VOL. 16 · NO. 2 | May 2006
 
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Frontmatter
Ann. Appl. Probab. 16 (2), (May 2006)
No abstract available
Ann. Appl. Probab. 16 (2), (May 2006)
No abstract available
Articles
Peter Neal, Gareth Roberts
Ann. Appl. Probab. 16 (2), 475-515, (May 2006) DOI: 10.1214/105051605000000791
KEYWORDS: Metropolis algorithm, Langevin algorithm, Markov chain Monte Carlo, weak convergence, Optimal scaling, 60F05, 65C05
Łukasz Kruk, John Lehoczky, Steven Shreve
Ann. Appl. Probab. 16 (2), 516-561, (May 2006) DOI: 10.1214/105051605000000809
KEYWORDS: state space collapse, Due dates, heavy traffic, Queueing, diffusion limits, Random measures, 60K25, 60G57, 60J65, 68M20
Donald A. Dawson, Shui Feng
Ann. Appl. Probab. 16 (2), 562-582, (May 2006) DOI: 10.1214/105051605000000818
KEYWORDS: Poisson–Dirichlet distribution, GEM representation, homozygosity, large deviations, 60F10, 92D10
Elchanan Mossel, Sébastien Roch
Ann. Appl. Probab. 16 (2), 583-614, (May 2006) DOI: 10.1214/105051606000000024
KEYWORDS: Hidden Markov models, evolutionary trees, phylogenetic reconstruction, PAC learning, 60J10, 60J20, 68T05, 92B10
Ben Morris
Ann. Appl. Probab. 16 (2), 615-635, (May 2006) DOI: 10.1214/105051605000000728
KEYWORDS: Markov chain, mixing time, Exclusion process, 60J05
Kenneth S. Alexander, Vladas Sidoravicius
Ann. Appl. Probab. 16 (2), 636-669, (May 2006) DOI: 10.1214/105051606000000015
KEYWORDS: Pinning, Polymer, Disorder, Interface, Random potential, 82D60, 82B44, 60K35
Jean-Rene Chazottes, Frank Redig, Evgeny Verbitskiy
Ann. Appl. Probab. 16 (2), 670-684, (May 2006) DOI: 10.1214/105051605000000827
KEYWORDS: hitting time, exponential law, large deviations, rate distortion, 60G60, 60F05, 60F10, 94A08, 94A34
Alison Etheridge, Peter Pfaffelhuber, Anton Wakolbinger
Ann. Appl. Probab. 16 (2), 685-729, (May 2006) DOI: 10.1214/105051606000000114
KEYWORDS: Selective sweeps, genetic hitchhiking, approximate sampling formula, random ancestral partition, diffusion approximation, structured coalescent, Yule processes, random background, 92D15, 60J80, 60J85, 60K37, 92D10
Xianping Guo, Ulrich Rieder
Ann. Appl. Probab. 16 (2), 730-756, (May 2006) DOI: 10.1214/105051606000000105
KEYWORDS: Average reward, general state space, optimality inequality, optimal stationary policy, semimartingale characterization, 90C40, 93E20
Pao-Liu Chow
Ann. Appl. Probab. 16 (2), 757-789, (May 2006) DOI: 10.1214/105051606000000141
KEYWORDS: Stochastic wave equation, semilinear, bounded solutions, Exponential stability, invariant measure, 60H15, 60H05
Peter Brockwell, Erdenebaatar Chadraa, Alexander Lindner
Ann. Appl. Probab. 16 (2), 790-826, (May 2006) DOI: 10.1214/105051606000000150
KEYWORDS: Autocorrelation structure, CARMA process, COGARCH process, stochastic volatility, continuous-time GARCH process, Lyapunov exponent, random recurrence equation, stationary solution, positivity, 60G10, 60G12, 91B70, 60J30, 60H30, 91B28, 91B84
Laurent Denis, Claude Martini
Ann. Appl. Probab. 16 (2), 827-852, (May 2006) DOI: 10.1214/105051606000000169
KEYWORDS: Superreplication, capacity, uncertain volatility model, nondominated model, stochastic integral, option pricing, 60H05, 60G44, 31C15
Friedrich Hubalek, Jan Kallsen, Leszek Krawczyk
Ann. Appl. Probab. 16 (2), 853-885, (May 2006) DOI: 10.1214/105051606000000178
KEYWORDS: Variance-optimal hedging, Lévy processes, Laplace transform, Föllmer–Schweizer decomposition, 44A10, 60G51, 91B28
Luc Devroye, Hsien-Kuei Hwang
Ann. Appl. Probab. 16 (2), 886-918, (May 2006) DOI: 10.1214/105051606000000187
KEYWORDS: Random recursive trees, random search trees, Profile, width, central moments, 60C05, 05C05, 68P10
Lothar Heinrich, Hendrik Schmidt, Volker Schmidt
Ann. Appl. Probab. 16 (2), 919-950, (May 2006) DOI: 10.1214/105051606000000033
KEYWORDS: Poisson hyperplane process, point process, k-flat intersection process, U-statistic, Hoeffding’s decomposition, central limit theorem, Confidence interval, long-range dependence, 60D05, 60F05, 62F12
Jose Blanchet, Peter Glynn
Ann. Appl. Probab. 16 (2), 951-983, (May 2006) DOI: 10.1214/105051606000000042
KEYWORDS: Corrected diffusion approximations, Random walks, ladder heights, sequential analysis, single-server queue, 60G50, 60F05, 62L10, 68M20
Yuri Kifer
Ann. Appl. Probab. 16 (2), 984-1033, (May 2006) DOI: 10.1214/105051606000000088
KEYWORDS: Game options, Dynkin games, complete markets, binomial approximation, Skorokhod embedding, 91B28, 60F15, 91A05
Johan Jonasson
Ann. Appl. Probab. 16 (2), 1034-1058, (May 2006) DOI: 10.1214/10505160600000097
KEYWORDS: mixing time, coupling, lower bound, upper bound, Rudvalis shuffle, move-to-front scheme, coupon-collector’s problem, 60G99, 60J99
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