Methodology and Computing in Applied Probability

1999 - 2025

Current editor(s): Joseph Glaz

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Volume 19, issue 4, 2017

Editorial pp. 1009-1009

Markos V. Koutras and Christos H. Skiadas

Semi-Markov Modelling for Multi-State Systems pp. 1011-1028

Vlad Stefan Barbu, Alex Karagrigoriou and Andreas Makrides

The Quality of Life Via Semi Markov Reward Modelling pp. 1029-1045

Zacharias Kyritsis and Aleka Papadopoulou

Quasi-Stationary Asymptotics for Perturbed Semi-Markov Processes in Discrete Time pp. 1047-1074

Mikael Petersson

Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility pp. 1075-1087

Betuel Canhanga, Anatoliy Malyarenko, Jean-Paul Murara, Ying Ni and Sergei Silvestrov

Loss of Conservation of Graph Centralities in Reverse-engineered Transcriptional Regulatory Networks pp. 1089-1105

Holger Weishaupt, Patrik Johansson, Christopher Engström, Sven Nelander, Sergei Silvestrov and Fredrik J Swartling

Estimation of Parameters for the Multi-peaked AEF Current Functions pp. 1107-1121

Karl Lundengård, Milica Rančić, Vesna Javor and Sergei Silvestrov

Estimating the Positive and Negative Jumps of Asset Returns Via Kalman Filtering. The Case of Nasdaq Index pp. 1123-1134

Ourania Theodosiadou and George Tsaklidis

Controlling Bivariate Categorical Processes using Scan Rules pp. 1135-1149

Sotirios Bersimis, Athanasios Sachlas and Philippe Castagliola

Positive Discrete Spectrum of the Evolutionary Operator of Supercritical Branching Walks with Heavy Tails pp. 1151-1167

E. Yarovaya

Performance Monitoring and Competence Assessment in Health Services pp. 1169-1190

Sotirios Bersimis, Athanasios Sachlas and Ross Sparks

Reward Algorithms for Semi-Markov Processes pp. 1191-1209

Dmitrii Silvestrov and Raimondo Manca

Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering pp. 1211-1225

Mark Anthony Caruana

Interpretation of the Evolution of the Homogeneous Markov System (or, equivalently, of the Embedded Markov Chain) as the Deformation of a Viscoelastic Medium. The 3-D Case pp. 1227-1239

K. Loumponias and G. Tsaklidis

On the Existence and Uniqueness of Solution of MRE and Applications pp. 1241-1250

Yunhui Hou, Nikolaos Limnios and Walter Schön

Volume 19, issue 3, 2017

Performance Analysis of the GI/M/1 Queue with Single Working Vacation and Vacations pp. 685-714

Qingqing Ye and Liwei Liu

Well-Posedness and Asymptotic Behaviors for a Predator-Prey System with Lévy Noise pp. 715-725

Sheng Wang, Linshan Wang and Tengda Wei

Biased Online Parameter Inference for State-Space Models pp. 727-749

Pierre Del Moral, Ajay Jasra and Yan Zhou

An Integration by Parts Type Formula for Stopping Times and its Application pp. 751-773

Tomonori Nakatsu

Approximation of the Ultimate Ruin Probability in the Classical Risk Model Using Erlang Mixtures pp. 775-798

David J. Santana, Juan González-Hernández and Luis Rincón

An Algorithm for Approximating the Second Moment of the Normalizing Constant Estimate from a Particle Filter pp. 799-818

Svetoslav Kostov and Nick Whiteley

Perturbation Analysis of the GI/M/s Queue pp. 819-841

Badredine Issaadi, Karim Abbas and Djamil Aïssani

Large Deviations Approximations to Distributions of the Total Distance of Compound Random Walks with von Mises Directions pp. 843-864

Riccardo Gatto

Regularizing Portfolio Risk Analysis: A Bayesian Approach pp. 865-889

Sourish Das, Aritra Halder and Dipak K. Dey

Credit Risk in an Economy with New Firms Arrivals pp. 891-912

Silvia Centanni, Immacolata Oliva and Paola Tardelli

The Log-Linear Birnbaum-Saunders Power Model pp. 913-933

Guillermo Martínez-Flórez, Heleno Bolfarine and Héctor W. Gómez

Clustering Nonlinear, Nonstationary Time Series Using BSLEX pp. 935-955

Jane L. Harvill, Priya Kohli and Nalini Ravishanker

Efficient Computation of First Passage Times in Kou’s Jump-diffusion Model pp. 957-971

