VOL. 11 · NO. 3 | August 2001
R. D. Foley, D. R. McDonald
Ann. Appl. Probab. 11 (3), 569-607, (August 2001) DOI: 10.1214/aoap/1015345342
KEYWORDS: Join the shortest queue, Rare events, Change of measure, H-transform, 60K25, 60K20
S. L. Bell, R. J. Williams
Ann. Appl. Probab. 11 (3), 608-649, (August 2001) DOI: 10.1214/aoap/1015345343
KEYWORDS: Queueing networks, dynamic control, resource pooling, heavy traffic, 60K25, 68M20, 90B22, 90B35, 60J70
James B. Martin
Ann. Appl. Probab. 11 (3), 650-663, (August 2001) DOI: 10.1214/aoap/1015345344
KEYWORDS: Queueing network, point process, Jackson network, 90B15, 60G55
N. El Karoui, S. Peng, M. C. Quenez
Ann. Appl. Probab. 11 (3), 664-693, (August 2001) DOI: 10.1214/aoap/1015345345
KEYWORDS: utility maximization, recursive utility, large investor, Backward stochastic differential equations, maximum principle, forward-backward system, 92E20, 60J60, 35B50
Walter Schachermayer
Ann. Appl. Probab. 11 (3), 694-734, (August 2001) DOI: 10.1214/aoap/1015345346
KEYWORDS: utility maximization, incomplete markets, Duality, G11, G12, C61
Andrius Jankunas
Ann. Appl. Probab. 11 (3), 735-749, (August 2001) DOI: 10.1214/aoap/1015345347
KEYWORDS: Contingent claim, derivative security, equivalent martingale measure, payoff function, 91B28, 60G46
Peter Bank, Frank Riedel
Ann. Appl. Probab. 11 (3), 750-788, (August 2001) DOI: 10.1214/aoap/1015345348
KEYWORDS: Hindy-Huang-Kreps preferences, intertemporal utility, intertemporal substitution, singular control problem, Lévy processes, 90A10, 60H30
István Berkes, Lajos Horváth
Ann. Appl. Probab. 11 (3), 789-809, (August 2001) DOI: 10.1214/aoap/1015345349
KEYWORDS: GARCH ($p, q$), empirical process, strong approximation, rates of convergence, estimates for increments, 60F17, 60G50
Ronald Fagin, Anna R. Karlin, Jon Kleinberg, Prabhakar Raghavan, Sridhar Rajagopalan, Ronitt Rubinfeld, Madhu Sudan, Andrew Tomkins
Ann. Appl. Probab. 11 (3), 810-862, (August 2001) DOI: 10.1214/aoap/1015345350
KEYWORDS: Denumerable Markov chains, limiting distributions, Stochastic processes, worldwide web, 60G20, 60J10, 60J22
Yuliy Baryshnikov, Alexander Gnedin
Ann. Appl. Probab. 11 (3), 863-877, (August 2001) DOI: 10.1214/aoap/1015345351
KEYWORDS: none, none
Peter Mansfield, Svetlozar T. Rachev, Gennady Samorodnitsky
Ann. Appl. Probab. 11 (3), 878-921, (August 2001) DOI: 10.1214/aoap/1015345352
KEYWORDS: long-range dependence, stationary process, large deviations, heavy tails, infinite moving average, Maxima, regular variation, extreme value distribution, applications in finance, insurance, telecommunications, 60G10, 60F15, 60G70
Annie Millet, Pierre-Luc Morien
Ann. Appl. Probab. 11 (3), 922-951, (August 2001) DOI: 10.1214/aoap/1015345353
KEYWORDS: Stochastic partial differential equations, wave equation, Gaussian noise, 60H15, 35J60
R. Z. Khasminskii, F. C. Klebaner
Ann. Appl. Probab. 11 (3), 952-963, (August 2001) DOI: 10.1214/aoap/1015345354
KEYWORDS: Stochastic differential equations, predator-prey coexistence, 34F05, 34E10, 60H10, 92D25
A. D. Barbour, O. Chryssaphinou
Ann. Appl. Probab. 11 (3), 964-1002, (August 2001) DOI: 10.1214/aoap/1015345355
KEYWORDS: Compound Poisson, Stein's method, total variation distance, Kolmogorov distance, 6002, 60C05, 60E15, 60F05, 60K10, 62E17, 92D20
Matthias Weber
Ann. Appl. Probab. 11 (3), 1003, (August 2001) DOI: 10.1214/aoap/1015345356
KEYWORDS: Occupation time functionals, diffusion process on a graph, boundary value problems, Titchmarsh-Weyl coefficient, 60J55, 60J60, 60J27
No abstract available
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