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Methodology and Computing in Applied Probability

Short Title: Methodol. Comput. Appl. Probab.
Publisher: Springer US, New York, NY
ISSN: 1387-5841; 1573-7713/e
Online: http://link.springer.com/journal/volumesAndIssues/11009
Comments: Indexed cover-to-cover
Documents Indexed: 945 Publications (since 1999)
References Indexed: 789 Publications with 18,936 References.
all top 5

Authors

12 Koutras, Markos V.
12 Nadarajah, Saralees
12 Roberts, Gareth O.
10 Balakrishnan, Narayanaswamy
9 Kroese, Dirk P.
9 Limnios, Nikolaos
9 Mahmoud, Hosam M.
9 Mukhopadhyay, Nitis
9 Natvig, Bent
8 Beneš, Viktor
8 Glaz, Joseph
8 Lefèvre, Claude
8 Manca, Raimondo
8 Rubinstein, Reuven Y.
8 Skiadas, Christos H.
7 Hashorva, Enkelejd
7 Hüsler, Jürg
7 Tsaklidis, George M.
7 Withers, Christopher Stroude
7 Zacks, Shelemyahu
6 Denuit, Michel M.
6 Di Crescenzo, Antonio
6 Gåsemyr, Jørund Inge
6 Haiman, George
6 Li, Haijun
6 Mandjes, Michel Robertus Hendrikus
6 Palacios, Jose Luis
6 Silvestrov, Sergei D.
6 Stadje, Wolfgang
6 Taqqu, Murad S.
5 Bloch-Mercier, Sophie
5 Elliott, Robert James
5 Eryılmaz, Serkan N.
5 Gatto, Riccardo
5 Gupta, Umesh Chandra
5 Janssen, Jacques
5 Leonenko, Nikolai N.
5 Lillo, Rosa Elvira
5 Melamed, Benjamin
5 Perry, David
5 Sericola, Bruno
5 Stramer, Osnat
5 Vellaisamy, Palaniappan
4 Abundo, Mario
4 Aoshima, Makoto
4 Bar-Lev, Shaul K.
4 Boxma, Onno Johan
4 Chaudhry, Mohan L.
4 Cossette, Hélène
4 D’Amico, Guglielmo
4 Dey, Dipak Kumar
4 Fu, James C.
4 Girardin, Valerie
4 Jacobson, Sheldon H.
4 Loisel, Stéphane
4 Madan, Dilip B.
4 Marceau, Étienne
4 Mishura, Yuliya Stepanivna
4 Peters, Gareth William
4 Pirozzi, Enrica
4 Politis, Konstadinos
4 Pozdnyakov, Vladimir
4 Preda, Cristian
4 Ravishanker, Nalini
4 Rosenthal, Jeffrey S.
4 Sachlas, Athanasios
4 Seneta, Eugene
4 Silvestrov, Dmitrii
4 Staňková Helisová, Kateřina
4 Vernic, Raluca
4 Wu, Tung-Lung
3 Afanaseva, Larisa G.
3 Aissani, Djamil
3 Albrecher, Hansjörg
3 Angulo, José Miguel
3 Asmussen, Søren
3 Ball, Frank G.
3 Bersimis, Sotirios
3 Bersimis, Sotiris
3 Botev, Zdravko I.
3 Cabaña, Alejandra
3 Cabaña, Enrique M.
3 Cha, Ji Hwan
3 Chen, Anyue
3 Clancy, Damian
3 Drekic, Steve
3 Efromovich, Sam
3 Feng, Runhuan
3 Frostig, Esther
3 Godbole, Anant P.
3 Joe, Harry
3 Johnson, Brad C.
3 Karagrigoriou, Alexandros
3 Kortschak, Dominik
3 Kozachenko, Yuriĭ Vasyl’ovych
3 Latouche, Guy
3 Lautensack Redenbach, Claudia
3 Li, Junping
3 Li, Xiaohu
3 Liu, Liwei
...and 1,285 more Authors
all top 5

Fields

717 Probability theory and stochastic processes (60-XX)
399 Statistics (62-XX)
195 Numerical analysis (65-XX)
179 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
111 Operations research, mathematical programming (90-XX)
48 Computer science (68-XX)
48 Biology and other natural sciences (92-XX)
33 Combinatorics (05-XX)
24 Systems theory; control (93-XX)
21 Information and communication theory, circuits (94-XX)
15 General and overarching topics; collections (00-XX)
12 Partial differential equations (35-XX)
10 Special functions (33-XX)
8 Linear and multilinear algebra; matrix theory (15-XX)
8 Integral transforms, operational calculus (44-XX)
8 Statistical mechanics, structure of matter (82-XX)
6 Approximations and expansions (41-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Integral equations (45-XX)
5 Dynamical systems and ergodic theory (37-XX)
5 Calculus of variations and optimal control; optimization (49-XX)
4 Number theory (11-XX)
4 Real functions (26-XX)
4 Ordinary differential equations (34-XX)
4 Functional analysis (46-XX)
4 Geophysics (86-XX)
3 Measure and integration (28-XX)
3 Operator theory (47-XX)
3 Convex and discrete geometry (52-XX)
2 History and biography (01-XX)
2 Field theory and polynomials (12-XX)
2 Group theory and generalizations (20-XX)
2 Global analysis, analysis on manifolds (58-XX)
2 Optics, electromagnetic theory (78-XX)
1 General algebraic systems (08-XX)
1 Commutative algebra (13-XX)
