VOL. 18 · NO. 5 | October 2008
Ann. Appl. Probab. 18 (5), (October 2008)
No abstract available
Ann. Appl. Probab. 18 (5), (October 2008)
No abstract available
R. L. Loeffen
Ann. Appl. Probab. 18 (5), 1669-1680, (October 2008) DOI: 10.1214/07-AAP504
KEYWORDS: Lévy process, Stochastic control, dividend problem, scale function, complete monotonicity, 60J99, 93E20, 60G51
Vicky Henderson, David Hobson
Ann. Appl. Probab. 18 (5), 1681-1705, (October 2008) DOI: 10.1214/07-AAP511
KEYWORDS: Optimal stopping, singular control, utility maximization, incomplete market, Local time, gambling, 60G40, 91A60, 60G44, 91B28, 93E20
Benjamin Jourdain, Florent Malrieu
Ann. Appl. Probab. 18 (5), 1706-1736, (October 2008) DOI: 10.1214/07-AAP513
KEYWORDS: Viscous scalar conservation law, nonlinear process, Particle system, propagation of chaos, Poincaré inequality, long time behavior, 65C35, 60K35, 60E15, 35K15, 46N30
Yan Dolinsky, Yuri Kifer
Ann. Appl. Probab. 18 (5), 1737-1770, (October 2008) DOI: 10.1214/07-AAP503
KEYWORDS: Game options, Dynkin games, complete and incomplete markets, shortfall risk, binomial approximation, Skorokhod embedding, 91B28, 60F15, 91A05
Oskar Sandberg
Ann. Appl. Probab. 18 (5), 1771-1793, (October 2008) DOI: 10.1214/07-AAP499
KEYWORDS: small world, navigable, hitting probability, network evolution, 60C05, 68R10, 68W20
Shui Feng, Fuqing Gao
Ann. Appl. Probab. 18 (5), 1794-1824, (October 2008) DOI: 10.1214/07-AAP501
KEYWORDS: Poisson process, Poisson–Dirichlet distribution, Dirichlet processes, GEM representation, homozygosity, large deviations, Moderate deviations, 60F10, 92D10
Alexander Cherny
Ann. Appl. Probab. 18 (5), 1825-1830, (October 2008) DOI: 10.1214/07-AAP502
KEYWORDS: Brownian moving average, conditional full support, Titchmarsh convolution theorem, 91B28, 60G15
Ou Zhao, Michael Woodroofe
Ann. Appl. Probab. 18 (5), 1831-1847, (October 2008) DOI: 10.1214/07-AAP505
KEYWORDS: Co-isometry, conditional central limit theorem, fractional Poisson equation, Martingale approximation, normal operator, plus norm, shift process, 60F05, 60J10
Bernard Bercu, Abderrahmen Touati
Ann. Appl. Probab. 18 (5), 1848-1869, (October 2008) DOI: 10.1214/07-AAP506
KEYWORDS: Exponential inequalities, Martingales, autoregressive processes, branching processes, 60E15, 60G42, 60G15, 60J80
A. M. G. Cox, David Hobson, Jan Obłój
Ann. Appl. Probab. 18 (5), 1870-1896, (October 2008) DOI: 10.1214/07-AAP507
KEYWORDS: Skorokhod embedding problem, Local time, Vallois stopping time, Optimal stopping, robust pricing and hedging, 60G40, 60G44, 91B28
Allan Sly
Ann. Appl. Probab. 18 (5), 1897-1909, (October 2008) DOI: 10.1214/07-AAP508
KEYWORDS: uniqueness, Potts model, 82B26
Giovanni Peccati, Igor Prünster
Ann. Appl. Probab. 18 (5), 1910-1943, (October 2008) DOI: 10.1214/07-AAP509
KEYWORDS: asymptotics, Bayesian nonparametrics, central limit theorem, completely random measure, multiple Wiener–Itô integral, path-variance, random hazard rate, Survival analysis, 60G57, 62G20
Christopher Hoffman
Ann. Appl. Probab. 18 (5), 1944-1969, (October 2008) DOI: 10.1214/07-AAP510
KEYWORDS: first passage percolation, Richardson’s growth model, 60K35, 82B43
Gusztáv Morvai, Benjamin Weiss
Ann. Appl. Probab. 18 (5), 1970-1992, (October 2008) DOI: 10.1214/07-AAP512
KEYWORDS: Prediction theory, renewal theory, 60G25, 60K05
Amir Dembo, Andrea Montanari
Ann. Appl. Probab. 18 (5), 1993-2040, (October 2008) DOI: 10.1214/07-AAP514
KEYWORDS: Core, random hypergraph, random graph, low-density parity-check codes, XOR-SAT, finite-size scaling, 05C80, 60J10, 60F17, 68R10, 94A29
Stéphane Crépey, Anis Matoussi
Ann. Appl. Probab. 18 (5), 2041-2069, (October 2008) DOI: 10.1214/08-AAP517
KEYWORDS: Reflected BSDEs, jumps, a priori estimates, Comparison theorem, Markovian BSDEs, finance, convertible bonds, 60H10, 60G40, 60G57, 91B28
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