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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.
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#### Latest Issues

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#### 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
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#### 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)

#### Citations contained in zbMATH Open

630 Publications have been cited 3,245 times in 2,743 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
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2013
The cross-entropy method for combinatorial and continuous optimization. Zbl 0941.65061
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1999
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
2014
Langevin diffusions and Metropolis-Hastings algorithms. Zbl 1033.65003
Roberts, G. O.; Stramer, O.
2002
Passage times in fluid models with application to risk processes. Zbl 1110.60067
Ramaswami, V.
2006
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014
Barndorff-Nielsen, O. E.; Leonenko, N. N.
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.
2011
A factorisation of diffusion measure and finite sample path constructions. Zbl 1152.65013
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O.
2008
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
2009
An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift. Zbl 1104.65004
2006
The cross-entropy method for continuous multi-extremal optimization. Zbl 1107.65049
Kroese, Dirk P.; Porotsky, Sergey; Rubinstein, Reuven Y.
2006
Diffusion processes associated with nonlinear evolution equations for signed measures. Zbl 0960.60092
Jourdain, B.
2000
Risk processes with non-stationary Hawkes claims arrivals. Zbl 1231.91239
Stabile, Gabriele; Torrisi, Giovanni Luca
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
2006
An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Zbl 1293.65004
Botev, Zdravko I.; Kroese, Dirk P.
2008
Censoring, factorizations, and spectral analysis for transition matrices with block-repeating entries. Zbl 1022.60073
Zhao, Yiqiang Q.; Li, Wei; Braun, W. John
2003
Langevin-type models. I: Diffusions with given stationary distributions and their discretizations. Zbl 0947.60071
Stramer, O.; Tweedie, R. L.
1999
Uniform estimate for maximum of randomly weighted sums with applications to ruin theory. Zbl 1177.60026
Shen, Xin-mei; Lin, Zheng-yan; Zhang, Yi
2009
The perturbed compound Poisson risk process with investment and debit interest. Zbl 1231.91255
Yin, Chuancun; Wang, Chunwei
2010
Crossing probabilities for diffusion processes with piecewise continuous boundaries. Zbl 1122.60070
Wang, Liqun; Pötzelberger, Klaus
2007
Statistical process control using Shewhart control charts with supplementary runs rules. Zbl 1171.62366
Koutras, M. V.; Bersimis, S.; Maravelakis, P. E.
2007
Nested partitions method for stochastic optimization. Zbl 0968.90054
Shi, Leyuan; Ólafsson, Sigurdur
2000
Tail risk of multivariate regular variation. Zbl 1239.62060
Joe, Harry; Li, Haijun
2011
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
2016
Parameter estimation and the CRLB with uncertain origin measurements. Zbl 0994.62053
Kirubarajan, T.; Chen, Huimin; Bar-Shalom, Yaakov
2001
Langevin-type models II: Self-targeting candidates for MCMC algorithms. Zbl 0946.60063
Stramer, O.; Tweedie, R. L.
1999
A Monte Carlo method for the simulation of first passage times of diffusion processes. Zbl 1002.60066
Giraudo, Maria Teresa; Sacerdote, Laura; Zucca, Cristina
2001
Tail dependence comparison of survival Marshall-Olkin copulas. Zbl 1142.62035
Li, Haijun
2008
Properties of distortion risk measures. Zbl 1170.91368
Balbás, Alejandro; Garrido, José; Mayoral, Silvia
2009
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.
2008
Approximations for the long-term behavior of an open-population epidemic model. Zbl 0971.92025
Clancy, D.; O’Neill, P. D.; Pollett, P. K.
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.
2012
Tauberian and Abelian theorems for long-range dependent random fields. Zbl 1307.60068
Leonenko, Nikolai; Olenko, Andriy
2013
The Markov additive risk process under an Erlangized dividend barrier strategy. Zbl 1338.91081
Zhang, Zhimin; Cheung, Eric C. K.