1 Functions of a complex variable (30-XX)
1 Sequences, series, summability (40-XX)
1 Differential geometry (53-XX)
1 Mechanics of deformable solids (74-XX)
1 Fluid mechanics (76-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

Publications by Year

Citations contained in zbMATH Open

634 Publications have been cited 3,267 times in 2,760 Documents Cited by Year
Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate. Zbl 1263.91027
Wang, Kaiyong; Wang, Yuebao; Gao, Qingwu
79
2013
The cross-entropy method for combinatorial and continuous optimization. Zbl 0941.65061
Rubinstein, Reuven
68
1999
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
45
2014
Langevin diffusions and Metropolis-Hastings algorithms. Zbl 1033.65003
Roberts, G. O.; Stramer, O.
42
2002
Passage times in fluid models with application to risk processes. Zbl 1110.60067
Ramaswami, V.
39
2006
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014
Barndorff-Nielsen, O. E.; Leonenko, N. N.
37
2005
Precise large deviations of random sums in presence of negative dependence and consistent variation. Zbl 1242.60027
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W.
30
2011
A factorisation of diffusion measure and finite sample path constructions. Zbl 1152.65013
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O.
28
2008
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
27
2009
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift. Zbl 1104.65004
Atchadé, Yves F.
26
2006
The cross-entropy method for continuous multi-extremal optimization. Zbl 1107.65049
Kroese, Dirk P.; Porotsky, Sergey; Rubinstein, Reuven Y.
26
2006
Diffusion processes associated with nonlinear evolution equations for signed measures. Zbl 0960.60092
Jourdain, B.
25
2000
Risk processes with non-stationary Hawkes claims arrivals. Zbl 1231.91239
Stabile, Gabriele; Torrisi, Giovanni Luca
25
2010
An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Zbl 1293.65004
Botev, Zdravko I.; Kroese, Dirk P.
24
2008
Numerical methods for the pricing of swing options: a stochastic control approach. Zbl 1142.91502
Barrera-Esteve, Christophe; Bergeret, Florent; Dossal, Charles; Gobet, Emmanuel; Meziou, Asma; Munos, Rémi; Reboul-Salze, Damien
24
2006
Langevin-type models. I: Diffusions with given stationary distributions and their discretizations. Zbl 0947.60071
Stramer, O.; Tweedie, R. L.
23
1999
Censoring, factorizations, and spectral analysis for transition matrices with block-repeating entries. Zbl 1022.60073
Zhao, Yiqiang Q.; Li, Wei; Braun, W. John
23
2003
Crossing probabilities for diffusion processes with piecewise continuous boundaries. Zbl 1122.60070
Wang, Liqun; Pötzelberger, Klaus
23
2007
Statistical process control using Shewhart control charts with supplementary runs rules. Zbl 1171.62366
Koutras, M. V.; Bersimis, S.; Maravelakis, P. E.
23
2007
Uniform estimate for maximum of randomly weighted sums with applications to ruin theory. Zbl 1177.60026
Shen, Xin-mei; Lin, Zheng-yan; Zhang, Yi
23
2009
The perturbed compound Poisson risk process with investment and debit interest. Zbl 1231.91255
Yin, Chuancun; Wang, Chunwei
23
2010
Nested partitions method for stochastic optimization. Zbl 0968.90054
Shi, Leyuan; Ólafsson, Sigurdur
22
2000
Preservation of stochastic orders under the formation of generalized distorted distributions. Applications to coherent systems. Zbl 1371.60046
Navarro, Jorge; del Águila, Yolanda; Sordo, Miguel A.; Suárez-Llorens, Alfonso
22
2016
Tail risk of multivariate regular variation. Zbl 1239.62060
Joe, Harry; Li, Haijun
22
2011
Langevin-type models II: Self-targeting candidates for MCMC algorithms. Zbl 0946.60063
Stramer, O.; Tweedie, R. L.
21
1999
Parameter estimation and the CRLB with uncertain origin measurements. Zbl 0994.62053
Kirubarajan, T.; Chen, Huimin; Bar-Shalom, Yaakov
21
2001
Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows. Zbl 1184.60027
Bean, Nigel G.; O’reilly, Małgorzata M.; Taylor, Peter G.