Abdel Belkaid and Frederic Utzet

Bayesian Approach to Hurst Exponent Estimation pp. 973-983

Martin Dlask, Jaromir Kukal and Oldrich Vysata

On the Joint Distribution of First-passage Time and First-passage Area of Drifted Brownian Motion pp. 985-996

Mario Abundo and Danilo Del Vescovo

On Eigenvalues of the Transition Matrix of Some Count-Data Markov Chains pp. 997-1007

Christian H. Weiß

Volume 19, issue 2, 2017

On the Comparison of Relative Spacings with Applications pp. 357-376

Félix Belzunce, Carolina Martínez-Riquelme, José M. Ruiz and Miguel A. Sordo

Compound Geometric Distribution of Order k pp. 377-393

Markos V. Koutras and Serkan Eryilmaz

Impact of Dependence on Some Multivariate Risk Indicators pp. 395-427

Véronique Maume-Deschamps, Didier Rulliere and Khalil Said

A Double Application of the Benjamini-Hochberg Procedure for Testing Batched Hypotheses pp. 429-443

Qingyun Cai and Hock Peng Chan

Computing the Expected Markov Reward Rates with Stationarity Detection and Relative Error Control pp. 445-485

Víctor Suñé

Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times pp. 487-518

Rodrigo Targino, Gareth W. Peters, Georgy Sofronov and Pavel V. Shevchenko

Modified Unit Root Tests with Nuisance Parameter Free Asymptotic Distributions pp. 519-538

Gaowen Wang

Unit Root Testing in Presence of a Double Threshold Process pp. 539-556

Francesco Giordano, Marcella Niglio and Cosimo Damiano Vitale

The Distribution of a Sum of Independent Binomial Random Variables pp. 557-571

Ken Butler and Michael A. Stephens

Prediction of Components in Random Sums pp. 573-587

Muneya Matsui

Walk On Spheres Algorithm for Helmholtz and Yukawa Equations via Duffin Correspondence pp. 589-602

Xuxin Yang, Antti Rasila and Tommi Sottinen

Generalized Gambler’s Ruin Problem: Explicit Formulas via Siegmund Duality pp. 603-613

Paweł Lorek

MLE, Information, Ancillary Complement, and Conditional Inference with Illustrations pp. 615-629

Nitis Mukhopadhyay and Yan Zhuang

Optimal Linear Bernoulli Factories for Small Mean Problems pp. 631-645

Mark Huber

Log-Convexity of Counting Processes Evaluated at a Random end of Observation Time with Applications to Queueing Models pp. 647-664

F. G. Badía and C. Sangüesa

On Burr XII Distribution Analysis Under Progressive Type-II Hybrid Censored Data pp. 665-683

M. Noori Asl, R. Arabi Belaghi and H. Bevrani

Volume 19, issue 1, 2017

A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations pp. 1-29

Cody B. Hyndman and Polynice Oyono Ngou

Stochastic Enumeration Method for Counting Trees pp. 31-73

Radislav Vaisman and Dirk P. Kroese

Exit Times, Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier pp. 75-95

Michael V. Boutsikas and Konstadinos Politis

Series Representations for Multivariate Time-Changed Lévy Models pp. 97-119

Vladimir Panov

Iterated Stochastic Processes: Simulation and Relationship with High Order Partial Differential Equations pp. 121-149

Michèle Thieullen and Alexis Vigot

Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions pp. 151-174

Pierre-Olivier Goffard, Stéphane Loisel and Denys Pommeret

Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Processes pp. 175-211

Reiichiro Kawai

Approximate Simulation Techniques and Distribution of an Extended Gamma Process pp. 213-235

Zeina Al Masry, Sophie Mercier and Ghislain Verdier

First Passage Time for Brownian Motion and Piecewise Linear Boundaries pp. 237-253

Zhiyong Jin and Liqun Wang

Waiting Time Distributions in the Preemptive Accumulating Priority Queue pp. 255-284

Val Andrei Fajardo and Steve Drekic

Approximations for Time-Dependent Distributions in Markovian Fluid Models pp. 285-309

Sarah Dendievel and Guy Latouche

Capital Allocation for Sarmanov’s Class of Distributions pp. 311-330

Raluca Vernic

Bivariate Binomial Moments and Bonferroni-Type Inequalities pp. 331-348

Qin Ding and Eugene Seneta

On the Moments of the Absorption Time of Kingman’s Coalescent pp. 349-355

Tibor K. Pogány and Saralees Nadarajah