VOL. 14 · NO. 3 | August 2004
 
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Frontmatter
Ann. Appl. Probab. 14 (3), (August 2004)
No abstract available
Ann. Appl. Probab. 14 (3), (August 2004)
No abstract available
Articles
F. P. Kelly, R. J. Williams
Ann. Appl. Probab. 14 (3), 1055-1083, (August 2004) DOI: 10.1214/105051604000000224
KEYWORDS: bandwidth sharing, α-fair, flow level Internet model, fluid model, workload, Lyapunov function, invariant manifold, simultaneous resource possession, Lagrange multipliers, Brownian model, reflected Brownian motion, 60K30, 90B15
Rami Atar, Avi Mandelbaum, Martin I. Reiman
Ann. Appl. Probab. 14 (3), 1084-1134, (August 2004) DOI: 10.1214/105051604000000233
KEYWORDS: Multiclass queues, multiserver queues, queues with abandonment, heavy traffic, Halfin–Whitt (QED) regime, call centers, dynamic control, diffusion approximation, optimal control of diffusion, HJB equation, asymptotic optimality, 60K25, 68M20, 90B22, 90B36, 49L20
Peter E. Ney, Anand N. Vidyashankar
Ann. Appl. Probab. 14 (3), 1135-1166, (August 2004) DOI: 10.1214/105051604000000242
KEYWORDS: branching processes, large deviations, local limit theorems., 60J80, 60F10
Umut Çetin, Robert Jarrow, Philip Protter, Yıldıray Yıldırım
Ann. Appl. Probab. 14 (3), 1167-1178, (August 2004) DOI: 10.1214/105051604000000251
KEYWORDS: default risk, Azéma martingale, Brownian excursions, default distribution, 60H60, 60G46, 91B28
Holger Drees, Ana Ferreira, Laurens de Haan
Ann. Appl. Probab. 14 (3), 1179-1201, (August 2004) DOI: 10.1214/105051604000000279
KEYWORDS: asymptotic normality, exceedances, extreme value index, maximum likelihood, order statistics, second-order condition, 62G32, 62G20
Cheng-Der Fuh
Ann. Appl. Probab. 14 (3), 1202-1241, (August 2004) DOI: 10.1214/105051604000000260
KEYWORDS: Brownian approximation, first passage probabilities, ladder height distribution, Markov-dependent Wald martingale, Products of random matrices, random coefficient models, uniform Markov renewal theory, 60K05, 60J10, 60K15
Sreela Gangopadhyay, Rahul Roy, Anish Sarkar
Ann. Appl. Probab. 14 (3), 1242-1266, (August 2004) DOI: 10.1214/105051604000000288
KEYWORDS: random graph, martingale, Random walk, central limit theorem, 05C80, 60K35
Rene Carmona, Michael Tehranchi
Ann. Appl. Probab. 14 (3), 1267-1294, (August 2004) DOI: 10.1214/105051604000000297
KEYWORDS: Fixed income markets, Malliavin calculus, infinite-dimensional processes, hedging portfolios, 60H35, 60H07, 91B28
James P. Hobert, Christian P. Robert
Ann. Appl. Probab. 14 (3), 1295-1305, (August 2004) DOI: 10.1214/105051604000000305
KEYWORDS: Burn-in, drift condition, geometric ergodicity, Kac’s theorem, minorization condition, Multigamma Coupler, Read-Once CFTP, regeneration, split chain, 62C15, 60J05
Łukasz Kruk, John Lehoczky, Steven Shreve, Shu-Ngai Yeung
Ann. Appl. Probab. 14 (3), 1306-1352, (August 2004) DOI: 10.1214/105051604000000314
KEYWORDS: Acyclic networks, Due dates, heavy traffic, Queueing, diffusion limits, random measures., 60K25, 60G57, 60J65, 68M20
Randal Douc, Gersende Fort, Eric Moulines, Philippe Soulier
Ann. Appl. Probab. 14 (3), 1353-1377, (August 2004) DOI: 10.1214/105051604000000323
KEYWORDS: Markov chains, stationary distribution, rate of convergence, 60J10
Miljenko Huzak, Mihael Perman, Hrvoje Šikić, Zoran Vondraček
Ann. Appl. Probab. 14 (3), 1378-1397, (August 2004) DOI: 10.1214/105051604000000332
KEYWORDS: Risk theory, ruin probability, Pollaczek–Hinchin formula, subordinator, spectrally negative Lévy process, 60J25, 60G51, 60J75, 60K30, 91B30
Alexander Schied
Ann. Appl. Probab. 14 (3), 1398-1423, (August 2004) DOI: 10.1214/105051604000000341
KEYWORDS: Neyman–Pearson problem, robust utility functional, law-invariant risk measure, optimal contingent claim, generalized moment problem, 91B28, 91B30, 62G10
Damien Lamberton, Gilles Pagès, Pierre Tarrès
Ann. Appl. Probab. 14 (3), 1424-1454, (August 2004) DOI: 10.1214/105051604000000350
KEYWORDS: Two-armed bandit algorithm, stochastic approximation, learning automata, Pólya urn, asset allocation, 62L20, 93C40, 91E40, 68T05, 91B32
Michel Benaïm, Sebastian J. Schreiber, Pierre Tarrès
Ann. Appl. Probab. 14 (3), 1455-1478, (August 2004) DOI: 10.1214/105051604000000422
KEYWORDS: Markov chains, random genetic drift, urn models, replicator equations, 60J10, 92D25
Laird Arnault Breyer, Mauro Piccioni, Sergio Scarlatti
Ann. Appl. Probab. 14 (3), 1479-1505, (August 2004) DOI: 10.1214/105051604000000369
KEYWORDS: Bayesian nonlinear regression, Markov chain Monte Carlo, Hastings–Metropolis, Langevin diffusion, propagation of chaos, 60F17, 60F05, 60F10
Arne Løkka, Bernt Øksendal, Frank Proske
Ann. Appl. Probab. 14 (3), 1506-1528, (August 2004) DOI: 10.1214/105051604000000413
KEYWORDS: Lévy processes, white noise analysis, Stochastic partial differential equations, 60G51, 60H40, 60H15
R. Dante DeBlassie
Ann. Appl. Probab. 14 (3), 1529-1558, (August 2004) DOI: 10.1214/105051604000000404
KEYWORDS: iterated Brownian motion, Exit time, 60J65, 60K99
Shmuel Friedland, Brian Rider, Ofer Zeitouni
Ann. Appl. Probab. 14 (3), 1559-1576, (August 2004) DOI: 10.1214/105051604000000396
KEYWORDS: permanent, concentration of measure, random matrices, 15A52
Ilie Grigorescu, Min Kang, Timo Seppäläinen
Ann. Appl. Probab. 14 (3), 1577-1602, (August 2004) DOI: 10.1214/105051604000000387
KEYWORDS: Asymmetric exclusion process, Hydrodynamic limit, random rates, 60K35
Correction
Jean B. Lasserre
Ann. Appl. Probab. 14 (3), 1603, (August 2004) DOI: 10.1214/105051604000000378
KEYWORDS: Probability, geometric probability, Tchebycheff bounds, moment problem., 6008, 60D05, 90C22, 90C25
No abstract available
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