Cavazos-Cadena, Rolando; Cruz-Suárez, Hugo; Montes-De-Oca, Raúl Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller. (English) Zbl 07808674 J. Appl. Probab. 61, No. 1, 340-367 (2024). MSC: 90C40 PDFBibTeX XMLCite \textit{R. Cavazos-Cadena} et al., J. Appl. Probab. 61, No. 1, 340--367 (2024; Zbl 07808674) Full Text: DOI
Ekström, Erik; Mellquist, Ebba Monotonicity of implied volatility for perpetual put options. (English) Zbl 07808672 J. Appl. Probab. 61, No. 1, 301-310 (2024). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{E. Mellquist}, J. Appl. Probab. 61, No. 1, 301--310 (2024; Zbl 07808672) Full Text: DOI
Kapodistria, Stella; Saxena, Mayank; Boxma, Onno J.; Kella, Offer Workload analysis of a two-queue fluid Polling model. (English) Zbl 1517.60118 J. Appl. Probab. 60, No. 3, 1003-1030 (2023). MSC: 60K25 90B22 60K37 60G51 PDFBibTeX XMLCite \textit{S. Kapodistria} et al., J. Appl. Probab. 60, No. 3, 1003--1030 (2023; Zbl 1517.60118) Full Text: DOI arXiv
Liang, Xiaoqing; Young, Virginia R. Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift. (English) Zbl 1521.91318 J. Appl. Probab. 60, No. 3, 874-894 (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{X. Liang} and \textit{V. R. Young}, J. Appl. Probab. 60, No. 3, 874--894 (2023; Zbl 1521.91318) Full Text: DOI
Hernández-Bustos, Diego; Hernández-Hernández, Daniel Portfolio management under drawdown constraint in discrete-time financial markets. (English) Zbl 1508.91503 J. Appl. Probab. 60, No. 1, 127-147 (2023). MSC: 91G10 90C40 PDFBibTeX XMLCite \textit{D. Hernández-Bustos} and \textit{D. Hernández-Hernández}, J. Appl. Probab. 60, No. 1, 127--147 (2023; Zbl 1508.91503) Full Text: DOI
Kella, Offer; Mandjes, Michel From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity. (English) Zbl 1509.60163 J. Appl. Probab. 60, No. 1, 68-84 (2023). MSC: 60K25 60J25 60G51 90B05 PDFBibTeX XMLCite \textit{O. Kella} and \textit{M. Mandjes}, J. Appl. Probab. 60, No. 1, 68--84 (2023; Zbl 1509.60163) Full Text: DOI arXiv
Alili, Larbi; Woodford, David On the finiteness and tails of perpetuities under a Lamperti-Kiu map. (English) Zbl 1475.60085 J. Appl. Probab. 58, No. 4, 1086-1113 (2021). MSC: 60G51 60G18 60J45 91B70 PDFBibTeX XMLCite \textit{L. Alili} and \textit{D. Woodford}, J. Appl. Probab. 58, No. 4, 1086--1113 (2021; Zbl 1475.60085) Full Text: DOI arXiv
Miclo, Laurent; Villeneuve, Stéphane On the forward algorithm for stopping problems on continuous-time Markov chains. (English) Zbl 1478.60211 J. Appl. Probab. 58, No. 4, 1043-1063 (2021). Reviewer: Weiping Li (Guanghan) MSC: 60J27 60J45 60J28 90C40 91G60 60G40 PDFBibTeX XMLCite \textit{L. Miclo} and \textit{S. Villeneuve}, J. Appl. Probab. 58, No. 4, 1043--1063 (2021; Zbl 1478.60211) Full Text: DOI Link
Guo, Xin; Huang, Yonghui Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates. (English) Zbl 1470.90152 J. Appl. Probab. 58, No. 2, 523-550 (2021). MSC: 90C40 60J27 PDFBibTeX XMLCite \textit{X. Guo} and \textit{Y. Huang}, J. Appl. Probab. 58, No. 2, 523--550 (2021; Zbl 1470.90152) Full Text: DOI