21
2008
A Monte Carlo method for the simulation of first passage times of diffusion processes. Zbl 1002.60066
Giraudo, Maria Teresa; Sacerdote, Laura; Zucca, Cristina
20
2001
Tail dependence comparison of survival Marshall-Olkin copulas. Zbl 1142.62035
Li, Haijun
20
2008
Properties of distortion risk measures. Zbl 1170.91368
Balbás, Alejandro; Garrido, José; Mayoral, Silvia
20
2009
Approximations for the long-term behavior of an open-population epidemic model. Zbl 0971.92025
Clancy, D.; O’Neill, P. D.; Pollett, P. K.
18
2001
A double-ended queue with catastrophes and repairs, and a jump-diffusion approximation. Zbl 1270.60080
Di Crescenzo, Antonio; Giorno, Virginia; Krishna Kumar, Balasubramanian; Nobile, Amelia G.
18
2012
Tauberian and Abelian theorems for long-range dependent random fields. Zbl 1307.60068
Leonenko, Nikolai; Olenko, Andriy
18
2013
The Markov additive risk process under an Erlangized dividend barrier strategy. Zbl 1338.91081
Zhang, Zhimin; Cheung, Eric C. K.
18
2016
Negative binomial approximation with Stein’s method. Zbl 0992.62015
Brown, Timothy C.; Phillips, M. J.
17
1999
Two new mixture models related to the inverse Gaussian distribution. Zbl 1187.60009
Kotz, Samuel; Leiva, Víctor; Sanhueza, Antonio
17
2010
Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. Zbl 1208.60014
Vernic, Raluca
17
2011
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
17
2009
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
16
2018
An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance. Zbl 1146.60320
Stenberg, Fredrik; Manca, Raimondo; Silvestrov, Dmitrii
16
2007
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
16
2009
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
Veillette, Mark; Taqqu, Murad S.
16
2010
Algorithms to find exact inclusion probabilities for conditional Poisson sampling and Pareto \(\pi ps\) sampling designs. Zbl 0984.62004
Aires, Nibia
15
1999
A two-sided first-exit problem for a compound Poisson process with a random upper boundary. Zbl 1079.60044
Perry, D.; Stadje, W.; Zacks, S.
15
2005
Multirisks model and finite-time ruin probabilities. Zbl 1035.62109
Picard, Philippe; Lefèvre, Claude; Coulibaly, Ibrahim
15
2003
A functional central limit theorem for a Markov-modulated infinite-server queue. Zbl 1336.60066
Anderson, D.; Blom, J.; Mandjes, M.; Thorsdottir, H.; de Turck, K.
15
2016
On success runs of length exceeded a threshold. Zbl 1230.60012
Makri, Frosso S.; Psillakis, Zaharias M.
15
2011
The Gibbs cloner for combinatorial optimization, counting and sampling. Zbl 1177.65012
Rubinstein, Reuven
15
2009
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend. Zbl 1048.60025
Bischoff, Wolfgang; Miller, Frank; Hashorva, Enkelejd; Hüsler, Jürg
14
2003
Reliability approximation for Markov chain imbeddable systems. Zbl 0984.60091
Boutsikas, Michael V.; Koutras, Markos V.
14
2000
State-of-the-art in sequential change-point detection. Zbl 06124706
Polunchenko, Aleksey S.; Tartakovsky, Alexander G.
14
2012
The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model. Zbl 1211.60037
Buonocore, Aniello; Caputo, Luigia; Pirozzi, Enrica; Ricciardi, Luigi M.
14
2011
A simple and complete computational analysis of MAP/R/1 queue using roots. Zbl 1274.60271
Chaudhry, M. L.; Singh, Gagandeep; Gupta, U. C.
13
2013
Bayesian inference for Hawkes processes. Zbl 1368.60055
Rasmussen, Jakob Gulddahl
13
2013
On a two-queue priority system with impatience and its application to a call center. Zbl 0948.60087
Brandt, Andreas; Brandt, Manfred
13
1999
Convergence of the Marcus-Lushnikov process. Zbl 1229.45012
Fournier, Nicolas; Giet, Jean-Sébastien
13
2004
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. Zbl 1327.65003
Bujok, K.; Hambly, B. M.; Reisinger, C.
13
2015
Optimal scaling for random walk Metropolis on spherically constrained target densities. Zbl 1141.60316
Neal, Peter; Roberts, Gareth
13
2008
Algorithmic approach to the extinction probability of branching processes. Zbl 1210.60094
Hautphenne, Sophie; Latouche, Guy; Remiche, Marie-Ange
13
2011
A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation. Zbl 1073.65052
Rubinstein, R. Y.