2016
Negative binomial approximation with Stein’s method. Zbl 0992.62015
Brown, Timothy C.; Phillips, M. J.
1999
Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. Zbl 1208.60014
Vernic, Raluca
2011
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
2009
Two new mixture models related to the inverse Gaussian distribution. Zbl 1187.60009
Kotz, Samuel; Leiva, Víctor; Sanhueza, Antonio
2010
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
2007
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
2009
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
Veillette, Mark; Taqqu, Murad S.
2010
Algorithms to find exact inclusion probabilities for conditional Poisson sampling and Pareto $$\pi ps$$ sampling designs. Zbl 0984.62004
Aires, Nibia
1999
Multirisks model and finite-time ruin probabilities. Zbl 1035.62109
Picard, Philippe; Lefèvre, Claude; Coulibaly, Ibrahim
2003
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.
2005
On success runs of length exceeded a threshold. Zbl 1230.60012
Makri, Frosso S.; Psillakis, Zaharias M.
2011
The Gibbs cloner for combinatorial optimization, counting and sampling. Zbl 1177.65012
Rubinstein, Reuven
2009
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
2018
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.
2016
Reliability approximation for Markov chain imbeddable systems. Zbl 0984.60091
Boutsikas, Michael V.; Koutras, Markos V.
2000
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend. Zbl 1048.60025
Bischoff, Wolfgang; Miller, Frank; Hashorva, Enkelejd; Hüsler, Jürg
2003
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.
2011
State-of-the-art in sequential change-point detection. Zbl 06124706
Polunchenko, Aleksey S.; Tartakovsky, Alexander G.
2012
On a two-queue priority system with impatience and its application to a call center. Zbl 0948.60087
Brandt, Andreas; Brandt, Manfred
1999
Convergence of the Marcus-Lushnikov process. Zbl 1229.45012
Fournier, Nicolas; Giet, Jean-Sébastien
2004
Algorithmic approach to the extinction probability of branching processes. Zbl 1210.60094
Hautphenne, Sophie; Latouche, Guy; Remiche, Marie-Ange
2011
Optimal scaling for random walk Metropolis on spherically constrained target densities. Zbl 1141.60316
Neal, Peter; Roberts, Gareth
2008
A simple and complete computational analysis of MAP/R/1 queue using roots. Zbl 1274.60271
Chaudhry, M. L.; Singh, Gagandeep; Gupta, U. C.
2013
Bayesian inference for Hawkes processes. Zbl 1368.60055
Rasmussen, Jakob Gulddahl
2013
A random walk on rectangles algorithm. Zbl 1104.60046
Deaconu, Madalina; Lejay, Antoine
2006
Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions. Zbl 1317.62047
Aoshima, Makoto; Yata, Kazuyoshi
2015
A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation. Zbl 1073.65052
Rubinstein, R. Y.
2005
Extremes of Markov-additive processes with one-sided jumps, with queueing applications. Zbl 1218.60077
Dieker, A. B.; Mandjes, M.
2011
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
2012
Drawdowns and the speed of market crash. Zbl 1282.91396
2012
Numerical solution of non-homogeneous semi-Markov processes in transient case. Zbl 0991.60082
Janssen, Jacques; Manca, Raimondo
2001
Exact simulation of IG-OU processes. Zbl 1192.68801
Zhang, Shibin; Zhang, Xinsheng
2008
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. Zbl 1327.65003
Bujok, K.; Hambly, B. M.; Reisinger, C.
2015
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
2016
Multiple window and cluster size scan procedures. Zbl 1056.62081
Naus, Joseph I.; Wallenstein, Sylvan
2004
Uniqueness and extinction of weighted Markov branching processes. Zbl 1104.60047
Chen, Anyue; Li, Junping; Ramesh, N. I.
2005
Estimation in stationary Markov renewal processes, with application to earthquake forecasting in Turkey. Zbl 1065.62147
Alvarez, Enrique E.
