期刊： ADVANCES IN APPLIED PROBABILITY, 2021; 53 (2)
We develop a continuous-time Markov chain (CTMC) approximation of one-dimensional diffusions with sticky boundary or interior points. Approximate solu......
期刊： ADVANCES IN APPLIED PROBABILITY, 2021; 53 (2)
We consider a gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectatio......
期刊： ADVANCES IN APPLIED PROBABILITY, 2020; 52 (4)
Draw-down time for a stochastic process is the first passage time of a draw-down level that depends on the previous maximum of the process. In this pa......
期刊： ADVANCES IN APPLIED PROBABILITY, 2020; 52 (3)
In this paper, we consider functional limit theorems for Poisson cluster processes. We first present a maximal inequality for Poisson cluster processe......
期刊： ADVANCES IN APPLIED PROBABILITY, 2020; 52 (3)
This article investigates the long-time behavior of conservative affine processes on the cone of symmetric positive semidefinite d x d matrices. In pa......
期刊： ADVANCES IN APPLIED PROBABILITY, 2020; 52 (1)
In this paper, the signature of a multi-state coherent system with binary-state components is discussed, and then it is extended to the case of ordere......
期刊： ADVANCES IN APPLIED PROBABILITY, 2020; 52 (1)
Hawkes processes have been widely used in many areas, but their probability properties can be quite difficult. In this paper an elementary approach is......
期刊： ADVANCES IN APPLIED PROBABILITY, 2019; 51 (4)
In this paper, we introduce a new large family of Levy-driven point processes with (and without) contagion, by generalising the classical self-excitin......
期刊： ADVANCES IN APPLIED PROBABILITY, 2019; 51 (2)
In this paper we treat a two-stage grouping procedure of building a k-out-of-n system from several clusters of components. We use a static framework i......
期刊： ADVANCES IN APPLIED PROBABILITY, 2019; 51 (3)
Motivated by Avram, Vu and Zhou (2017), Kyprianou and Zhou (2009), Li, Vu and Zhou (2017), Wang and Hu (2012), and Wang and Zhou (2018). we consider i......
期刊： ADVANCES IN APPLIED PROBABILITY, 2018; 50 (1)
Let X and Y be two independent and nonnegative random variables with corresponding distributions F and G. Denote by H the distribution of the product ......
期刊： ADVANCES IN APPLIED PROBABILITY, 2018; 50 (2)
Let P be the transition matrix of a positive recurrent Markov chain on the integers with invariant probability vector pi(T), and let ((n))(P) over til......
期刊： ADVANCES IN APPLIED PROBABILITY, 2018; 50 (2)
We consider a discrete-time branching random walk in the boundary case, where the associated random walk is in the domain of attraction of an alpha-st......
期刊： ADVANCES IN APPLIED PROBABILITY, 2018; 50 (2)
In the paper we study the Zakai and Kushner-Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system. Mo......
期刊： ADVANCES IN APPLIED PROBABILITY, 2018; 50 (3)
In this paper we investigate risk-sensitive semi-Markov decision processes with a Borel state space, unbounded cost rates, and general utility functio......
