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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: https://link.springer.com/journal/11009/volumes-and-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,255 Publications (since 1999)
References Indexed: 1,095 Publications with 28,136 References.
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Latest Issues

26, No. 1 (2024)
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Authors

22 Balakrishnan, Narayanaswamy
17 Nadarajah, Saralees
16 Koutras, Markos V.
15 Roberts, Gareth O.
13 Limnios, Nikolaos
11 Lefèvre, Claude
11 Mahmoud, Hosam M.
11 Mukhopadhyay, Nitis
10 Beneš, Viktor
10 Kroese, Dirk P.
9 Glaz, Joseph
9 Natvig, Bent
8 Denuit, Michel M.
8 Di Crescenzo, Antonio
8 Hashorva, Enkelejd
8 Hüsler, Jürg
8 Manca, Raimondo
8 Mandjes, Michel Robertus Hendrikus
8 Rubinstein, Reuven Y.
8 Skiadas, Christos H.
8 Withers, Christopher Stroude
8 Zacks, Shelemyahu
7 Albrecher, Hansjörg
7 Chaudhry, Mohan L.
7 Cui, Lirong
7 Eryılmaz, Serkan N.
7 Sericola, Bruno
7 Silvestrov, Sergei D.
7 Tsaklidis, George M.
6 Bloch-Mercier, Sophie
6 Finkelstein, Maxim
6 Fu, James C.
6 Gåsemyr, Jørund Inge
6 Gupta, Umesh Chandra
6 Haiman, George
6 Li, Haijun
6 Loisel, Stéphane
6 Palacios, Jose Luis
6 Perry, David
6 Peters, Gareth William
6 Pirozzi, Enrica
6 Politis, Konstadinos G.
6 Rosenthal, Jeffrey S.
6 Stadje, Wolfgang
6 Staňková Helisová, Kateřina
6 Taqqu, Murad S.
6 Yi, He
5 Abundo, Mario
5 Cha, Ji Hwan
5 Dey, Dipak Kumar
5 Elliott, Robert James
5 Frostig, Esther
5 Gatto, Riccardo
5 Goswami, Veena
5 Janssen, Jacques
5 Lember, Jüri
5 Leonenko, Nikolai N.
5 Lillo, Rosa Elvira
5 Martinucci, Barbara
5 Melamed, Benjamin
5 Mishura, Yuliya Stepanivna
5 Ratanov, Nikita
5 Ravishanker, Nalini
5 Seneta, Eugene
5 Silvestrov, Dmitrii
5 Simon, Matthieu
5 Stramer, Osnat
5 Yarovaya, Elena B.
4 Aoshima, Makoto
4 Banik, Abhijit Datta
4 Bar-Lev, Shaul K.
4 Boxma, Onno Johan
4 Chen, Anyue
4 Cossette, Hélène
4 D’Amico, Guglielmo
4 De Santis, Emilio
4 Deaconu, Madalina
4 Feng, Runhuan
4 Girardin, Valerie
4 Jacobson, Sheldon H.
4 Latouche, Guy
4 Li, Junping
4 Lu, Dawei
4 Madan, Dilip B.
4 Makri, Frosso S.
4 Marceau, Étienne
4 Olenko, Andriy Yakovych
4 Pardo, Leandro
4 Pozdnyakov, Vladimir
4 Preda, Cristian
4 Remiche, Marie-Ange
4 Sachlas, Athanasios
4 Schmidt, Volker
4 Spizzichino, Fabio L.
4 Staněk, Jakub
4 Thäle, Christoph
4 Vernic, Raluca
4 Wang, Linshan
4 Wang, Sheng
4 Wu, Tung-Lung
...and 1,783 more Authors
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Fields

937 Probability theory and stochastic processes (60-XX)
523 Statistics (62-XX)
267 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
224 Numerical analysis (65-XX)
152 Operations research, mathematical programming (90-XX)
65 Computer science (68-XX)
65 Biology and other natural sciences (92-XX)
45 Combinatorics (05-XX)
40 Systems theory; control (93-XX)
25 Information and communication theory, circuits (94-XX)
18 General and overarching topics; collections (00-XX)
17 Calculus of variations and optimal control; optimization (49-XX)
16 Partial differential equations (35-XX)
13 Special functions (33-XX)
10 Statistical mechanics, structure of matter (82-XX)
9 Linear and multilinear algebra; matrix theory (15-XX)
8 Approximations and expansions (41-XX)
8 Integral transforms, operational calculus (44-XX)
7 Ordinary differential equations (34-XX)
7 Dynamical systems and ergodic theory (37-XX)
7 Integral equations (45-XX)
6 Real functions (26-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Geophysics (86-XX)
4 Number theory (11-XX)
4 Functional analysis (46-XX)
3 History and biography (01-XX)
3 Measure and integration (28-XX)
3 Operator theory (47-XX)
3 Convex and discrete geometry (52-XX)
