The Annals of Applied Probability (Project Euclid)

The Annals of Applied Probability, Volume 18, Number 3 (2008)

Mon, 23 Jun 2008 11:28 EDT

Contents:

Mark Braverman, Omid Etesami, Elchanan Mossel. Mafia: A theoretical study of players and coalitions in a partial information environment. 825--846.

Ludger Rüschendorf, Mikhail A. Urusov. On a class of optimal stopping problems for diffusions with discontinuous coefficients. 847--878.

Łukasz Delong, Claudia Klüppelberg. Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients. 879--908.

Janko Gravner, Alexander E. Holroyd. Slow convergence in bootstrap percolation. 909--928.

Sara Biagini, Marco Frittelli. A unified framework for utility maximization problems: An Orlicz space approach. 929--966.

Vincent Bansaye. Proliferating parasites in dividing cells: Kimmel’s branching model revisited. 967--996.

Jean-François Delmas, Jean-Stéphane Dhersin, Arno Siri-Jegousse. Asymptotic results on the length of coalescent trees. 997--1025.

Vladislav V. Vysotsky. Clustering in a stochastic model of one-dimensional gas. 1026--1058.

Sofia Aberg, Igor Rychlik, M. Ross Leadbetter. Palm distributions of wave characteristics in encountering seas. 1059--1084.

Svante Janson, Malwina J. Luczak. Asymptotic normality of the k -core in random graphs. 1085--1137.

Carenne Ludeña. L p -variations for multifractal fractional random walks. 1138--1163.

Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve. A mixed singular/switching control problem for a dividend policy with reversible technology investment. 1164--1200.

Gareth O. Roberts, Jeffrey S. Rosenthal. Variance bounding Markov chains. 1201--1214.

Omer Angel, Yuval Peres, David B. Wilson. Card shuffling and Diophantine approximation. 1215--1231.

G. M. Pan, W. Zhou. Central limit theorem for signal-to-interference ratio of reduced rank linear receiver. 1232--1270.

Yan Dolinsky, Yuri Kifer. Error estimates for binomial approximations of game options. 1271--1277.

The Annals of Applied Probability, Volume 18, Number 4 (2008)

Mon, 21 Jul 2008 17:53 EDT

Contents:

Tim D. Austin. The emergence of the deterministic Hodgkin–Huxley equations as a limit from the underlying stochastic ion-channel mechanism. 1279--1325.

David Coupier. Two sufficient conditions for Poisson approximations in the ferromagnetic Ising model. 1326--1350.

Jose Blanchet, Peter Glynn. Efficient rare-event simulation for the maximum of heavy-tailed random walks. 1351--1378.

Samuel Herrmann, Peter Imkeller, Dierk Peithmann. Large deviations and a Kramers’ type law for self-stabilizing diffusions. 1379--1423.

Nabil Kahale. Analytic crossing probabilities for certain barriers by Brownian motion. 1424--1440.

David Windisch. On the disconnection of a discrete cylinder by a biased random walk. 1441--1490.

Ioannis Kontoyiannis, Sean P. Meyn. Computable exponential bounds for screened estimation and simulation. 1491--1518.

Antonio Lijoi, Igor Prünster, Stephen G. Walker. Bayesian nonparametric estimators derived from conditional Gibbs structures. 1519--1547.

Rami Atar. Central limit theorem for a many-server queue with random service rates. 1548--1568.

Fabio Lucio Toninelli. Disordered pinning models and copolymers: Beyond annealed bounds. 1569--1587.

Peter Eichelsbacher, Gesine Reinert. Stein’s method for discrete Gibbs measures. 1588--1618.

Nobuo Yoshida. Central limit theorem for branching random walks in random environment. 1619--1635.

B. G. Pittel. On the largest component of a random graph with a subpower-law degree sequence in a subcritical phase. 1636--1650.

Svante Janson. The largest component in a subcritical random graph with a power law degree distribution. 1651--1668.

The Annals of Applied Probability, Volume 18, Number 5 (2008)

Thu, 30 Oct 2008 09:23 EDT

Contents:

R. L. Loeffen. On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. 1669--1680.

Vicky Henderson, David Hobson. An explicit solution for an optimal stopping/optimal control problem which models an asset sale. 1681--1705.

Benjamin Jourdain, Florent Malrieu. Propagation of chaos and Poincaré inequalities for a system of particles interacting through their cdf. 1706--1736.

Yan Dolinsky, Yuri Kifer. Binomial approximations of shortfall risk for game options. 1737--1770.

Oskar Sandberg. Neighbor selection and hitting probability in small-world graphs. 1771--1793.

Shui Feng, Fuqing Gao. Moderate deviations for Poisson–Dirichlet distribution. 1794--1824.

Alexander Cherny. Brownian moving averages have conditional full support. 1825--1830.

Ou Zhao, Michael Woodroofe. On martingale approximations. 1831--1847.

