VOL. 13 · NO. 2 | May 2003
Front Matter
Ann. Appl. Probab. 13 (2), (May 2003) Open Access
No abstract available
Ann. Appl. Probab. 13 (2), (May 2003) Open Access
No abstract available
Hock Peng Chan, Tze Leung Lai
Ann. Appl. Probab. 13 (2), 395-429, (May 2003) DOI: 10.1214/aoap/1050689586 Open Access
KEYWORDS: Markov additive processes, large deviation, maxima of random fields, change-point detection, Laplace's method, integrals over tubes, 60F05, 60F10, 60G40, 60G60, 60J05
Ken Duffy, John T. Lewis, Wayne G. Sullivan
Ann. Appl. Probab. 13 (2), 430-445, (May 2003) DOI: 10.1214/aoap/1050689587 Open Access
KEYWORDS: Extrema of stochastic process, large deviation theory, Queueing theory, 60F10, 60K25
Ayalvadi Ganesh, Neil O'Connell, Balaji Prabhakar
Ann. Appl. Probab. 13 (2), 446-474, (May 2003) DOI: 10.1214/aoap/1050689588 Open Access
KEYWORDS: large deviations, Queueing theory, 60K25, 60F10
P. E. Ney, A. N. Vidyashankar
Ann. Appl. Probab. 13 (2), 475-489, (May 2003) DOI: 10.1214/aoap/1050689589 Open Access
KEYWORDS: branching processes, harmonic moments, large deviations, 60J80, 60F10
Harry Cohn, Qiao Wang
Ann. Appl. Probab. 13 (2), 490-500, (May 2003) DOI: 10.1214/aoap/1050689590 Open Access
KEYWORDS: martingale, varying environment, multitype, concentration function, continuity, space-time harmonic function, 60J80
J. Theodore Cox, Achim Klenke
Ann. Appl. Probab. 13 (2), 501-514, (May 2003) DOI: 10.1214/aoap/1050689591 Open Access
KEYWORDS: Martingale problem, spatially rescaled particle systems, diffusion limit, long range limit, 60K35, 60G57, 60F05, 60J80, 60H10
Hélène Guérin
Ann. Appl. Probab. 13 (2), 515-539, (May 2003) DOI: 10.1214/aoap/1050689592 Open Access
KEYWORDS: Landau equation, White noise, nonlinear stochastic differential equation, nonlinear martingale problems, 60H30, 60H10, 82C40
Florent Malrieu
Ann. Appl. Probab. 13 (2), 540-560, (May 2003) DOI: 10.1214/aoap/1050689593 Open Access
KEYWORDS: Interacting particle system, propagation of chaos, Logarithmic Sobolev inequality, nonlinear parabolic PDE, concentration of measure phenomenon, implicit Euler scheme, 65C35, 35K55, 65C05, 82C22
Christine Fricker, Philippe Robert, Danielle Tibi
Ann. Appl. Probab. 13 (2), 561-575, (May 2003) DOI: 10.1214/aoap/1050689594 Open Access
KEYWORDS: Loss networks, diffusion approximation, 60K25, 90B22
Predrag Jelenković, Petar Momčilović
Ann. Appl. Probab. 13 (2), 576-603, (May 2003) DOI: 10.1214/aoap/1050689595 Open Access
KEYWORDS: Fluid queue, On--Off processes, Subexponential distributions, statistical multiplexing, long-range dependence, 60K25, 60F99
Mu-Fa Chen, Ying-Zhe Wang
Ann. Appl. Probab. 13 (2), 604-627, (May 2003) DOI: 10.1214/aoap/1050689596 Open Access
KEYWORDS: Markov chains, algebraic convergence, birth-death chains, coupling, 60J27, 60F25
Guy Latouche, Marie-Ange Remiche, Peter Taylor
Ann. Appl. Probab. 13 (2), 628-640, (May 2003) DOI: 10.1214/aoap/1050689597 Open Access
KEYWORDS: Markovian arrival process, Markov additive process, transient process, terminating process, quasistationary distribution, 60J22, 60K37
István Berkes, Lajos Horváth
Ann. Appl. Probab. 13 (2), 641-668, (May 2003) DOI: 10.1214/aoap/1050689598 Open Access
KEYWORDS: LARCH sequences, Long range dependence, asymptotic distribution, fractional Brownian motion, 60F17, 60K99
Alan Stacey
Ann. Appl. Probab. 13 (2), 669-690, (May 2003) DOI: 10.1214/aoap/1050689599 Open Access
KEYWORDS: contact process, immunization, tree, weak survival, critical value, phase diagram, 60K35
Pietro Caputo, Fabio Martinelli
Ann. Appl. Probab. 13 (2), 691-721, (May 2003) DOI: 10.1214/aoap/1050689600 Open Access
KEYWORDS: Asymmetric simple exclusion, diffusion limited chemical reactions, spectral gap, $XXZ$ model, equivalence of ensembles, 60K40, 60K35, 60J27, 82B10, 82B20
Lorna Booth, Jehoshua Bruck, Massimo Franceschetti, Ronald Meester
Ann. Appl. Probab. 13 (2), 722-741, (May 2003) DOI: 10.1214/aoap/1050689601 Open Access
KEYWORDS: Covering algorithms, (continuum) percolation, wireless communication networks, phase transition, 60D05, 60K35, 82B26, 82B43, 94C99
Paulius Jakubėnas, Shlomo Levental, Michał Ryznar
Ann. Appl. Probab. 13 (2), 742-773, (May 2003) DOI: 10.1214/aoap/1050689602 Open Access
KEYWORDS: Transaction costs, super-replication, hedging options, 90A09, 60H30
Thomas Goll, Jan Kallsen
Ann. Appl. Probab. 13 (2), 774-799, (May 2003) DOI: 10.1214/aoap/1050689603 Open Access
KEYWORDS: Portfolio optimization, logarithmic utility, semimartingale characteristics, life insurance, neutral derivative pricing, 91B28, 91B16, 60G48
Damien Lamberton, Stéphane Villeneuve
Ann. Appl. Probab. 13 (2), 800-815, (May 2003) DOI: 10.1214/aoap/1050689604 Open Access
KEYWORDS: Optimal stopping, free boundary, American options, 90A09, 93E20, 60G40
Theodore Cox, Richard Durrett
Ann. Appl. Probab. 13 (2), 816, (May 2003) Open Access
No abstract available
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