3 Fluid mechanics (76-XX)
2 Field theory and polynomials (12-XX)
2 Group theory and generalizations (20-XX)
2 Global analysis, analysis on manifolds (58-XX)
2 Mechanics of deformable solids (74-XX)
2 Optics, electromagnetic theory (78-XX)
1 Mathematical logic and foundations (03-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 Quantum theory (81-XX)
1 Mathematics education (97-XX)

Publications by Year

Citations contained in zbMATH Open

872 Publications have been cited 5,035 times in 4,129 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
143
2013
The cross-entropy method for combinatorial and continuous optimization. Zbl 0941.65061
Rubinstein, Reuven
80
1999
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
63
2014
Langevin diffusions and Metropolis-Hastings algorithms. Zbl 1033.65003
Roberts, G. O.; Stramer, O.
62
2002
Passage times in fluid models with application to risk processes. Zbl 1110.60067
Ramaswami, V.
46
2006
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014
Barndorff-Nielsen, O. E.; Leonenko, N. N.
42
2005
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
40
2016
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.
40
2011
Risk processes with non-stationary Hawkes claims arrivals. Zbl 1231.91239
Stabile, Gabriele; Torrisi, Giovanni Luca
37
2010
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
35
2006
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift. Zbl 1104.65004
Atchadé, Yves F.
35
2006
A factorisation of diffusion measure and finite sample path constructions. Zbl 1152.65013
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O.
34
2008
The perturbed compound Poisson risk process with investment and debit interest. Zbl 1231.91255
Yin, Chuancun; Wang, Chunwei
34
2010
The cross-entropy method for continuous multi-extremal optimization. Zbl 1107.65049
Kroese, Dirk P.; Porotsky, Sergey; Rubinstein, Reuven Y.
33
2006
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
32
2009
An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Zbl 1293.65004
Botev, Zdravko I.; Kroese, Dirk P.
30
2008
Tauberian and Abelian theorems for long-range dependent random fields. Zbl 1307.60068
Leonenko, Nikolai; Olenko, Andriy
30
2013
Tail risk of multivariate regular variation. Zbl 1239.62060
Joe, Harry; Li, Haijun
30
2011
Properties of distortion risk measures. Zbl 1170.91368
Balbás, Alejandro; Garrido, José; Mayoral, Silvia
29
2009
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.
28
2012
Statistical process control using Shewhart control charts with supplementary runs rules. Zbl 1171.62366
Koutras, M. V.; Bersimis, S.; Maravelakis, P. E.
27
2007
Crossing probabilities for diffusion processes with piecewise continuous boundaries. Zbl 1122.60070
Wang, Liqun; Pötzelberger, Klaus
27
2007
Langevin-type models. I: Diffusions with given stationary distributions and their discretizations. Zbl 0947.60071
Stramer, O.; Tweedie, R. L.
26
1999
Nested partitions method for stochastic optimization. Zbl 0968.90054
Shi, Leyuan; Ólafsson, Sigurdur
26
2000
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.
26
2008
Bayesian inference for Hawkes processes. Zbl 1368.60055
Rasmussen, Jakob Gulddahl
26
2013
Diffusion processes associated with nonlinear evolution equations for signed measures. Zbl 0960.60092
Jourdain, B.
25
2000
Uniform estimate for maximum of randomly weighted sums with applications to ruin theory. Zbl 1177.60026
Shen, Xin-mei; Lin, Zheng-yan; Zhang, Yi
25
2009
Censoring, factorizations, and spectral analysis for transition matrices with block-repeating entries. Zbl 1022.60073
Zhao, Yiqiang Q.; Li, Wei; Braun, W. John
25
2003
The Markov additive risk process under an Erlangized dividend barrier strategy. Zbl 1338.91081
Zhang, Zhimin; Cheung, Eric C. K.