Bernard Bercu, Abderrahmen Touati. Exponential inequalities for self-normalized martingales with applications. 1848--1869.

A. M. G. Cox, David Hobson, Jan Obłój. Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping. 1870--1896.

Allan Sly. Uniqueness thresholds on trees versus graphs. 1897--1909.

Giovanni Peccati, Igor Prünster. Linear and quadratic functionals of random hazard rates: An asymptotic analysis. 1910--1943.

Christopher Hoffman. Geodesics in first passage percolation. 1944--1969.

Gusztáv Morvai, Benjamin Weiss. On universal estimates for binary renewal processes. 1970--1992.

Amir Dembo, Andrea Montanari. Finite size scaling for the core of large random hypergraphs. 1993--2040.

Stéphane Crépey, Anis Matoussi. Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison. 2041--2069.

The Annals of Applied Probability, Volume 18, Number 6 (2008)

Wed, 26 Nov 2008 09:16 EST

Contents:

Walid Hachem, Philippe Loubaton, Jamal Najim. A CLT for information-theoretic statistics of Gram random matrices with a given variance profile. 2071--2130.

Iain MacPhee, Mikhail Menshikov, Dimitri Petritis, Serguei Popov. Polling systems with parameter regeneration, the general case. 2131--2155.

Laurent Decreusefond, Pascal Moyal. A functional central limit theorem for the M/GI/∞ queue. 2156--2178.

Soumik Pal, Jim Pitman. One-dimensional Brownian particle systems with rank-dependent drifts. 2179--2207.

A. D. Barbour, M. J. Luczak. Laws of large numbers for epidemic models with countably many types. 2208--2238.

J. G. Dai, Wuqin Lin. Asymptotic optimality of maximum pressure policies in stochastic processing networks. 2239--2299.

Jean-Baptiste Gouéré, Régine Marchand. Continuous first-passage percolation and continuous greedy paths model: Linear growth. 2300--2319.

Ester Gabetta, Eugenio Regazzini. Central limit theorem for the solution of the Kac equation. 2320--2336.

Wei-Dong Liu, Zhengyan Lin, Qi-Man Shao. The asymptotic distribution and Berry–Esseen bound of a new test for independence in high dimension with an application to stochastic optimization. 2337--2366.

Amarjit Budhiraja, Kevin Ross. Optimal stopping and free boundary characterizations for some Brownian control problems. 2367--2391.

Daniel Remenik. The contact process in a dynamic random environment. 2392--2420.

Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius. Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results. 2421--2449.

Remco van der Hofstad, Peter Mörters, Nadia Sidorova. Weak and almost sure limits for the parabolic Anderson model with heavy tailed potentials. 2450--2494.

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski. Pricing and trading credit default swaps in a hazard process model. 2495--2529.

The Annals of Applied Probability, Volume 19, Number 1 (2009)

Fri, 20 Feb 2009 09:33 EST

Contents:

Andrei Y. Yakovlev, Nikolay M. Yanev. Relative frequencies in multitype branching processes. 1--14.

Rick Durrett, Lea Popovic. Degenerate diffusions arising from gene duplication models. 15--48.

Boris Buchmann, Ngai Hang Chan. Integrated functionals of normal and fractional processes. 49--70.

Martin Dyer, Leslie Ann Goldberg, Mark Jerrum. Matrix norms and rapid mixing for spin systems. 71--107.

S. N. Lahiri, S. Sun. A Berry–Esseen theorem for sample quantiles under weak dependence. 108--126.

Mark Craddock, Kelly A. Lennox. The calculation of expectations for classes of diffusion processes by Lie symmetry methods. 127--157.

Yu. Baryshnikov, Mathew D. Penrose, J. E. Yukich. Gaussian limits for generalized spacings. 158--185.

Emanuele Dolera, Ester Gabetta, Eugenio Regazzini. Reaching the best possible rate of convergence to equilibrium for solutions of Kac’s equation via central limit theorem. 186--209.

Martin Jacobsen, Thomas Mikosch, Jan Rosiński, Gennady Samorodnitsky. Inverse problems for regular variation of linear filters, a cancellation property for σ -finite measures and identification of stable laws. 210--242.

H. Christian Gromoll, Ruth J. Williams. Fluid limits for networks with bandwidth sharing and general document size distributions. 243--280.

Pablo A. Ferrari, James B. Martin, Leandro P. R. Pimentel. A phase transition for competition interfaces. 281--317.

Josselin Garnier, Knut Sølna. Coupled paraxial wave equations in random media in the white-noise regime. 318--346.

Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori, Marco Tolotti. Large portfolio losses: A dynamic contagion model. 347--394.

Lars Holden, Ragnar Hauge, Marit Holden. Adaptive independent Metropolis–Hastings. 395--413.

Daniele D’Angeli, Alfredo Donno. Crested products of Markov chains. 414--453.

