Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 20, issue 4, 2018

Approximating Time to Extinction for Endemic Infection Models pp. 1043-1067

Damian Clancy and Elliott Tjia

Asymptotic Property of M Estimator in Classical Linear Models Under Dependent Random Errors pp. 1069-1090

Xin Deng and Xuejun Wang

Quantile Function Expansion Using Regularly Varying Functions pp. 1091-1103

Thomas Fung and Eugene Seneta

Information-based Parameterization of the Log-linear Model for Categorical Data Analysis pp. 1105-1121

Valérie Girardin, Justine Lequesne and Anne Ricordeau

The Joint Distribution of Running Maximum of a Slepian Process pp. 1123-1135

Pingjin Deng

Modelling of Marginally Regular Bivariate Counting Process and its Application to Shock Model pp. 1137-1154

Ji Hwan Cha and Massimiliano Giorgio

Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments pp. 1155-1172

Youngjun Choe, Henry Lam and Eunshin Byon

Hitting Times in Markov Chains with Restart and their Application to Network Centrality pp. 1173-1188

Konstantin Avrachenkov, Alexey Piunovskiy and Yi Zhang

A Further Study of the Choice Between Two Hedging Strategies–the Continuous Case pp. 1189-1198

Liang Hong

Markov-Modulated Brownian Motion with Temporary Change of Regime at Level Zero pp. 1199-1222

Guy Latouche and Matthieu Simon

Entropy-based Inhomogeneity Detection in Fiber Materials pp. 1223-1239

Patricia Alonso Ruiz and Evgeny Spodarev

Stability in Distribution of a Stochastic Competitive Lotka-Volterra System with S-type Distributed Time Delays pp. 1241-1257

Sheng Wang, Guixin Hu and Linshan Wang

Stochastic Enumeration with Importance Sampling pp. 1259-1284

Alathea Jensen

Discounted Aggregate Claim Costs Until Ruin in the Discrete-Time Renewal Risk Model pp. 1285-1318

Jae-Kyung Woo and Haibo Liu

Testing with Exponentially Tilted Empirical Likelihood pp. 1319-1358

A. Felipe, N. Martín, P. Miranda and L. Pardo

Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching pp. 1359-1379

Jiling Cao, Teh Raihana Nazirah Roslan and Wenjun Zhang

Wavelet Analysis of Big Data Contaminated by Large Noise in an fMRI Study of Neuroplasticity pp. 1381-1402

Sam Efromovich and Jiayi Wu

Bivariate Bernoulli Weighted Sums and Distribution of Single-Period Tontine Benefits pp. 1403-1416

Michel Denuit and Raluca Vernic

Optimization of the Determinant of the Vandermonde Matrix and Related Matrices pp. 1417-1428

Karl Lundengård, Jonas Österberg and Sergei Silvestrov

Detection and Analysis of Spikes in a Random Sequence pp. 1429-1451

Anirban Dasgupta and Bo Li

Asymptotic Results for First-Passage Times of Some Exponential Processes pp. 1453-1476

Giuseppe D’Onofrio, Claudio Macci and Enrica Pirozzi

Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation pp. 1477-1502

Chang Guo, Xiaoyang Zhuo, Corina Constantinescu and Olivier Menoukeu Pamen

Analysis of the Sojourn Time Distribution for M/GL/1 Queue with Bulk-Service of Exactly Size L pp. 1503-1514

Miaomiao Yu and Yinghui Tang

Volume 20, issue 3, 2018

Preface: Special Issue in Memory of Moshe Shaked pp. 811-815

Narayanaswamy Balakrishnan, Haijun Li, Marco Scarsini and J. George Shanthikumar

Ordering Results for Risk Bounds and Cost-efficient Payoffs in Partially Specified Risk Factor Models pp. 817-838

Jonathan Ansari and Ludger Rüschendorf

A Central Limit Theorem for Costs in Bulinskaya’s Inventory Management Problem When Deliveries Face Delays pp. 839-854

Alessandro Arlotto and J. Michael Steele

Expectiles, Omega Ratios and Stochastic Ordering pp. 855-873

Fabio Bellini, Bernhard Klar and Alfred Müller

Sharp Bounds for Exponential Approximations of NWUE Distributions pp. 875-896

Mark Brown and Shuangning Li

On a New Shot Noise Process and the Induced Survival Model pp. 897-917

Ji Hwan Cha and Maxim Finkelstein

Variance Allocation and Shapley Value pp. 919-933

Riccardo Colini-Baldeschi, Marco Scarsini and Stefano Vaccari

Arrangement Increasing Resource Allocation pp. 935-955

Qi Feng and J. George Shanthikumar

A BKR Operation for Events Occurring for Disjoint Reasons with High Probability pp. 957-973

Larry Goldstein and Yosef Rinott

Dependence Properties of Conditional Distributions of some Copula Models pp. 975-1001

Harry Joe

Markov Property in Discrete Schur-constant Models pp. 1003-1012

Claude Lefèvre, Stéphane Loisel and Sergey Utev

Operator Tail Dependence of Copulas pp. 1013-1027

Haijun Li

Multivariate Regular Variation of Discrete Mass Functions with Applications to Preferential Attachment Networks pp. 1029-1042

