Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 21, issue 4, 2019

The Single Server Queue with Mixing Dependencies pp. 1023-1044

Youri Raaijmakers, Hansjörg Albrecher and Onno Boxma

Queues with Simultaneous Arrival of Customers and the Dependence Structure of the Waiting Times pp. 1045-1056

Ramin Behzad, Mohammad Reza Salehi Rad and Nader Nematollahi

Extensions of the Generalized Pólya Process pp. 1057-1085

Francisco Germán Badía, Sophie Mercier and Carmen Sangüesa

Product Markovian Quantization of a Diffusion Process with Applications to Finance pp. 1087-1118

Lucio Fiorin, Gilles Pagès and Abass Sagna

On Lattice Path Counting and the Random Product Representation, with Applications to the Er/M/1 Queue and the M/Er/1 Queue pp. 1119-1149

Xiaoyuan Liu and Brian Fralix

Calibration for Weak Variance-Alpha-Gamma Processes pp. 1151-1164

Boris Buchmann, Kevin W. Lu and Dilip B. Madan

The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift pp. 1165-1182

Yurong Pan and Litan Yan

Approximation of Sojourn Times of Gaussian Processes pp. 1183-1213

Krzysztof Dȩbicki, Zbigniew Michna and Xiaofan Peng

Cutoff Phenomenon for Nearest Lamperti’s Random Walk pp. 1215-1228

Wenming Hong and Hui Yang

Constructions of New Classes of One- and Two-Sample Nonparametric Location Tests pp. 1229-1249

Bhargab Chattopadhyay and Nitis Mukhopadhyay

An Efficient Algorithm for Bayesian Nearest Neighbours pp. 1251-1258

Giuseppe Nuti

Sensitivity of the Stability Bound for Ruin Probabilities to Claim Distributions pp. 1259-1281

Aicha Bareche and Mouloud Cherfaoui

Joint Distribution of First-Passage Time and First-Passage Area of Certain Lévy Processes pp. 1283-1302

Mario Abundo and Sara Furia

Asymptotically Optimal Quickest Change Detection in Multistream Data—Part 1: General Stochastic Models pp. 1303-1336

Alexander G. Tartakovsky

A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices pp. 1337-1375

Donatien Hainaut and Griselda Deelstra

Estimation of Inverse Lindley Distribution Using Product of Spacings Function for Hybrid Censored Data pp. 1377-1394

Suparna Basu, Sanjay K. Singh and Umesh Singh

M/M/1 Retrial Queue with Collisions and Transmission Errors pp. 1395-1406

Lamia Lakaour, Djamil Aïssani, Karima Adel-Aissanou and Kamel Barkaoui

Reliability and Survival Analysis for Drifting Markov Models: Modeling and Estimation pp. 1407-1429

Vlad Stefan Barbu and Nicolas Vergne

Different Closed-Form Expressions for Generalized Entropy Rates of Markov Chains pp. 1431-1452

Valérie Girardin, Loick Lhote and Philippe Regnault

Volume 21, issue 3, 2019

Editorial pp. 661-662

Markos V. Koutras, Nicolas Limnios, Wendy Lou and Thomas Taimre

High-Dimensional Quadratic Classifiers in Non-sparse Settings pp. 663-682

Makoto Aoshima and Kazuyoshi Yata

Planar Segment Processes with Reference Mark Distributions, Modeling and Estimation pp. 683-698

Viktor Beneš, Jakub Večeřa and Milan Pultar

A Level-1 Limit Order Book with Time Dependent Arrival Rates pp. 699-719

Jonathan A. Chávez-Casillas, Robert J. Elliott, Bruno Rémillard and Anatoliy V. Swishchuk

Two-Stage Procedure of Fixed-Width Confidence Intervals for the Risk Ratio pp. 721-733

Hokwon Cho

Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes pp. 735-752

G. D’Onofrio and E. Pirozzi

On Jump-Diffusive Driving Noise Sources pp. 753-764

Max-Olivier Hongler and Roger Filliger

Bayesian Inference with M-splines on Spectral Measure of Bivariate Extremes pp. 765-788

Khader Khadraoui and Pierre Ribereau

Decoupling Combinatorial Complexity: a Two-Step Approach to Distributions of Runs pp. 789-803

Yong Kong

Block Trading: Building up a Stock Position Under a Regime Switching Model pp. 805-828

Xianggang Lu

Sterrett Procedure for the Generalized Group Testing Problem pp. 829-840

Yaakov Malinovsky

Symmetry in the Green’s Function for Birth-death Chains pp. 841-851

Greg Markowsky and José Luis Palacios

Renewed Looks at the Distribution of a Sum of Independent or Dependent Discrete Random Variables and Related Problems pp. 853-873

Nitis Mukhopadhyay and Sudeep R. Bapat

Moments of the Count of a Regular Expression in a Heterogeneous Random Sequence pp. 875-887

G. Nuel

A Double Recursion for Calculating Moments of the Truncated Normal Distribution and its Connection to Change Detection pp. 889-906

Moshe Pollak and Michal Shauly-Aharonov

Discretely Observed Brownian Motion Governed by Telegraph Process: Estimation pp. 907-920

Vladimir Pozdnyakov, L. Mark Elbroch, Anthony Labarga, Thomas Meyer and Jun Yan

Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions pp. 921-929

Gareth O. Roberts and Jeffrey S. Rosenthal

Real-Time Change-Point Detection Algorithm with an Application to Glycemic Control for Diabetic Pregnant Women pp. 931-944

