Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 13, issue 4, 2011

Chi-square Control Charts with Runs Rules pp. 657-669

Athanasios C. Rakitzis and Demetrios L. Antzoulakos

Tail Risk of Multivariate Regular Variation pp. 671-693

Harry Joe and Haijun Li

Adjustment Coefficient for Risk Processes in Some Dependent Contexts pp. 695-721

Hélène Cossette, Etienne Marceau and Véronique Maume-Deschamps

Ruin Analysis of a Threshold Strategy in a Discrete-Time Sparre Andersen Model pp. 723-747

Steve Drekic and Ana Maria Mera

Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion pp. 749-761

Vaios Dermitzakis and Konstadinos Politis

Statistical Analysis of Single-server Loss Queueing Systems pp. 763-781

Vyacheslav M. Abramov

A Simple Novel Approach to Valuing Risky Zero Coupon Bond in a Markov Regime Switching Economy pp. 783-800

Amogh Deshpande

Anisotropic Poisson Processes of Cylinders pp. 801-819

Malte Spiess and Evgeny Spodarev

Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation pp. 821-833

Yiqing Chen, Kam C. Yuen and Kai W. Ng

Stability of Partially Implicit Langevin Schemes and Their MCMC Variants pp. 835-854

Bruno Casella, Gareth Roberts and Osnat Stramer

New Expressions for Repeated Upper Tail Integrals of the Normal Distribution pp. 855-871

Christopher S. Withers and Saralees Nadarajah

A New Method for Finding the Characteristic Roots of E n /E m /1 Queues pp. 873-886

Winfried K. Grassmann

Volume 13, issue 3, 2011

Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications pp. 449-473

Bruno Casella and Gareth O. Roberts

Maximal Flow in Branching Trees and Binary Search Trees pp. 475-486

Federico Bassetti and Fabrizio Leisen

Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula pp. 487-510

Hélène Cossette, Etienne Marceau and Fouad Marri

Simulation of Cox Processes Driven by Random Gaussian Field pp. 511-521

Yurij Kozachenko and Oleksandr Pogoriliak

Measures of Component Importance in Nonrepairable and Repairable Multistate Strongly Coherent Systems pp. 523-547

Bent Natvig

On a Stochastic Survival Model for a System Under Randomly Variable Environment pp. 549-561

Ji Hwan Cha and Jie Mi

Approximation in the M 2/G 2/1 Queue with Preemptive Priority pp. 563-581

Naima Hamadouche and Djamil Aïssani

Optimal Scaling of Random Walk Metropolis Algorithms with Non-Gaussian Proposals pp. 583-601

Peter Neal and Gareth Roberts

Approximating the Quasi-stationary Distribution of the SIS Model for Endemic Infection pp. 603-618

Damian Clancy and Sang Taphou Mendy

Transition Law-based Simulation of Generalized Inverse Gaussian Ornstein–Uhlenbeck Processes pp. 619-656

Shibin Zhang

Volume 13, issue 2, 2011

Extremes of Markov-additive Processes with One-sided Jumps, with Queueing Applications pp. 221-267

A. B. Dieker and M. Mandjes

On Success Runs of Length Exceeded a Threshold pp. 269-305

Frosso S. Makri and Zaharias M. Psillakis

Maximum Level and Hitting Probabilities in Stochastic Fluid Flows Using Matrix Differential Riccati Equations pp. 307-328

Bruno Sericola and Marie-Ange Remiche

Call Option Prices Based on Bessel Processes pp. 329-347

Ju-Yi Yen and Marc Yor

Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing pp. 349-368

Alessandro Ramponi

Population Monte Carlo Algorithm in High Dimensions pp. 369-389

Jeong Eun Lee, Ross McVinish and Kerrie Mengersen

Quantitative Non-Geometric Convergence Bounds for Independence Samplers pp. 391-403

Gareth O. Roberts and Jeffrey S. Rosenthal

FIFO Versus LIFO Issuing Policies for Stochastic Perishable Inventory Systems pp. 405-417

Mahmut Parlar, David Perry and Wolfgang Stadje

On Average Run Lengths of Control Charts for Autocorrelated Processes pp. 419-431