Augusto Teixeira. On the uniqueness of the infinite cluster of the vacant set of random interlacements. 454--466.

Eric Clarkson, J. L. Denny, Larry Shepp. ROC and the bounds on tail probabilities via theorems of Dubins and F. Riesz. 467--476.

The Annals of Applied Probability, Volume 19, Number 2 (2009)

Thu, 07 May 2009 09:18 EDT

Contents:

Rick Durrett. Coexistence in stochastic spatial models. 477--496.

Benjamin T. Graham. Rate of relaxation for a mean-field zero-range process. 497--520.

Rami Atar, Gennady Shaikhet. Critically loaded queueing models that are throughput suboptimal. 521--555.

Yacine Aït-Sahalia, Julio Cacho-Diaz, T. R. Hurd. Portfolio choice with jumps: A closed-form solution. 556--584.

Yannis G. Yatracos. The asymptotic distribution of a cluster-index for i.i.d. normal random variables. 585--595.

Robert A. Jarrow, Philip Protter, Hasanjan Sayit. No arbitrage without semimartingales. 596--616.

Dawn B. Woodard, Scott C. Schmidler, Mark Huber. Conditions for rapid mixing of parallel and simulated tempering on multimodal distributions. 617--640.

Olivier Garet. Capacitive flows on a 2D random net. 641--660.

Taral Guldahl Seierstad. A central limit theorem via differential equations. 661--675.

Rick Durrett, Deena Schmidt, Jason Schweinsberg. A waiting time problem arising from the study of multi-stage carcinogenesis. 676--718.

Matthias Heveling, Matthias Reitzner. Poisson–Voronoi approximation. 719--736.

Kshitij Khare, Hua Zhou. Rates of convergence of some multivariate Markov chains with polynomial eigenfunctions. 737--777.

Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler. Tree based functional expansions for Feynman–Kac particle models. 778--825.

M. Cranston, D. Gauthier, T. S. Mountford. On large deviation regimes for random media models. 826--862.

The Annals of Applied Probability, Volume 19, Number 3 (2009)

Mon, 15 Jun 2009 09:04 EDT

Contents:

Alexandros Beskos, Gareth Roberts, Andrew Stuart. Optimal scalings for local Metropolis–Hastings chains on nonproduct targets in high dimensions. 863--898.

Sandra Cerrai. A Khasminskii type averaging principle for stochastic reaction–diffusion equations. 899--948.

Jose H. Blanchet. Efficient importance sampling for binary contingency tables. 949--982.

Jacques du Toit, Goran Peskir. Selling a stock at the ultimate maximum. 983--1014.

Isaac Meilijson. On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk. 1015--1025.

Hideyuki Tanaka, Arturo Kohatsu-Higa. An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs. 1026--1062.

Guangyue Han, Brian Marcus. Asymptotics of input-constrained binary symmetric channel capacity. 1063--1091.

Louigi Addario-Berry, Nicolas Broutin, Gábor Lugosi. Effective resistance of random trees. 1092--1107.

David M. Mason, Wolfgang Polonik. Asymptotic normality of plug-in level set estimates. 1108--1142.

John Mayberry. Gaussian perturbations of circle maps: A spectral approach. 1143--1171.

Ramon van Handel. Uniform observability of hidden Markov models and filter stability for unstable signals. 1172--1199.

Roberto Imbuzeiro Oliveira. On the convergence to equilibrium of Kac’s random walk on matrices. 1200--1231.

Andreas Greven, Lea Popovic, Anita Winter. Genealogy of catalytic branching models. 1232--1272.

The Annals of Applied Probability, Volume 19, Number 4 (2009)

Mon, 27 Jul 2009 09:18 EDT

Contents:

Robin Pemantle. Search cost for a nearly optimal path in a binary tree. 1273--1291.

Jean-Baptiste Gouéré. Subcritical regimes in some models of continuum percolation. 1292--1318.

Cristina Zucca, Laura Sacerdote. On the inverse first-passage-time problem for a Wiener process. 1319--1346.

Josef Hofbauer, Lorens A. Imhof. Time averages, recurrence and transience in the stochastic replicator dynamics. 1347--1368.

Erik Ekström, Johan Tysk. Bubbles, convexity and the Black–Scholes equation. 1369--1384.

Michel Mandjes, Ilkka Norros, Peter Glynn. On convergence to stationarity of fractional Brownian storage. 1385--1403.

Jeffrey F. Collamore. Random recurrence equations and ruin in a Markov-dependent stochastic economic environment. 1404--1458.

P. Caputo, A. Faggionato. Diffusivity in one-dimensional generalized Mott variable-range hopping models. 1459--1494.

Yuping Liu, Jin Ma. Optimal reinsurance/investment problems for general insurance models. 1495--1528.

Wei Biao Wu. Recursive estimation of time-average variance constants. 1529--1552.