24
2016
Tail dependence comparison of survival Marshall-Olkin copulas. Zbl 1142.62035
Li, Haijun
24
2008
Two new mixture models related to the inverse Gaussian distribution. Zbl 1187.60009
Kotz, Samuel; Leiva, Víctor; Sanhueza, Antonio
24
2010
Langevin-type models II: Self-targeting candidates for MCMC algorithms. Zbl 0946.60063
Stramer, O.; Tweedie, R. L.
23
1999
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
Veillette, Mark; Taqqu, Murad S.
23
2010
A Monte Carlo method for the simulation of first passage times of diffusion processes. Zbl 1002.60066
Giraudo, Maria Teresa; Sacerdote, Laura; Zucca, Cristina
22
2001
Negative binomial approximation with Stein’s method. Zbl 0992.62015
Brown, Timothy C.; Phillips, M. J.
21
1999
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
21
2016
Parameter estimation and the CRLB with uncertain origin measurements. Zbl 0994.62053
Kirubarajan, T.; Chen, Huimin; Bar-Shalom, Yaakov
21
2001
On success runs of length exceeded a threshold. Zbl 1230.60012
Makri, Frosso S.; Psillakis, Zaharias M.
21
2011
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. Zbl 1327.65003
Bujok, K.; Hambly, B. M.; Reisinger, C.
21
2015
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
20
2007
Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. Zbl 1208.60014
Vernic, Raluca
20
2011
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.
20
2011
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
20
2006
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
20
2018
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
20
2022
Algorithms to find exact inclusion probabilities for conditional Poisson sampling and Pareto \(\pi ps\) sampling designs. Zbl 0984.62004
Aires, Nibia
19
1999
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
19
2009
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.
19
2016
A simple and complete computational analysis of MAP/R/1 queue using roots. Zbl 1274.60271
Chaudhry, M. L.; Singh, Gagandeep; Gupta, U. C.
19
2013
Multivariate generalized Marshall-Olkin distributions and copulas. Zbl 1291.60031
Lin, Jianhua; Li, Xiaohu
19
2014
State-of-the-art in sequential change-point detection. Zbl 06124706
Polunchenko, Aleksey S.; Tartakovsky, Alexander G.
19
2012
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
19
2018
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
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
18
2009
Multirisks model and finite-time ruin probabilities. Zbl 1035.62109
Picard, Philippe; Lefèvre, Claude; Coulibaly, Ibrahim
18
2003
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
17
2018
The Gibbs cloner for combinatorial optimization, counting and sampling. Zbl 1177.65012
Rubinstein, Reuven
17
2009
Reliability measures of semi-Markov systems with general state space. Zbl 1259.60106
Limnios, Nikolaos
17
2012
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
17
2012
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.
16
2005
Optimal scaling for random walk Metropolis on spherically constrained target densities. Zbl 1141.60316
Neal, Peter; Roberts, Gareth
16
2008
Drawdowns and the speed of market crash. Zbl 1282.91396
Zhang, Hongzhong; Hadjiliadis, Olympia
16
2012
Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions. Zbl 1317.62047
Aoshima, Makoto; Yata, Kazuyoshi
16
2015
Reliability approximation for Markov chain imbeddable systems. Zbl 0984.60091
Boutsikas, Michael V.; Koutras, Markos V.
15
2000
Numerical solution of non-homogeneous semi-Markov processes in transient case. Zbl 0991.60082
Janssen, Jacques; Manca, Raimondo
15
2001
Exact simulation of IG-OU processes. Zbl 1192.68801
Zhang, Shibin; Zhang, Xinsheng
15
2008
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend. Zbl 1048.60025
Bischoff, Wolfgang; Miller, Frank; Hashorva, Enkelejd; Hüsler, Jürg
15
2003
Background risk models and stepwise portfolio construction. Zbl 1349.62517
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Ričardas
15
2016
Comparisons between largest order statistics from multiple-outlier models with dependence. Zbl 1458.62102
Navarro, Jorge; Torrado, Nuria; del Águila, Yolanda
15
2018
Simulating perpetuities. Zbl 0982.65005
Devroye, Luc
14
2001
On a two-queue priority system with impatience and its application to a call center. Zbl 0948.60087
Brandt, Andreas; Brandt, Manfred
14
1999
Fourier inversion formulas in option pricing and insurance. Zbl 1170.91410
Dufresne, Daniel; Garrido, Jose; Morales, Manuel
14
2009
Convergence of the Marcus-Lushnikov process. Zbl 1229.45012
Fournier, Nicolas; Giet, Jean-Sébastien
14
2004
Algorithmic approach to the extinction probability of branching processes. Zbl 1210.60094
Hautphenne, Sophie; Latouche, Guy; Remiche, Marie-Ange
14
2011
The single server queue with catastrophes and geometric reneging. Zbl 1273.90053
Dimou, Spiros; Economou, Antonis
14
2013
Estimating parametric models of probability distributions. Zbl 1373.62526
Madan, Dilip B.
