Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 27, issue 2, 2025

Mean-Field Libor Market Model and Valuation of Long Term Guarantees pp. 1-43

Florian Gach, Simon Hochgerner, Eva Kienbacher and Gabriel Schachinger

Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics pp. 1-23

Kyungsub Lee

Random Walk in the Complete Graph: Hitting and Cover Times pp. 1-23

François Castella and Bruno Sericola

Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification pp. 1-32

Andreas Koukorinis, Gareth W. Peters and Guido Germano

Cramér Moderate Deviations and Berry-Esseen Bounds for Mandelbrot’s Cascade in a Random Environment pp. 1-21

Yingqiu Li, Peihan Li and Yushao Wei

Preservation of Transform Order Properties of Component Lifetimes by System Lifetimes pp. 1-21

Tomasz Rychlik and Magdalena Szymkowiak

Estimation and Goodness-of-fit for the q-Weibull Distribution via the Mellin Transform pp. 1-21

Marília Oliveira, Josimar Vasconcelos, Frank Gomes-Silva and Abraão Nascimento

Optimal Multivariate EWMA Chart for Detecting Common Change in Mean pp. 1-22

Yanhong Wu and Wei Biao Wu

Simpson’s Paradox for Kendall’s Rank Coefficient pp. 1-14

Pierre Zuyderhoff, Michel Denuit and Julien Trufin

Covering One Point Process with Another pp. 1-28

Frankie Higgs, Mathew D. Penrose and Xiaochuan Yang

Sideward Contact Tracing in an Epidemic Model with Mixing Groups pp. 1-20

Dongni Zhang and Martina Favero

The Uniform Poisson–Ailamujia INAR(1) Process with Random Coefficient pp. 1-20

M. R. Irshad, Muhammed Ahammed and R. Maya

A Conditioned Kullback-Leibler Divergence Measure through Compensator Processes and its Relationship to Cumulative Residual Inaccuracy Measure with Applications pp. 1-25

Vanderlei da Costa Bueno and Narayanaswamy Balakrishnan

An Extension of Interval Probabilities using Modal Interval Theory and its Application to Non-life Insurance pp. 1-17

Roman Adillon, Lambert Jorba and Maite Mármol

Expressions for Marginal Mean Excess and Marginal Expected Shortfall Measures under Bivariate Scale Mixture of Normal Distribution pp. 1-18

Roohollah Roozegar, Narayanaswamy Balakrishnan, Heydar Ali Mardani-Fard, Anthony F. Desmond and Ahad Jamalizadeh

A Numerical Truncation Approximation with A Posteriori Error Bounds for the Solution of Poisson’s Equation pp. 1-18

Saied Mahdian, Peter W. Glynn and Yuanyuan Liu

A Speed-based Estimator of Signal-to-Noise Ratios pp. 1-15

Yuang Song and Olympia Hadjiliadis

The Gerber-Shiu Penalty Function for a Two-sided Renewal Risk Process Perturbed by Diffusion pp. 1-34

Ekaterina Todorova Kolkovska and Sonny A. Medina Jimenez

Volume 27, issue 1, 2025

Orthogonal Weighted Empirical Likelihood Test for ARCH-M Models with Double Functional Coefficients pp. 1-12

Peixin Zhao and Qian Jiang

The Asymptotic Distribution of the Scaled Remainder for Pseudo Golden Ratio Expansions of a Continuous Random Variable pp. 1-13

Ira W. Herbst, Jesper Møller and Anne Marie Svane

Extremes of Nonstationary Harmonizable Processes pp. 1-29

M. Grigoriu

Bootstrap of Reliability Indicators for Semi-Markov Processes pp. 1-18

Irene Votsi and Salim Bouzebda

New Information-Based Replacement Policies for Heterogeneous Populations of ‘Aging’ and ‘Non-Aging’ Items pp. 1-18

Ji Hwan Cha, Maxim Finkelstein and Na Young Yoo

Matrix-analytic Methods for the Evolution of Species Trees, Gene Trees, and Their Reconciliation pp. 1-47