12
2005
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
12
2012
Drawdowns and the speed of market crash. Zbl 1282.91396
Zhang, Hongzhong; Hadjiliadis, Olympia
12
2012
Numerical solution of non-homogeneous semi-Markov processes in transient case. Zbl 0991.60082
Janssen, Jacques; Manca, Raimondo
12
2001
Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions. Zbl 1317.62047
Aoshima, Makoto; Yata, Kazuyoshi
12
2015
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
12
2016
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
12
2006
Extremes of Markov-additive processes with one-sided jumps, with queueing applications. Zbl 1218.60077
Dieker, A. B.; Mandjes, M.
12
2011
Exact simulation of IG-OU processes. Zbl 1192.68801
Zhang, Shibin; Zhang, Xinsheng
12
2008
The single server queue with catastrophes and geometric reneging. Zbl 1273.90053
Dimou, Spiros; Economou, Antonis
11
2013
Estimation in stationary Markov renewal processes, with application to earthquake forecasting in Turkey. Zbl 1065.62147
Alvarez, Enrique E.
11
2005
Multiple window and cluster size scan procedures. Zbl 1056.62081
Naus, Joseph I.; Wallenstein, Sylvan
11
2004
Simulating perpetuities. Zbl 0982.65005
Devroye, Luc
11
2001
Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models. Zbl 1194.60054
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
11
2010
On a risk model with surplus-dependent premium and tax rates. Zbl 1260.91120
Cheung, Eric C. K.; Landriault, David
11
2012
Reliability measures of semi-Markov systems with general state space. Zbl 1259.60106
Limnios, Nikolaos
11
2012
Sequential order statistics: ageing and stochastic orderings. Zbl 1275.62057
Torrado, Nuria; Lillo, Rosa E.; Wiper, Michael P.
11
2012
Uniqueness and extinction of weighted Markov branching processes. Zbl 1104.60047
Chen, Anyue; Li, Junping; Ramesh, N. I.
11
2005
Fourier inversion formulas in option pricing and insurance. Zbl 1170.91410
Dufresne, Daniel; Garrido, Jose; Morales, Manuel
11
2009
Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach. Zbl 1082.60512
Kozachenko, Yuriy; Sottinen, Tommi; Vasylyk, Olga
10
2005
Extremes of Gaussian processes with maximal variance near the boundary points. Zbl 0969.60058
Hashorva, Enkelejd; Hüsler, Jürg
10
2000
Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies. Zbl 1202.60071
Zhang, Hongzhong; Hadjiliadis, Olympia
10
2010
Multivariate generalized Marshall-Olkin distributions and copulas. Zbl 1291.60031
Lin, Jianhua; Li, Xiaohu
10
2014
Generalized fractional nonlinear birth processes. Zbl 1325.60050
Alipour, Mohsen; Beghin, Luisa; Rostamy, Davood
10
2015
On the normal approximation for the distribution of the number of simple or compound patterns in a random sequence of multi-state trials. Zbl 1122.60023
Fu, James C.; Lou, W. Y. Wendy
10
2007
Exact simulation of jump-diffusion processes with Monte Carlo applications. Zbl 1237.60067
Casella, Bruno; Roberts, Gareth O.
10
2011
On estimating the asymptotic variance of stationary point processes. Zbl 1197.62122
Heinrich, Lothar; Prokešová, Michaela
10
2010
Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091
Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B.
10
2005
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
9
2018
Sampling from finite random partitions. Zbl 1038.60007
Huillet, Thierry; Martinez, Servet
9
2003
Numerical treatment of homogeneous semi-Markov processes in transient case: A straightforward approach. Zbl 1044.60086
Corradi, Gianfranco; Janssen, Jacques; Manca, Raimondo
9
2004
Simulation and estimation for the fractional Yule process. Zbl 1253.60090
Cahoy, Dexter O.; Polito, Federico
9
2012
On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes. Zbl 1290.60026
Tan, Zhongquan; Hashorva, Enkelejd
9
2014
On a generalization from ruin to default in a Lévy insurance risk model. Zbl 1307.91096
Feng, Runhuan; Shimizu, Yasutaka
9
2013
Background risk models and stepwise portfolio construction. Zbl 1349.62517
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Ričardas
9
2016
On the finite buffer queue with renewal input and batch Markovian service process: \(\mathrm{GI}/\mathrm{BMSP}/1/N\). Zbl 1293.60085
Banik, A. D.; Chaudhry, M. L.; Gupta, U. C.
9
2008
Quasi-stationary distributions for a class of discrete-time Markov chains. Zbl 1106.60064
Coolen-Schrijner, Pauline; van Doorn, Erik A.
9
2006
Some reward paths in semi-Markov models with stochastic selection of the transition probabilities. Zbl 1128.60075
Papadopoulou, Aleka; Tsaklidis, George
9
2007
A survey of the coupon collector’s problem with random sample sizes. Zbl 1133.60301
Kobza, John E.; Jacobson, Sheldon H.; Vaughan, Diane E.
