Advances in Applied Probability

We correct typographical errors in our original paper.

Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only influence the fut…

For the gambler’s ruin problem with two players starting with the same amount of money, we show the playing time is stochastically maximized when the games are fair.

This paper studies a composite problem involving decision-making about the optimal entry time and dynamic consumption afterwards. In Stage 1, the investor has access to full market information subject to some information costs and needs to choose an op…

In this paper an exact rejection algorithm for simulating paths of the coupled Wright–Fisher diffusion is introduced. The coupled Wright–Fisher diffusion is a family of multivariate Wright–Fisher diffusions that have drifts depending on each other th…

We consider fragmentation processes with values in the space of marked partitions of , i.e. partitions where each block is decorated with a nonnegative real number. Assuming that the marks on distinct blocks evolve as independent positive self-simila…

We study shot noise processes with cluster arrivals, in which entities in each cluster may experience random delays (possibly correlated), and noises within each cluster may be correlated. We prove functional limit theorems for the process in the lar…

We investigate spatial random graphs defined on the points of a Poisson process in d-dimensional space, which combine scale-free degree distributions and long-range effects. Every Poisson point is assigned an independent weight. Given the weight and …