VOL. 15 · NO. 4 | November 2005
Ann. Appl. Probab. 15 (4), (November 2005) Open Access
No abstract available
Ann. Appl. Probab. 15 (4), (November 2005) Open Access
No abstract available
J. M. Harrison, R. J. Williams
Ann. Appl. Probab. 15 (4), 2255-2295, (November 2005) DOI: 10.1214/105051605000000458 Open Access
KEYWORDS: Stochastic control, singular control, Brownian network model, reflected Brownian motion, workload, no-arbitrage, state space collapse, continuous selection, 60J60, 60K30, 90B15, 90B36
Adrian D. Banner, Robert Fernholz, Ioannis Karatzas
Ann. Appl. Probab. 15 (4), 2296-2330, (November 2005) DOI: 10.1214/105051605000000449 Open Access
KEYWORDS: Financial markets, portfolios, order statistics, Local times, Stochastic differential equations, ergodic properties, 60H10, 91B28, 60J55
Françoise Pène
Ann. Appl. Probab. 15 (4), 2331-2392, (November 2005) DOI: 10.1214/105051605000000476 Open Access
KEYWORDS: Multidimensional central limit theorem, Kantorovich metric, Prokhorov metric, rate of convergence, 37D50, 60F05
Bruno Bouchard, Huyên Pham
Ann. Appl. Probab. 15 (4), 2393-2421, (November 2005) DOI: 10.1214/105051605000000467 Open Access
KEYWORDS: Financial markets with transaction costs, nonlinear returns, robust no-arbitrage, super-hedging theorem, multivariate nonsmooth utility maximization, 60G42
Alexandros Beskos, Gareth O. Roberts
Ann. Appl. Probab. 15 (4), 2422-2444, (November 2005) DOI: 10.1214/105051605000000485 Open Access
KEYWORDS: exact simulation, rejection sampling, Girsanov theorem, boundary hitting time, 60J60, 65C05
Hanène Mohamed, Philippe Robert
Ann. Appl. Probab. 15 (4), 2445-2471, (November 2005) DOI: 10.1214/105051605000000494 Open Access
KEYWORDS: Splitting algorithms, divide and conquer algorithms, unusual laws of large numbers, asymptotic oscillating behavior, data structures, tries, Renewal theorem, 68W40, 60K20, 90B15
Patrick Cheridito, H. Mete Soner, Nizar Touzi
Ann. Appl. Probab. 15 (4), 2472-2495, (November 2005) DOI: 10.1214/105051605000000557 Open Access
KEYWORDS: Double stochastic integrals, Law of the iterated logarithm, Stochastic control, hedging under gamma constraints, 60G17, 60H05, 60H30, 91B28
Pierre Del Moral, Josselin Garnier
Ann. Appl. Probab. 15 (4), 2496-2534, (November 2005) DOI: 10.1214/105051605000000566 Open Access
KEYWORDS: Rare events, Monte Carlo Markov chains, importance sampling, interacting particle systems, Genetic algorithms, 65C35, 65C20, 60F10, 68U20, 62P35
Ashish Goel, Sanatan Rai, Bhaskar Krishnamachari
Ann. Appl. Probab. 15 (4), 2535-2552, (November 2005) DOI: 10.1214/105051605000000575 Open Access
KEYWORDS: Geometric random graphs, Sharp thresholds, wireless networks, 60D05, 5C80, 90B10
Didier Piau
Ann. Appl. Probab. 15 (4), 2553-2574, (November 2005) DOI: 10.1214/105051605000000584 Open Access
KEYWORDS: DNA sequences, physical mapping, anchored islands, coverage processes, FKG inequality, genomic sequences, inhomogeneous Poisson processes, invariance principle, 60G55, 92D20, 60F17
Bruno Bouchard, Nicole El Karoui, Nizar Touzi
Ann. Appl. Probab. 15 (4), 2575-2605, (November 2005) DOI: 10.1214/105051605000000593 Open Access
KEYWORDS: Optimal stopping, Stochastic control, uncertain volatility models, 93E20, 35C15, 91B28
Rami Atar
Ann. Appl. Probab. 15 (4), 2606-2650, (November 2005) DOI: 10.1214/105051605000000601 Open Access
KEYWORDS: Multiclass queueing systems, heavy traffic, scheduling and routing, asymptotically optimal controls, Hamilton–Jacobi–Bellman equation, 60K25, 68M20, 90B22, 90B36, 60F05, 49L20
Henrik Hult, Filip Lindskog, Thomas Mikosch, Gennady Samorodnitsky
Ann. Appl. Probab. 15 (4), 2651-2680, (November 2005) DOI: 10.1214/105051605000000502 Open Access
KEYWORDS: large deviations, regular variation, Functional limit theorems, Random walks, 60F10, 60F17, 60G50, 60B12
Ahmed Kebaier
Ann. Appl. Probab. 15 (4), 2681-2705, (November 2005) DOI: 10.1214/105051605000000511 Open Access
KEYWORDS: Romberg extrapolation, Monte Carlo simulation, variance reduction, central limit theorem, option pricing, finance, 65C05, 60F05, 62P05
Liqing Yan
Ann. Appl. Probab. 15 (4), 2706-2738, (November 2005) DOI: 10.1214/105051605000000520 Open Access
KEYWORDS: Milstein scheme, Stochastic differential equations, weak convergence, 60H10, 60H35, 65C05, 60F05, 68U20
Michael A. Kouritzin, Wei Sun
Ann. Appl. Probab. 15 (4), 2739-2772, (November 2005) DOI: 10.1214/105051605000000539 Open Access
KEYWORDS: Filtering, reference probability measure method, branching particle approximations, rates of convergence, Fourier analysis, 93E11, 65C35
M. De Donno, M. Pratelli
Ann. Appl. Probab. 15 (4), 2773-2791, (November 2005) DOI: 10.1214/105051605000000548 Open Access
KEYWORDS: Infinite-dimensional stochastic integration, convergence of semimartingales, bond market, 60H05, 60G44, 91B70
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