9
2007
Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation. Zbl 1146.65012
Kawai, Reiichiro
9
2008
Quasi-Monte Carlo for highly structured generalised response models. Zbl 1234.62110
Kuo, F. Y.; Dunsmuir, W. T. M.; Sloan, I. H.; Wand, M. P.; Womersley, R. S.
9
2008
Parisian ruin with Erlang delay and a lower bankruptcy barrier. Zbl 1437.91133
Frostig, Esther; Keren-Pinhasik, Adva
2
2020
Reduction principle for functionals of vector random fields. Zbl 1460.60046
Olenko, Andriy; Omari, Dareen
2
2020
Equilibrium joining strategy in a batch transfer queuing system with gated policy. Zbl 1437.60073
Wang, Zhen; Liu, Liwei; Shao, Yuanfu; Chai, Xudong; Chang, Baoxian
1
2020
Extreme value distributions for two kinds of path sums of Markov chain. Zbl 1437.60020
Gao, Lei; Han, Dong
1
2020
SIR-type epidemic models as block-structured Markov processes. Zbl 1448.92314
Lefèvre, Claude; Simon, Matthieu
1
2020
A fast algorithm for maximal propensity score matching. Zbl 1448.92010
Ruzankin, Pavel S.
1
2020
A discrete-time \(GI^X/Geo/1\) queue with multiple working vacations under late and early arrival system. Zbl 1450.60053
Barbhuiya, F. P.; Gupta, U. C.
1
2020
Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. Zbl 1459.91169
Zhang, Qiang; Chen, Ping
1
2020
A renewal generated geometric catastrophe model with discrete-time Markovian arrival process. Zbl 1460.60099
Kumar, Nitin; Gupta, U. C.
1
2020
Weak error for nested multilevel Monte Carlo. Zbl 1456.65003
Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles
1
2020
Approximation of sojourn times of Gaussian processes. Zbl 1447.60063
Dȩbicki, Krzysztof; Michna, Zbigniew; Peng, Xiaofan
5
2019
Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators. Zbl 1411.60058
Kumar, A.; Gajda, J.; Wyłomańska, A.; Połoczański, R.
5
2019
High-dimensional quadratic classifiers in non-sparse settings. Zbl 1434.62109
Aoshima, Makoto; Yata, Kazuyoshi
4
2019
Product Markovian quantization of a diffusion process with applications to finance. Zbl 1437.60047
Fiorin, Lucio; Pagès, Gilles; Sagna, Abass
3
2019
Batch renewal arrival process subject to geometric catastrophes. Zbl 1411.90088
Barbhuiya, F. P.; Kumar, Nitin; Gupta, U. C.
3
2019
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Zbl 1411.91542
Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya
3
2019
A model-point approach to indifference pricing of life insurance portfolios with dependent lives. Zbl 1429.91276
Blanchet-Scalliet, Christophette; Dorobantu, Diana; Salhi, Yahia
2
2019
Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes. Zbl 1439.60038
D’Onofrio, G.; Pirozzi, E.
2
2019
Cutoff phenomenon for nearest Lamperti’s random walk. Zbl 1437.60055
Hong, Wenming; Yang, Hui
2
2019
Susceptibility sets and the final outcome of collective Reed-Frost epidemics. Zbl 1429.92123
Ball, Frank
1
2019
Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. Zbl 07146251
Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y.
1
2019
Bounds on concordance-based validation statistics in regression models for binary responses. Zbl 1428.62342
Denuit, Michel; Mesfioui, Mhamed; Trufin, Julien
1
2019
Ruin and deficit under claim arrivals with the order statistics property. Zbl 1427.91078
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, Vladimir K.