Alberto Ohashi. Fractional term structure models: No-arbitrage and consistency. 1553--1580.

P. Collet, C. Giardina, F. Redig. Matching with shift for one-dimensional Gibbs measures. 1581--1602.

Alexander Goldenshluger, Assaf Zeevi. Woodroofe’s one-armed bandit problem revisited. 1603--1633.

Alexander V. Gnedin, Alexander M. Iksanov, Pavlo Negadajlov, Uwe Rösler. The Bernoulli sieve revisited. 1634--1655.

Rick Durrett, Daniel Remenik. Chaos in a spatial epidemic model. 1656--1685.

The Annals of Applied Probability, Volume 19, Number 5 (2009)

Fri, 16 Oct 2009 09:27 EDT

Contents:

Benjamin Jourdain, Jérôme Lelong. Robust adaptive importance sampling for normal random vectors. 1687--1718.

W. N. Kang, F. P. Kelly, N. H. Lee, R. J. Williams. State space collapse and diffusion approximation for a network operating under a fair bandwidth sharing policy. 1719--1780.

Rudolf Grübel. On the silhouette of binary search trees. 1781--1802.

Francesco Caravenna, Nicolas Pétrélis. A polymer in a multi-interface medium. 1803--1839.

Jan Rataj, Evgeny Spodarev, Daniel Meschenmoser. Approximations of the Wiener sausage and its curvature measures. 1840--1859.

Marie Albenque. A note on the enumeration of directed animals via gas considerations. 1860--1879.

N. Lanchier, C. Neuhauser. Spatially explicit non-Mendelian diploid model. 1880--1920.

B. Chan, R. Durrett, N. Lanchier. Coexistence for a multitype contact process with seasons. 1921--1943.

Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev. Esscher transform and the duality principle for multidimensional semimartingales. 1944--1971.

Codina Cotar, Vlada Limic. Attraction time for strongly reinforced walks. 1972--2007.

David Gamarnik, Dmitriy Katz. On deciding stability of multiclass queueing networks under buffer priority scheduling policies. 2008--2037.

The Annals of Applied Probability, Volume 19, Number 6 (2009)

Wed, 25 Nov 2009 09:20 EST

Contents:

Pao-Liu Chow. Nonlinear stochastic wave equations: Blow-up of second moments in L 2 -norm. 2039--2046.

Irmingard Eder, Claudia Klüppelberg. The first passage event for sums of dependent Lévy processes with applications to insurance risk. 2047--2079.

Paweł Hitczenko, Jacek Wesołowski. Perpetuities with thin tails revisited. 2080--2101.

Hernan Awad, Peter Glynn. Conditional limit theorems for regulated fractional Brownian motion. 2102--2136.

Rishi Talreja, Ward Whitt. Heavy-traffic limits for waiting times in many-server queues with abandonment. 2137--2175.

Gordan Žitković. A dual characterization of self-generation and exponential forward performances. 2176--2210.

Josh Reed. The G / GI / N queue in the Halfin–Whitt regime. 2211--2269.

Milton Jara, Tomasz Komorowski, Stefano Olla. Limit theorems for additive functionals of a Markov chain. 2270--2300.

N. S. Walton. Proportional fairness and its relationship with multi-class queueing networks. 2301--2333.

Carl Graham, Philippe Robert. Interacting multi-class transmissions in large stochastic networks. 2334--2361.

Noureddine El Karoui. Concentration of measure and spectra of random matrices: Applications to correlation matrices, elliptical distributions and beyond. 2362--2405.

The Annals of Applied Probability, Volume 20, Number 1 (2010)

Tue, 12 Jan 2010 09:12 EST

Contents:

Steven N. Evans, Peter L. Ralph. Dynamics of the time to the most recent common ancestor in a large branching population. 1--25.

Hanène Mohamed, Philippe Robert. Dynamic tree algorithms. 26--51.

Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu. Asymptotics of the probability minimizing a “down-side” risk. 52--89.

André Goldman. The Palm measure and the Voronoi tessellation for the Ginibre process. 90--128.

Anatolii A. Puhalskii, Josh E. Reed. On many-server queues in heavy traffic. 129--195.

Manuel S. Santos. Consistency properties of a simulation-based estimator for dynamic processes. 196--213.

Guodong Pang, Ward Whitt. Continuity of a queueing integral representation in the M 1 topology. 214--237.

Steven N. Evans, Bernd Sturmfels, Caroline Uhler. Commuting birth-and-death processes. 238--266.

Samuel N. Cohen, Robert J. Elliott. Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. 267--311.

Florian Simatos, Danielle Tibi. Spatial homogenization in a stochastic network with mobility. 312--355.

Kenneth S. Alexander, Nikos Zygouras. Equality of critical points for polymer depinning transitions with loop exponent one. 356--366.