Saarinen, Harto; Lempa, Jukka Ergodic control of diffusions with random intervention times. (English) Zbl 1459.49010 J. Appl. Probab. 58, No. 1, 1-21 (2021). Reviewer: Savin Treanta (Bucureşti) MSC: 49J55 49N25 49L20 60J60 PDFBibTeX XMLCite \textit{H. Saarinen} and \textit{J. Lempa}, J. Appl. Probab. 58, No. 1, 1--21 (2021; Zbl 1459.49010) Full Text: DOI arXiv
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Michna, Zbigniew Simultaneous ruin probability for two-dimensional Brownian risk model. (English) Zbl 1464.60031 J. Appl. Probab. 57, No. 2, 597-612 (2020). MSC: 60G15 60G70 91B05 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., J. Appl. Probab. 57, No. 2, 597--612 (2020; Zbl 1464.60031) Full Text: DOI arXiv
Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang A martingale approach for asset allocation with derivative security and hidden economic risk. (English) Zbl 1425.91408 J. Appl. Probab. 56, No. 3, 723-749 (2019). MSC: 91G20 91G10 60G44 60H07 91B16 PDFBibTeX XMLCite \textit{T. K. Siu} et al., J. Appl. Probab. 56, No. 3, 723--749 (2019; Zbl 1425.91408) Full Text: DOI
Tu, Eddie On association and other forms of positive dependence for Feller processes. (English) Zbl 1415.60022 J. Appl. Probab. 56, No. 2, 624-646 (2019). MSC: 60E07 60E15 60J25 60J35 60J75 PDFBibTeX XMLCite \textit{E. Tu}, J. Appl. Probab. 56, No. 2, 624--646 (2019; Zbl 1415.60022) Full Text: DOI arXiv
Leonenko, Nikolai; Scalas, Enrico; Trinh, Mailan Limit theorems for the fractional nonhomogeneous Poisson process. (English) Zbl 1418.60025 J. Appl. Probab. 56, No. 1, 246-264 (2019). MSC: 60F17 60F05 60G55 PDFBibTeX XMLCite \textit{N. Leonenko} et al., J. Appl. Probab. 56, No. 1, 246--264 (2019; Zbl 1418.60025) Full Text: DOI arXiv Link
Izadi, Muhyiddin; Sharafi, Maryam; Khaledi, Baha-Eldin New nonparametric classes of distributions in terms of mean time to failure in age replacement. (English) Zbl 1409.62196 J. Appl. Probab. 55, No. 4, 1238-1248 (2018). MSC: 62N05 90B25 62P30 62G05 PDFBibTeX XMLCite \textit{M. Izadi} et al., J. Appl. Probab. 55, No. 4, 1238--1248 (2018; Zbl 1409.62196) Full Text: DOI
Anselmi, Jonatha; Dufour, François; Prieto-Rumeau, Tomás Computable approximations for average Markov decision processes in continuous time. (English) Zbl 1404.90135 J. Appl. Probab. 55, No. 2, 571-592 (2018). MSC: 90C40 90C39 PDFBibTeX XMLCite \textit{J. Anselmi} et al., J. Appl. Probab. 55, No. 2, 571--592 (2018; Zbl 1404.90135) Full Text: DOI
Zeng, Yun; Xia, Cathy Honghui Optimal bulking threshold of batch service queues. (English) Zbl 1400.60117 J. Appl. Probab. 54, No. 2, 409-423 (2017). MSC: 60K25 60J10 60K05 PDFBibTeX XMLCite \textit{Y. Zeng} and \textit{C. H. Xia}, J. Appl. Probab. 54, No. 2, 409--423 (2017; Zbl 1400.60117) Full Text: DOI
