VOL. 14 · NO. 2 | May 2004
 
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Front Matter
Ann. Appl. Probab. 14 (2), (May 2004)
No abstract available
Ann. Appl. Probab. 14 (2), (May 2004)
No abstract available
Articles
Amber L. Puha, Ruth J. Williams
Ann. Appl. Probab. 14 (2), 517-554, (May 2004) DOI: 10.1214/105051604000000017
KEYWORDS: Processor sharing queue, critical fluid model, measure-valued solution, invariant states, coupling renewal processes, renewal functions, renewal measures, 60K25, 68M20, 90B22
H. Christian Gromoll
Ann. Appl. Probab. 14 (2), 555-611, (May 2004) DOI: 10.1214/105051604000000035
KEYWORDS: Processor sharing queue, heavy traffic, diffusion approximation, state space collapse, measure valued process, 60K25, 68M20, 90B22
François Baccelli, Serguei Foss
Ann. Appl. Probab. 14 (2), 612-650, (May 2004) DOI: 10.1214/105051604000000044
KEYWORDS: Queueing network, generalized Jackson network, ergodicity, subexponential random variable, tail asymptotics, Veraverbeke”s theorem, 60K25, 90B15, 60F10
Marie F. Kratz, Pierre Picco
Ann. Appl. Probab. 14 (2), 651-677, (May 2004) DOI: 10.1214/105051604000000053
KEYWORDS: Extremes, Gaussian r.v., order statistics, random spin systems, uniform r.v., 62G30, 82B44, 62G32
B. Bouchard, N. Touzi, A. Zeghal
Ann. Appl. Probab. 14 (2), 678-717, (May 2004) DOI: 10.1214/105051604000000062
KEYWORDS: utility maximization, incomplete markets, convex duality, 90A09, 93E20, 49J52, 60H30, 90A16
Alois Panholzer, Helmut Prodinger
Ann. Appl. Probab. 14 (2), 718-733, (May 2004) DOI: 10.1214/105051604000000071
KEYWORDS: Binary search trees, spanning tree size, Limiting distribution, quasi power theorem, Multiple Quickselect, 05C05, 60C05, 60F05, 68P05
Mark Huber
Ann. Appl. Probab. 14 (2), 734-753, (May 2004) DOI: 10.1214/105051604000000080
KEYWORDS: Monte Carlo, Markov chains, perfect simulation, Coupling from the past, Mixing times, proper colorings, Potts model, sink free orientations, 60J22, 60J27, 65C05, 65C40, 82B80
N. H. Barton, A. M. Etheridge, A. K. Sturm
Ann. Appl. Probab. 14 (2), 754-785, (May 2004) DOI: 10.1214/105051604000000099
KEYWORDS: Coalescent, selection, recombination, identity by descent, random environment, 60J80, 60J85, 60J70, 60K35
Mario Lefebvre
Ann. Appl. Probab. 14 (2), 786-795, (May 2004) DOI: 10.1214/105051604000000107
KEYWORDS: Dynamic programming equation, Stochastic differential equation, hitting place, Brownian motion, 93E20, 60J60
Vijay R. Konda, John N. Tsitsiklis
Ann. Appl. Probab. 14 (2), 796-819, (May 2004) DOI: 10.1214/105051604000000116
KEYWORDS: stochastic approximation, two-time-scales, 62L20
J. M. P. Albin, Gennady Samorodnitsky
Ann. Appl. Probab. 14 (2), 820-844, (May 2004) DOI: 10.1214/105051604000000125
KEYWORDS: heavy tails, infinitely divisible process, Lévy process, self-similar process, Stable process, stationary increment process, subexponential distribution, storage process, 60G18, 60G70, 60E07, 60G10
Julien Hugonnier, Dmitry Kramkov
Ann. Appl. Probab. 14 (2), 845-864, (May 2004) DOI: 10.1214/105051604000000134
KEYWORDS: utility maximization, random endowment, convex duality, incomplete markets, optimal investment, utility-based valuation, Contingent claim, European option, 90A09, 90A10, 90C26
Tiefeng Jiang
Ann. Appl. Probab. 14 (2), 865-880, (May 2004) DOI: 10.1214/105051604000000143
KEYWORDS: Sample correlation matrices, Maxima, Chen–Stein method, Moderate deviations, 60F05, 60F15, 62H10
Nelly Litvak, Willem R. van Zwet
Ann. Appl. Probab. 14 (2), 881-902, (May 2004) DOI: 10.1214/105051604000000152
KEYWORDS: Uniform spacings, carousel systems, exact distributions, asymptotics, Exponential functionals, 90B05, 62E15, 60F05, 60G51
Bert Zwart, Sem Borst, Michel Mandjes
Ann. Appl. Probab. 14 (2), 903-957, (May 2004) DOI: 10.1214/105051604000000161
KEYWORDS: fluid models, heavy-tailed distributions, knapsack problem, large deviations, Queueing theory, reduced-load equivalence, 60K25, 60F10, 90B22
Carlos A. León, François Perron
Ann. Appl. Probab. 14 (2), 958-970, (May 2004) DOI: 10.1214/105051604000000170
KEYWORDS: large deviations, Markov chains, Chernoff bounds, Perron–Frobenius eigenvalue, 65C05
Claudia Klüppelberg, Serguei Pergamenchtchikov
Ann. Appl. Probab. 14 (2), 971-1005, (May 2004) DOI: 10.1214/105051604000000189
KEYWORDS: ARCH model, autoregressive model, geometric ergodicity, heteroscedastic model, random coefficient autoregressive process, random recurrence equation, regular variation, renewal theorem for Markov chains, Strong mixing, 60J10, 60H25, 62P05, 91B28, 91B84
Franck Delcoigne, Arnaud de La Fortelle
Ann. Appl. Probab. 14 (2), 1006-1028, (May 2004) DOI: 10.1214/105051604000000198
KEYWORDS: large deviations, Rate function, empirical generator, Change of measure, contraction principle, Entropy, star network, bandwidth sharing, min protocol, 60F10, 60K30
Masakiyo Miyazawa
Ann. Appl. Probab. 14 (2), 1029-1054, (May 2004) DOI: 10.1214/105051604000000206
KEYWORDS: Risk process, Markov additive process, hitting probability, decay rate, Markov renewal theorem, stationary marked point process, Duality, 90B22, 60K25, 60K20, 60G55
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