VOL. 10 · NO. 3 | August 2000
Bruno Bouchard, Nizar Touzi
Ann. Appl. Probab. 10 (3), 685-708, (August 2000) DOI: 10.1214/aoap/1019487506
KEYWORDS: Transaction costs, hedging options, dynamic programming, viscosity solutions, 90A09, 93E20, 60H30, 60G44, 90A16
Chingfer Chen, Samuel Karlin
Ann. Appl. Probab. 10 (3), 709-725, (August 2000) DOI: 10.1214/aoap/1019487507
KEYWORDS: r-scan statistics, Chen-Stein Poisson approximation, Poisson processes, total variation distance, Asymptotic distributions, 60E05, 60G50
Persi Diaconis, Susan Holmes, Radford M. Neal
Ann. Appl. Probab. 10 (3), 726-752, (August 2000) DOI: 10.1214/aoap/1019487508
KEYWORDS: Nonreversible Markov chain, Markov chain Monte Carlo, Metropolis algorithm, 60J10, 65U05
Sidney Resnick, Holger Rootzén
Ann. Appl. Probab. 10 (3), 753-778, (August 2000) DOI: 10.1214/aoap/1019487509
KEYWORDS: heavy tails, regular variation, Pareto tails, self-similarity, scaling, data communication, traffic modeling, infinite source, Poisson connections, 60K25, 60F05, 60F10, 60F17, 60G18, 60G55
François Baccelli, Dohy Hong
Ann. Appl. Probab. 10 (3), 779-827, (August 2000) DOI: 10.1214/aoap/1019487510
KEYWORDS: Taylor series, Lyapunov exponents, (max, plus) semiring, strong coupling, renovating events, stationary state variables, analyticity, vectorial recurrence relation, network modeling, stochastic Petri nets., 41A58, 34D08, 15A52, 15A18‎, 60K05, 60C05, 32D05, 16A78, 41A63
Hong Chen, Xinyang Shen
Ann. Appl. Probab. 10 (3), 828-876, (August 2000) DOI: 10.1214/aoap/1019487511
KEYWORDS: Multiclass queueing network, diffusion approximations, fluid approximations, heavy traffic, reflected Brownian motion and strong approximation, 60F17, 60K25, 60G17, 60J70, 90B10, 90B22
K. D. Glazebrook, D. J. Wilkinson
Ann. Appl. Probab. 10 (3), 877-896, (August 2000) DOI: 10.1214/aoap/1019487512
KEYWORDS: Average-overtaking optimal, average-reward optimal, Gittins index, multi-armed bandit problem, parallel machines, suboptimality bound, 90B36, 90C40
Constantinos Maglaras
Ann. Appl. Probab. 10 (3), 897-929, (August 2000) DOI: 10.1214/aoap/1019487513
KEYWORDS: Queueing networks, fluid models, discrete-review policies, trajectory tracking, asymptotic optimality, 60K25, 90B35, 60F17
Sunil Kumar
Ann. Appl. Probab. 10 (3), 930-961, (August 2000) DOI: 10.1214/aoap/1019487514
KEYWORDS: Queueing networks, Functional limit theorems, diffusion limits, fluid limits, scheduling policies, 60K25, 60F17, 90F35
Irina Ignatiouk-Robert
Ann. Appl. Probab. 10 (3), 962-1001, (August 2000) DOI: 10.1214/aoap/1019487515
KEYWORDS: large deviations, Jackson networks, twisted distributions, fluid limits, localized processes, 60F10, 60J15, 60K35
Liudas Giraitis, Peter M. Robinson, Donatas Surgailis
Ann. Appl. Probab. 10 (3), 1002-1024, (August 2000) DOI: 10.1214/aoap/1019487516
KEYWORDS: ARCH processes, long memory, Volterra series, diagrams, central limit theorem, fractioinal Brownian motion, 62M10, 60G18
Thomas Mikosch, Gennady Samorodnitsky
Ann. Appl. Probab. 10 (3), 1025-1064, (August 2000) DOI: 10.1214/aoap/1019487517
KEYWORDS: Random walk, stationary process, ruin probability, heavy tails, large deviations, random recursion, stationary queue, risk, 60F10, 60K30, 60G10, 60K25
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