VOL. 13 · NO. 3 | August 2003
Front Matter
Ann. Appl. Probab. 13 (3), (August 2003) Open Access
No abstract available
Ann. Appl. Probab. 13 (3), (August 2003) Open Access
No abstract available
Elchanan Mossel, Yuval Peres
Ann. Appl. Probab. 13 (3), 817-844, (August 2003) DOI: 10.1214/aoap/1060202828 Open Access
KEYWORDS: Information flow, reconstruction problem, tree index Markov chain, Markov random field, census, second Eigenvalue, Thompson's principle, Reed-Solomon codes, secret sharing, 60J80, 60K35, 60F05, 94B99
Andreas Eibeck, Wolfgang Wagner
Ann. Appl. Probab. 13 (3), 845-889, (August 2003) DOI: 10.1214/aoap/1060202829 Open Access
KEYWORDS: Stochastic particle systems, regularity of jump processes, kinetic equations, existence of solutions, coagulation, fragmentation, source and efflux, dissipative collisions, 60K40, 65C35
Svante Janson, Johan Tysk
Ann. Appl. Probab. 13 (3), 890-913, (August 2003) DOI: 10.1214/aoap/1060202830 Open Access
KEYWORDS: Volatility, stochastic time, Contingent claim, convexity, time decay, 91B28, 60H30, 35K15
Naoto Kunitomo, Akihiko Takahashi
Ann. Appl. Probab. 13 (3), 914-952, (August 2003) DOI: 10.1214/aoap/1060202831 Open Access
KEYWORDS: Valuation of financial contingent claims, asymptotic expansion, small disturbance asymptotics, validity, Wanatabe-Yoshida theory, Malliavin calculus, 90A09, 60H07
Jerome Detemple, Shui Feng, Weidong Tian
Ann. Appl. Probab. 13 (3), 953-983, (August 2003) DOI: 10.1214/aoap/1060202832 Open Access
KEYWORDS: Option valuation, calls, American-style, minimum of two assets, dividends, exercise premium, Local time, lower and upper bounds, numerical computation, 91B28, 60G40, 62L15
D. Duffie, D. Filipović, W. Schachermayer
Ann. Appl. Probab. 13 (3), 984-1053, (August 2003) DOI: 10.1214/aoap/1060202833 Open Access
KEYWORDS: Affine process, Characteristic function, continuous-state branching with immigration, default risk, infinitely decomposable, interest rates, option pricing, Ornstein-Uhlenbeck type, 60J25, 91B28
J. Gaier, P. Grandits, W. Schachermayer
Ann. Appl. Probab. 13 (3), 1054-1076, (August 2003) DOI: 10.1214/aoap/1060202834 Open Access
KEYWORDS: ruin probability, Lundberg inequality, optimal investment, 60G44, 60H30, 62P05, 60K10
A. E. Kyprianou, M. R. Pistorius
Ann. Appl. Probab. 13 (3), 1077-1098, (August 2003) DOI: 10.1214/aoap/1060202835 Open Access
KEYWORDS: option pricing, perpetual option, call option, put option, Russian option, integral option, stopping time, Laplace transform, Brownian motion, Bessel process, 60G40, 60G99, 60J65
S. Pergamenshchikov
Ann. Appl. Probab. 13 (3), 1099-1118, (August 2003) DOI: 10.1214/aoap/1060202836 Open Access
KEYWORDS: Transaction costs, asymptotic hedging, call option, Black-Scholes formula, Leland's strategy, 90A09, 60H05
J. Michael Harrison
Ann. Appl. Probab. 13 (3), 1119-1150, (August 2003) DOI: 10.1214/aoap/1060202837 Open Access
KEYWORDS: Stochastic processing networks, Brownian networks, heavy traffic, Stochastic control, 90B15, 60K25, 60J70
Alexander L. Stolyar
Ann. Appl. Probab. 13 (3), 1151-1206, (August 2003) DOI: 10.1214/aoap/1060202838 Open Access
KEYWORDS: Queueing networks, scheduling, large deviations, fluid limit, end-to-end delay, 60F10, 90B12, 60K25
Aimé Lachal
Ann. Appl. Probab. 13 (3), 1207-1230, (August 2003) DOI: 10.1214/aoap/1060202839 Open Access
KEYWORDS: renewal equation, Functional differential equation, Laplace transform, infinite product, 60K05, 92B05, 92C45
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