VOL. 16 · NO. 3 | August 2006
 
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Frontmatter
Ann. Appl. Probab. 16 (3), (August 2006)
No abstract available
Ann. Appl. Probab. 16 (3), (August 2006)
No abstract available
Articles
E. D. Andjel, M. V. Menshikov, V. V. Sisko
Ann. Appl. Probab. 16 (3), 1059-1085, (August 2006) DOI: 10.1214/105051606000000079
KEYWORDS: Positive recurrent, Markov chain, invariant measure, exponentially decaying tails, 60J20, 60G55, 60K25, 60J10, 80A30
Laurent Goergen
Ann. Appl. Probab. 16 (3), 1086-1123, (August 2006) DOI: 10.1214/105051606000000051
KEYWORDS: Diffusions in random environment, Law of Large Numbers, Zero–one law, 60K37, 82D30
Emmanuelle Clément, Arturo Kohatsu-Higa, Damien Lamberton
Ann. Appl. Probab. 16 (3), 1124-1154, (August 2006) DOI: 10.1214/105051606000000060
KEYWORDS: Stochastic differential equation, weak approximation, Euler scheme, Malliavin calculus, 60H07, 60H10, 60H35, 65C30
Benjamin Chan, Richard Durrett
Ann. Appl. Probab. 16 (3), 1155-1165, (August 2006) DOI: 10.1214/105051606000000132
KEYWORDS: Coexistence, competition model, block construction, Interacting particle system, 60K35
Peter Neal
Ann. Appl. Probab. 16 (3), 1166-1189, (August 2006) DOI: 10.1214/105051606000000123
KEYWORDS: Multitype epidemic models, Random graphs, central limit theorems, 92D30, 05C80
Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
Ann. Appl. Probab. 16 (3), 1190-1261, (August 2006) DOI: 10.1214/105051606000000312
KEYWORDS: Poisson disorder problem, quickest detection, Optimal stopping, 62L10, 62L15, 62C10, 60G40
Niels Richard Hansen
Ann. Appl. Probab. 16 (3), 1262-1296, (August 2006) DOI: 10.1214/105051606000000321
KEYWORDS: Chen–Stein method, Extreme value theory, large deviations, local alignment, Markov additive processes, Markov chains, Poisson approximation, 60G70, 60F10
Thomas P. Hayes, Eric Vigoda
Ann. Appl. Probab. 16 (3), 1297-1318, (August 2006) DOI: 10.1214/105051606000000330
KEYWORDS: mixing time of Markov chains, Coupling method, random colorings, hard-core model, 60J10, 68W20
Thorsten Rheinländer, Gallus Steiger
Ann. Appl. Probab. 16 (3), 1319-1351, (August 2006) DOI: 10.1214/105051606000000240
KEYWORDS: Relative entropy, martingale measures, stochastic volatility, 28D20, 60G48, 60H05, 91B28
Dmitry Kramkov, Mihai Sîrbu
Ann. Appl. Probab. 16 (3), 1352-1384, (August 2006) DOI: 10.1214/105051606000000259
KEYWORDS: utility maximization, incomplete markets, Legendre transformation, duality theory, risk aversion, risk tolerance, 90A09, 90A10, 90C26
N. Lanchier, C. Neuhauser
Ann. Appl. Probab. 16 (3), 1385-1410, (August 2006) DOI: 10.1214/105051606000000394
KEYWORDS: Multitype contact process in heterogeneous environment, specialist, generalist, 60K35, 82C22
Victor F. Araman, Peter W. Glynn
Ann. Appl. Probab. 16 (3), 1411-1431, (August 2006) DOI: 10.1214/105051606000000268
KEYWORDS: Perturbed random walk, Cramér–Lundberg approximation, tail asymptotics, coupling, heavy tails, 60K25, 60F17, 68M20, 90F35
Serge Cohen, Gennady Samorodnitsky
Ann. Appl. Probab. 16 (3), 1432-1461, (August 2006) DOI: 10.1214/105051606000000277
KEYWORDS: Stable process, self-similar process, stationary process, integral representation, conservative flow, null flow, fractional Brownian motion, Local time, random reward, chaos expansion, superposition of scaled inputs, long memory, 60G18, 60G52, 60G17
Christophe Andrieu, Éric Moulines
Ann. Appl. Probab. 16 (3), 1462-1505, (August 2006) DOI: 10.1214/105051606000000286
KEYWORDS: Adaptive Markov chain Monte Carlo, self-tuning algorithm, Metropolis–Hastings algorithm, stochastic approximation, state-dependent noise, randomly varying truncation, martingale, Poisson method, 65C05, 65C40, 60J27, 60J35, 93E35
N. Cancrini, P. Caputo, F. Martinelli
Ann. Appl. Probab. 16 (3), 1506-1527, (August 2006) DOI: 10.1214/105051606000000295
KEYWORDS: L-reversal chains, Random transpositions, spectral gap, 60J27, 92D10
Brad Luen, Kavita Ramanan, Ilze Ziedins
Ann. Appl. Probab. 16 (3), 1528-1562, (August 2006) DOI: 10.1214/105051606000000303
KEYWORDS: Loss networks, admission control, Phase transitions, Gibbs measures, Markov specifications, nonmonotone phase transitions, blocking probabilities, Partition function, Hard core model, multicasting, processor sharing, 60K35, 60G60, 93E03
M. A. Steel, L. A. Székely
Ann. Appl. Probab. 16 (3), 1563-1575, (August 2006) DOI: 10.1214/105051606000000196
KEYWORDS: Cavender–Farris–Neyman model, symmetric binary channel, tree-based Markov process, Yule–Harding distribution, phylogeny reconstruction, sequence evolution, q-state Potts model, Jukes–Cantor model, variational distance, 62P10, 05C05, 05C80, 05C90, 92D15
Erik Ekström, Stephane Villeneuve
Ann. Appl. Probab. 16 (3), 1576-1596, (August 2006) DOI: 10.1214/105051606000000204
KEYWORDS: Optimal stopping games, Dynkin games, Optimal stopping, Israeli options, smooth-fit principle, 91A15, 60G40
Mireille Bousquet-Mélou, Svante Janson
Ann. Appl. Probab. 16 (3), 1597-1632, (August 2006) DOI: 10.1214/105051606000000213
KEYWORDS: Random binary tree, natural labeling, vertical profile, ISE, local limit law, 60C15, 05A15, 05C05
Jakša Cvitanić, Robert Liptser, Boris Rozovskii
Ann. Appl. Probab. 16 (3), 1633-1652, (August 2006) DOI: 10.1214/105051606000000222
KEYWORDS: Nonlinear filtering, Discrete observations, Volatility estimation, 60G35, 91B28, 62M20, 93E11
Mario V. Wüthrich
Ann. Appl. Probab. 16 (3), 1653-1670, (August 2006) DOI: 10.1214/105051606000000231
KEYWORDS: Random walk, random medium, Heteropolymer, phase transition, 60K99, 60K35, 82B24, 82B26
Abdelkader Mokkadem, Mariane Pelletier
Ann. Appl. Probab. 16 (3), 1671-1702, (August 2006) DOI: 10.1214/105051606000000448
KEYWORDS: stochastic approximation, two-time-scales, weak convergence rate, averaging principle, 62L20
J. Michael Harrison
Ann. Appl. Probab. 16 (3), 1703-1732, (August 2006) DOI: 10.1214/105051606000000583
KEYWORDS: Queueing theory, heavy traffic, dynamic control, Brownian approximation, equivalent workload formulation, 60K25, 60J7, 90B15
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