2005
On a risk model with surplus-dependent premium and tax rates. Zbl 1260.91120
Cheung, Eric C. K.; Landriault, David
2012
Reliability measures of semi-Markov systems with general state space. Zbl 1259.60106
Limnios, Nikolaos
2012
Sequential order statistics: ageing and stochastic orderings. Zbl 1275.62057
Torrado, Nuria; Lillo, Rosa E.; Wiper, Michael P.
2012
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
2010
Fourier inversion formulas in option pricing and insurance. Zbl 1170.91410
Dufresne, Daniel; Garrido, Jose; Morales, Manuel
2009
Simulating perpetuities. Zbl 0982.65005
Devroye, Luc
2001
Exact simulation of jump-diffusion processes with Monte Carlo applications. Zbl 1237.60067
Casella, Bruno; Roberts, Gareth O.
2011
Multivariate generalized Marshall-Olkin distributions and copulas. Zbl 1291.60031
Lin, Jianhua; Li, Xiaohu
2014
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
2005
Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091
Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B.
2005
Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies. Zbl 1202.60071
2010
On estimating the asymptotic variance of stationary point processes. Zbl 1197.62122
Heinrich, Lothar; Prokešová, Michaela
2010
The single server queue with catastrophes and geometric reneging. Zbl 1273.90053
Dimou, Spiros; Economou, Antonis
2013
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
2007
Extremes of Gaussian processes with maximal variance near the boundary points. Zbl 0969.60058
Hashorva, Enkelejd; Hüsler, Jürg
2000
Numerical treatment of homogeneous semi-Markov processes in transient case: A straightforward approach. Zbl 1044.60086
Corradi, Gianfranco; Janssen, Jacques; Manca, Raimondo
2004
Quasi-stationary distributions for a class of discrete-time Markov chains. Zbl 1106.60064
Coolen-Schrijner, Pauline; van Doorn, Erik A.
2006
Sampling from finite random partitions. Zbl 1038.60007
Huillet, Thierry; Martinez, Servet
2003
Simulation and estimation for the fractional Yule process. Zbl 1253.60090
Cahoy, Dexter O.; Polito, Federico
2012
On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes. Zbl 1290.60026
Tan, Zhongquan; Hashorva, Enkelejd
2014
A survey of the coupon collector’s problem with random sample sizes. Zbl 1133.60301
Kobza, John E.; Jacobson, Sheldon H.; Vaughan, Diane E.
2007
Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation. Zbl 1146.65012
Kawai, Reiichiro
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.
2008
Anisotropic Poisson processes of cylinders. Zbl 1252.60017
Spiess, Malte; Spodarev, Evgeny
2011
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.
2009
Runtime analysis of ant colony optimization with best-so-far reinforcement. Zbl 1192.68965
Gutjahr, Walter J.; Sebastiani, Giovanni
2008
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
2018
Some reward paths in semi-Markov models with stochastic selection of the transition probabilities. Zbl 1128.60075
Papadopoulou, Aleka; Tsaklidis, George
2007
On a generalization from ruin to default in a Lévy insurance risk model. Zbl 1307.91096
Feng, Runhuan; Shimizu, Yasutaka
2013
Reduction principle for functionals of vector random fields. Zbl 1460.60046
Olenko, Andriy; Omari, Dareen
2020
SIR-type epidemic models as block-structured Markov processes. Zbl 1448.92314
Lefèvre, Claude; Simon, Matthieu
2020
A fast algorithm for maximal propensity score matching. Zbl 1448.92010
Ruzankin, Pavel S.
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.
2020
Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. Zbl 1459.91169
Zhang, Qiang; Chen, Ping
2020
A renewal generated geometric catastrophe model with discrete-time Markovian arrival process. Zbl 1460.60099
Kumar, Nitin; Gupta, U. C.
