquan Tan, Enkelejd Hashorva, Zuoxiang Peng:
Asymptotics of Maxima of Strongly Dependent Gaussian Processes. 1106-1118 - Lijun Bo, Chen Hao:
First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers. 1119-1133 - Hamed Amini, Marc Lelarge:
Upper Deviations for Split Times of Branching Processes. 1134-1143 - Henry W. Block, Naftali A. Langberg, Thomas H. Savits:
A Glaser Twist: Focus on the Mixture Parameters. 1144-1155 - Tom Britton, Pieter Trapman:
Maximizing the Size of the Giant. 1156-1165 - Tugrul Dayar, M. Can Orhan:
Kronecker-Based Infinite Level-Dependent QBD Processes. 1166-1187 - Samim Ghamami, Sheldon M. Ross:
Improving the Asmussen-Kroese-Type Simulation Estimators. 1188-1193 - Tsuyoshi Katayama:
A Note on M/G/1 Vacation Systems with Sojourn Time Limits. 1194-1199
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