Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 27, issue 2, 2025

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

Kyungsub Lee

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

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

Yanhong Wu and Wei Biao Wu

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

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

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

Florian Gach, Simon Hochgerner, Eva Kienbacher and Gabriel Schachinger

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

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

Yuang Song and Olympia Hadjiliadis

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

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

Pierre Zuyderhoff, Michel Denuit and Julien Trufin

Volume 27, issue 1, 2025

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

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

Thoa Thieu and Roderick Melnik

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

Pavel V. Gapeev and Yavor I. Stoev

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

Zhehao Zhang

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

Extremes of Nonstationary Harmonizable Processes pp. 1-29

M. Grigoriu

Spatial Permutations Sampling Convergence Speed pp. 1-7

Nicolas Wicker

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

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

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

Bohan Li, Junyi Guo and Xiaoqing Liang

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

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

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

Abdoun Sylia and Taleb Samira

Diffusion Approximation of Loss Queueing Systems pp. 1-5

Nikolaos Limnios and Bei Wu

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

Yilun Shang

Volume 26, issue 4, 2024

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

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

Muhammad Aslam

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

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

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

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

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

Qiang Zhang and Qianqian Cui

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

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

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

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

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

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

Stathis Chadjiconstantinidis

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

Nikolaos Limnios and Bei Wu

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

Yaakov Malinovsky

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

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

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

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

Bryant Davis and James P. Hobert

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

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

Volume 26, issue 2, 2024

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

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

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

Veena Goswami and Gopinath Panda

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

Laurence Carassus and Massinissa Ferhoune

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

Stathis Chadjiconsatntinidis

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

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

Xiao Wei and Xingchi Gu

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

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

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

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

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

Yinbing Zhou and Dawei Lu

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

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

Dheeraj Goyal, Nil Kamal Hazra and Maxim Finkelstein