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
2020
Parisian ruin with Erlang delay and a lower bankruptcy barrier. Zbl 1437.91133
Frostig, Esther; Keren-Pinhasik, Adva
2020
Extreme value distributions for two kinds of path sums of Markov chain. Zbl 1437.60020
Gao, Lei; Han, Dong
2020
Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators. Zbl 1411.60058
Kumar, A.; Gajda, J.; Wyłomańska, A.; Połoczański, R.
2019
Approximation of sojourn times of Gaussian processes. Zbl 1447.60063
Dȩbicki, Krzysztof; Michna, Zbigniew; Peng, Xiaofan
2019
High-dimensional quadratic classifiers in non-sparse settings. Zbl 1434.62109
Aoshima, Makoto; Yata, Kazuyoshi
2019
Batch renewal arrival process subject to geometric catastrophes. Zbl 1411.90088
Barbhuiya, F. P.; Kumar, Nitin; Gupta, U. C.
2019
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Zbl 1411.91542
Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya
2019
Product Markovian quantization of a diffusion process with applications to finance. Zbl 1437.60047
Fiorin, Lucio; Pagès, Gilles; Sagna, Abass
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
2019
Cutoff phenomenon for nearest Lamperti’s random walk. Zbl 1437.60055
Hong, Wenming; Yang, Hui
2019
Susceptibility sets and the final outcome of collective Reed-Frost epidemics. Zbl 1429.92123
Ball, Frank
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.
2019
Bounds on concordance-based validation statistics in regression models for binary responses. Zbl 1428.62342
Denuit, Michel; Mesfioui, Mhamed; Trufin, Julien
2019
Ruin and deficit under claim arrivals with the order statistics property. Zbl 1427.91078
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, Vladimir K.
2019
Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes. Zbl 1439.60038
D&rsquo;Onofrio, G.; Pirozzi, E.
2019
On jump-diffusive driving noise sources. Some explicit results and applications. Zbl 1439.60078
Hongler, Max-Olivier; Filliger, Roger
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
2019
Discretely observed Brownian motion governed by telegraph process: estimation. Zbl 1434.62176
Pozdnyakov, Vladimir; Elbroch, L. Mark; Labarga, Anthony; Meyer, Thomas; Yan, Jun
2019
First hitting time distributions for Brownian motion and regions with piecewise linear boundaries. Zbl 1411.60119
Dong, Qinglai; Cui, Lirong
2019
Analysis of a three-species stochastic delay predator-prey system with imprecise parameters. Zbl 1411.60091
Wu, Jian
2019
Some results and applications of geometric counting processes. Zbl 1411.60111
Di Crescenzo, Antonio; Pellerey, Franco
2019
Linear combination of independent exponential random variables. Zbl 1411.65158
Li, Kim-Hung; Li, Cheuk Ting
2019
The single server queue with mixing dependencies. Zbl 1437.60071
Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno
2019
Extensions of the generalized Pólya process. Zbl 1437.60058
Badía, Francisco Germán; Mercier, Sophie; Sangüesa, Carmen
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
2019
$$M/M/1$$ retrial queue with collisions and transmission errors. Zbl 1437.60068
Lakaour, Lamia; Aïssani, Djamil; Adel-Aissanou, Karima; Barkaoui, Kamel
2019
On generalised Piterbarg constants. Zbl 1390.60133
Bai, Long; Dȩbicki, Krzysztof; Hashorva, Enkelejd; Luo, Li
2018
Sampling and learning Mallows and generalized Mallows models under the Cayley distance. Zbl 1433.62047
Irurozki, Ekhine; Calvo, Borja; Lozano, Jose A.