1
2019
On jump-diffusive driving noise sources. Some explicit results and applications. Zbl 1439.60078
Hongler, Max-Olivier; Filliger, Roger
1
2019
Sterrett procedure for the generalized group testing problem. Zbl 1435.62086
Malinovsky, Yaakov
1
2019
A double recursion for calculating moments of the truncated normal distribution and its connection to change detection. Zbl 1434.62024
Pollak, Moshe; Shauly-Aharonov, Michal
1
2019
Discretely observed Brownian motion governed by telegraph process: estimation. Zbl 1434.62176
Pozdnyakov, Vladimir; Elbroch, L. Mark; Labarga, Anthony; Meyer, Thomas; Yan, Jun
1
2019
The single server queue with mixing dependencies. Zbl 1437.60071
Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno
1
2019
Extensions of the generalized Pólya process. Zbl 1437.60058
Badía, Francisco Germán; Mercier, Sophie; Sangüesa, Carmen
1
2019
On lattice path counting and the random product representation, with applications to the \(E_r/M/1\) queue and the \(M/E_r/1\) queue. Zbl 1437.60069
Liu, Xiaoyuan; Fralix, Brian
1
2019
\(M/M/1\) retrial queue with collisions and transmission errors. Zbl 1437.60068
Lakaour, Lamia; Aïssani, Djamil; Adel-Aissanou, Karima; Barkaoui, Kamel
1
2019
First hitting time distributions for Brownian motion and regions with piecewise linear boundaries. Zbl 1411.60119
Dong, Qinglai; Cui, Lirong
1
2019
Analysis of a three-species stochastic delay predator-prey system with imprecise parameters. Zbl 1411.60091
Wu, Jian
1
2019
Some results and applications of geometric counting processes. Zbl 1411.60111
Di Crescenzo, Antonio; Pellerey, Franco
1
2019
Linear combination of independent exponential random variables. Zbl 1411.65158
Li, Kim-Hung; Li, Cheuk Ting
1
2019
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
16
2018
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
9
2018
Comparisons between largest order statistics from multiple-outlier models with dependence. Zbl 1458.62102
Navarro, Jorge; Torrado, Nuria; del Águila, Yolanda
6
2018
Optimal harvesting for a stochastic predator-prey model with S-type distributed time delays. Zbl 1391.92043
Wang, Sheng; Wang, Linshan; Wei, Tengda
5
2018
The distribution of discounted compound PH-renewal processes. Zbl 1384.62303
Wang, Ya Fang; Garrido, José; Léveillé, Ghislain
5
2018
Telegraph process with elastic boundary at the origin. Zbl 1390.60317
Di Crescenzo, Antonio; Martinucci, Barbara; Zacks, Shelemyahu
5
2018
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
5
2018
Modeling zero inflation in count data time series with bounded support. Zbl 1450.62113
Möller, Tobias A.; Weiß, Christian H.; Kim, Hee-Young; Sirchenko, Andrei
4
2018
Coupling importance sampling and multilevel Monte Carlo using sample average approximation. Zbl 1394.60018
Kebaier, Ahmed; Lelong, Jérôme
4
2018
Variance allocation and Shapley value. Zbl 1417.91038
Colini-Baldeschi, Riccardo; Scarsini, Marco; Vaccari, Stefano
4
2018
Space-fractional versions of the negative binomial and Polya-type processes. Zbl 1394.60034
Beghin, Luisa; Vellaisamy, P.
3
2018
Queues with dropping functions and autocorrelated arrivals. Zbl 1390.60334
Mrozowski, Pawel; Chydzinski, Andrzej
3
2018
Archimedean-based Marshall-Olkin distributions and related dependence structures. Zbl 1392.62047
Mulinacci, Sabrina
3
2018
Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching. Zbl 1411.91588
Cao, Jiling; Roslan, Teh Raihana Nazirah; Zhang, Wenjun
3
2018
On weighted generalized cumulative residual entropy of order \(n\). Zbl 1393.94657
Kayal, Suchandan
2
2018
Analysis of a batch service polling system in a multi-phase random environment. Zbl 1394.60092
Jiang, Tao; Liu, Liwei; Zhu, Yuanyuan
2
2018
Type I error probability spending for post-market drug and vaccine safety surveillance with Poisson data. Zbl 1395.62244
Silva, Ivair R.
2
2018
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Zbl 1409.91232
Dassios, Angelos; Lim, Jia Wei
2
2018
Asymptotics for the Euler-discretized Hull-White stochastic volatility model. Zbl 1390.60258
Pirjol, Dan; Zhu, Lingjiong
2
2018
Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims. Zbl 1384.62301
Léveillé, Ghislain; Hamel, Emmanuel
2
2018
Uncertainty quantification of stochastic simulation for black-box computer experiments. Zbl 1417.62039
Choe, Youngjun; Lam, Henry; Byon, Eunshin
2
2018
Hitting times in Markov chains with restart and their application to network centrality. Zbl 1411.60106
Avrachenkov, Konstantin; Piunovskiy, Alexey; Zhang, Yi
2
2018
Entropy-based inhomogeneity detection in fiber materials. Zbl 1411.62276
Alonso Ruiz, Patricia; Spodarev, Evgeny
2
2018
Stability in distribution of a stochastic competitive Lotka-Volterra system with S-type distributed time delays. Zbl 1411.60090
Wang, Sheng; Hu, Guixin; Wang, Linshan
2
2018
Discounted aggregate claim costs until ruin in the discrete-time renewal risk model. Zbl 1411.91324
Woo, Jae-Kyung; Liu, Haibo
2
2018
Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models. Zbl 1402.60021
Ansari, Jonathan; Rüschendorf, Ludger
2
2018
Optimal mission duration for partially repairable systems operating in a random environment. Zbl 1393.90052
Finkelstein, Maxim; Levitin, Gregory
1
2018
Level hitting probabilities and extremal indexes for some particular dynamical systems. Zbl 1394.60054
Haiman, George
1
2018
Stochastic ordering among success runs statistics in a sequence of exchangeable binary trials. Zbl 1394.60014
Eryilmaz, Serkan
1
2018
Spatial expectile predictions for elliptical random fields. Zbl 1394.60051
Maume-Deschamps, Véronique; Rullière, Didier; Usseglio-Carleve, A.