Tiandong Wang and Sidney I. Resnick

Volume 20, issue 2, 2018

Space-Fractional Versions of the Negative Binomial and Polya-Type Processes pp. 463-485

L. Beghin and P. Vellaisamy

On Weighted Generalized Cumulative Residual Entropy of Order n pp. 487-503

Suchandan Kayal

Optimal Mission Duration for Partially Repairable Systems Operating in a Random Environment pp. 505-516

Maxim Finkelstein and Gregory Levitin

Splitting for Multi-objective Optimization pp. 517-533

Qibin Duan and Dirk P. Kroese

Ergodicity of Combocontinuous Adaptive MCMC Algorithms pp. 535-551

Jeffrey S. Rosenthal and Jinyoung Yang

Level Hitting Probabilities and Extremal Indexes for Some Particular Dynamical Systems pp. 553-562

George Haiman

Stochastic Ordering Among Success Runs Statistics in a Sequence of Exchangeable Binary Trials pp. 563-573

Serkan Eryilmaz

Profile of Random Exponential Binary Trees pp. 575-587

Yarong Feng and Hosam Mahmoud

Modeling Zero Inflation in Count Data Time Series with Bounded Support pp. 589-609

Tobias A. Möller, Christian H. Weiß, Hee-Young Kim and Andrei Sirchenko

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation pp. 611-641

Ahmed Kebaier and Jérôme Lelong

Spatial Expectile Predictions for Elliptical Random Fields pp. 643-671

V. Maume-Deschamps, Didier Rulliere and A. Usseglio-Carleve

On Coherent Risk Measures Induced by Convex Risk Measures pp. 673-698

Zhiping Chen and Qianhui Hu

Analysis of a Batch Service Polling System in a Multi-phase Random Environment pp. 699-718

Tao Jiang, Liwei Liu and Yuanyuan Zhu

Monitoring Phase II Comparative Clinical Trials with Two Endpoints and Penalty for Adverse Events pp. 719-738

Sotiris Bersimis, Athanasios Sachlas and Takis Papaioannou

Type I Error Probability Spending for Post-Market Drug and Vaccine Safety Surveillance With Poisson Data pp. 739-750

Ivair R. Silva

Interventions in GARCE Branching Processes with Application to Ebola Virus Data pp. 751-776

Irene Hueter

A Bayesian Motivated Laplace Inversion for Multivariate Probability Distributions pp. 777-797

Lorenzo Cappello and Stephen G. Walker

On Products and Mixed Sums of Gamma and Beta Random Variables Motivated by Availability pp. 799-810

Hazhir Homei and Saralees Nadarajah

Volume 20, issue 1, 2018

Sampling and Learning Mallows and Generalized Mallows Models Under the Cayley Distance pp. 1-35

Ekhine Irurozki, Borja Calvo and Jose A. Lozano

Optimal Harvesting for a Stochastic Predator-prey Model with S-type Distributed Time Delays pp. 37-68

Sheng Wang, Linshan Wang and Tengda Wei

The Distribution of Discounted Compound PH–Renewal Processes pp. 69-96

Ya Fang Wang, José Garrido and Ghislain Léveillé

Queues with Dropping Functions and Autocorrelated Arrivals pp. 97-115

Pawel Mrozowski and Andrzej Chydzinski

Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model pp. 117-135

Zhenyu Cui and Duy Nguyen

On Generalised Piterbarg Constants pp. 137-164

Long Bai, Krzysztof Dȩbicki, Enkelejd Hashorva and Li Luo

Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure pp. 165-188

Maciej Augustyniak, Mathieu Boudreault and Manuel Morales

An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion pp. 189-204

Angelos Dassios and Jia Wei Lim

Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures pp. 205-236

Sabrina Mulinacci

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators pp. 237-271

Antonio Dalessandro and Gareth W. Peters

Densities of Ruin-Related Quantities in the Cramér-Lundberg Model with Pareto Claims pp. 273-288

Danijel Grahovac

Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model pp. 289-331

Dan Pirjol and Lingjiong Zhu

Telegraph Process with Elastic Boundary at the Origin pp. 333-352

Antonio Di Crescenzo, Barbara Martinucci and Shelemyahu Zacks

Conditional, Non-Homogeneous and Doubly Stochastic Compound Poisson Processes with Stochastic Discounted Claims pp. 353-368

Ghislain Léveillé and Emmanuel Hamel

A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models pp. 369-384

Yue Liu and Nicolas Privault

Efficient Simulation for Dependent Rare Events with Applications to Extremes pp. 385-409

Lars Nørvang Andersen, Patrick Laub and Leonardo Rojas-Nandayapa

Comparisons Between Largest Order Statistics from Multiple-outlier Models with Dependence pp. 411-433

Jorge Navarro, Nuria Torrado and Yolanda del Águila

On the Optimal Control of a Random Walk with Jumps and Barriers pp. 435-462

Tim Breitenbach, Mario Annunziato and Alfio Borzì