2018
Comparisons between largest order statistics from multiple-outlier models with dependence. Zbl 1458.62102
Navarro, Jorge; Torrado, Nuria; del Águila, Yolanda
2018
Optimal harvesting for a stochastic predator-prey model with S-type distributed time delays. Zbl 1391.92043
Wang, Sheng; Wang, Linshan; Wei, Tengda
2018
The distribution of discounted compound PH-renewal processes. Zbl 1384.62303
Wang, Ya Fang; Garrido, José; Léveillé, Ghislain
2018
Telegraph process with elastic boundary at the origin. Zbl 1390.60317
Di Crescenzo, Antonio; Martinucci, Barbara; Zacks, Shelemyahu
2018
Expectiles, omega ratios and stochastic ordering. Zbl 1402.60023
Bellini, Fabio; Klar, Bernhard; Müller, Alfred
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
2018
Coupling importance sampling and multilevel Monte Carlo using sample average approximation. Zbl 1394.60018
Kebaier, Ahmed; Lelong, Jérôme
2018
Variance allocation and Shapley value. Zbl 1417.91038
Colini-Baldeschi, Riccardo; Scarsini, Marco; Vaccari, Stefano
2018
Queues with dropping functions and autocorrelated arrivals. Zbl 1390.60334
Mrozowski, Pawel; Chydzinski, Andrzej
2018
Archimedean-based Marshall-Olkin distributions and related dependence structures. Zbl 1392.62047
Mulinacci, Sabrina
2018
Space-fractional versions of the negative binomial and Polya-type processes. Zbl 1394.60034
Beghin, Luisa; Vellaisamy, P.
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
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
2018
Asymptotics for the Euler-discretized Hull-White stochastic volatility model. Zbl 1390.60258
Pirjol, Dan; Zhu, Lingjiong
2018
Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims. Zbl 1384.62301
Léveillé, Ghislain; Hamel, Emmanuel
2018
On weighted generalized cumulative residual entropy of order $$n$$. Zbl 1393.94657
Kayal, Suchandan
2018
Analysis of a batch service polling system in a multi-phase random environment. Zbl 1394.60092
Jiang, Tao; Liu, Liwei; Zhu, Yuanyuan
2018
Type I error probability spending for post-market drug and vaccine safety surveillance with Poisson data. Zbl 1395.62244
Silva, Ivair R.
2018
Uncertainty quantification of stochastic simulation for black-box computer experiments. Zbl 1417.62039
Choe, Youngjun; Lam, Henry; Byon, Eunshin
2018
Hitting times in Markov chains with restart and their application to network centrality. Zbl 1411.60106
Avrachenkov, Konstantin; Piunovskiy, Alexey; Zhang, Yi
2018
Entropy-based inhomogeneity detection in fiber materials. Zbl 1411.62276
Alonso Ruiz, Patricia; Spodarev, Evgeny
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
2018
Discounted aggregate claim costs until ruin in the discrete-time renewal risk model. Zbl 1411.91324
Woo, Jae-Kyung; Liu, Haibo
2018
Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models. Zbl 1402.60021
Ansari, Jonathan; Rüschendorf, Ludger
2018
Magnitude and speed of consecutive market crashes in a diffusion model. Zbl 1382.60065
Cui, Zhenyu; Nguyen, Duy
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
2018
Tensor approximation of generalized correlated diffusions and functional copula operators. Zbl 1390.60265
Dalessandro, Antonio; Peters, Gareth W.
2018
Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims. Zbl 1407.91136
Grahovac, Danijel
2018
A recursive algorithm for selling at the ultimate maximum in regime-switching models. Zbl 1387.93188
Liu, Yue; Privault, Nicolas
2018
Efficient simulation for dependent rare events with applications to extremes. Zbl 1385.65014
Andersen, Lars Nørvang; Laub, Patrick J.; Rojas-Nandayapa, Leonardo
2018
On the optimal control of a random walk with jumps and barriers. Zbl 1387.93183
Breitenbach, Tim; Annunziato, Mario; Borzì, Alfio
2018
Optimal mission duration for partially repairable systems operating in a random environment. Zbl 1393.90052
Finkelstein, Maxim; Levitin, Gregory
2018
Level hitting probabilities and extremal indexes for some particular dynamical systems. Zbl 1394.60054
Haiman, George
2018
Stochastic ordering among success runs statistics in a sequence of exchangeable binary trials. Zbl 1394.60014
Eryilmaz, Serkan
2018
Spatial expectile predictions for elliptical random fields. Zbl 1394.60051
Maume-Deschamps, Véronique; Rullière, Didier; Usseglio-Carleve, A.