The Annals of Applied Probability, Volume 20, Number 2 (2010)

Tue, 09 Mar 2010 09:04 EST

Contents:

Offer Kella, Marc Yor. A new formula for some linear stochastic equations with applications. 367--381.

Bénédicte Haas. Asymptotic behavior of solutions of the fragmentation equation with shattering: An approach via self-similar Markov processes. 382--429.

Emanuele Dolera, Eugenio Regazzini. The role of the central limit theorem in discovering sharp rates of convergence to equilibrium for the solution of the Kac equation. 430--461.

Ron Peled. On rough isometries of Poisson processes on the line. 462--494.

Jeong Han Kim, Ravi Montenegro, Yuval Peres, Prasad Tetali. A Birthday Paradox for Markov chains with an optimal bound for collision in the Pollard Rho algorithm for discrete logarithm. 495--521.

A. E. Kyprianou, J. C. Pardo, V. Rivero. Exact and asymptotic n -tuple laws at first and last passage. 522--564.

Amir Dembo, Andrea Montanari. Ising models on locally tree-like graphs. 565--592.

Pierre Del Moral, Arnaud Doucet. Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations. 593--639.

B. Gail Ivanoff, Ely Merzbach. Optimal detection of a change-set in a spatial Poisson process. 640--659.

Inés Armendáriz. Brownian coagulation and a version of Smoluchowski’s equation on the circle. 660--695.

Larry Goldstein, Mathew D. Penrose. Normal approximation for coverage models over binomial point processes. 696--721.

Javiera Barrera, Joaquín Fontbona. The limiting move-to-front search-cost in law of large numbers asymptotic regimes. 722--752.

Maury Bramson, J. G. Dai, J. M. Harrison. Positive recurrence of reflecting Brownian motion in three dimensions. 753--783.

The Annals of Applied Probability, Volume 20, Number 3 (2010)

Fri, 18 Jun 2010 09:22 EDT

Contents:

J. Theodore Cox. Intermediate range migration in the two-dimensional stepping stone model. 785--805.

David Coupier. Geography of local configurations. 806--840.

Yves F. Atchadé. A cautionary tale on the efficiency of some adaptive Monte Carlo schemes. 841--868.

Martin T. Barlow, Xinghua Zheng. The random conductance model with Cauchy tails. 869--889.

Vladislav Kargin. Products of random matrices: Dimension and growth in norm. 890--906.

Eva-Maria Schopp. A functional limit theorem for the profile of b -ary trees. 907--950.

Tomoyuki Ichiba, Ioannis Karatzas. On collisions of Brownian particles. 951--977.

Feng Yu, Alison Etheridge, Charles Cuthbertson. Asymptotic behavior of the rate of adaptation. 978--1004.

Paul A. Jenkins, Yun S. Song. An asymptotic sampling formula for the coalescent with Recombination. 1005--1028.

Vincent Lemaire, Gilles Pagès. Unconstrained recursive importance sampling. 1029--1067.

Konstantin Mischaikow, Thomas Wanner. Topology-guided sampling of nonhomogeneous random processes. 1068--1097.

S. N. Ethier, Jiyeon Lee. A Markovian slot machine and Parrondo’s paradox. 1098--1125.

Maury Bramson. Network stability under max–min fair bandwidth sharing. 1126--1176.

Paweł Hitczenko, Jacek Wesołowski. Perpetuities with thin tails revisited. 1177--1177.

The Annals of Applied Probability, Volume 20, Number 4 (2010)

Tue, 20 Jul 2010 11:14 EDT

Contents:

Daniel Fernholz, Ioannis Karatzas. On optimal arbitrage. 1179--1204.

Julien Barral, Xiong Jin, Benoît Mandelbrot. Uniform convergence for complex [0, 1]-martingales. 1205--1218.

Julien Barral, Xiong Jin, Benoît Mandelbrot. Convergence of complex multiplicative cascades. 1219--1252.

Pablo Azcue, Nora Muler. Optimal investment policy and dividend payment strategy in an insurance company. 1253--1302.

Lancelot F. James. Lamperti-type laws. 1303--1340.

J. Kallsen, J. Muhle-Karbe. On using shadow prices in portfolio optimization with transaction costs. 1341--1358.

Panayotis Mertikopoulos, Aris L. Moustakas. The emergence of rational behavior in the presence of stochastic perturbations. 1359--1388.

Madalina Deaconu, Antoine Lejay. Simulation of diffusions by means of importance sampling paradigm. 1389--1424.

Jean Jacod, Viktor Todorov. Do price and volatility jump together?. 1425--1469.

Noga Alon, Ori Gurel-Gurevich, Eyal Lubetzky. Choice-memory tradeoff in allocations. 1470--1511.

Łukasz Delong, Peter Imkeller. Backward stochastic differential equations with time delayed generators—results and counterexamples. 1512--1536.

Semih Onur Sezer. On the Wiener disorder problem. 1537--1566.

