VOL. 14 · NO. 4 | November 2004
Ann. Appl. Probab. 14 (4), (November 2004) Open Access
No abstract available
Ann. Appl. Probab. 14 (4), (November 2004) Open Access
No abstract available
Thomas Müller-Gronbach
Ann. Appl. Probab. 14 (4), 1605-1642, (November 2004) DOI: 10.1214/105051604000000954 Open Access
KEYWORDS: Stochastic differential equations, pathwise approximation, adaptive scheme, step-size control, asymptotic optimality, 65C30, 60H10
R. Douc, E. Moulines, Jeffrey S. Rosenthal
Ann. Appl. Probab. 14 (4), 1643-1665, (November 2004) DOI: 10.1214/105051604000000620 Open Access
KEYWORDS: convergence rate, coupling, Markov chain Monte Carlo, simulated annealing, f-total variation, 60J27, 60J22
Tomasz Komorowski, Grzegorz Krupa
Ann. Appl. Probab. 14 (4), 1666-1697, (November 2004) DOI: 10.1214/105051604000000945 Open Access
KEYWORDS: Random field, diffusions in random media, Lagrangian process, invariant measure, 60F17, 35B27, 60G44
Garud Iyengar, Karl Sigman
Ann. Appl. Probab. 14 (4), 1698-1740, (November 2004) DOI: 10.1214/105051604000000936 Open Access
KEYWORDS: Exponential penalty, Loss networks, mathematical programming bounds, Stochastic control, 93E03, 93E35, 90C59
Mark Jerrum, Jung-Bae Son, Prasad Tetali, Eric Vigoda
Ann. Appl. Probab. 14 (4), 1741-1765, (November 2004) DOI: 10.1214/105051604000000639 Open Access
KEYWORDS: Decomposition of Markov chains, logarithmic Sobolev inequalities, mixing time of Markov chains, Poincaré inequalities, spectral gap, 60J10, 68W20
Claudia Klüppelberg, Andreas E. Kyprianou, Ross A. Maller
Ann. Appl. Probab. 14 (4), 1766-1801, (November 2004) DOI: 10.1214/105051604000000927 Open Access
KEYWORDS: insurance risk process, Lévy process, conditional limit theorem, First passage time, overshoot, ladder process, ruin probability, Subexponential distributions, Convolution equivalent distributions, heavy tails, 60J30, 60K05, 60K15, 90A46, 60E07, 60G17, 60J15
Rabi Bhattacharya, Mukul Majumdar
Ann. Appl. Probab. 14 (4), 1802-1809, (November 2004) DOI: 10.1214/105051604000000918 Open Access
KEYWORDS: Quadratic maps, Markov process, invariant probability, 60J05, 60J20, 37H10
Tahir Choulli, Michael Taksar, Xun Yu Zhou
Ann. Appl. Probab. 14 (4), 1810-1837, (November 2004) DOI: 10.1214/105051604000000909 Open Access
KEYWORDS: Diffusion model, dividend distribution, business constraints, risk control, optimal stochastic control, HJB equation, 91B70, 93E20
Dmitrii S. Silvestrov, Jozef L. Teugels
Ann. Appl. Probab. 14 (4), 1838-1868, (November 2004) DOI: 10.1214/105051604000000215 Open Access
KEYWORDS: Max–sum process, renewal stopping, weak convergence, Functional limit theorem, 60F17, 60G51, 60G70, 60K05
Paul Balister, Béla Bollobás, Mark Walters
Ann. Appl. Probab. 14 (4), 1869-1879, (November 2004) DOI: 10.1214/105051604000000891 Open Access
KEYWORDS: continuum percolation, continuous percolation, annulus, 60K35, 82B43
Nicolas Fournier, Sylvie Méléard
Ann. Appl. Probab. 14 (4), 1880-1919, (November 2004) DOI: 10.1214/105051604000000882 Open Access
KEYWORDS: Interacting measure-valued processes, regulated population, deterministic macroscopic approximation, nonlinear superprocess, Equilibrium, 60J80, 60K35
Daren B. H. Cline, Huay-min H. Pu
Ann. Appl. Probab. 14 (4), 1920-1949, (November 2004) DOI: 10.1214/105051604000000431 Open Access
KEYWORDS: ARCH, ergodicity, Lyapounov exponent, Markov chain, nonlinear time series, 60G10, 60J05, 62M10, 91B84
Larry Goldstein
Ann. Appl. Probab. 14 (4), 1950-1969, (November 2004) DOI: 10.1214/105051604000000440 Open Access
KEYWORDS: Resistor network, Self-similar, contraction mapping, Stein’s method, 60F05, 82D30, 60G18
Sara Biagini, Marco Frittelli
Ann. Appl. Probab. 14 (4), 1970-1991, (November 2004) DOI: 10.1214/105051604000000459 Open Access
KEYWORDS: Super replication price, generalized entropy, reasonable asymptotic elasticity, preferences, incomplete markets, utility maximization, Duality, 60G42, 60G44
Zhiyi Chi
Ann. Appl. Probab. 14 (4), 1992-2015, (November 2004) DOI: 10.1214/105051604000000521 Open Access
KEYWORDS: branching processes, stable distribution, noncentral limit theorem, mean matrix, Frobenius eigenvector, eigenvalue, 60J80, 60F05
J. M. P. Albin
Ann. Appl. Probab. 14 (4), 2016-2037, (November 2004) DOI: 10.1214/105051604000000468 Open Access
KEYWORDS: Fractional stable motion, Lévy process, sampling, self-similar process, Stable process, stationary increment process, 60G10, 60G70, 60G15, 68U20
Pavel Chigansky, Robert Liptser
Ann. Appl. Probab. 14 (4), 2038-2056, (November 2004) DOI: 10.1214/105051604000000873 Open Access
KEYWORDS: Filtering stability, geometric ergodicity, 93E11, 60J57
D. P. Kroese, W. R. W. Scheinhardt, P. G. Taylor
Ann. Appl. Probab. 14 (4), 2057-2089, (November 2004) DOI: 10.1214/105051604000000477 Open Access
KEYWORDS: decay rate, tandem Jackson network, QBD process, stationary distribution, hitting probabilities, 60J27
Paul Glasserman, Bin Yu
Ann. Appl. Probab. 14 (4), 2090-2119, (November 2004) DOI: 10.1214/1050516040000008461 Open Access
KEYWORDS: Optimal stopping, Monte Carlo methods, dynamic programming, orthogonal polynomials, finance, 60G40, 65C05, 65C50, 60G35
Lea Popovic
Ann. Appl. Probab. 14 (4), 2120-2148, (November 2004) DOI: 10.1214/105051604000000486 Open Access
KEYWORDS: Critical branching process, Galton–Watson process, Random tree, point process, Brownian excursion, genealogy, 60J85, 60J65, 92D15
Ali Lazrak
Ann. Appl. Probab. 14 (4), 2149-2175, (November 2004) DOI: 10.1214/105051604000000756 Open Access
KEYWORDS: Generalized stochastic differential utility, Brownian filtration, Information, backward stochastic differential equation, 60H10, 60H30
Robert C. Dalang, M.-O. Hongler
Ann. Appl. Probab. 14 (4), 2176-2201, (November 2004) DOI: 10.1214/105051604000000747 Open Access
KEYWORDS: Optimal stopping, telegrapher’s noise, Piecewise deterministic Markov process, principle of smooth fit, 60G40, 90A09, 60J27
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