Michal Shauly-Aharonov and Orit Barenholz-Goultschin

Asymptotic Expansions for Stationary Distributions of Nonlinearly Perturbed Semi-Markov Processes. 1 pp. 945-964

Dmitrii Silvestrov and Sergei Silvestrov

Asymptotic Expansions for Stationary Distributions of Nonlinearly Perturbed Semi-Markov Processes. 2 pp. 965-984

Dmitrii Silvestrov and Sergei Silvestrov

Pricing European Options in a Discrete Time Model for the Limit Order Book pp. 985-1005

Clarence Simard and Bruno Rémillard

Operator Equations of Branching Random Walks pp. 1007-1021

E. Yarovaya

Volume 21, issue 2, 2019

Editorial of the Special Issue of MCAP: In Honour of Claude Lefèvre on Risk, Epidemics, Stochastic Orderings, Health and Economics pp. 387-389

Richard Kryscio, Stéphane Loisel, André Palma and Pierre Patie

Purely Excessive Functions and Hitting Times of Continuous-Time Branching Processes pp. 391-399

F. Avram, P. Patie and J. Wang

Susceptibility Sets and the Final Outcome of Collective Reed–Frost Epidemics pp. 401-421

Frank Ball

A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives pp. 423-448

Christophette Blanchet-Scalliet, Diana Dorobantu and Yahia Salhi

Equilibrium Distributions and Discrete Schur-constant Models pp. 449-459

Anna Castañer and M. Mercè Claramunt

Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models pp. 461-490

Hélène Cossette, Etienne Marceau, Quang Huy Nguyen and Christian Y. Robert

Bounds on Concordance-Based Validation Statistics in Regression Models for Binary Responses pp. 491-509

Michel Denuit, Mhamed Mesfioui and Julien Trufin

Ruin and Deficit Under Claim Arrivals with the Order Statistics Property pp. 511-530

Dimitrina S. Dimitrova, Zvetan G. Ignatov and Vladimir K. Kaishev

How Does Asymmetric Information Create Market Incompleteness? pp. 531-538

Anne Eyraud-Loisel

Two-Sided Exit Problems in the Ordered Risk Model pp. 539-549

Pierre-Olivier Goffard

Exhibiting Abnormal Returns Under a Risk Averse Strategy pp. 551-566

Dimitrios G. Konstantinides and Georgios C. Zachos

Solvency Need Resulting from Reserving Risk in a ORSA Context pp. 567-592

Geoffrey Nichil and Pierre Vallois

Multi-player, Multi-prize, Imperfectly Discriminating Contests pp. 593-632

André Palma and Soumyanetra Munshi

Approximating the Probability Density Function of a Transformation of Random Variables pp. 633-645

Denys Pommeret and Laurence Reboul

Optimal Reinsurance via Dirac-Feynman Approach pp. 647-659

Muhsin Tamturk and Sergey Utev

Volume 21, issue 1, 2019

First Hitting Time Distributions for Brownian Motion and Regions with Piecewise Linear Boundaries pp. 1-23

Qinglai Dong and Lirong Cui

Practical Aspects of False Alarm Control for Change Point Detection: Beyond Average Run Length pp. 25-42

J. Kuhn, M. Mandjes and T. Taimre

Analysis of a Three-Species Stochastic Delay Predator-Prey System with Imprecise Parameters pp. 43-67

Jian Wu

Batch Renewal Arrival Process Subject to Geometric Catastrophes pp. 69-83

F. P. Barbhuiya, Nitin Kumar and U. C. Gupta

A Robust Wald-Type Test for Testing the Equality of Two Means from Log-Normal Samples pp. 85-107

Ayanendranath Basu, Abhijit Mandal, Nirian Martín and Leandro Pardo

Heavy Traffic Limits for the Extreme Waiting Time in Multi-phase Queueing Systems pp. 109-124

Saulius Minkevičius and Edvinas Greičius

Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation pp. 125-153

O. J. Boxma, E. J. Cahen, D. Koops and M. Mandjes

The Queue Geo/G/1/N + 1 Revisited pp. 155-168

M. L. Chaudhry and Veena Goswami

An Algorithm for Prior Elicitation in Dynamic Bayesian Models for Proportions with the Logit Link Function pp. 169-183

James D. Santos and José M. J. Costa

Fractional Brownian Motion Delayed by Tempered and Inverse Tempered Stable Subordinators pp. 185-202

A. Kumar, J. Gajda, A. Wyłomańska and R. Połoczański

Some Results and Applications of Geometric Counting Processes pp. 203-233

Antonio Di Crescenzo and Franco Pellerey

The Slash Lindley-Weibull Distribution pp. 235-251

Jimmy Reyes, Yuri A. Iriarte, Pedro Jodrá and Héctor W. Gómez

Linear Combination of Independent Exponential Random Variables pp. 253-277

Kim-Hung Li and Cheuk Ting Li

Many-Candidate Nash Equilibria for Elections Involving Random Selection pp. 279-293

Jeffrey S. Rosenthal

Robust Scan Statistics for Detecting a Local Change in Population Mean for Normal Data pp. 295-314

Qianzhu Wu and Joseph Glaz

First Passage Time of a Lévy Degradation Model with Random Effects pp. 315-329

Narayanaswamy Balakrishnan and Chengwei Qin

Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth pp. 331-366

Viktor Bezborodov, Luca Persio and Yuliya Mishura

Expectation Bayesian Estimation of System Reliability Based on Failures pp. 367-385

Ramin Gholizadeh, Sergio L. M. Londono and Manuel J. P. Barahona