VOL. 18 · NO. 3 | June 2008
Ann. Appl. Probab. 18 (3), (June 2008)
No abstract available
Ann. Appl. Probab. 18 (3), (June 2008)
No abstract available
Mark Braverman, Omid Etesami, Elchanan Mossel
Ann. Appl. Probab. 18 (3), 825-846, (June 2008) DOI: 10.1214/07-AAP456
KEYWORDS: Mafia, extensive game, optimal strategy, martingale, 91A18, 91A28, 60J20
Ludger Rüschendorf, Mikhail A. Urusov
Ann. Appl. Probab. 18 (3), 847-878, (June 2008) DOI: 10.1214/07-AAP474
KEYWORDS: Optimal stopping, free boundary problem, one-dimensional SDE, Engelbert–Schmidt condition, Local times, occupation times formula, Itô–Tanaka formula, 60G40, 60H10
Łukasz Delong, Claudia Klüppelberg
Ann. Appl. Probab. 18 (3), 879-908, (June 2008) DOI: 10.1214/07-AAP475
KEYWORDS: Banach fixed point theorem, Feynman–Kac formula, Hamilton–Jacobi–Bellman equation, utility function, Lévy process, optimal investment and consumption, Ornstein–Uhlenbeck process, stochastic volatility model, subordinator, 93E20, 91B28, 60H30, 60J75
Janko Gravner, Alexander E. Holroyd
Ann. Appl. Probab. 18 (3), 909-928, (June 2008) DOI: 10.1214/07-AAP473
KEYWORDS: Bootstrap percolation, cellular automaton, metastability, finite-size scaling, crossover, 60K35, 82B43
Sara Biagini, Marco Frittelli
Ann. Appl. Probab. 18 (3), 929-966, (June 2008) DOI: 10.1214/07-AAP469
KEYWORDS: utility maximization, nonlocally bounded semimartingale, incomplete market, σ-martingale measure, Orlicz space, convex duality, singular functionals, 60G48, 60G44, 49N15, 91B28, 46E30, 46N30, 91B16
Vincent Bansaye
Ann. Appl. Probab. 18 (3), 967-996, (June 2008) DOI: 10.1214/07-AAP465
KEYWORDS: Bienaymé Galton Watson process (BGW), branching processes in random environment (BPRE), Markov chain indexed by a tree, quasistationary distribution, empirical measures, 60J80, 60J85, 60K37, 92C37, 92D25, 92D30
Jean-François Delmas, Jean-Stéphane Dhersin, Arno Siri-Jegousse
Ann. Appl. Probab. 18 (3), 997-1025, (June 2008) DOI: 10.1214/07-AAP476
KEYWORDS: Coalescent process, beta-coalescent, Stable process, Watterson estimator, 60F05, 60G52, 60J70, 05C05
Vladislav V. Vysotsky
Ann. Appl. Probab. 18 (3), 1026-1058, (June 2008) DOI: 10.1214/07-AAP481
KEYWORDS: Sticky particles, Particle systems, gravitating particles, number of clusters, Aggregation, adhesion, 60K35, 82C22, 60F17, 70F99
Sofia Aberg, Igor Rychlik, M. Ross Leadbetter
Ann. Appl. Probab. 18 (3), 1059-1084, (June 2008) DOI: 10.1214/07-AAP480
KEYWORDS: Encountered waves, Gaussian process, level crossings, Palm distribution, Rice’s formula, wave velocity, 60G15, 60K40
Svante Janson, Malwina J. Luczak
Ann. Appl. Probab. 18 (3), 1085-1137, (June 2008) DOI: 10.1214/07-AAP478
KEYWORDS: Cores, Random graphs, Balls and bins, central limit theorem, 05C80
Carenne Ludeña
Ann. Appl. Probab. 18 (3), 1138-1163, (June 2008) DOI: 10.1214/07-AAP483
KEYWORDS: fractional Brownian motion, multifractal random measures, multifractal random walks, L^p-variations, linearization effect, scaling phenomena, 60F05, 60G57, 60K40, 62F10, 60G15, 60G18, 60E07
Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve
Ann. Appl. Probab. 18 (3), 1164-1200, (June 2008) DOI: 10.1214/07-AAP482
KEYWORDS: Mixed singular/switching control problem, viscosity solution, smooth-fit property, system of variational inequalities, 60G40, 91B70, 93E20
Gareth O. Roberts, Jeffrey S. Rosenthal
Ann. Appl. Probab. 18 (3), 1201-1214, (June 2008) DOI: 10.1214/07-AAP486
KEYWORDS: Markov chain Monte Carlo, Metropolis–Hastings algorithm, central limit theorem, variance, Peskun order, geometric ergodicity, spectrum, 60J10, 65C40, 47A10
Omer Angel, Yuval Peres, David B. Wilson
Ann. Appl. Probab. 18 (3), 1215-1231, (June 2008) DOI: 10.1214/07-AAP484
KEYWORDS: card shuffling, diophantine approximation, 60J10, 60C05
G. M. Pan, W. Zhou
Ann. Appl. Probab. 18 (3), 1232-1270, (June 2008) DOI: 10.1214/07-AAP477
KEYWORDS: Random quadratic forms, SIR, random matrices, Empirical distribution, Stieltjes transform, central limit theorem, 15A52, 62P30, 60F05, 62E20
Yan Dolinsky, Yuri Kifer
Ann. Appl. Probab. 18 (3), 1271-1277, (June 2008) DOI: 10.1214/07-AAP479
KEYWORDS: Game options, Dynkin games, binomial approximation, Skorokhod embedding, 91B28, 60F15, 91A05
No abstract available
Back to Top