14
2015
On a risk model with surplus-dependent premium and tax rates. Zbl 1260.91120
Cheung, Eric C. K.; Landriault, David
14
2012
A survey of the coupon collector’s problem with random sample sizes. Zbl 1133.60301
Kobza, John E.; Jacobson, Sheldon H.; Vaughan, Diane E.
13
2007
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
13
2018
Analysis and approximation of a stochastic growth model with extinction. Zbl 1339.60084
Campillo, Fabien; Joannides, Marc; Larramendy-Valverde, Irène
13
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.
13
2008
Extremes of Markov-additive processes with one-sided jumps, with queueing applications. Zbl 1218.60077
Dieker, A. B.; Mandjes, M.
13
2011
Sequential order statistics: ageing and stochastic orderings. Zbl 1275.62057
Torrado, Nuria; Lillo, Rosa E.; Wiper, Michael P.
13
2012
Telegraph process with elastic boundary at the origin. Zbl 1390.60317
Di Crescenzo, Antonio; Martinucci, Barbara; Zacks, Shelemyahu
13
2018
Multiple window and cluster size scan procedures. Zbl 1056.62081
Naus, Joseph I.; Wallenstein, Sylvan
12
2004
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
12
2009
Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091
Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B.
12
2005
A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation. Zbl 1073.65052
Rubinstein, R. Y.
12
2005
Estimation in stationary Markov renewal processes, with application to earthquake forecasting in Turkey. Zbl 1065.62147
Alvarez, Enrique E.
12
2005
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
12
2010
Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation. Zbl 1146.65012
Kawai, Reiichiro
12
2008
New results on the Barlow-Proschan and natvig measures of component importance in nonrepairable and repairable systems. Zbl 1176.90144
Natvig, Bent; Gåsemyr, Jørund
12
2009
The generalized cross entropy method, with applications to probability density estimation. Zbl 1207.94041
Botev, Zdravko I.; Kroese, Dirk P.
12
2011
Stochastic asymptotic stability of Nowak-May model with variable diffusion rates. Zbl 1351.60075
Pitchaimani, M.; Rajaji, R.
12
2016
On a generalization from ruin to default in a Lévy insurance risk model. Zbl 1307.91096
Feng, Runhuan; Shimizu, Yasutaka
12
2013
Exact simulation of jump-diffusion processes with Monte Carlo applications. Zbl 1237.60067
Casella, Bruno; Roberts, Gareth O.
12
2011
Piecewise linear approximations for cure rate models and associated inferential issues. Zbl 1373.62481
Balakrishnan, N.; Koutras, M. V.; Milienos, F. S.; Pal, Suvra
12
2016
On estimation of the intensity function of a point process. Zbl 1274.60157
van Lieshout, Marie-Colette N. M.
12
2012
Approximations and inequalities for moving sums. Zbl 1277.60039
Glaz, Joseph; Naus, Joseph; Wang, Xiao
12
2012
Parking functions: from combinatorics to probability. Zbl 1515.60043
Kenyon, Richard; Yin, Mei
3
2023
Entropy of some discrete distributions. Zbl 1515.94035
Mitov, Kosto; Nadarajah, Saralees
1
2023
The inverse first-passage time problem as hydrodynamic limit of a particle system. Zbl 1518.60030
Klump, Alexander
1
2023
Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models. Zbl 1520.91380
Zhang, Yumo
1
2023
Bayesian wavelet Stein’s unbiased risk estimation of multivariate normal distribution under reflected normal loss. Zbl 1514.62042
Karamikabir, Hamid; Karamikabir, Nasrin; Khajeian, Mohammad Ali; Afshari, Mahmoud
1
2023
Crossings states and sets of states in random walks. Zbl 1515.60123
Abramov, Vyacheslav M.
