VOL. 15 · NO. 3 | August 2005
Ann. Appl. Probab. 15 (3), (August 2005)
No abstract available
Ann. Appl. Probab. 15 (3), (August 2005)
No abstract available
Jason Schweinsberg, Rick Durrett
Ann. Appl. Probab. 15 (3), 1591-1651, (August 2005) DOI: 10.1214/105051605000000430
KEYWORDS: Coalescence, random partition, selective sweep, mutation, hitchhiking, 92D10, 60J85, 92D15, 05A18
David Gamarnik, John J. Hasenbein
Ann. Appl. Probab. 15 (3), 1652-1690, (August 2005) DOI: 10.1214/105051605000000179
KEYWORDS: Rate stability, fluid models, large deviations, 90B15, 60K25, 60F10
Ying Hu, Peter Imkeller, Matthias Müller
Ann. Appl. Probab. 15 (3), 1691-1712, (August 2005) DOI: 10.1214/105051605000000188
KEYWORDS: financial market, incomplete market, maximal utility, exponential utility, power utility, logarithmic utility, supermartingale, Stochastic differential equation, backward stochastic differential equation, 60H10, 91B28, 60G44, 91B70, 91B16, 60H20, 93E20
Patrick Cheridito, Damir Filipović, Marc Yor
Ann. Appl. Probab. 15 (3), 1713-1732, (August 2005) DOI: 10.1214/105051605000000197
KEYWORDS: Change of measure, jump-diffusion processes, equivalent measure, absolutely continuous measure, carré-du-champ operator, 60G30, 60J25, 60J75
Malwina J. Luczak, Colin McDiarmid
Ann. Appl. Probab. 15 (3), 1733-1764, (August 2005) DOI: 10.1214/105051605000000205
KEYWORDS: Balls and bins, random choices, power of two choices, maximum load, load balancing, immigration–death, Equilibrium, 60C05, 68R05, 90B80, 60K35, 60K30
Fabrice Baudoin, Josef Teichmann
Ann. Appl. Probab. 15 (3), 1765-1777, (August 2005) DOI: 10.1214/105051605000000214
KEYWORDS: Generic evolutions in interest rate theory, HJM equations, Hörmander’s theorem, Malliavin calculus, Hypoellipticity, 60H07, 60H10, 60H30
Serik Sagitov, Peter Jagers
Ann. Appl. Probab. 15 (3), 1778-1797, (August 2005) DOI: 10.1214/105051605000000223
KEYWORDS: Coalescent, exchangeability, Population genetics, effective population size, overlapping generations, 92F25, 60J70, 92D15, 60F17
Jianfeng Zhang
Ann. Appl. Probab. 15 (3), 1798-1831, (August 2005) DOI: 10.1214/105051605000000232
KEYWORDS: Forward–backward SDEs, Feynman–Kac formula, degenerate PDEs, 60H10, 34F05
G. J. Morrow, Y. Zhang
Ann. Appl. Probab. 15 (3), 1832-1886, (August 2005) DOI: 10.1214/105051605000000241
KEYWORDS: percolation, Triangular lattice, lowest crossing, pivotal sites, 60K35, 82B43
Amarjit Budhiraja, Arka Prasanna Ghosh
Ann. Appl. Probab. 15 (3), 1887-1935, (August 2005) DOI: 10.1214/105051605000000250
KEYWORDS: Control of queuing networks, heavy traffic, Brownian control problem, crisscross network, large deviations, asymptotic optimality, 60K25, 68M20, 90B22, 90B35, 60J70
Serguei Foss, Zbigniew Palmowski, Stan Zachary
Ann. Appl. Probab. 15 (3), 1936-1957, (August 2005) DOI: 10.1214/105051605000000269
KEYWORDS: ruin probability, Subexponential distributions, Random walk, Boundary, 60J10, 60K25
Bénédicte Haas
Ann. Appl. Probab. 15 (3), 1958-1996, (August 2005) DOI: 10.1214/105051605000000340
KEYWORDS: fragmentation, immigration, stationary distribution, 60J25, 60J55, 60B10, 82C21
Anton Bovier, Alessandra Faggionato
Ann. Appl. Probab. 15 (3), 1997-2037, (August 2005) DOI: 10.1214/105051605000000359
KEYWORDS: Disordered systems, random dynamics, trap models, Aging, spectral properties, 60K37, 82C20
Malwina J. Luczak, James Norris
Ann. Appl. Probab. 15 (3), 2038-2061, (August 2005) DOI: 10.1214/105051605000000368
KEYWORDS: Supermarket model, Join the shortest queue, Law of Large Numbers, diffusion approximation, exponential martingale inequalities, coupling, 60K25, 60F15
L. Alili, A. E. Kyprianou
Ann. Appl. Probab. 15 (3), 2062-2080, (August 2005) DOI: 10.1214/105051605000000377
KEYWORDS: Optimal stopping, American options, principle of smooth pasting, principle of continuous pasting, Lévy processes, 60G40, 60J75, 91B70, 60G51
Wolfgang Wagner
Ann. Appl. Probab. 15 (3), 2081-2112, (August 2005) DOI: 10.1214/105051605000000386
KEYWORDS: Explosion of jump processes, Stochastic particle systems, coagulation and fragmentation models, 60J75, 60K40
Michael Mania, Martin Schweizer
Ann. Appl. Probab. 15 (3), 2113-2143, (August 2005) DOI: 10.1214/105051605000000395
KEYWORDS: Indifference value, exponential utility, dynamic valuation, BSDE, semimartingale backward equation, BMO-martingales, incomplete markets, minimal entropy martingale measure, 91B28, 60H10, 91B16, 60G48
Carlos M. Mora
Ann. Appl. Probab. 15 (3), 2144-2171, (August 2005) DOI: 10.1214/105051605000000403
KEYWORDS: Stochastic Schrödinger equation, Stochastic differential equations, quantum master equations, numerical solution, exponential schemes, rate of convergence, weak convergence, 60H35, 60H10, 65U05, 65C30
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
Ann. Appl. Probab. 15 (3), 2172-2202, (August 2005) DOI: 10.1214/105051605000000412
KEYWORDS: Backward stochastic differential equations, regression on function bases, Monte Carlo methods, 60H10, 60H10, 65C30
Richard S. Ellis, Peter T. Otto, Hugo Touchette
Ann. Appl. Probab. 15 (3), 2203-2254, (August 2005) DOI: 10.1214/105051605000000421
KEYWORDS: Equilibrium macrostates, second-order phase transition, first-order phase transition, large deviation principle, 60F10, 60F05, 82B20
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