VOL. 12 · NO. 4 | November 2002
Front Matter
Ann. Appl. Probab. 12 (4), (November 2002) Open Access
No abstract available
Ann. Appl. Probab. 12 (4), (November 2002) Open Access
No abstract available
K. P. Choi, Aihua Xia
Ann. Appl. Probab. 12 (4), 1139-1148, (November 2002) DOI: 10.1214/aoap/1037125856 Open Access
KEYWORDS: Binomial distribution, Poisson distribution, total variation metric, 60F05, 60E15
Z. D. Bai, Feifang Hu, Li-Xin Zhang
Ann. Appl. Probab. 12 (4), 1149-1173, (November 2002) DOI: 10.1214/aoap/1037125857 Open Access
KEYWORDS: Gaussian approximation, the law of iterated logarithm, functional central limit theorems, urn model, nonhomogeneous generating matrix, randomized play-the-winner rule, 62G10, 60F15, 62E10
Michel Denuit, Alfred Müller
Ann. Appl. Probab. 12 (4), 1174-1184, (November 2002) DOI: 10.1214/aoap/1037125858 Open Access
KEYWORDS: Integral stochastic orders, infinitely differentiable generator, Difference operator, multivariate normal distribution, random environment, 60E15, 62H05
Eilon Solan, Nicolas Vieille
Ann. Appl. Probab. 12 (4), 1185-1201, (November 2002) DOI: 10.1214/aoap/1037125859 Open Access
KEYWORDS: Stochastic games, value, uniform value, 91A15, 91A05
F. Thomas Bruss, Thomas S. Ferguson
Ann. Appl. Probab. 12 (4), 1202-1226, (November 2002) DOI: 10.1214/aoap/1037125860 Open Access
KEYWORDS: Kelly betting system, Utility, hedging, secretary problems, random number of opportunities, Differential equations, Euler--Cauchy approximation, odds-algorithm, Pascal processes, 60G40, 90A80
Paolo Guasoni
Ann. Appl. Probab. 12 (4), 1227-1246, (November 2002) DOI: 10.1214/aoap/1037125861 Open Access
KEYWORDS: Transaction costs, incomplete markets, coherent risk measures, utility maximization, 60H30, 62P05, 91B30, 26A45
Jostein Paulsen
Ann. Appl. Probab. 12 (4), 1247-1260, (November 2002) DOI: 10.1214/aoap/1037125862 Open Access
KEYWORDS: Risk theory, ruin probability, Lévy process, stochastic difference equation, $L_p$-transform, 60G99, 90A46, 60J27, 60J30
Svetlana Boyarchenko, Sergei Levendorskiĭ
Ann. Appl. Probab. 12 (4), 1261-1298, (November 2002) DOI: 10.1214/aoap/1037125863 Open Access
KEYWORDS: Lévy processes, European barrier options, touch-and-out options, Wiener--Hopf factorization, 90A09, 60G40
Steven N. Evans, David Steinsaltz
Ann. Appl. Probab. 12 (4), 1299-1321, (November 2002) DOI: 10.1214/aoap/1037125864 Open Access
KEYWORDS: Genetics, Evolution, eigenvalue, Perron--Frobenius, Lyapunov exponent, max-plus algebra, Random field, spinglass, extreme value, 92D15, 60G60, 60G70, 47A75
Matthias Löwe, Heinrich Matzinger III
Ann. Appl. Probab. 12 (4), 1322-1347, (November 2002) DOI: 10.1214/aoap/1037125865 Open Access
KEYWORDS: Scenery, Random walk, coloring, 28A99, 60J15
J. Theodore Cox, Richard Durrett
Ann. Appl. Probab. 12 (4), 1348-1377, (November 2002) DOI: 10.1214/aoap/1037125866 Open Access
KEYWORDS: Stepping stone model, voter model, Coalescent, fixation indices, identity by descent, heterozygosity, 60K35, 92D10
Saul Jacka
Ann. Appl. Probab. 12 (4), 1378-1389, (November 2002) DOI: 10.1214/aoap/1037125867 Open Access
KEYWORDS: Stochastic control, diffusion, strong maximum principle, finite-fuel control, 93E20, 60H30
Jin Ma, Jianfeng Zhang
Ann. Appl. Probab. 12 (4), 1390-1418, (November 2002) DOI: 10.1214/aoap/1037125868 Open Access
KEYWORDS: Backward SDE's, adapted solutions, anticipating stochastic calculus, viscosity solutions, path regularity, 60H10, 34F05, 90A12
Nils Berglund, Barbara Gentz
Ann. Appl. Probab. 12 (4), 1419-1470, (November 2002) DOI: 10.1214/aoap/1037125869 Open Access
KEYWORDS: Stochastic resonance, noise-induced synchronization, double-well potential, Additive Noise, Random dynamical systems, nonautonomous stochastic differential equations, singular perturbations, pathwise description, concentration of measure, 37H99, 60H10, 34F05, 34E15
Akihiko Inoue
Ann. Appl. Probab. 12 (4), 1471-1491, (November 2002) DOI: 10.1214/aoap/1037125870 Open Access
KEYWORDS: asymptotic behavior, partial autocorrelation function, fractional ARIMA process, 62M10, 60G10
L. Miclo
Ann. Appl. Probab. 12 (4), 1492-1515, (November 2002) DOI: 10.1214/aoap/1037125871 Open Access
KEYWORDS: Generalized Metropolis algorithm at low temperature, critical rate for relaxation times, Dobrushin's coefficient and coupling, spectral gaps and singular values, classical or modified logarithmic Sobolev inequalities, delaying effect for ergodic constants, simulated annealing, 60J10, 65C40, 49K45, 37A25, 15A18‎
Back Matter
Ann. Appl. Probab. 12 (4), iii-ix, (November 2002) Open Access
No abstract available
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