2018
On coherent risk measures induced by convex risk measures. Zbl 1396.91809
Chen, Zhiping; Hu, Qianhui
2018
Quantile function expansion using regularly varying functions. Zbl 1411.60020
Fung, Thomas; Seneta, Eugene
2018
Sharp bounds for exponential approximations of NWUE distributions. Zbl 1402.60024
Brown, Mark; Li, Shuangning
2018
Arrangement increasing resource allocation. Zbl 1420.91154
Feng, Qi; Shanthikumar, J. George
2018
Dependence properties of conditional distributions of some copula models. Zbl 1402.60025
Joe, Harry
2018
Markov property in discrete Schur-constant models. Zbl 1402.60092
Lefèvre, Claude; Loisel, Stéphane; Utev, Sergey
2018
Operator tail dependence of copulas. Zbl 1405.62054
Li, Haijun
2018
Multivariate regular variation of discrete mass functions with applications to preferential attachment networks. Zbl 1401.28006
Wang, Tiandong; Resnick, Sidney I.
2018
Positive discrete spectrum of the evolutionary operator of supercritical branching walks with heavy tails. Zbl 1387.60125
Yarovaya, E.
2017
Polynomial approximations for bivariate aggregate claims amount probability distributions. Zbl 1380.65023
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys
2017
Capital allocation for Sarmanov’s class of distributions. Zbl 1358.60034
Vernic, Raluca
2017
Performance analysis of the GI/M/1 queue with single working vacation and vacations. Zbl 1384.90030
Ye, Qingqing; Liu, Liwei
2017
Biased online parameter inference for state-space models. Zbl 1383.82052
Del Moral, Pierre; Jasra, Ajay; Zhou, Yan
2017
The distribution of a sum of independent binomial random variables. Zbl 1422.62075
Butler, Ken; Stephens, Michael A.
2017
Approximate simulation techniques and distribution of an extended gamma process. Zbl 1360.60161
Al Masry, Zeina; Mercier, Sophie; Verdier, Ghislain
2017
Approximations for time-dependent distributions in Markovian fluid models. Zbl 1360.60145
Dendievel, Sarah; Latouche, Guy
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
2017
Reward algorithms for semi-Markov processes. Zbl 1387.60114
Silvestrov, Dmitrii; Manca, Raimondo
2017
Perturbation analysis of the $$\mathrm{GI}/\mathrm{M}/s$$ queue. Zbl 1383.60083
2017
Large deviations approximations to distributions of the total distance of compound random walks with von Mises directions. Zbl 1403.62092
Gatto, Riccardo
2017
On the comparison of relative spacings with applications. Zbl 1373.60042
Belzunce, Félix; Martínez-Riquelme, Carolina; Ruiz, José M.; Sordo, Miguel A.
2017
Compound geometric distribution of order $$k$$. Zbl 1380.62064
Koutras, Markos V.; Eryilmaz, Serkan
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.
2017
Prediction of components in random sums. Zbl 1370.60068
Matsui, Muneya
2017
Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence. Zbl 1371.65131
Yang, Xuxin; Rasila, Antti; Sottinen, Tommi
2017
MLE, information, ancillary complement, and conditional inference with illustrations. Zbl 1422.62030
Mukhopadhyay, Nitis; Zhuang, Yan
2017
Optimal linear Bernoulli factories for small mean problems. Zbl 1379.65006
Huber, Mark
2017
A convolution method for numerical solution of backward stochastic differential equations. Zbl 1360.60109
Hyndman, Cody B.; Ngou, Polynice Oyono
2017
Stochastic enumeration method for counting trees. Zbl 1358.05059
Vaisman, Radislav; Kroese, Dirk P.
