VOL. 16 · NO. 4 | November 2006
Ann. Appl. Probab. 16 (4), (November 2006)
No abstract available
Ann. Appl. Probab. 16 (4), (November 2006)
No abstract available
Rui Dong, Christina Goldschmidt, James B. Martin
Ann. Appl. Probab. 16 (4), 1733-1750, (November 2006) DOI: 10.1214/105051606000000655
KEYWORDS: coagulation, fragmentation, Poisson–Dirichlet distributions, recursive trees, Time reversal, 60J05, 60G51, 60C05, 05C05
Xun Li, Xun Yu Zhou
Ann. Appl. Probab. 16 (4), 1751-1763, (November 2006) DOI: 10.1214/105051606000000349
KEYWORDS: continuous time, portfolio selection, mean-variance efficiency, goal-achieving, hitting time, 90A09, 93E20
Rami Atar, Avi Mandelbaum, Gennady Shaikhet
Ann. Appl. Probab. 16 (4), 1764-1804, (November 2006) DOI: 10.1214/105051606000000358
KEYWORDS: Multiclass queueing systems, heavy traffic, scheduling and routing, singular control of diffusions, null controllability, 60K25, 68M20, 90B22, 90B36, 60F05, 49N25
Fred Kochman, Jim Reeds
Ann. Appl. Probab. 16 (4), 1805-1815, (November 2006) DOI: 10.1214/105051606000000367
KEYWORDS: Hidden Markov models, uniform mean stability, e-chain, ergodicity, 60J10, 60J05, 60F99
I. M. MacPhee, M. V. Menshikov, S. Popov, S. Volkov
Ann. Appl. Probab. 16 (4), 1816-1850, (November 2006) DOI: 10.1214/105051606000000376
KEYWORDS: polling systems, greedy algorithm, transience, Random walk, dynamical system, interval exchange transformation, a.s. convergence, 60K25, 90B22, 37E05
Samuel Herrmann, Peter Imkeller, Dierk Peithmann
Ann. Appl. Probab. 16 (4), 1851-1892, (November 2006) DOI: 10.1214/105051606000000385
KEYWORDS: Stochastic resonance, optimal tuning, large deviations, diffusion, periodic potential, double well potential, noise induced transition, exit time distribution, perturbed dynamical system, 60H10, 60J60, 60F10, 60J70, 86A10, 34D45
Kurt Majewski
Ann. Appl. Probab. 16 (4), 1893-1924, (November 2006) DOI: 10.1214/105051606000000439
KEYWORDS: Moderate deviations, heavy traffic, first come first serve, priority service discipline, sojourn-time, stationary, Skorokhod map, reflection map, Brownian motion, 60F10, 90B15, 68M20, 60J65
Karen Ball, Thomas G. Kurtz, Lea Popovic, Greg Rempala
Ann. Appl. Probab. 16 (4), 1925-1961, (November 2006) DOI: 10.1214/105051606000000420
KEYWORDS: Reaction networks, chemical reactions, cellular processes, Markov chains, averaging, scaling limits, 92C45, 80A30, 60J27, 60J80, 60F17
Amarjit Budhiraja, Arka Prasanna Ghosh
Ann. Appl. Probab. 16 (4), 1962-2006, (November 2006) DOI: 10.1214/105051606000000457
KEYWORDS: Control of queuing networks, heavy traffic, Brownian control problem, equivalent workload formulation, unitary networks, asymptotic optimality, 60K25, 68M20, 90B22, 90B35, 60J70
Nelson Antunes, Christine Fricker, Philippe Robert, Danielle Tibi
Ann. Appl. Probab. 16 (4), 2007-2026, (November 2006) DOI: 10.1214/105051606000000466
KEYWORDS: Stochastic networks, scaling, asymptotic dynamical systems, fixed point equations, 60K35, 60K25
Dirk Becherer
Ann. Appl. Probab. 16 (4), 2027-2054, (November 2006) DOI: 10.1214/105051606000000475
KEYWORDS: Backward stochastic differential equations, Random measures, utility optimization, dynamic indifference valuation, incomplete markets, hedging, Entropy, 60G57, 60H30, 91B28, 60H99, 60G44, 60G55
Irene Klein
Ann. Appl. Probab. 16 (4), 2055-2077, (November 2006) DOI: 10.1214/105051606000000484
KEYWORDS: Market free lunch, large financial market, contiguity of measures, asymptotic free lunch, fundamental theorem of asset pricing, Orlicz space, 46A20, 46E30, 46N10, 60G44, 60H05
Didier Piau
Ann. Appl. Probab. 16 (4), 2078-2097, (November 2006) DOI: 10.1214/105051606000000493
KEYWORDS: branching processes, harmonic moments, inhomogeneous Markov processes, limit theorems, 60J80
Persi Diaconis, Laurent Saloff-Coste
Ann. Appl. Probab. 16 (4), 2098-2122, (November 2006) DOI: 10.1214/105051606000000501
KEYWORDS: Ergodic Markov chains, birth and death chains, mixing time, strong stationary time, 60B10, 60J05, 60J27
Gareth O. Roberts, Jeffrey S. Rosenthal
Ann. Appl. Probab. 16 (4), 2123-2139, (November 2006) DOI: 10.1214/105051606000000510
KEYWORDS: Harris recurrence, Metropolis algorithm, Markov chain Monte Carlo, phi-irreducibility, trans-dimensional Markov chains, 60J05, 65C05, 60J22, 62F15
Dmitry Kramkov, Mihai Sîrbu
Ann. Appl. Probab. 16 (4), 2140-2194, (November 2006) DOI: 10.1214/105051606000000529
KEYWORDS: utility maximization, incomplete markets, risk-aversion, risk-tolerance, random endowment, Contingent claim, hedging, utility-based valuation, stochastic dominance, 90A09, 90A10, 90C26
Michael G. B. Blum, Olivier François, Svante Janson
Ann. Appl. Probab. 16 (4), 2195-2214, (November 2006) DOI: 10.1214/105051606000000547
KEYWORDS: Random phylogenetic trees, Yule process, Catalan trees, shape statistics, contraction method, central limit theorem, Airy distribution, 05C05, 60F05, 60C05, 92D15
Elchanan Mossel, Eric Vigoda
Ann. Appl. Probab. 16 (4), 2215-2234, (November 2006) DOI: 10.1214/105051600000000538
KEYWORDS: Markov chain Monte Carlo, phylogeny, tree space, 60J10, 92D15
Amarjit Budhiraja, Kevin Ross
Ann. Appl. Probab. 16 (4), 2235-2255, (November 2006) DOI: 10.1214/105051606000000556
KEYWORDS: singular control, state constraints, Brownian control problems, Stochastic networks, equivalent workload formulation, 93E20, 60K25, 49J30
Youssef Saïdi, Jean-Michel Zakoïan
Ann. Appl. Probab. 16 (4), 2256-2271, (November 2006) DOI: 10.1214/105051606000000565
KEYWORDS: β-mixing, ergodicity, GARCH-type models, Markov chains, nonlinear time series, threshold models, 60G10, 60J05, 62M10, 91B84
P. E. Ney, Anand N. Vidyashankar
Ann. Appl. Probab. 16 (4), 2272, (November 2006) DOI: 10.1214/105051606000000574
No abstract available
Yuri Kifer
Ann. Appl. Probab. 16 (4), 2273-2275, (November 2006) DOI: 10.1214/105051606000000808
No abstract available
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