1
2018
On coherent risk measures induced by convex risk measures. Zbl 1396.91809
Chen, Zhiping; Hu, Qianhui
1
2018
Magnitude and speed of consecutive market crashes in a diffusion model. Zbl 1382.60065
Cui, Zhenyu; Nguyen, Duy
1
2018
Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure. Zbl 1392.62260
Augustyniak, Maciej; Boudreault, Mathieu; Morales, Manuel
1
2018
Tensor approximation of generalized correlated diffusions and functional copula operators. Zbl 1390.60265
Dalessandro, Antonio; Peters, Gareth W.
1
2018
Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims. Zbl 1407.91136
Grahovac, Danijel
1
2018
A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188
Liu, Yue; Privault, Nicolas
1
2018
Efficient simulation for dependent rare events with applications to extremes. Zbl 1385.65014
Andersen, Lars Nørvang; Laub, Patrick J.; Rojas-Nandayapa, Leonardo
1
2018
On the optimal control of a random walk with jumps and barriers. Zbl 1387.93183
Breitenbach, Tim; Annunziato, Mario; Borzì, Alfio
1
2018
Approximating time to extinction for endemic infection models. Zbl 1411.92271
Clancy, Damian; Tjia, Elliott
1
2018
Quantile function expansion using regularly varying functions. Zbl 1411.60020
Fung, Thomas; Seneta, Eugene
1
2018
Sharp bounds for exponential approximations of NWUE distributions. Zbl 1402.60024
Brown, Mark; Li, Shuangning
1
2018
Arrangement increasing resource allocation. Zbl 1420.91154
Feng, Qi; Shanthikumar, J. George
1
2018
Dependence properties of conditional distributions of some copula models. Zbl 1402.60025
Joe, Harry
1
2018
Markov property in discrete Schur-constant models. Zbl 1402.60092
Lefèvre, Claude; Loisel, Stéphane; Utev, Sergey
1
2018
Operator tail dependence of copulas. Zbl 1405.62054
Li, Haijun
1
2018
Multivariate regular variation of discrete mass functions with applications to preferential attachment networks. Zbl 1401.28006
Wang, Tiandong; Resnick, Sidney I.
1
2018
Positive discrete spectrum of the evolutionary operator of supercritical branching walks with heavy tails. Zbl 1387.60125
Yarovaya, E.
6
2017
Polynomial approximations for bivariate aggregate claims amount probability distributions. Zbl 1380.65023
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys
5
2017
Capital allocation for Sarmanov’s class of distributions. Zbl 1358.60034
Vernic, Raluca
5
2017
Performance analysis of the GI/M/1 queue with single working vacation and vacations. Zbl 1384.90030
Ye, Qingqing; Liu, Liwei
3
2017
Biased online parameter inference for state-space models. Zbl 1383.82052
Del Moral, Pierre; Jasra, Ajay; Zhou, Yan
3
2017
The distribution of a sum of independent binomial random variables. Zbl 1422.62075
Butler, Ken; Stephens, Michael A.
3
2017
Approximate simulation techniques and distribution of an extended gamma process. Zbl 1360.60161
Al Masry, Zeina; Mercier, Sophie; Verdier, Ghislain
3
2017
Approximations for time-dependent distributions in Markovian fluid models. Zbl 1360.60145
Dendievel, Sarah; Latouche, Guy
3
2017
Numerical studies on asymptotics of European option under multiscale stochastic volatility. Zbl 1408.91207
Canhanga, Betuel; Malyarenko, Anatoliy; Murara, Jean-Paul; Ni, Ying; Silvestrov, Sergei
2
2017
Reward algorithms for semi-Markov processes. Zbl 1387.60114
Silvestrov, Dmitrii; Manca, Raimondo
2
2017
Perturbation analysis of the \(\mathrm{GI}/\mathrm{M}/s\) queue. Zbl 1383.60083
Issaadi, Badredine; Abbas, Karim; Aïssani, Djamil
2
2017
Large deviations approximations to distributions of the total distance of compound random walks with von Mises directions. Zbl 1403.62092
Gatto, Riccardo
2
2017
On the comparison of relative spacings with applications. Zbl 1373.60042
Belzunce, Félix; Martínez-Riquelme, Carolina; Ruiz, José M.; Sordo, Miguel A.
2
2017
Compound geometric distribution of order \(k\). Zbl 1380.62064
Koutras, Markos V.; Eryilmaz, Serkan
2
2017
Optimal exercise strategies for operational risk insurance via multiple stopping times. Zbl 1370.60081
Targino, Rodrigo S.; Peters, Gareth W.; Sofronov, Georgy; Shevchenko, Pavel V.
