期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (2)
For two n-dimensional elliptical random vectors X and Y, we establish an identity for E[f (Y)]- E[f (X)], where f : R-n -> R satisfies some regular......
期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (2)
This paper considers risk-sensitive average optimization for denumerable continuous-time Markov decision processes (CTMDPs), in which the transition a......
期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (2)
Pitman (2003), and subsequently Gnedin and Pitman (2006), showed that a large class of random partitions of the integers derived from a stable subordi......
期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (2)
There are two types of tempered stable (TS) based Ornstein-Uhlenbeck (OU) processes: (i) the OU-TS process, the OU process driven by a TS subordinator......
期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (2)
We focus on the population dynamics driven by two classes of truncated a-stable processes with Markovian switching. Almost necessary and sufficient co......
期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (1)
We present Lyapunov-type conditions for non-strong ergodicity of Markov processes. Some concrete models are discussed, including diffusion processes o......
期刊： JOURNAL OF APPLIED PROBABILITY, 2021; 58 (1)
Spatial random graphs capture several important properties of real-world networks. We prove quenched results for the continuous-space version of scale......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (4)
Block-structured Markov chains model a large variety of queueing problems and have many important applications in various areas. Stability properties ......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (4)
We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Hest......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (3)
We consider the threshold-one contact process, the threshold-one voter model and the threshold-one voter model with positive spontaneous death on homo......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (3)
We investigate stochastic comparisons of parallel systems (corresponding to the largest-order statistics) with respect to the reversed hazard rate and......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (1)
We establish an invariance principle and a large deviation principle for a biased random walk RW. with.. [0, 1) on Zd. The scaling limit in the invari......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (1)
We investigate the long-time behavior of the Ornstein-Uhlenbeck process driven by Levy noise with regime switching. We provide explicit criteria on th......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (1)
By a random process with immigration at random times we mean a shot noise process with a random response function (response process) in which shots oc......
期刊： JOURNAL OF APPLIED PROBABILITY, 2020; 57 (1)
A critical branching process with immigration which evolves in a random environment is considered. Assuming that immigration is not allowed when there......