The Annals of Applied Probability, Volume 20, Number 5 (2010)

Wed, 25 Aug 2010 10:44 EDT

Contents:

F. Baumdicker, W. R. Hess, P. Pfaffelhuber. The diversity of a distributed genome in bacterial populations. 1567--1606.

Benoîte de Saporta, François Dufour, Karen Gonzalez. Numerical method for optimal stopping of piecewise deterministic Markov processes. 1607--1637.

Randal Douc, Elisabeth Gassiat, Benoit Landelle, Eric Moulines. Forgetting of the initial distribution for nonergodic Hidden Markov Chains. 1638--1662.

Amei Amei, Stanley Sawyer. A time-dependent Poisson random field model for polymorphism within and between two related biological species. 1663--1696.

Constantinos Kardaras. Numéraire-invariant preferences in financial modeling. 1697--1728.

Emmanuel Bacry, Arnaud Gloter, Marc Hoffmann, Jean François Muzy. Multifractal analysis in a mixed asymptotic framework. 1729--1760.

J. Fontbona. Stochastic vortex method for forced three-dimensional Navier–Stokes equations and pathwise convergence rate. 1761--1800.

Alexey Kuznetsov. Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes. 1801--1830.

L. Saloff-Coste, J. Zúñiga. Time inhomogeneous Markov chains with wave-like behavior. 1831--1853.

J. G. Dai, Shuangchi He, Tolga Tezcan. Many-server diffusion limits for G / Ph / n + GI queues. 1854--1890.

Yan Dolinsky. Applications of weak convergence for hedging of game options. 1891--1906.

Shankar Bhamidi, Remco van der Hofstad, Gerard Hooghiemstra. First passage percolation on random graphs with finite mean degrees. 1907--1965.

The Annals of Applied Probability, Volume 20, Number 6 (2010)

Tue, 19 Oct 2010 09:23 EDT

Contents:

Jean Bertoin. Asymptotic regimes for the partition into colonies of a branching process with emigration. 1967--1988.

Kwabena Doku-Amponsah, Peter Mörters. Large deviation principles for empirical measures of colored random graphs. 1989--2021.

Yves Elskens, Etienne Pardoux. Diffusion limit for many particles in a periodic stochastic acceleration field. 2022--2039.

Charles Bordenave, Giovanni Luca Torrisi. Load optimization in a planar network. 2040--2085.

Xue Ding, Tiefeng Jiang. Spectral distributions of adjacency and Laplacian matrices of random graphs. 2086--2117.

Richard S. Ellis, Jonathan Machta, Peter Tak-Hun Otto. Asymptotic behavior of the finite-size magnetization as a function of the speed of approach to criticality. 2118--2161.

J. Kallsen, J. Muhle-Karbe. Utility maximization in models with conditionally independent increments. 2162--2177.

Eero Saksman, Matti Vihola. On the ergodicity of the adaptive Metropolis algorithm on unbounded domains. 2178--2203.

Weining Kang, Kavita Ramanan. Fluid limits of many-server queues with reneging. 2204--2260.

Abba M. Krieger, Moshe Pollak, Ester Samuel-Cahn. Extreme(ly) mean(ingful): Sequential formation of a quality group. 2261--2294.

Zakhar Kabluchko. Stationary systems of Gaussian processes. 2295--2317.

Pavel Chigansky, Ramon van Handel. A complete solution to Blackwell’s unique ergodicity problem for hidden Markov chains. 2318--2345.

Vlada Limic, Stanislav Volkov. VRRW on complete-like graphs: Almost sure behavior. 2346--2388.

The Annals of Applied Probability, Volume 21, Number 1 (2011)

Fri, 17 Dec 2010 10:01 EST

Contents:

Brigitte Chauvin, Nicolas Pouyanne, Reda Sahnoun. Limit distributions for large Pólya urns. 1--32.

Haya Kaspi, Kavita Ramanan. Law of large numbers limits for many-server queues. 33--114.

Renaud Marty, Knut Sølna. A general framework for waves in random media with long-range correlations. 115--139.

Ole Eiler Barndorff-Nielsen, Robert Stelzer. Multivariate supOU processes. 140--182.

Thilanka Appuhamillage, Vrushali Bokil, Enrique Thomann, Edward Waymire, Brian Wood. Occupation and local times for skew Brownian motion with applications to dispersion across an interface. 183--214.

Denis Belomestny. On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems. 215--239.

Benjamin Graham, Geoffrey Grimmett. Sharp thresholds for the random-cluster and Ising models. 240--265.

Erik Taflin. Generalized integrands and bond portfolios: Pitfalls and counter examples. 266--282.

Steffen Dereich. Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction. 283--311.

Volker Betz, Daniel Ueltschi, Yvan Velenik. Random permutations with cycle weights. 312--331.

Erik Ekström, Johan Tysk. Boundary conditions for the single-factor term structure equation. 332--350.