2
2017
Prediction of components in random sums. Zbl 1370.60068
Matsui, Muneya
2
2017
Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence. Zbl 1371.65131
Yang, Xuxin; Rasila, Antti; Sottinen, Tommi
2
2017
MLE, information, ancillary complement, and conditional inference with illustrations. Zbl 1422.62030
Mukhopadhyay, Nitis; Zhuang, Yan
2
2017
Optimal linear Bernoulli factories for small mean problems. Zbl 1379.65006
Huber, Mark
2
2017
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Cited by 3,718 Authors

44 Leonenko, Nikolai N.
29 Roberts, Gareth O.
27 Hashorva, Enkelejd
23 Wang, Xuejun
22 Balakrishnan, Narayanaswamy
22 Mandjes, Michel Robertus Hendrikus
21 D’Amico, Guglielmo
20 Lefèvre, Claude
19 Kroese, Dirk P.
19 Manca, Raimondo
18 Pirozzi, Enrica
18 Zhang, Zhimin
17 Di Crescenzo, Antonio
17 Landriault, David
16 Rubinstein, Reuven Y.
15 Cheung, Eric C. K.
15 Eryılmaz, Serkan N.
15 Li, Junping
15 Limnios, Nikolaos
14 Gao, Qingwu
14 Glaz, Joseph
14 Jourdain, Benjamin
13 Aoshima, Makoto
13 Leiva, Víctor
13 Nobile, Amelia G.
13 Palmowski, Zbigniew
12 Chen, Anyue
12 Gupta, Umesh Chandra
12 Kawai, Reiichiro
12 Loisel, Stéphane
12 Wang, Kaiyong
12 Yata, Kazuyoshi
11 Fu, James C.
11 Li, Haijun
11 O’Reilly, Małgorzata M.
11 Tan, Zhongquan
11 Yin, Chuancun
10 Ahn, Soohan
10 Banik, Abhijit Datta
10 Czarna, Irmina
10 Furman, Edward
10 Koutras, Markos V.
10 Makri, Frosso S.
10 Mishura, Yuliya Stepanivna
10 Polunchenko, Aleksey S.
10 Taqqu, Murad S.
10 Zitikis, Ričardas
9 Badescu, Andrei L.
9 Boxma, Onno Johan
9 Dębicki, Krzysztof
9 Ding, Feng
9 Giorno, Virginia
9 Ivanovs, Jevgeņijs
9 Janssen, Jacques
9 Macci, Claudio
9 Nadarajah, Saralees
9 Navarro, Jorge
9 Šiaulys, Jonas
9 Stadje, Wolfgang
9 Yang, Hailiang
9 Yuen, Kam Chuen
8 Abundo, Mario
8 Asmussen, Søren
8 Atchadé, Yves F.
8 Bai, Long
8 Bean, Nigel G.
8 Beghin, Luisa
8 Gatto, Riccardo
8 Guillen, Montserrat
8 Liu, Peng
8 Olenko, Andriy Yakovych
8 Peng, Zuoxiang
8 Perry, David
8 Psillakis, Zaharias M.
8 Renaud, Jean-François
8 Ruiz-Medina, María Dolores
8 Wu, Tung-Lung
7 Antzoulakos, Demetrios L.
7 Artalejo, Jesus R.
7 Cha, Ji Hwan
7 Chaudhry, Mohan L.
7 Cheng, Dongya
7 Denuit, Michel M.
7 Economou, Antonis
7 Hautphenne, Sophie
7 Heinrich, Lothar
7 Hu, Shuhe
7 Ji, Lanpeng
7 Joe, Harry
7 Latouche, Guy
7 Lember, Jüri
7 Li, Bin
7 Li, Xiaohu
7 Madan, Dilip B.
7 Mahmoud, Hosam M.
7 Marzouk, Youssef M.
7 Pacchiarotti, Barbara
7 Picard, Philippe
7 Pollett, Philip K.
7 Rakitzis, Athanasios C.
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Cited in 370 Journals

249 Methodology and Computing in Applied Probability
110 Statistics & Probability Letters
107 Insurance Mathematics & Economics
82 Journal of Applied Probability
70 Communications in Statistics. Theory and Methods
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55 Journal of Computational and Applied Mathematics
53 Advances in Applied Probability
51 Annals of Operations Research
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46 Stochastic Models
41 Scandinavian Actuarial Journal
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35 The Annals of Applied Probability
33 Computational Statistics and Data Analysis
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30 Annals of the Institute of Statistical Mathematics
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26 Queueing Systems
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18 Probability in the Engineering and Informational Sciences
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16 Theory of Probability and Mathematical Statistics
15 The Annals of Statistics
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15 Monte Carlo Methods and Applications
15 Extremes
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14 Journal of Industrial and Management Optimization
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11 Journal of the Franklin Institute
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6 Mathematical Biosciences and Engineering
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Cited in 49 Fields

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