2017
Sample path generation of Lévy-driven continuous-time autoregressive moving average processes. Zbl 1375.65009
Kawai, Reiichiro
2017
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#### Cited by 3,693 Authors

 44 Leonenko, Nikolai N. 29 Roberts, Gareth O. 27 Hashorva, Enkelejd 22 Mandjes, Michel Robertus Hendrikus 22 Wang, Xuejun 21 D’Amico, Guglielmo 20 Lefèvre, Claude 19 Balakrishnan, Narayanaswamy 19 Kroese, Dirk P. 19 Manca, Raimondo 18 Pirozzi, Enrica 18 Zhang, Zhimin 17 Landriault, David 16 Di Crescenzo, Antonio 16 Rubinstein, Reuven Y. 15 Cheung, Eric C. K. 15 Li, Junping 15 Limnios, Nikolaos 14 Eryılmaz, Serkan N. 14 Gao, Qingwu 14 Glaz, Joseph 14 Jourdain, Benjamin 13 Aoshima, Makoto 13 Leiva, Víctor 13 Nobile, Amelia G. 12 Chen, Anyue 12 Gupta, Umesh Chandra 12 Kawai, Reiichiro 12 Loisel, Stéphane 12 Palmowski, Zbigniew 12 Wang, Kaiyong 12 Yata, Kazuyoshi 11 Fu, James C. 11 Li, Haijun 11 Tan, Zhongquan 11 Yin, Chuancun 10 Ahn, Soohan 10 Banik, Abhijit Datta 10 Czarna, Irmina 10 Furman, Edward 10 Makri, Frosso S. 10 Mishura, Yuliya Stepanivna 10 O’Reilly, Małgorzata M. 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 Koutras, Markos V. 9 Macci, Claudio 9 Nadarajah, Saralees 9 Navarro, Jorge 9 Šiaulys, Jonas 9 Stadje, Wolfgang 9 Yang, Hailiang 9 Yuen, Kam Chuen 8 Asmussen, Søren 8 Atchadé, Yves F. 8 Bai, Long 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 Abundo, Mario 7 Antzoulakos, Demetrios L. 7 Artalejo, Jesus R. 7 Bean, Nigel G. 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. ...and 3,593 more Authors
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#### Cited in 367 Journals

 249 Methodology and Computing in Applied Probability 110 Statistics & Probability Letters 106 Insurance Mathematics & Economics 82 Journal of Applied Probability 66 Communications in Statistics. Theory and Methods 57 Stochastic Processes and their Applications 55 Journal of Computational and Applied Mathematics 52 Advances in Applied Probability 51 Annals of Operations Research 51 European Journal of Operational Research 45 Stochastic Models 41 Scandinavian Actuarial Journal 41 Statistics and Computing 37 Journal of Mathematical Analysis and Applications 36 Bernoulli 35 Journal of Multivariate Analysis 35 Journal of Statistical Planning and Inference 35 The Annals of Applied Probability 33 Computational Statistics and Data Analysis 31 Applied Mathematics and Computation 30 Journal of Statistical Physics 29 Annals of the Institute of Statistical Mathematics 26 Metrika 26 Stochastic Analysis and Applications 26 Queueing Systems 26 Quantitative Finance 25 Journal of Theoretical Probability 23 Statistical Papers 19 Statistics 19 Applied Mathematical Modelling 19 Journal of Statistical Computation and Simulation 19 Mathematical Problems in Engineering 18 Lithuanian Mathematical Journal 18 Scandinavian Journal of Statistics 18 Sequential Analysis 18 Probability in the Engineering and Informational Sciences 17 International Journal of Theoretical and Applied Finance 16 Theory of Probability and Mathematical Statistics 15 The Annals of Statistics 15 Communications in Statistics. Simulation and Computation 15 Monte Carlo Methods and Applications 15 Frontiers of Mathematics in China 14 Extremes 14 Journal of Industrial and Management Optimization 14 Electronic Journal of Statistics 13 Mathematical Biosciences 13 Computational Statistics 13 SIAM Journal on Scientific Computing 12 Mathematical Methods of Operations Research 12 Journal of Applied Statistics 12 Stochastics 12 SIAM/ASA Journal on Uncertainty Quantification 12 Modern Stochastics. Theory and Applications 11 