Devroye, Luc; Györfi, László; Lugosi, Gábor; Walk, Harro On the measure of Voronoi cells. (English) Zbl 1400.60012 J. Appl. Probab. 54, No. 2, 394-408 (2017). MSC: 60D05 PDFBibTeX XMLCite \textit{L. Devroye} et al., J. Appl. Probab. 54, No. 2, 394--408 (2017; Zbl 1400.60012) Full Text: DOI arXiv
López, Sergio I. Convergence of tandem Brownian queues. (English) Zbl 1344.60087 J. Appl. Probab. 53, No. 2, 585-592 (2016). MSC: 60K25 60F05 60J65 90B22 90B15 PDFBibTeX XMLCite \textit{S. I. López}, J. Appl. Probab. 53, No. 2, 585--592 (2016; Zbl 1344.60087) Full Text: DOI arXiv Euclid
Pedarsani, Ramtin; Walrand, Jean Stability of multiclass queueing networks under longest-queue and longest-dominating-queue scheduling. (English) Zbl 1344.60089 J. Appl. Probab. 53, No. 2, 421-433 (2016). MSC: 60K25 60G17 90B22 90B15 68M20 PDFBibTeX XMLCite \textit{R. Pedarsani} and \textit{J. Walrand}, J. Appl. Probab. 53, No. 2, 421--433 (2016; Zbl 1344.60089) Full Text: DOI arXiv Euclid
Packham, N.; Kalkbrener, M.; Overbeck, L. Asymptotic behaviour of multivariate default probabilities and default correlations under stress. (English) Zbl 1345.60032 J. Appl. Probab. 53, No. 1, 71-81 (2016). MSC: 60F99 60G70 91G40 PDFBibTeX XMLCite \textit{N. Packham} et al., J. Appl. Probab. 53, No. 1, 71--81 (2016; Zbl 1345.60032) Full Text: DOI Euclid Link
Di Crescenzo, Antonio; Toomaj, Abdolsaeed Extension of the past lifetime and its connection to the cumulative entropy. (English) Zbl 1336.60029 J. Appl. Probab. 52, No. 4, 1156-1174 (2015). MSC: 60E15 62B10 62N05 94A17 PDFBibTeX XMLCite \textit{A. Di Crescenzo} and \textit{A. Toomaj}, J. Appl. Probab. 52, No. 4, 1156--1174 (2015; Zbl 1336.60029) Full Text: DOI arXiv Euclid
Pihlsgård, Mats Local martingales with two reflecting barriers. (English) Zbl 1334.60069 J. Appl. Probab. 52, No. 4, 1062-1075 (2015). MSC: 60G48 60G44 60F15 60F05 60G51 60H05 60J65 60G17 PDFBibTeX XMLCite \textit{M. Pihlsgård}, J. Appl. Probab. 52, No. 4, 1062--1075 (2015; Zbl 1334.60069) Full Text: DOI Euclid
Wu, Xiao; Guo, Xianping First passage optimality and variance minimisation of Markov decision processes with varying discount factors. (English) Zbl 1327.90374 J. Appl. Probab. 52, No. 2, 441-456 (2015). MSC: 90C40 93E20 60J27 PDFBibTeX XMLCite \textit{X. Wu} and \textit{X. Guo}, J. Appl. Probab. 52, No. 2, 441--456 (2015; Zbl 1327.90374) Full Text: DOI Euclid
Klimmek, Martin Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems. (English) Zbl 1327.60099 J. Appl. Probab. 51, No. 2, 492-511 (2014). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 60J60 62L15 PDFBibTeX XMLCite \textit{M. Klimmek}, J. Appl. Probab. 51, No. 2, 492--511 (2014; Zbl 1327.60099) Full Text: DOI arXiv
Zhou, Ming; Cai, Jun Optimal dynamic risk control for insurers with state-dependent income. (English) Zbl 1291.93334 J. Appl. Probab. 51, No. 2, 417-435 (2014). MSC: 93E20 91B30 91B70 91G10 60H30 PDFBibTeX XMLCite \textit{M. Zhou} and \textit{J. Cai}, J. Appl. Probab. 51, No. 2, 417--435 (2014; Zbl 1291.93334) Full Text: DOI