Makoto Nakashima. Almost sure central limit theorem for branching random walks in random environment. 351--373.

J. van den Berg. Sharpness of the percolation transition in the two-dimensional contact process. 374--395.

The Annals of Applied Probability, Volume 21, Number 2 (2011)

Tue, 22 Mar 2011 09:37 EDT

Contents:

Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer, Josef Teichmann. Affine processes on positive semidefinite matrices. 397--463.

Sourav Chatterjee, Qi-Man Shao. Nonnormal approximation by Stein’s method of exchangeable pairs with application to the Curie–Weiss model. 464--483.

Łukasz Kruk, John Lehoczky, Kavita Ramanan, Steven Shreve. Heavy traffic analysis for EDF queues with reneging. 484--545.

Viktor Todorov, George Tauchen. Limit theorems for power variations of pure-jump processes with application to activity estimation. 546--588.

Stefan Gerhold. The Longstaff–Schwartz algorithm for Lévy models: Results on fast and slow convergence. 589--608.

Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner, Ioannis Karatzas, Robert Fernholz. Hybrid Atlas models. 609--644.

Mariana Olvera-Cravioto, Jose Blanchet, Peter Glynn. On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case. 645--668.

Martin Hairer, Andrew M. Stuart, Jochen Voss. Sampling conditioned hypoelliptic diffusions. 669--698.

Rick Durrett, John Mayberry. Traveling waves of selective sweeps. 699--744.

Jiheng Zhang, J. G. Dai, Bert Zwart. Diffusion limits of limited processor sharing queues. 745--799.

The Annals of Applied Probability, Volume 21, Number 3 (2011)

Thu, 02 Jun 2011 09:14 EDT

Contents:

Wilfrid S. Kendall. Geodesics and flows in a Poissonian city. 801--842.

Sami Assaf, Persi Diaconis, K. Soundararajan. A rule of thumb for riffle shuffling. 843--875.

Kevin D. Glazebrook, David J. Hodge, Chris Kirkbride. General notions of indexability for queueing control and asset management. 876--907.

Arnulf Jentzen, Peter Kloeden, Georg Winkel. Efficient simulation of nonlinear parabolic SPDEs with additive noise. 908--950.

Maury Bramson. A positive recurrent reflecting Brownian motion with divergent fluid path. 951--986.

Constantinos Daskalakis, Alexandros G. Dimakis, Elchanan Mossel. Connectivity and equilibrium in random games. 987--1016.

Pierre Del Moral, Emmanuel Rio. Concentration inequalities for mean field particle models. 1017--1052.

József Balogh, Béla Bollobás, Michael Krivelevich, Tobias Müller, Mark Walters. Hamilton cycles in random geometric graphs. 1053--1072.

Andrea Collevecchio, Tom Schmitz. Bounds on the speed and on regeneration times for certain processes on regular trees. 1073--1101.

Erik Ekström, David Hobson. Recovering a time-homogeneous stock price process from perpetual option prices. 1102--1135.

Benoît Collins, Ion Nechita. Gaussianization and eigenvalue statistics for random quantum channels (III). 1136--1179.

Soumik Pal. Analysis of market weights under volatility-stabilized market models. 1180--1213.

The Annals of Applied Probability, Volume 21, Number 4 (2011)

Mon, 08 Aug 2011 11:55 EDT

Contents:

D. Bertacchi, N. Lanchier, F. Zucca. Contact and voter processes on the infinite percolation cluster as models of host-symbiont interactions. 1215--1252.

Tobias Kuna, Joel L. Lebowitz, Eugene R. Speer. Necessary and sufficient conditions for realizability of point processes. 1253--1281.

Stefano De Marco. Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions. 1282--1321.

Arash Fahim, Nizar Touzi, Xavier Warin. A probabilistic numerical method for fully nonlinear parabolic PDEs. 1322--1364.

Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu. Optimal multiple stopping time problem. 1365--1399.

Sourav Chatterjee, Persi Diaconis, Allan Sly. Random graphs with a given degree sequence. 1400--1435.

Masaaki Fukasawa. Discretization error of stochastic integrals. 1436--1465.

Peter Constantin, Gautam Iyer. A stochastic-Lagrangian approach to the Navier–Stokes equations in domains with boundary. 1466--1492.

Graham Brightwell, Malwina Luczak. Order-invariant measures on causal sets. 1493--1536.

Giacomo Como, Fabio Fagnani. Scaling limits for continuous opinion dynamics systems. 1537--1567.

Maury Bramson. Stability of join the shortest queue networks. 1568--1625.

The Annals of Applied Probability, Volume 21, Number 5 (2011)

Tue, 25 Oct 2011 17:04 EDT

Contents:

Lancelot F. James, Zhiyuan Zhang. Quantile clocks. 1627--1662.

Xinfu Chen, Lan Cheng, John Chadam, David Saunders. Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions. 1663--1693.