Journal of the Franklin Institute 10 Computers & Operations Research 10 Test 10 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 10 Journal of the Korean Statistical Society 9 Journal of Computational Physics 9 Journal of Mathematical Biology 9 Acta Mathematica Sinica. English Series 8 The Annals of Probability 8 Operations Research Letters 8 Statistical Science 8 Signal Processing 8 Applied Mathematics. Series B (English Edition) 8 Brazilian Journal of Probability and Statistics 8 ASTIN Bulletin 8 Dependence Modeling 7 Fuzzy Sets and Systems 7 Theoretical Computer Science 7 Mathematical and Computer Modelling 7 Applications of Mathematics 7 Top 7 Journal of Inequalities and Applications 7 RAIRO. Operations Research 7 Applied Stochastic Models in Business and Industry 7 Advances in Difference Equations 7 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 6 Computers & Mathematics with Applications 6 Biometrics 6 Journal of the American Statistical Association 6 Opsearch 6 Theoretical Population Biology 6 Acta Mathematicae Applicatae Sinica. English Series 6 Asia-Pacific Journal of Operational Research 6 Electronic Journal of Probability 6 Journal of Nonparametric Statistics 6 Abstract and Applied Analysis 6 International Journal of Applied Mathematics and Computer Science 6 Journal of Machine Learning Research (JMLR) 6 Mathematical Biosciences and Engineering 6 Mathematics and Financial Economics 6 Journal of Mathematical Inequalities 6 Science China. Mathematics 6 Journal of Probability and Statistics 5 Mathematics and Computers in Simulation 5 Ricerche di Matematica 5 Probability and Mathematical Statistics 5 Journal of Complexity ...and 267 more Journals
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#### Cited in 49 Fields

 1,715 Probability theory and stochastic processes (60-XX) 1,088 Statistics (62-XX) 620 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 423 Numerical analysis (65-XX) 387 Operations research, mathematical programming (90-XX) 143 Biology and other natural sciences (92-XX) 120 Computer science (68-XX) 84 Systems theory; control (93-XX) 53 Combinatorics (05-XX) 52 Information and communication theory, circuits (94-XX) 48 Partial differential equations (35-XX) 45 Statistical mechanics, structure of matter (82-XX) 32 Ordinary differential equations (34-XX) 23 Integral transforms, operational calculus (44-XX) 22 Dynamical systems and ergodic theory (37-XX) 16 Real functions (26-XX) 15 Linear and multilinear algebra; matrix theory (15-XX) 15 Fluid mechanics (76-XX) 15 Geophysics (86-XX) 14 Special functions (33-XX) 14 Calculus of variations and optimal control; optimization (49-XX) 13 Approximations and expansions (41-XX) 12 Harmonic analysis on Euclidean spaces (42-XX) 12 Integral equations (45-XX) 11 Measure and integration (28-XX) 11 Operator theory (47-XX) 10 Convex and discrete geometry (52-XX) 9 Functional analysis (46-XX) 7 General and overarching topics; collections (00-XX) 6 Differential geometry (53-XX) 4 Number theory (11-XX) 4 Field theory and polynomials (12-XX) 4 Commutative algebra (13-XX) 3 Mathematical logic and foundations (03-XX) 3 Optics, electromagnetic theory (78-XX) 3 Quantum theory (81-XX) 2 Potential theory (31-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Mechanics of deformable solids (74-XX) 2 Classical thermodynamics, heat transfer (80-XX) 1 History and biography (01-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Group theory and generalizations (20-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Abstract harmonic analysis (43-XX) 1 General topology (54-XX) 1 Mechanics of particles and systems (70-XX)