Pihlsgård, Mats; Glynn, Peter W. On the dynamics of semimartingales with two reflecting barriers. (English) Zbl 1282.60047 J. Appl. Probab. 50, No. 3, 671-685 (2013). Reviewer: Oliver Janke (Berlin) MSC: 60G44 60G51 60H05 60G17 PDFBibTeX XMLCite \textit{M. Pihlsgård} and \textit{P. W. Glynn}, J. Appl. Probab. 50, No. 3, 671--685 (2013; Zbl 1282.60047) Full Text: DOI Euclid
Prieto-Rumeau, Tomás; Hernández-Lerma, Onésimo Discounted continuous-time controlled Markov chains: convergence of control models. (English) Zbl 1255.90126 J. Appl. Probab. 49, No. 4, 1072-1090 (2012). MSC: 90C40 60J27 PDFBibTeX XMLCite \textit{T. Prieto-Rumeau} and \textit{O. Hernández-Lerma}, J. Appl. Probab. 49, No. 4, 1072--1090 (2012; Zbl 1255.90126) Full Text: DOI Euclid
Romera, R.; Runggaldier, W. Ruin probabilities in a finite-horizon risk model with investment and reinsurance. (English) Zbl 1255.91185 J. Appl. Probab. 49, No. 4, 954-966 (2012). MSC: 91B30 93E20 60J28 PDFBibTeX XMLCite \textit{R. Romera} and \textit{W. Runggaldier}, J. Appl. Probab. 49, No. 4, 954--966 (2012; Zbl 1255.91185) Full Text: DOI Euclid
Degen, Matthias; Embrechts, Paul Scaling of high-quantile estimators. (English) Zbl 1229.62139 J. Appl. Probab. 48, No. 4, 968-983 (2011). MSC: 62P05 62G32 91G70 62G20 91B30 PDFBibTeX XMLCite \textit{M. Degen} and \textit{P. Embrechts}, J. Appl. Probab. 48, No. 4, 968--983 (2011; Zbl 1229.62139) Full Text: DOI
Blanchet, Jose; Li, Chenxin Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes. (English) Zbl 1219.65012 J. Appl. Probab. 48, No. 2, 467-489 (2011). MSC: 65C50 65C05 60G15 60F10 60J65 PDFBibTeX XMLCite \textit{J. Blanchet} and \textit{C. Li}, J. Appl. Probab. 48, No. 2, 467--489 (2011; Zbl 1219.65012) Full Text: DOI
Kim, Jung Hyun; Ahn, Hyun-Soo; Righter, Rhonda Managing queues with heterogeneous servers. (English) Zbl 1235.60129 J. Appl. Probab. 48, No. 2, 435-452 (2011). Reviewer: Evsei Morozov (Petrozavodsk) MSC: 60K25 60K30 90B22 PDFBibTeX XMLCite \textit{J. H. Kim} et al., J. Appl. Probab. 48, No. 2, 435--452 (2011; Zbl 1235.60129) Full Text: DOI
Avrachenkov, Konstantin; Piunovskiy, Alexey; Zhang, Yi Asymptotic fluid optimality and efficiency of the tracking policy for bandwidth-sharing networks. (English) Zbl 1217.60079 J. Appl. Probab. 48, No. 1, 90-113 (2011). Reviewer: Vyacheslav Abramov (Melbourne) MSC: 60K25 68M20 PDFBibTeX XMLCite \textit{K. Avrachenkov} et al., J. Appl. Probab. 48, No. 1, 90--113 (2011; Zbl 1217.60079) Full Text: DOI
Dufour, F.; Piunovskiy, A. B. Multiobjective stopping problem for discrete-time Markov processes: convex analytic approach. (English) Zbl 1218.62081 J. Appl. Probab. 47, No. 4, 947-966 (2010). Reviewer: Vivek S. Borkar (Mumbai) MSC: 62L15 93E20 90C25 60G40 PDFBibTeX XMLCite \textit{F. Dufour} and \textit{A. B. Piunovskiy}, J. Appl. Probab. 47, No. 4, 947--966 (2010; Zbl 1218.62081) Full Text: DOI
Mendoza-Pérez, Armando F.; Hernández-Lerma, Onésimo Asymptotic normality of discrete-time Markov control processes. (English) Zbl 1200.93138 J. Appl. Probab. 47, No. 3, 778-795 (2010). MSC: 93E20 90C40 60F05 60J05 PDFBibTeX XMLCite \textit{A. F. Mendoza-Pérez} and \textit{O. Hernández-Lerma}, J. Appl. Probab. 47, No. 3, 778--795 (2010; Zbl 1200.93138) Full Text: DOI