1
2023
Voting rights, Markov chains, and optimization by short bursts. Zbl 1515.60026
Cannon, Sarah; Goldbloom-Helzner, Ari; Gupta, Varun; Matthews, Jn; Suwal, Bhushan
1
2023
Equilibrium joining strategies in the retrial queue with two classes of customers and delayed vacations. Zbl 1521.60054
Shi, Xianyue; Liu, Liwei
1
2023
Busy periods for queues alternating between two modes. Zbl 1515.60287
Kleiner, Igor; Frostig, Esther; Perry, David
1
2023
Weighted fractional generalized cumulative past entropy and its properties. Zbl 1519.94015
Kayal, Suchandan; Balakrishnan, N.
1
2023
A versatile stochastic dissemination model. Zbl 1520.91166
Chan, K. M. D.; Mandjes, M. R. H.
1
2023
Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims. Zbl 1517.62081
Wang, Shijie; Yang, Yueli; Liu, Yang; Yang, Lianqiang
1
2023
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
20
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Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay. Zbl 1492.91317
Yang, Lu; Zhang, Chengke; Zhu, Huainian
10
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On cumulative entropies in terms of moments of order statistics. Zbl 1493.62251
Balakrishnan, Narayanaswamy; Buono, Francesco; Longobardi, Maria
8
2022
Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010
Germain, Maximilien; Mikael, Joseph; Warin, Xavier
7
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Ruin probability for finite Erlang mixture claims via recurrence sequences. Zbl 1493.60034
Rincón, Luis; Santana, David J.
5
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On the time-dependent delta-shock model governed by the generalized Pólya process. Zbl 1494.60052
Goyal, Dheeraj; Hazra, Nil Kamal; Finkelstein, Maxim
5
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On dependent multi-state semi-coherent systems based on multi-state joint signature. Zbl 1498.60084
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4
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Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims. Zbl 1505.62512
Lu, Dawei; Yuan, Meng
4
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Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses. Zbl 1491.62154
Denuit, Michel; Robert, Christian Y.
3
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Assessment of shock models for a particular class of intershock time distributions. Zbl 1487.62126
Kus, Coskun; Tuncel, Altan; Eryilmaz, Serkan
3
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Bivariate Sarmanov phase-type distributions for joint lifetimes modeling. Zbl 1489.62331
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3
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A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process. Zbl 1503.65025
Mandjes, Michel; Sollie, Birgit
2
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Using infinite-server resource queue with splitting of requests for modeling two-channel data transmission. Zbl 1491.60156
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2
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Profit optimization of cattle growth with variable prices. Zbl 1491.92140
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2
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Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process. Zbl 1506.91178
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2
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Accelerating the pool-adjacent-violators algorithm for isotonic distributional regression. Zbl 1505.62476
Henzi, Alexander; Mösching, Alexandre; Dümbgen, Lutz
2
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Bounds for the renewal function and related quantities. Zbl 1506.60101
Losidis, Sotirios; Politis, Konstadinos
2
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Distributions of \((k_1,k_2,\dots ,k_m)\)-runs with multi-state trials. Zbl 1506.60018
Zhao, Xian; Song, Yanbo; Wang, Xiaoyue; Lv, Zhiyue
2
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On properties of the phase-type mixed Poisson process and its applications to reliability shock modeling. Zbl 1508.60054
Goyal, Dheeraj; Hazra, Nil Kamal; Finkelstein, Maxim
2
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General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters. Zbl 1505.62471
Bouzebda, Salim; Elhattab, Issam; Ferfache, Anouar Abdeldjaoued
2
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Reliability assessment for censored \(\delta\)-shock models. Zbl 1505.62508
Chadjiconstantinidis, Stathis; Eryilmaz, Serkan
2
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An evolutionary model that satisfies detailed balance. Zbl 1490.60214
Lember, Jüri; Watkins, Chris
2
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Nonlinear unbalanced urn models via stochastic approximation. Zbl 1487.62098
Idriss, Soumaya
2
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Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Zbl 1490.91170
Denuit, Michel; Robert, Christian Y.