Yung-Ming Chang and Tung-Lung Wu

The Sequential Occupancy Problem through Group Throwing of Indistinguishable Balls pp. 433-448

Tamar Gadrich and Rachel Ravid

Volume 13, issue 1, 2011

The Generalized Cross Entropy Method, with Applications to Probability Density Estimation pp. 1-27

Zdravko I. Botev and Dirk P. Kroese

The First Passage Time Problem for Gauss-Diffusion Processes: Algorithmic Approaches and Applications to LIF Neuronal Model pp. 29-57

Aniello Buonocore, Luigia Caputo, Enrica Pirozzi and Luigi M. Ricciardi

Testing the Order of Markov Dependence in DNA Sequences pp. 59-74

M. L. Menéndez, L. Pardo, M. C. Pardo and K. Zografos

Importance and Sensitivity Analysis in Dynamic Reliability pp. 75-104

Robert Eymard, Sophie Mercier and Michel Roussignol

Uniform Accuracy of the Maximum Likelihood Estimates for Probabilistic Models of Biological Sequences pp. 105-120

Svetlana Ekisheva and Mark Borodovsky

Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach pp. 121-137

Raluca Vernic

Multivariate Stochastic Orders Induced by Case-Control Sampling pp. 139-154

Ori Davidov and Amir Herman

About Earthquake Forecasting by Markov Renewal Processes pp. 155-169

Elsa Garavaglia and Raffaella Pavani

Algorithmic Approach to the Extinction Probability of Branching Processes pp. 171-192

Sophie Hautphenne, Guy Latouche and Marie-Ange Remiche

Numerical Evaluation of Dynamic Behavior of Ornstein–Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options pp. 193-219

Jun-ya Gotoh, Hui Jin and Ushio Sumita

Volume 12, issue 4, 2010

Editorial pp. 553-553

Joseph Glaz

The Availability and Hazard of a System Under a Cumulative Damage Process With Replacements pp. 555-565

S. Zacks

Translated Poisson Approximation to Equilibrium Distributions of Markov Population Processes pp. 567-586

Sanda N. Socoll and A. D. Barbour

A New Method for Bounding the Distance Between Sums of Independent Integer-Valued Random Variables pp. 587-607

Eutichia Vaggelatou

On a Sharper Lower Bound for a Percentile of a Student’s t Distribution with an Application pp. 609-622

Nitis Mukhopadhyay

Level Crossing Prediction with Neural Networks pp. 623-645

Halfdan Grage, Jan Holst, Georg Lindgren and Mietek Saklak

On Asymptotic and Strict Monotonicity of a Sharper Lower Bound for Student’s t Percentiles pp. 647-657

Allan Gut and Nitis Mukhopadhyay

Runs of Markov Chains and Streaks in Baseball pp. 659-665

José Luis Palacios

On a q-Steady State Markov Chain Model based on Transformed Dual q-Krawtchouk Orthogonal Polynomials and its Limiting Behaviour pp. 667-679

Andreas George Kyriakoussis and Malvina G. Vamvakari

Multivariate Hierarchical Copulas with Shocks pp. 681-694

Fabrizio Durante, Marius Hofert and Matthias Scherer

Numerical Computation of First-Passage Times of Increasing Lévy Processes pp. 695-729

Mark Veillette and Murad S. Taqqu

Approximations for a Three Dimensional Scan Statistic pp. 731-747

Joseph Glaz, Marco Guerriero and Rohini Sen

Spectrum-Based Comparison of Stationary Multivariate Time Series pp. 749-762

Nalini Ravishanker, J. R. M. Hosking and Jaydip Mukhopadhyay

The Power of Choice in the Construction of Recursive Trees pp. 763-773

Hosam M. Mahmoud

A New Method of Approximating the Probability of Matching Common Words in Multiple Random Sequences pp. 775-795

George Haiman and Cristian Preda

Volume 12, issue 3, 2010

A Two-Stage Group Testing Model for Infections with Window Periods pp. 309-322

Shaul K. Bar-Lev, Onno Boxma, Wolfgang Stadje and Frank A. Duyn Schouten

Uniform Rate of Weak Convergence of the Minimum Contrast Estimator in the Ornstein–Uhlenbeck Process pp. 323-334