Zeng, Xudong A stochastic differential reinsurance game. (English) Zbl 1222.93238 J. Appl. Probab. 47, No. 2, 335-349 (2010). MSC: 93E20 91A15 93E03 60G40 60J60 49N70 PDFBibTeX XMLCite \textit{X. Zeng}, J. Appl. Probab. 47, No. 2, 335--349 (2010; Zbl 1222.93238) Full Text: DOI
Li, Haijun; Sun, Yannan Tail dependence for heavy-tailed scale mixtures of multivariate distributions. (English) Zbl 1179.62076 J. Appl. Probab. 46, No. 4, 925-937 (2009). MSC: 62H05 62H10 62H20 PDFBibTeX XMLCite \textit{H. Li} and \textit{Y. Sun}, J. Appl. Probab. 46, No. 4, 925--937 (2009; Zbl 1179.62076) Full Text: DOI
Jasso-Fuentes, Héctor; Hernández-Lerma, Onésimo Blackwell optimality for controlled diffusion processes. (English) Zbl 1165.93038 J. Appl. Probab. 46, No. 2, 372-391 (2009). MSC: 93E20 60J60 PDFBibTeX XMLCite \textit{H. Jasso-Fuentes} and \textit{O. Hernández-Lerma}, J. Appl. Probab. 46, No. 2, 372--391 (2009; Zbl 1165.93038) Full Text: DOI
Diasparra, Maikol A.; Romera, Rosario Bounds for the ruin probability of a discrete-time risk process. (English) Zbl 1159.91404 J. Appl. Probab. 46, No. 1, 99-112 (2009). MSC: 91B30 60K10 60J05 PDFBibTeX XMLCite \textit{M. A. Diasparra} and \textit{R. Romera}, J. Appl. Probab. 46, No. 1, 99--112 (2009; Zbl 1159.91404) Full Text: DOI
Gani, Joe; Seneta, Eugene Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA. (English) Zbl 1149.60301 J. Appl. Probab. 45, No. 3, 587-592 (2008). MSC: 60-03 01A70 PDFBibTeX XMLCite \textit{J. Gani} and \textit{E. Seneta}, J. Appl. Probab. 45, No. 3, 587--592 (2008; Zbl 1149.60301) Full Text: DOI
Zhu, Quanxin; Prieto-Rumeau, Tomás Bias and overtaking optimality for continuous-time jump Markov decision processes in Polish spaces. (English) Zbl 1189.90187 J. Appl. Probab. 45, No. 2, 417-429 (2008). MSC: 90C40 93E20 PDFBibTeX XMLCite \textit{Q. Zhu} and \textit{T. Prieto-Rumeau}, J. Appl. Probab. 45, No. 2, 417--429 (2008; Zbl 1189.90187) Full Text: DOI
Leite, Saul C.; Fragoso, Marcelo D. Diffusion approximation of state-dependent G-networks under heavy traffic. (English) Zbl 1151.60043 J. Appl. Probab. 45, No. 2, 347-362 (2008). Reviewer: János Sztrik (Debrecen) MSC: 60K25 90B22 68M20 PDFBibTeX XMLCite \textit{S. C. Leite} and \textit{M. D. Fragoso}, J. Appl. Probab. 45, No. 2, 347--362 (2008; Zbl 1151.60043) Full Text: DOI
Rüschendorf, Ludger On a comparison result for Markov processes. (English) Zbl 1167.60005 J. Appl. Probab. 45, No. 1, 279-286 (2008). Reviewer: Hans Daduna (Hamburg) MSC: 60E15 60J25 PDFBibTeX XMLCite \textit{L. Rüschendorf}, J. Appl. Probab. 45, No. 1, 279--286 (2008; Zbl 1167.60005) Full Text: DOI
James, Huw W.; Collins, E. J. An analysis of transient Markov decision processes. (English) Zbl 1145.90099 J. Appl. Probab. 43, No. 3, 603-621 (2006). MSC: 90C40 93E20 PDFBibTeX XMLCite \textit{H. W. James} and \textit{E. J. Collins}, J. Appl. Probab. 43, No. 3, 603--621 (2006; Zbl 1145.90099) Full Text: DOI