Albert Ch. Soewongsono, Jiahao Diao, Tristan Stark, Amanda E. Wilson, David A. Liberles, Barbara R. Holland and Małgorzata M. O’Reilly

Randomized Repeated Significance Tests Based on Scan Statistics for Discrete Data pp. 1-26

Yong Qiao and Joseph Glaz

Social Interactions in Queueing Systems: Pricing Decision with Reference Time Effect pp. 1-26

Tao Jiang, Zitong Zhang and Xudong Chai

Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model pp. 1-37

Bohan Li, Junyi Guo and Xiaoqing Liang

A New Family of Continuous Univariate Distributions pp. 1-20

Markos V. Koutras and Spiros D. Dafnis

Actor-Critic Learning Algorithms for Mean-Field Control with Moment Neural Networks pp. 1-20

Huyên Pham and Xavier Warin

On the Analysis of a Generalised Mean-Reverting Stochastic Model with Two Uncorrelated Brownian Motions pp. 1-20

Emmanuel Coffie

Spatial Permutations Sampling Convergence Speed pp. 1-7

Nicolas Wicker

Quickest Change-point Detection Problems for Multidimensional Wiener Processes pp. 1-25

Pavel V. Gapeev and Yavor I. Stoev

Global Offensive Alliances and Groupies in Heterogeneous Random Graphs pp. 1-14

Yilun Shang

Diffusion Approximation of Loss Queueing Systems pp. 1-5

Nikolaos Limnios and Bei Wu

On Ordered Beta Distribution and the Generalized Incomplete Beta Function pp. 1-16

Mayad Al-Saidi, Alexey Kuznetsov and Mikhail Nediak

On Geometric-type Approximations with Applications pp. 1-16

Fraser Daly and Claude Lefèvre

Optimal Strategy and System Performance in a Feedback Queue with Customer-intensive Services and Boundedly Rational Customers pp. 1-16

Yang Song and Xinying Liu

Modelling the Behavior of Human Crowds as Coupled Active-passive Dynamics of Interacting Particle Systems pp. 1-22

Thoa Thieu and Roderick Melnik

The Aggregate Discounted Claims Process Under Multiple and Terminable Arrivals Renewal Processes pp. 1-23

Zhehao Zhang

On a Balking M/G/1 Queue with General Differentiated Vacations pp. 1-32

Abdoun Sylia and Taleb Samira

Volume 26, issue 4, 2024

A Bhattacharyya-type Conditional Error Bound for Quadratic Discriminant Analysis pp. 1-17

Ata Kabán and Efstratios Palias

WNBUE Class and its Applications to Signature-Based Bounds for Reliability of Coherent Systems pp. 1-17

Abdolsaeed Toomaj and Narayanaswamy Balakrishnan

Generalized Fractional Risk Process pp. 1-17

Ritik Soni and Ashok Kumar Pathak

Applying Affine Urn Models to the Global Profile of Hyperrecursive Trees pp. 1-17

Joshua Sparks

Pricing and Hedging Contingent Claims by Entropy Segmentation and Fenchel Duality pp. 1-20

José L. Vilar-Zanón and Barbara Rogo

Pseudo-Spectral Galerkin Method Using Shifted Vieta-Fibonacci Polynomials for Stochastic Models: Existence, Stability, and Numerical Validation pp. 1-20

Reema Gupta and Snehashish Chakraverty

Admission Control of Parallel Queues with Fork Types of Jobs pp. 1-30

Bing Lin, Rohit Bhatnagar and Yuchen Lin

A Queueing Model with BMAP Arrivals and Heterogeneous Phase Type Group Services pp. 1-30

Srinivas R. Chakravarthy and Serife Ozkar

Analysis of A Two-queue Discrete-time Model with Random Alternating Service Under High Occupancy in One Queue pp. 1-21

