We use cookies to distinguish you from other users and to provide you with a better experience on our websites. 2019 Journal Citation Reports © Clarivate Analytics, Published on behalf of the Applied Probability Trust, Check if you have access via personal or institutional login, One- versus multi-component regular variation and extremes of Markov trees, Renewal in Hawkes processes with self-excitation and inhibition, Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices, Improved queue-size scaling for input-queued switches via graph factorization, Central limit theorems for coupled particle filters, Almost sure central limit theorems in stochastic geometry, Mean square rate of convergence for random walk approximation of forward-backward SDEs, John Ockendon 2020 Prize winner announced, International Women’s Day 2020: Influential women in STEM, Saddle point approximation for the distribution of the sum of independent random variables, The intrinsic random functions and their applications, URL: /core/journals/advances-in-applied-probability, The European Journal of Applied Mathematics and Cambridge University Press are pleased to award the 2020 John Ockendon Prize to B.…, Alice of ‘wonderland’ and ‘looking glass’ fame is a creation of mathematician Charles Dodgson, better known by his pseudonym Lewis Carroll.…. They constitute a much wider class than the stationary RF, and are used in practical applications for representing non-stationary phenomena. We develop a new particle filter, called the space‒time particle filter, for a specific family of state-space models in discrete time. Moreover, when there is a spatial mixing element in the dimension of the state vector, the space‒time particle filter will scale much better with d than the standard filter for a class of filtering problems. d ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply. Publication type. The most important topics are: existence of a generalized covariance (GC) for which statistical inference is possible from a unique realization; theory of the best linear intrinsic estimator (BLIE) used for contouring and estimating problems; the turning bands method for simulating IRF; and the models with polynomial GC, for which statistical inference may be performed by automatic procedures. Editor: P. G. Taylor (University of Melbourne). Published on behalf of the Applied Probability Trust, Issue A (Branching and Applied Probability), Issue A (Probability, Analysis and Number Theory ), URL: /core/journals/advances-in-applied-probability. n The usual straightforward simulation algorithm suffers from edge effects, whereas our perfect simulation algorithm does not. This list is updated on a daily basis. ISSN. 2, …, X For researchers in operations research, telecommunications, computer engineering, epidemiology, financial mathematics, information systems, and traffic management. All issues of Advances in Applied Probability - P. G. Taylor. The Advances in Applied Probability has been published by the Applied Probability Trust for over four decades, and is a companion publication to the Journal of Applied Probability. We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in ℝ ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. The paper ends with a brief discussion in Section 7. the number of operating machines. In this paper we employ Gittins' index theory to establish the indexability of (inter alia) general families of restless bandits which arise in problems of machine maintenance and stochastic scheduling problems with switching penalties. $C^{2,\alpha}$ The Advances in Applied Probability has been published by the Applied Probability Trust for over four decades, and is a companion publication to the Journal of Applied Probability. A curtailed version thereof can be used to select an item with a given probability P, P<1. By viewing Hawkes processes as Poisson cluster processes and using their branching and conditional independence structures, useful approximations of the distribution function for the length of a cluster are derived. Email your librarian or administrator to recommend adding this journal to your organisation's collection. In Section 6 we consider the time-inhomogeneous case. Let (Y, Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). This is followed by a brief discussion of simulation methods in Section 3, and of frequentist methods in Section 4. n→∞ It is proved that for two types of critieria (minimal cost per time unit and maximal return per time unit) the optimal repair policy is of the following type: repair when the number of failed machines reaches some prescribed number . n −1/2 The intrinsic random functions (IRF) are a particular case of the Guelfand generalized processes with stationary increments. $(Y^n,Z^n)$ 00018678, 14756064. The problem of selecting a fixed percentage, α, 0<α<1, of n, is also treated. The rule stops with the smallest i such that R Cambridge Core - Advances in Applied Probability - Volume 16 - Issue 4. . You are leaving Cambridge Core and will be taken to this journal's article submission site. 1, …, X Find out more about the Kindle Personal Document Service. You are leaving Cambridge Core and will be taken to this journal's article submission site. Published online by Cambridge University Press. Despite a developing body of evidence (both theoretical and empirical) which underscores the strong performance of Whittle's index policy, a continuing challenge to implementation is the need to establish that the competing projects all pass an indexability test. and uses the concept of discretized Malliavin calculus. Journals. i Our derivation uses the fact that the major components of the distribution are determined by a saddle point and a singularity at the origin. The basic probabilistic properties are given in Section 2, focusing on computation of the transition functions. Email your librarian or administrator to recommend adding this journal to your organisation's collection. In this paper we provide an introduction to statistical inference for the classical linear birth‒death process, focusing on computational aspects of the problem in the setting of discretely observed processes. It is possible to observe the ‘state parameter', i.e. Applied Probability Editorial Board. 1, …, X In 1988 Whittle introduced an important but intractable class of restless bandit problems which generalise the multiarmed bandit problems of Gittins by allowing state evolution for passive projects. It contains mathematical and scientific papers of interest to applied probabilists, with emphasis on applications in a broad spectrum of disciplines, including the biosciences, operations research, telecommunications, … The results suggest that it is indeed possible to tackle some high-dimensional filtering problems using the space‒time particle filter that standard particle filters cannot handle. Examples of applications and empirical results are presented. the bootstrap particle filter) can have a cost that is exponential in d for the algorithm to be stable in an appropriate sense. You are leaving Cambridge Core and will be taken to this journal's article submission site. A simple suboptimal rule, which performs almost as well as the optimal rule, is given. Whittle's account deployed a Lagrangian relaxation of the optimisation problem to develop an index heuristic. $L_2$ Email your librarian or administrator to recommend adding this journal to your organisation's collection. Section 5 is devoted to Bayesian methods, from rejection sampling to Markov chain Monte Carlo and approximate Bayesian computation. -convergence of the corresponding solutions A group of n independent identical machines with exponential lifetimes is considered. Note you can select to send to either the @free.kindle.com or @kindle.com variations. Close this message to accept cookies or find out how to manage your cookie settings. 1969-1971, 1973-1976, 1984, 1996-2019. We also give formulae for the resulting Whittle indices. We estimate the rate of convergence based on smoothness properties, especially for a terminal condition function in L(X However, in high dimensions, standard particle filters (e.g. n Advances in Applied Probability The forum for original research in applied probability and its applications. ) be the length of the shortest traveling salesman path through these points. If one constructs a random walk We use cookies to distinguish you from other users and to provide you with a better experience on our websites.

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