2
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On the discounted penalty function in a perturbed Erlang renewal risk model with dependence. Zbl 1496.60106
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2
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Equilibrium joining strategies of positive customers in a Markovian queue with negative arrivals and working vacations. Zbl 1491.60164
Panda, Gopinath; Goswami, Veena
2
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Joint reliability function of coherent systems with shared heterogeneous components. Zbl 1494.90027
Ashrafi, Somayeh; Asadi, Majid; Navarro, Jorge
2
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A new robust class of skew elliptical distributions. Zbl 1491.62040
Kwong, Hok Shing; Nadarajah, Saralees
1
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Modelling with the novel INAR(1)-PTE process. Zbl 1491.62082
Altun, Emrah; Khan, Naushad Mamode
1
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Several topological indices of random caterpillars. Zbl 1491.05175
Zhang, Panpan; Wang, Xiaojing
1
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First hitting time of Brownian motion on simple graph with skew semiaxes. Zbl 1504.60141
Dassios, Angelos; Zhang, Junyi
1
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Stochastic analysis of rumor spreading with multiple pull operations. Zbl 07565047
Robin, Frédérique; Sericola, Bruno; Anceaume, Emmanuelle; Mocquard, Yves
1
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A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo. Zbl 1505.65002
Han, Qiang; Ji, Shaolin
1
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On some distributional properties of subordinated Gaussian random fields. Zbl 1506.60055
Merkle, Robin; Barth, Andrea
1
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Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk. Zbl 1508.91491
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1
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Construction and simulation of generalized multivariate Hawkes processes. Zbl 1506.60050
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz
1
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Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market. Zbl 1508.91485
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1
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Stochastic simulation algorithms for solving transient anisotropic diffusion-recombination equations and application to cathodoluminescence imaging. Zbl 1505.65279
Sabelfeld, Karl K.; Kireeva, Anastasia E.
1
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Moments of the ruin time in a Lévy risk model. Zbl 1508.91486
Strietzel, Philipp Lukas; Behme, Anita
1
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Variance swaps under multiscale stochastic volatility of volatility. Zbl 1492.91379
Lee, Min-Ku; Kim, See-Woo; Kim, Jeong-Hoon
1
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Batch size selection for variance estimators in MCMC. Zbl 1493.62130
Liu, Ying; Vats, Dootika; Flegal, James M.
1
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Performance analysis of multi-processor two-stage tandem call center retrial queues with non-reliable processors. Zbl 1487.60167
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1
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Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy. Zbl 1487.62136
Gao, Zhongqin; He, Jingmin; Zhao, Zhifeng; Wang, Bingbing
1
2022
Profile of random exponential recursive trees. Zbl 1487.05244
Mahmoud, Hosam
1
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Stochastic fluid models with positive jumps at level zero. Zbl 1490.60219
Nabli, Hédi
1
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Competing risks modeling by extended phase-type semi-Markov distributions. Zbl 1487.60164
Garcia-Maya, Brenda; Limnios, Nikolaos; Lindqvist, Bo Henry
1
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A Fourier transform method for solving backward stochastic differential equations. Zbl 1487.65008
Ge, Yingming; Li, Lingfei; Zhang, Gongqiu
1
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Estimation of tempered stable Lévy models of infinite variation. Zbl 1493.62506
Figueroa-López, José E.; Gong, Ruoting; Han, Yuchen
1
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Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259
Gapeev, Pavel V.
1
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Optimal double stopping problems for maxima and minima of geometric Brownian motions. Zbl 1490.60097
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.; Thijssen, Jacco J. J.
1
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A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy. Zbl 1489.91219
Hu, Wentao; Chen, Cuixia; Shi, Yufeng; Chen, Ze
1
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Valuation of annuity guarantees under a self-exciting switching jump model. Zbl 1489.91270
Njike Leunga, Charles Guy; Hainaut, Donatien
1
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On the randomized Schmitter problem. Zbl 1489.91213
Albrecher, Hansjörg; Araujo-Acuna, José Carlos
1
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Ruin and dividend measures in the renewal dual risk model. Zbl 1489.91214
Alcoforado, Renata G.; Bergel, Agnieszka I.; Cardoso, Rui M. R.; Reis, Alfredo D. Egídio dos; Rodríguez-Martínez, Eugenio V.
1
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Bounds on multivariate Kendall’s tau and Spearman’s rho for zero-inflated continuous variables and their application to insurance. Zbl 1490.62135
Mesfioui, Mhamed; Trufin, Julien
1
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On a Markovian game model for competitive insurance pricing. Zbl 1489.91069
Mouminoux, Claire; Dutang, Christophe; Loisel, Stéphane; Albrecher, Hansjoerg
1
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Fraction-degree reference dependent stochastic dominance. Zbl 1489.91089
Yang, Jianping; Zhao, Chaoqun; Chen, Weiru; Zhou, Diwei; Han, Shuguang
1
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Second order asymptotics for infinite-time ruin probability in a compound renewal risk model. Zbl 1490.91053
Yang, Yang; Wang, Xinzhi; Chen, Shaoying
1
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Robust optimal investment problem with delay under Heston’s model. Zbl 1489.91244
Zhao, Ying; Mi, Hui; Xu, Lixia
1
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Asymptotics of running maxima for \(\varphi \)-subgaussian random double arrays. Zbl 1498.60112
Al Hayek, Nour; Donhauzer, Illia; Giuliano, Rita; Olenko, Andriy; Volodin, Andrei
1
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Rare events in random geometric graphs. Zbl 1491.60043
Hirsch, Christian; Moka, Sarat B.; Taimre, Thomas; Kroese, Dirk P.
