Journal: Advances in Applied Probability

Found 243 papers in total
The return on investment from proportional portfolio strategies
The return on investment from proportional portfolio strategies
1998,
Dynamic asset allocation strategies that are continuously rebalanced so as to always...
Hedging contingent claims for a large investor in an incomplete market
Hedging contingent claims for a large investor in an incomplete market
1998,
In this paper we study the problem of pricing contingent claims for a large investor...
A rendezvous–evasion game on discrete locations with joint randomization
A rendezvous–evasion game on discrete locations with joint randomization
1997,
We consider a problem proposed by S. Alpern of how two players can optimally...
Stationary states of a directed planar growth process
Stationary states of a directed planar growth process
1997,
A new Markov process is introduced, describing growth or spread in two dimensions, via...
Empirical clustering of bursts of openings in Markov and semi-Markov models of single channel gating incorporating time interval omission
Empirical clustering of bursts of openings in Markov and semi-Markov models of single channel gating incorporating time interval omission
1997,
The gating mechanism of a single ion channel is usually modelled by a continuous-time...
Explicit asymptotic results for open times in ION channel models
Explicit asymptotic results for open times in ION channel models
1997,
The dynamical aspects of single channel gating can be modelled by a Markov renewal...
Simple formulae for counting processes in reliability models
Simple formulae for counting processes in reliability models
1997,
Dependability evaluation is a basic component in the assessment of the quality of...
Markov connected component fields
Markov connected component fields
1998,
A new class of Gibbsian models with potentials associated with the connected...
Bayesian object recognition with Baddeley's delta loss
Bayesian object recognition with Baddeley's delta loss
1998,
A common problem in Bayesian object recognition using marked point process models is...
A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models
A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models
1998,
In this paper we study the so-called random coefficient autoregressive models and...
Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
1998,
We consider a problem similar in many respects to a finite horizon Markov decision...
Approximations of general discrete time queues by discrete time queues with arrivals modulated by finite chains
Approximations of general discrete time queues by discrete time queues with arrivals modulated by finite chains
1997,
Recently, Asmussen and Koole showed that any discrete or continuous time marked point...
Light traffic approximations for regenerative queueing processes
Light traffic approximations for regenerative queueing processes
1997,
We consider a regenerative queueing process that is (partially) generated by an...
Concomitant tail behaviour for extremes
Concomitant tail behaviour for extremes
1998,
The influence of bivariate extremal dependence on the limiting behaviour of the...
Co-existence of the occupied and vacant phase in Boolean models in three or more dimensions
Co-existence of the occupied and vacant phase in Boolean models in three or more dimensions
1997,
Consider a continuum percolation model in which, at each point of a d -dimensional...
On the mean shape of particle processes
On the mean shape of particle processes
1997,
For a stationary point process X of sets in the convex ring in ℝ d , a relation...
Ruin theory with stochastic return on investments
Ruin theory with stochastic return on investments
1997,
We consider a risk process with stochastic interest rate, and show that the...
Stochastic FM models and non-linear time series analysis
Stochastic FM models and non-linear time series analysis
1997,
An important model in communications is the stochastic frequency modulation (FM)...
Fixed points of a generalized smoothing transformation and applications to the branching random walk
Fixed points of a generalized smoothing transformation and applications to the branching random walk
1998,
Let { A i : i ≥ 1} be a sequence of non-negative random variables and let ℳ be...
Periodic steady state of loss systems with periodic inputs
Periodic steady state of loss systems with periodic inputs
1998,
The input of a multiserver loss system is assumed to be a periodic random marked point...
On the rate of growth of the overshoot and the maximum partial sum
On the rate of growth of the overshoot and the maximum partial sum
1998,
Let T r be the first time at which a random walk S n escapes from the strip [– r...
The minimum vertex degree of a graph on uniform points in [0,1]d
The minimum vertex degree of a graph on uniform points in [0,1]d
1997,
On independent random points U 1 , …, U n distributed uniformly on [0,1] d , a...
The maximum vertex degree of a graph on uniform points in [0,1]d
The maximum vertex degree of a graph on uniform points in [0,1]d
1997,
A random graph G n ( x ) is constructed on independent random points U 1 , …, U...
A stochastic model of carcinogenesis and tumor size at detection
A stochastic model of carcinogenesis and tumor size at detection
1997,
This paper discusses the distribution of tumor size at detection derived within the...
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