Jaya P. N. Bishwal

Adaptive Optimal Allocation in Stratified Sampling Methods pp. 335-360

Pierre Étoré and Benjamin Jourdain

Statistical Properties of a Generalized Threshold Network Model pp. 361-377

Yusuke Ide, Norio Konno and Naoki Masuda

Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks pp. 379-390

Stefan Mittnik and Irina Starobinskaya

The Perturbed Compound Poisson Risk Process with Investment and Debit Interest pp. 391-413

Chuancun Yin and Chunwei Wang

Risk Processes with Non-stationary Hawkes Claims Arrivals pp. 415-429

Gabriele Stabile and Giovanni Luca Torrisi

Numerical Approach for Assessing System Dynamic Availability Via Continuous Time Homogeneous Semi-Markov Processes pp. 431-449

Márcio das Chagas Moura and Enrique López Droguett

On Estimating the Asymptotic Variance of Stationary Point Processes pp. 451-471

Lothar Heinrich and Michaela Prokešová

On the First Hitting Time of a One-dimensional Diffusion and a Compound Poisson Process pp. 473-490

Mario Abundo

Least-squares Polynomial Estimation from Observations Featuring Correlated Random Delays pp. 491-509

R. Caballero-Águila, A. Hermoso-Carazo and J. Linares-Pérez

Uniqueness, Extinction and Explosivity of Generalised Markov Branching Processes with Pairwise Interaction pp. 511-531

Anyue Chen, Phil Pollett, Junping Li and Hanjun Zhang

A Saddlepoint Approximation to the Distribution of Inhomogeneous Discounted Compound Poisson Processes pp. 533-551

Riccardo Gatto

Volume 12, issue 2, 2010

Editorial pp. 213-214

Christos H. Skiadas

Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models pp. 215-225

Guglielmo D’Amico, Jacques Janssen and Raimondo Manca

A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process pp. 227-235

Giuseppe Di Biase, Jacques Janssen and Raimondo Manca

Brownian Motion Hitting Probabilities for General Two-Sided Square-Root Boundaries pp. 237-245

Doncho S. Donchev

On the Empirical Bayesian Approach for the Poisson-Gaussian Model pp. 247-259

Leonidas Sakalauskas

Exact Solutions of Stochastic Differential Equations: Gompertz, Generalized Logistic and Revised Exponential pp. 261-270

Christos H. Skiadas

$\boldsymbol{\mathcal{G}-}$ Inhomogeneous Markov Systems of High Order pp. 271-292

P.-C. G. Vassiliou and T. P. Moysiadis

Drawdowns and Rallies in a Finite Time-horizon pp. 293-308

Hongzhong Zhang and Olympia Hadjiliadis

Volume 12, issue 1, 2010

Randomized Algorithms with Splitting: Why the Classic Randomized Algorithms Do Not Work and How to Make them Work pp. 1-50

Reuven Rubinstein

Ascending Runs in Dependent Uniformly Distributed Random Variables: Application to Wireless Networks pp. 51-62

Nathalie Mitton, Katy Paroux, Bruno Sericola and Sébastien Tixeuil

Random Databases with Approximate Record Matching pp. 63-89

Oleg Seleznjev and Bernhard Thalheim

Vector Extensions of the Dirichlet HC and HD Functions, with Applications to the Sharing Problem pp. 91-109

Aaron Childs

Computing Bounds on the Expected Maximum of Correlated Normal Variables pp. 111-138

Andrew M. Ross

On the Number of i.i.d. Samples Required to Observe All of the Balls in an Urn pp. 139-154

Brad C. Johnson and Thomas M. Sellke

Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin pp. 155-175

Vaios Dermitzakis, Susan M. Pitts and Konstadinos Politis

Robust Wavelet-Domain Estimation of the Fractional Difference Parameter in Heavy-Tailed Time Series: An Empirical Study pp. 177-197

Agnieszka Jach and Piotr Kokoszka

Two New Mixture Models Related to the Inverse Gaussian Distribution pp. 199-212

Samuel Kotz, Víctor Leiva and Antonio Sanhueza