Yashodhan Kanoria, Andrea Montanari. Majority dynamics on trees and the dynamic cavity method. 1694--1748.

J. Berestycki, S. C. Harris, A. E. Kyprianou. Traveling waves and homogeneous fragmentation. 1749--1794.

Saul Jacka, Jon Warren, Peter Windridge. Minimizing the time to a decision. 1795--1826.

Yutaka Terasawa, Nobuo Yoshida. Stochastic power law fluids: Existence and uniqueness of weak solutions. 1827--1859.

G. M. Pan, W. Zhou. Central limit theorem for Hotelling’s T 2 statistic under large dimension. 1860--1910.

Mykhaylo Shkolnikov. Competing particle systems evolving by interacting Lévy processes. 1911--1932.

Adrien Richou. Numerical simulation of BSDEs with drivers of quadratic growth. 1933--1964.

Andreas Faller, Ludger Rüschendorf. On approximative solutions of multistopping problems. 1965--1993.

Z. D. Bai, H. X. Liu, W. K. Wong. Asymptotic properties of eigenmatrices of a large sample covariance matrix. 1994--2015.

Xianping Guo, Xinyuan Song. Discounted continuous-time constrained Markov decision processes in Polish spaces. 2016--2049.

Thilanka Appuhamillage, Vrushali Bokil, Enrique Thomann, Edward Waymire, Brian Wood. Corrections: Occupation and local times for skew Brownian motion with applications to dispersion across an interface. 2050--2051.

The Annals of Applied Probability, Volume 21, Number 6 (2011)

Wed, 23 Nov 2011 09:09 EST

Contents:

Krzysztof Burdzy, Zhen-Qing Chen, Soumik Pal. Archimedes’ principle for Brownian liquid. 2053--2074.

Raphaël Cerf, Marie Théret. Upper large deviations for the maximal flow through a domain of ℝ d in first passage percolation. 2075--2108.

Randal Douc, Aurélien Garivier, Eric Moulines, Jimmy Olsson. Sequential Monte Carlo smoothing for general state space hidden Markov models. 2109--2145.

Shankar Bhamidi, Guy Bresler, Allan Sly. Mixing time of exponential random graphs. 2146--2170.

A. Kuznetsov, A. E. Kyprianou, J. C. Pardo, K. van Schaik. A Wiener–Hopf Monte Carlo simulation technique for Lévy processes. 2171--2190.

Daniel Fernholz, Ioannis Karatzas. Optimal arbitrage under model uncertainty. 2191--2225.

David F. Anderson, Arnab Ganguly, Thomas G. Kurtz. Error analysis of tau-leap simulation methods. 2226--2262.

Vincent Bansaye, Jean-François Delmas, Laurence Marsalle, Viet Chi Tran. Limit theorems for Markov processes indexed by continuous time Galton–Watson trees. 2263--2314.

Hock Peng Chan, Tze Leung Lai. A sequential Monte Carlo approach to computing tail probabilities in stochastic models. 2315--2342.

Boris N. Oreshkin, Mark J. Coates. Analysis of error propagation in particle filters with approximation. 2343--2378.

Yaozhong Hu, David Nualart, Xiaoming Song. Malliavin calculus for backward stochastic differential equations and application to numerical solutions. 2379--2423.

David Barbato, Franco Flandoli, Francesco Morandin. Anomalous dissipation in a stochastic inviscid dyadic model. 2424--2446.

Shirshendu Chatterjee, Rick Durrett. Asymptotic behavior of Aldous’ gossip process. 2447--2482.

The Annals of Applied Probability, Volume 22, Number 1 (2012)

Tue, 07 Feb 2012 09:09 EST

Contents:

Antoine Gloria, Felix Otto. An optimal error estimate in stochastic homogenization of discrete elliptic equations. 1--28.

Shankar Bhamidi, Remco van der Hofstad. Weak disorder asymptotics in the stochastic mean-field model of distance. 29--69.

Devavrat Shah, Damon Wischik. Switched networks with maximum weight policies: Fluid approximation and multiplicative state space collapse. 70--127.

Devavrat Shah, Jinwoo Shin. Randomized scheduling algorithm for queueing networks. 128--171.

Thomas Knispel. Asymptotics of robust utility maximization. 172--212.

Jocelyne Bion-Nadal, Magali Kervarec. Risk measuring under model uncertainty. 213--238.

Paolo Guasoni, Scott Robertson. Portfolios and risk premia for the long run. 239--284.

Peter Imkeller, Anthony Réveillac, Anja Richter. Differentiability of quadratic BSDEs generated by continuous martingales. 285--336.

Zakhar Kabluchko. Distribution of levels in high-dimensional random landscapes. 337--362.

Marcel Nutz. The Bellman equation for power utility maximization with semimartingales. 363--406.

Baris Ata, Itai Gurvich. On optimality gaps in the Halfin–Whitt regime. 407--455.