Arnaud Devos, Joris Walraevens and Herwig Bruneel

Optimal Investment-reinsurance Strategies for an Insurer with Options Trading Under Model Ambiguity pp. 1-21

Tong Qian, Cuixia Chen, Weijun Yin and Bing Liu

A Stationary Proportional Hazard Class Process and its Applications pp. 1-21

Debasis Kundu

Blowup Probability, Blowup Time and Blowup Rate of Nonlinear Heat Equations with Potential Term Perturbed by a Multiplicative Gaussian Rough Noise pp. 1-21

José Alfredo López-Mimbela and Gerardo Pérez-Suárez

Conditional Mean Risk Sharing of Independent Discrete Losses in Large Pools pp. 1-22

Michel Denuit and Christian Y. Robert

A Queueing-Inventory System with Modified Delayed Vacation under Bernoulli Schedule pp. 1-22

Qingzhe Xu, Jianjun Li, Liwei Liu and Lixue Guo

Complete Analysis of $$M/G_{r}^{(a,b)}/1/N$$ M / G r ( a, b ) / 1 / N Queue with Second Optional Service pp. 1-33

Anuradha Banerjee and Priti Lata

Stochastic Comparisons for Finite Mixtures from Location-scale Family of Distributions pp. 1-33

Raju Bhakta, Suchandan Kayal and Maxim Finkelstein

Analysis of Two-Way Communication in $$M_1^X, M_2/G_1,G_2/1$$ M 1 X, M 2 / G 1, G 2 / 1 Retrial Queue Under the Constant Retrial Policy pp. 1-32

Rashmi Km and S. K. Samanta

On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures pp. 1-27

Zhangting Chen and Dongya Cheng

Robust Investment and Proportional Reinsurance Strategy with Delay and Jumps in a Stochastic Stackelberg Differential Game pp. 1-34

Qiang Zhang and Qianqian Cui

Bayes Estimator Under Neutrosophic Statistics: A Robust Approach for Handling Uncertainty and Imprecise Data pp. 1-18

Muhammad Aslam

Discrete-Time Informal Queue with an Infinite Number of Groups for Resource Management of a Data Center pp. 1-24

Veena Goswami and G. B. Mund

Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model pp. 1-26

Nicolas Privault

On the Longest Run and the Waiting Time for the First Run in a Continuous Time Multi-State Markov Chain pp. 1-26

Eutichia Vaggelatou

Volume 26, issue 3, 2024

Asymptotic Behaviors of the VaR and CVaR Estimates for Widely Orthant Dependent Sequences pp. 1-22

Li Yongming, Li Naiyi, Luo Zhongde and Xing Guodong

Strategy Analysis of Retrial Queue with Parallel Customer and Standby Server pp. 1-22

Xinlei Liu, Xiuli Xu and Mingxin Liu

Transient Analysis of a Modified Differentiated Vacation Queueing System for Energy-Saving in WiMAX pp. 1-33

A. Mohammed Shapique, R. Sudhesh and S. Dharmaraja

A Note on the Distribution of the Extreme Degrees of a Random Graph via the Stein-Chen Method pp. 1-7

Yaakov Malinovsky

Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims pp. 1-28

Dawei Lu, Ting Li, Meng Yuan and Xinmei Shen

Two-sided Bounds for some Quantities in the Delayed Renewal Process pp. 1-48

Stathis Chadjiconstantinidis

Branching Random Walks on $$\mathbb {Z}$$ Z with One Particle Generation Center and Symmetrically Located Absorbing Sources pp. 1-16

Elena Filichkina and Elena Yarovaya

Weak Ergodicity in G-NHMS pp. 1-16

P.-C.G. Vassiliou

Ruin Probabilities as Recurrence Sequences in a Discrete-Time Risk Process pp. 1-16

Ernesto Cruz, Luis Rincón and David J. Santana

Strong Convergence Properties for Weighted Sums of Extended Negatively Dependent Random Variables Under Sub-linear Expectations with Statistical Applications pp. 1-36

