Journal: Advances in Applied Probability

Found 243 papers in total
Extreme value theory for a class of Markov chains with values in ℝd
Extreme value theory for a class of Markov chains with values in ℝd
1997,
We consider extreme value theory for a class of stationary Markov chains with values...
Limiting conditional distributions for birth–death processes
Limiting conditional distributions for birth–death processes
1997,
In a recent paper one of us identified all of the quasi-stationary distributions for a...
Shapes of rectangular prisms after repeated random division
Shapes of rectangular prisms after repeated random division
1997,
The shape of a rectangular prism in ( d +1)-dimensions is defined as Y =...
On the distributions of scan statistics of a two-dimensional Poisson process
On the distributions of scan statistics of a two-dimensional Poisson process
1997,
Given a two-dimensional Poisson process, X , with intensity λ, we are...
A remark on the Van Lieshout and Baddeley J-function for point processes
A remark on the Van Lieshout and Baddeley J-function for point processes
1997,
The empty space function of a stationary point process in ℝ d is the function...
On the survival probability of a branching process in a random environment
On the survival probability of a branching process in a random environment
1997,
We derive a variety of estimates for the survival probability of a branching process...
Brownian excursions and Parisian barrier options
Brownian excursions and Parisian barrier options
1997,
In this paper we study a new kind of option, called hereinafter a Parisian barrier...
The Multivariate GINAR(p) process
The Multivariate GINAR(p) process
1997,
A criterion is given for the existence of a stationary and causal multivariate...
Estimating functionals of a stochastic process
Estimating functionals of a stochastic process
1997,
The problem of estimating the integral of a stochastic process from observations at a...
Smoothing the Hill estimator
Smoothing the Hill estimator
1997,
For sequences of i.i.d. random variables whose common tail 1− F is regularly...
On the existence and application of continuous-time threshold autoregressions of order two
On the existence and application of continuous-time threshold autoregressions of order two
1997,
A continuous-time threshold autoregressive process of order two (CTAR(2)) is...
Homogeneous rectangular tessellations
Homogeneous rectangular tessellations
1996,
A rectangular tesselation is a covering of the plane by non-overlapping rectangles. A...
A central limit theorem for the parsimony length of trees
A central limit theorem for the parsimony length of trees
1996,
In phylogenetic analysis it is useful to study the distribution of the parsimony...
Consistency in systematic sampling
Consistency in systematic sampling
1996,
In design-based stereology, fixed parameters (such as volume, surface area, curve...
Clumping in multitype-branching trees
Clumping in multitype-branching trees
1996,
The authors investigate the ‘clumping versus local finiteness’ behavior in...
Portfolio choice and the Bayesian kelly criterion
Portfolio choice and the Bayesian kelly criterion
1996,
The authors derive optimal gambling and investment policies for cases in which the...
Anticipative portfolio optimization
Anticipative portfolio optimization
1996,
The authors study a classical stochastic control problem arising in financial...
The range of a simple random walk on ℝ
The range of a simple random walk on ℝ
1996,
Let θ(a) be the first time when the range (R m ;n≥0) is equal to a, R n being...
Convergence of stochastic algorithms: From the Kushner-Clark theorem to the Lyapounov functional method
Convergence of stochastic algorithms: From the Kushner-Clark theorem to the Lyapounov functional method
1996,
In the first part of this paper a global Kushner-Clark theorem about the convergence...
On the undiscounted tax problem with precedence constraints
On the undiscounted tax problem with precedence constraints
1996,
A single machine is available to process a collection of jobs J, each of which evolves...
On steady-state queue size distributions of the discrete-time GI/G/1 queue
On steady-state queue size distributions of the discrete-time GI/G/1 queue
1996,
In this paper, the authors present results for the steady-state system length...
Dynamic routing and jockeying controls in a two-station queueing system
Dynamic routing and jockeying controls in a two-station queueing system
1996,
This paper studies optimal routing and jockeying policies in a two-station parallel...
Some diffusion models for the Mabinogion sheep problem of Williams
Some diffusion models for the Mabinogion sheep problem of Williams
1996,
The ‘Mabinogion sheep’ problem, originally due to D. Williams, is a nice...
General conditions for bounded relative error in simulations of highly reliable Markovian systems
General conditions for bounded relative error in simulations of highly reliable Markovian systems
1996,
The paper establishes a necessary condition for any importance sampling scheme to give...
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