Bhulai, Sandjai On the value function of the \(\text{M/Cox}(r)/1\) queue. (English) Zbl 1101.93089 J. Appl. Probab. 43, No. 2, 363-376 (2006). MSC: 93E25 60K25 PDFBibTeX XMLCite \textit{S. Bhulai}, J. Appl. Probab. 43, No. 2, 363--376 (2006; Zbl 1101.93089) Full Text: DOI
Guo, Xianping; Zhu, Quanxin Average optimality for Markov decision processes in Borel spaces: a new condition and approach. (English) Zbl 1121.90122 J. Appl. Probab. 43, No. 2, 318-334 (2006). Reviewer: Anna Jaskiewicz (Wrocław) MSC: 90C40 93E20 PDFBibTeX XMLCite \textit{X. Guo} and \textit{Q. Zhu}, J. Appl. Probab. 43, No. 2, 318--334 (2006; Zbl 1121.90122) Full Text: DOI
Cavazos-Cadena, Rolando; Montes-de-Oca, Raúl Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion. (English) Zbl 1105.90101 J. Appl. Probab. 42, No. 4, 905-918 (2005). MSC: 90C40 93E20 PDFBibTeX XMLCite \textit{R. Cavazos-Cadena} and \textit{R. Montes-de-Oca}, J. Appl. Probab. 42, No. 4, 905--918 (2005; Zbl 1105.90101) Full Text: DOI
Ekström, Erik; Janson, Svante; Tysk, Johan Superreplication of options on several underlying assets. (English) Zbl 1125.91052 J. Appl. Probab. 42, No. 1, 27-38 (2005). MSC: 91G20 35Q91 60H05 60H30 PDFBibTeX XMLCite \textit{E. Ekström} et al., J. Appl. Probab. 42, No. 1, 27--38 (2005; Zbl 1125.91052) Full Text: DOI Euclid
Guillemin, Fabrice; Pinchon, Didier Analysis of generalized processor-sharing systems with two classes of customers and exponential services. (English) Zbl 1065.60132 J. Appl. Probab. 41, No. 3, 832-858 (2004). MSC: 60K25 90B22 30E20 PDFBibTeX XMLCite \textit{F. Guillemin} and \textit{D. Pinchon}, J. Appl. Probab. 41, No. 3, 832--858 (2004; Zbl 1065.60132) Full Text: DOI
Hinz, Juri A revenue-equivalence theorem for electricity auctions. (English) Zbl 1123.91316 J. Appl. Probab. 41, No. 2, 299-312 (2004). MSC: 91B26 60E05 60F99 91A40 91B50 PDFBibTeX XMLCite \textit{J. Hinz}, J. Appl. Probab. 41, No. 2, 299--312 (2004; Zbl 1123.91316) Full Text: DOI Link
Arai, Takuji Minimal martingale measures for jump diffusion processes. (English) Zbl 1074.91012 J. Appl. Probab. 41, No. 1, 263-270 (2004). MSC: 91B28 60J60 91B70 PDFBibTeX XMLCite \textit{T. Arai}, J. Appl. Probab. 41, No. 1, 263--270 (2004; Zbl 1074.91012) Full Text: DOI
Glazebrook, K. D.; Ansell, P. S.; Dunn, R. T.; Lumley, R. R. On the optimal allocation of service to impatient tasks. (English) Zbl 1123.90317 J. Appl. Probab. 41, No. 1, 51-72 (2004). MSC: 90B36 60K25 60K30 90B22 PDFBibTeX XMLCite \textit{K. D. Glazebrook} et al., J. Appl. Probab. 41, No. 1, 51--72 (2004; Zbl 1123.90317) Full Text: DOI
Platen, Eckhard A class of complete benchmark models with intensity-based jumps. (English) Zbl 1123.91319 J. Appl. Probab. 41, No. 1, 19-34 (2004). MSC: 91B26 60G30 60G35 91B24 91B28 PDFBibTeX XMLCite \textit{E. Platen}, J. Appl. Probab. 41, No. 1, 19--34 (2004; Zbl 1123.91319) Full Text: DOI