VOL. 15 · NO. 2 | May 2005
Ann. Appl. Probab. 15 (2), (May 2005)
No abstract available
Ann. Appl. Probab. 15 (2), (May 2005)
No abstract available
David J. Aldous, Antar Bandyopadhyay
Ann. Appl. Probab. 15 (2), 1047-1110, (May 2005) DOI: 10.1214/105051605000000142
KEYWORDS: branching process, Branching random walk, Cavity method, Coupling from the past, fixed point equation, frozen percolation, mean-field model of distance, metric contraction, Probabilistic analysis of algorithms, probability distribution, probability on trees, random matching, 60E05, 62E10, 68Q25, 82B44
Dirk Becherer, Martin Schweizer
Ann. Appl. Probab. 15 (2), 1111-1144, (May 2005) DOI: 10.1214/105051604000000846
KEYWORDS: Reaction–diffusion systems, interacting processes, recursive valuation, hedging, risk-minimization, credit risk, 60H30, 60J25, 91B28, 60G44, 60G55, 91B30
Bariş Ata, J. M. Harrison, L. A. Shepp
Ann. Appl. Probab. 15 (2), 1145-1160, (May 2005) DOI: 10.1214/105051604000000855
KEYWORDS: Stochastic control, dynamic scheduling, queueing systems, diffusion approximations, heavy traffic theory, 60K25, 60J70, 90B22, 90B35
Gérard Ben Arous, Jiří Černý
Ann. Appl. Probab. 15 (2), 1161-1192, (May 2005) DOI: 10.1214/105051605000000124
KEYWORDS: Aging, singular diffusions, Random walk in random environment, Lévy processes, 60K37, 82C44, 60G18, 60F17
Michel Mandjes, Miranda van Uitert
Ann. Appl. Probab. 15 (2), 1193-1226, (May 2005) DOI: 10.1214/105051605000000133
KEYWORDS: Sample-path large deviations, Gaussian traffic, Schilder’s theorem, tandem queue, priority queue, communication networks, differentiated services, 60K25, 60F10, 60G15
Thomas Mountford, Hervé Guiol
Ann. Appl. Probab. 15 (2), 1227-1259, (May 2005) DOI: 10.1214/105051605000000151
KEYWORDS: Totally asymmetric exclusion, Second class particle, Rarefaction fan, Seppäläinen’s variational formula, Concentration inequalities, Last passage percolation, 60K35, 82C22
Ivar Ekeland, Erik Taflin
Ann. Appl. Probab. 15 (2), 1260-1305, (May 2005) DOI: 10.1214/105051605000000160
KEYWORDS: Bond portfolios, optimal portfolios, utility optimization, Roll-Overs, Hilbert space valued processes, 91B28, 49J55, 60H07, 90C46
A. D. Barbour, A. Pugliese
Ann. Appl. Probab. 15 (2), 1306-1338, (May 2005) DOI: 10.1214/105051605000000070
KEYWORDS: Metapopulation process, threshold theorem, Stochastic comparison, structured population model, 37L15, 92D40, 34G20, 47J35, 60J27
Paul Dupuis, Hui Wang
Ann. Appl. Probab. 15 (2), 1339-1366, (May 2005) DOI: 10.1214/105051605000000034
KEYWORDS: Optimal stopping, continuous time, discrete time, diffusion process, rate of convergence, Local time, 93E20, 93E35, 60J55, 90C59
Miklós Rásonyi, Lukasz Stettner
Ann. Appl. Probab. 15 (2), 1367-1395, (May 2005) DOI: 10.1214/105051605000000089
KEYWORDS: utility maximization, asymptotic elasticity of utility functions, martingale measures, 93E20, 91B28, 91B16, 60G42
Daniel Egloff
Ann. Appl. Probab. 15 (2), 1396-1432, (May 2005) DOI: 10.1214/105051605000000043
KEYWORDS: Optimal stopping, American options, Statistical learning, Empirical processes, uniform law of large numbers, Concentration inequalities, Vapnik–Chervonenkis classes, Monte Carlo methods, 91B28, 60G40, 93E20, 65C05, 93E24, 62G05
Chii-Ruey Hwang, Shu-Yin Hwang-Ma, Shuenn-Jyi Sheu
Ann. Appl. Probab. 15 (2), 1433-1444, (May 2005) DOI: 10.1214/105051605000000025
KEYWORDS: diffusion, convergence rate, acceleration, spectral gap, spectrum, variational norm, ergodicity, MCMC, Monte Carlo Markov process, 60J60, 47D07, 65B99, 35P05
R. A. Doney, R. A. Maller
Ann. Appl. Probab. 15 (2), 1445-1450, (May 2005) DOI: 10.1214/105051605000000016
KEYWORDS: Maximum of reflected process, maximal segmental score, Poisson limit theorem, high excursions, 60G51, 60G17
Mireille Bousquet-Mélou
Ann. Appl. Probab. 15 (2), 1451-1491, (May 2005) DOI: 10.1214/105051605000000052
KEYWORDS: Lattice walks, enumeration, algebraic generating functions, Markov chains in the quarter plane, 05A15, 60J10
Hock Peng Chan
Ann. Appl. Probab. 15 (2), 1492-1505, (May 2005) DOI: 10.1214/105051605000000061
KEYWORDS: Sequence alignment, large deviations, log moment generating function, Change of measure, 60F10, 60F15, 92D20
Amaury Lambert
Ann. Appl. Probab. 15 (2), 1506-1535, (May 2005) DOI: 10.1214/105051605000000098
KEYWORDS: Size-dependent branching process, Continuous-state branching process, Population dynamics, logistic process, density dependence, Ornstein–Uhlenbeck type process, Riccati differential equation, fragmentation–coalescence process, 60J80, 60J70, 60J85, 92D15, 92D25, 92D40
Costas A. Christophi, Hosam M. Mahmoud
Ann. Appl. Probab. 15 (2), 1536-1564, (May 2005) DOI: 10.1214/105051605000000106
KEYWORDS: Random trees, recurrence, Mellin transform, poissonization, 05C05, 60C05, 60F05, 68P05, 68P10, 68P20
G. Fort, G. O. Roberts
Ann. Appl. Probab. 15 (2), 1565-1589, (May 2005) DOI: 10.1214/105051605000000115
KEYWORDS: Markov processes, subgeometric f-ergodicity, drift criterion, Langevin diffusions, storage models, 60J25, 60J60, 60K30
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