VOL. 13 · NO. 3 | August 2003
 
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Front Matter
Ann. Appl. Probab. 13 (3), (August 2003)
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Ann. Appl. Probab. 13 (3), (August 2003)
No abstract available
Articles
Elchanan Mossel, Yuval Peres
Ann. Appl. Probab. 13 (3), 817-844, (August 2003) DOI: 10.1214/aoap/1060202828
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
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
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
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
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
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
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
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
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
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
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
KEYWORDS: renewal equation, Functional differential equation, Laplace transform, infinite product, 60K05, 92B05, 92C45
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