Liangxue Li, Xiaoqian Zheng, Haiwu Huang and Xuejun Wang

Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown pp. 1-34

Yakun Liu, Jingchao Li, Jieming Zhou and Yingchun Deng

Dynamics of a Stochastic Regime-Switching Four-Species Food Chain Model with Distributed Delays and Harvesting pp. 1-15

Sheng Wang and Lijuan Dong

A Unified Approach for Hitting Time of Jump Markov Type Processes pp. 1-10

Nikolaos Limnios and Bei Wu

Approximating the Spectral Gap of the Pólya-Gamma Gibbs Sampler pp. 1-13

Bryant Davis and James P. Hobert

Volume 26, issue 2, 2024

Optimal Pricing Strategy in an Unreliable M/M/1 Retrial Queue with Delayed Repair and Breakdown Deterioration pp. 1-22

Fan Xu, Ruiling Tian and Qi Shao

Randomized Quasi-Monte Carlo Methods on Triangles: Extensible Lattices and Sequences pp. 1-31

Gracia Yunruo Dong, Erik Hintz, Marius Hofert and Christiane Lemieux

A Cyclic Random Motion in $$\mathbb {R}^3$$ R 3 Driven by Geometric Counting Processes pp. 1-23

Antonella Iuliano and Gabriella Verasani

A Collocation Method for Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion and its Application to Mathematical Finance pp. 1-23

P. K. Singh and S. Saha Ray

Two-sided Bounds for Renewal Equations and Ruin Quantities pp. 1-54

Stathis Chadjiconsatntinidis

Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities pp. 1-25

Xiao Wei and Xingchi Gu

Portfolio Selection with Contrarian Strategy pp. 1-28

Zhichao Lu, Peiyuan Pang, Yuhong Xu and Wenxin Zhang

Performance and Optimization Analysis of a Queue with Delayed Uninterrupted Multiple Vacation and N-Policy pp. 1-28

Yaxing He, Yinghui Tang, Miaomiao Yu and Wenqing Wu

Efficient Approximations for Utility-Based Pricing pp. 1-38

Laurence Carassus and Massinissa Ferhoune

Analysis of Renewal Batch Arrival Queues with Multiple Vacations and Geometric Abandonment pp. 1-27

Veena Goswami and Gopinath Panda

The Bahadur Representation for Empirical and Smooth Quantile Estimators Under Association pp. 1-37

Nour-Eddine Berrahou, Salim Bouzebda and Lahcen Douge

The Valuation at Origination of Mortgages with Full Prepayment and Default Risks pp. 1-26

Congjin Zhou, Guojing Wang, Yinghui Dong and Pin Wang

Volume 26, issue 1, 2024

The Multivariate Generalized Linear Hawkes Process in High Dimensions with Applications in Neuroscience pp. 1-25

Masoumeh Fallahi, Reza Pourtaheri and Farzad Eskandari

Reconstruction of Random Fields Concentrated on an Unknown Curve using Irregularly Sampled Data pp. 1-20

Guillaume Perrin and Christian Soize

How Many Digits are Needed? pp. 1-13

Ira W. Herbst, Jesper Møller and Anne Marie Svane

On Survival of Coherent Systems Subject to Random Shocks pp. 1-29

Dheeraj Goyal, Nil Kamal Hazra and Maxim Finkelstein

On Berman Functions pp. 1-27

Krzysztof Dȩbicki, Enkelejd Hashorva and Zbigniew Michna

Reliability and Optimization for k-out-of-n: G Mixed Standby Retrial System with Dependency and J-Vacation pp. 1-27

Qi Shao, Linmin Hu and Fan Xu

Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility pp. 1-47

Yumo Zhang

Queueing Inventory System with Multiple Service Nodes and Addressed Retrials from a Common Orbit pp. 1-15

Rasmi K, Jacob M J, Alexander Dudin and A. Krishnamoorthy

The First Exit Time of Fractional Brownian Motion with a Drift from a Parabolic Domain pp. 1-19

Yinbing Zhou and Dawei Lu