1
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Optimal dividend strategy under Parisian ruin with affine penalty. Zbl 1492.93207
Xu, Ran; Wang, Wenyuan; Garrido, Jose
1
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Stochastic model of conditional non-stationary time series of the wind chill index in West Siberia. Zbl 1491.86002
Kargapolova, Nina; Ogorodnikov, Vasily
1
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Dynamical behaviors of a stochastic single-species model with Allee effects. Zbl 1491.92101
Zheng, Famei; Hu, Guixin
1
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Moments for Hawkes processes with gamma decay kernel functions. Zbl 1491.60068
Cui, Lirong; Wu, Bei; Yin, Juan
1
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Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications. Zbl 1485.60043
Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica
9
2021
Comparisons of multi-state systems with binary components of different sizes. Zbl 1480.60049
Yi, He; Balakrishnan, Narayanaswamy; Cui, Lirong
6
2021
Generalizations of runs and patterns distributions for sequences of binary trials. Zbl 1473.62054
Dafnis, Spiros D.; Makri, Frosso S.; Koutras, Markos V.
6
2021
Ornstein-Uhlenbeck processes of bounded variation. Zbl 1476.60146
Ratanov, Nikita
6
2021
Structure of the particle population for a branching random walk with a critical reproduction law. Zbl 1476.60151
Balashova, Daria; Molchanov, Stanislav; Yarovaya, Elena
5
2021
Stochastic precedence and minima among dependent variables. Zbl 1480.60270
De Santis, Emilio; Malinovsky, Yaakov; Spizzichino, Fabio
5
2021
Some results on the telegraph process confined by two non-standard boundaries. Zbl 1480.60275
Di Crescenzo, Antonio; Martinucci, Barbara; Paraggio, Paola; Zacks, Shelemyahu
5
2021
Sampling from non-smooth distributions through Langevin diffusion. Zbl 1477.60009
Luu, Tung Duy; Fadili, Jalal; Chesneau, Christophe
4
2021
Analysis of a stochastic competitive model with saturation effect and distributed delay. Zbl 1480.92176
Ning, Wenxu; Liu, Zhijun; Wang, Lianwen; Tan, Ronghua
4
2021
Small-\(t\) expansion for the Hartman-Watson distribution. Zbl 1492.60039
Pirjol, Dan
4
2021
Analysis of a queueing model with batch Markovian arrival process and general distribution for group clearance. Zbl 1480.60214
Chakravarthy, Srinivas R.; Shruti; Rumyantsev, Alexander
4
2021
Improving Hall’s accelerated sequential procedure: generalized multistage fixed-width confidence intervals for a normal mean. Zbl 1473.62279
Hu, Jun
4
2021
Orderings of the smallest claim amounts from exponentiated location-scale models. Zbl 1476.60040
Das, Sangita; Kayal, Suchandan; Balakrishnan, N.
4
2021
Using semi-Markov chains to solve semi-Markov processes. Zbl 1478.60242
Wu, Bei; Maya, Brenda Ivette Garcia; Limnios, Nikolaos
3
2021
Exact results and bounds for the joint tail and moments of the recurrence times in a renewal process. Zbl 1478.60239
Losidis, Sotirios; Politis, Konstadinos; Psarrakos, Georgios
3
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On the rates of asymptotic normality for Bernstein polynomial estimators in a triangular array. Zbl 1480.60053
Lu, Dawei; Wang, Lina
3
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Exploration of Gibbs-Laguerre tessellations for three-dimensional stochastic modeling. Zbl 1477.74023
Seitl, F.; Petrich, L.; Staněk, J.; Krill, C. E. III; Schmidt, V.; Beneš, V.
