VOL. 19 · NO. 4 | August 2009
Ann. Appl. Probab. 19 (4), (August 2009) Open Access
No abstract available
Ann. Appl. Probab. 19 (4), (August 2009) Open Access
No abstract available
Robin Pemantle
Ann. Appl. Probab. 19 (4), 1273-1291, (August 2009) DOI: 10.1214/08-AAP585 Open Access
KEYWORDS: Branching random walk, minimal displacement, Maximal displacement, optimal path, algorithm, computational complexity, 68W40, 68Q25, 60J80, 60C05
Jean-Baptiste Gouéré
Ann. Appl. Probab. 19 (4), 1292-1318, (August 2009) DOI: 10.1214/08-AAP575 Open Access
KEYWORDS: continuum percolation, Boolean percolation, multiscale percolation, marriage of Poisson and Lebesgue, 60K35, 82B43, 60G55
Cristina Zucca, Laura Sacerdote
Ann. Appl. Probab. 19 (4), 1319-1346, (August 2009) DOI: 10.1214/08-AAP571 Open Access
KEYWORDS: Inverse first-passage problem, Wiener process, stopping time, 60K35, 60J65, 65C05, 65R20, 60G40, 45G10
Josef Hofbauer, Lorens A. Imhof
Ann. Appl. Probab. 19 (4), 1347-1368, (August 2009) DOI: 10.1214/08-AAP577 Open Access
KEYWORDS: averaging principle, Dirichlet distribution, exclusion principle, Invariant distribution, Lyapunov function, Nash equilibrium, stochastic asymptotic stability, Stochastic differential equation, 60H10, 60J70, 91A22, 92D25
Erik Ekström, Johan Tysk
Ann. Appl. Probab. 19 (4), 1369-1384, (August 2009) DOI: 10.1214/08-AAP579 Open Access
KEYWORDS: Parabolic equations, stochastic representation, preservation of convexity, local martingales, 35K65, 60G44, 60G40, 91B28
Michel Mandjes, Ilkka Norros, Peter Glynn
Ann. Appl. Probab. 19 (4), 1385-1403, (August 2009) DOI: 10.1214/08-AAP578 Open Access
KEYWORDS: Convergence to stationarity, fractional Brownian motion, storage process, large deviations, 60G15, 60G18, 90B05
Jeffrey F. Collamore
Ann. Appl. Probab. 19 (4), 1404-1458, (August 2009) DOI: 10.1214/08-AAP584 Open Access
KEYWORDS: large deviations, ruin probabilities, perpetuities, financial time series, Harris recurrent Markov chains, regeneration, 60F10, 60J10, 60G70
P. Caputo, A. Faggionato
Ann. Appl. Probab. 19 (4), 1459-1494, (August 2009) DOI: 10.1214/08-AAP583 Open Access
KEYWORDS: Random walk in random environment, point process, invariance principle, diffusion coefficient, spectral gap, isoperimetric constant, 60K37, 60G55, 82C41
Yuping Liu, Jin Ma
Ann. Appl. Probab. 19 (4), 1495-1528, (August 2009) DOI: 10.1214/08-AAP582 Open Access
KEYWORDS: Cramér–Lundburg reserve model, proportional reinsurance, optimal investment, Girsanov transformation, duality method, Backward stochastic differential equations, 91B28, 91B30, 60H10, 93G20
Wei Biao Wu
Ann. Appl. Probab. 19 (4), 1529-1552, (August 2009) DOI: 10.1214/08-AAP587 Open Access
KEYWORDS: central limit theorem, consistency, linear process, Markov chains, martingale, Monte Carlo, nonlinear time series, recursive estimation, Spectral density, 60F05, 60F17
Alberto Ohashi
Ann. Appl. Probab. 19 (4), 1553-1580, (August 2009) DOI: 10.1214/08-AAP586 Open Access
KEYWORDS: fractional Brownian motion, interest rate models, stochastic PDEs, invariant manifolds, 60H30, 91B70
P. Collet, C. Giardina, F. Redig
Ann. Appl. Probab. 19 (4), 1581-1602, (August 2009) DOI: 10.1214/08-AAP588 Open Access
KEYWORDS: Sequence alignment, Gibbs measures, statistical mechanics, 60K35, 92D20
Alexander Goldenshluger, Assaf Zeevi
Ann. Appl. Probab. 19 (4), 1603-1633, (August 2009) DOI: 10.1214/08-AAP589 Open Access
KEYWORDS: Sequential allocation, online learning, estimation, bandit problems, regret, inferior sampling rate, minimax, rate-optimal policy, 62L05, 60G40, 62C20
Alexander V. Gnedin, Alexander M. Iksanov, Pavlo Negadajlov, Uwe Rösler
Ann. Appl. Probab. 19 (4), 1634-1655, (August 2009) DOI: 10.1214/08-AAP592 Open Access
KEYWORDS: occupancy, residual allocation model, distributional recursion, regenerative composition, 60F05, 60C05
Rick Durrett, Daniel Remenik
Ann. Appl. Probab. 19 (4), 1656-1685, (August 2009) DOI: 10.1214/08-AAP581 Open Access
KEYWORDS: Epidemic model, chaos, Interacting particle system, dynamical system, random graph, gypsy moth, 60K35, 60J10, 92D25, 37D45, 37N25
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