3
2021
Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication. Zbl 1480.60210
Akar, Nail; Gursoy, Omer; Horvath, Gabor; Telek, Miklos
2
2021
Statistical estimation of mutual information for mixed model. Zbl 1477.62074
Bulinski, Alexander; Kozhevin, Alexey
2
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Schur-constant and related dependence models, with application to ruin probabilities. Zbl 1476.60026
Lefèvre, Claude; Simon, Matthieu
2
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Numerical stochastic model of non-stationary time series of the wind chill index. Zbl 1473.86016
Kargapolova, Nina
2
2021
Stochastic reconstruction for inhomogeneous point patterns. Zbl 1480.60128
Koňasová, Kateřina; Dvořák, Jiří
2
2021
Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk. Zbl 1474.62035
Martín-González, Ehyter Matías; Kolkovska, Ekaterina Todorova; Murillo-Salas, Antonio
2
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Cited by 5,507 Authors

50 Leonenko, Nikolai N.
48 Balakrishnan, Narayanaswamy
37 Wang, Xuejun
34 Roberts, Gareth O.
33 Mandjes, Michel Robertus Hendrikus
32 Hashorva, Enkelejd
30 Yang, Yang
29 Di Crescenzo, Antonio
28 Lefèvre, Claude
26 D’Amico, Guglielmo
26 Pirozzi, Enrica
25 Zhang, Zhimin
23 Gao, Qingwu
21 Leiva, Víctor
20 Eryılmaz, Serkan N.
20 Kawai, Reiichiro
20 Landriault, David
19 Kroese, Dirk P.
19 Limnios, Nikolaos
19 Manca, Raimondo
18 Ding, Feng
18 Gupta, Umesh Chandra
18 Wang, Kaiyong
17 Nadarajah, Saralees
17 Palmowski, Zbigniew
16 Aoshima, Makoto
16 Cheung, Eric C. K.
16 Li, Junping
16 Rubinstein, Reuven Y.
15 Dębicki, Krzysztof
15 Glaz, Joseph
15 Liu, Xijun
15 Macci, Claudio
15 Makri, Frosso S.
15 Nobile, Amelia G.
15 Yata, Kazuyoshi
14 Jourdain, Benjamin
14 Koutras, Markos V.
14 Loisel, Stéphane
14 Madan, Dilip B.
14 Mishura, Yuliya Stepanivna
14 Yuen, Kam Chuen
13 Banik, Abhijit Datta
13 Boxma, Onno Johan
13 Chen, Anyue
13 Furman, Edward
13 Olenko, Andriy Yakovych
13 O’Reilly, Małgorzata M.
13 Spizzichino, Fabio L.
12 Abundo, Mario
12 Asmussen, Søren
12 Chaudhry, Mohan L.
12 Cheng, Dongya
12 Fu, James C.
12 Hayat, Tasawar
12 Li, Haijun
12 Li, Xiaohu
12 Navarro, Jorge
12 Polunchenko, Aleksey S.
12 Šiaulys, Jonas
12 Wu, Yi
12 Zitikis, Ričardas
11 Albrecher, Hansjörg
11 Ascione, Giacomo
11 Cui, Lirong
11 De Santis, Emilio
11 Giorno, Virginia
11 Mahmoud, Hosam M.
11 Martinucci, Barbara
11 Tan, Zhongquan
11 Wang, Dehui
11 Yi, He
11 Yin, Chuancun
11 Zhao, Yiqiang Q.
10 Ahn, Soohan
10 Badescu, Andrei L.
10 Bai, Long
10 Bean, Nigel G.
10 Cha, Ji Hwan
10 Czarna, Irmina
10 Finkelstein, Maxim
10 Hazra, Nil Kamal
10 Latouche, Guy
10 Liu, Peng
10 Lu, Dawei
10 Mukhopadhyay, Nitis
10 Peng, Zuoxiang
10 Psillakis, Zaharias M.
10 Shen, Aiting
10 Taqqu, Murad S.
10 Wang, Shijie
10 Yarovaya, Elena B.
9 Chen, Pingyan
9 Denuit, Michel M.
9 Ivanovs, Jevgeņijs
9 Janssen, Jacques
9 Jiang, Tao
9 Kumar, Nitin
9 Li, Bin
9 Liu, Liwei
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172 Communications in Statistics. Theory and Methods
139 Insurance Mathematics & Economics
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99 Journal of Applied Probability
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39 Journal of Statistical Planning and Inference
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37 Computational Statistics and Data Analysis
36 Annals of the Institute of Statistical Mathematics
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33 Journal of Statistical Physics
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32 Metrika
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23 Physica A
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21 Electronic Journal of Statistics
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10 RAIRO. Operations Research
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9 Chaos, Solitons and Fractals
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9 The Annals of Probability
9 Opsearch
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