VOL. 19 · NO. 6 | December 2009
Ann. Appl. Probab. 19 (6), (December 2009)
No abstract available
Ann. Appl. Probab. 19 (6), (December 2009)
No abstract available
Pao-Liu Chow
Ann. Appl. Probab. 19 (6), 2039-2046, (December 2009) DOI: 10.1214/09-AAP602
KEYWORDS: nonlinear, stochastic wave equations, local and global solutions, explosive solutions, energy equation, 60H15, 60H05
Irmingard Eder, Claudia Klüppelberg
Ann. Appl. Probab. 19 (6), 2047-2079, (December 2009) DOI: 10.1214/09-AAP601
KEYWORDS: First passage event, fluctuation theory, ladder process, multivariate Lévy process, Lévy copula, ruin theory, dependence modeling, 60G51, 60G50, 60J75, 91B30
Paweł Hitczenko, Jacek Wesołowski
Ann. Appl. Probab. 19 (6), 2080-2101, (December 2009) DOI: 10.1214/09-AAP603
KEYWORDS: perpetuity, stochastic difference equation, tail behavior, 60H25, 60E99
Hernan Awad, Peter Glynn
Ann. Appl. Probab. 19 (6), 2102-2136, (December 2009) DOI: 10.1214/09-AAP605
KEYWORDS: queues, fractional Brownian motion, conditional limit laws, large buffer asymptotic, 60K25, 90B22, 68M20, 60F99
Rishi Talreja, Ward Whitt
Ann. Appl. Probab. 19 (6), 2137-2175, (December 2009) DOI: 10.1214/09-AAP606
KEYWORDS: Multiple-server queues, many-server heavy-traffic limits for queues, diffusion approximations, functional central limit theorems, Waiting times, 60F17, 60K25
Gordan Žitković
Ann. Appl. Probab. 19 (6), 2176-2210, (December 2009) DOI: 10.1214/09-AAP607
KEYWORDS: exponential utility, forward performances, incomplete markets, utility maximization, convex duality, Random fields, mathematical finance, 91B16, 91B28
Josh Reed
Ann. Appl. Probab. 19 (6), 2211-2269, (December 2009) DOI: 10.1214/09-AAP609
KEYWORDS: Queueing theory, diffusion approximation, Gaussian process, martingale, weak convergence, 60F17, 60K25, 90B22, 60G15, 60G44, 60K15
Milton Jara, Tomasz Komorowski, Stefano Olla
Ann. Appl. Probab. 19 (6), 2270-2300, (December 2009) DOI: 10.1214/09-AAP610
KEYWORDS: Stable laws, self-similar Lévy processes, limit theorems, linear Boltzmann equation, fractional heat equation, anomalous heat transport, 60F05, 60F17, 76P05
N. S. Walton
Ann. Appl. Probab. 19 (6), 2301-2333, (December 2009) DOI: 10.1214/09-AAP612
KEYWORDS: Multi-class queueing network, proportional fairness, bandwidth sharing, stochastic flow level model, insensitivity, product form stationary distribution, proportionally fair, state space collapse, 60K25, 60K30, 90K15, 68K20
Carl Graham, Philippe Robert
Ann. Appl. Probab. 19 (6), 2334-2361, (December 2009) DOI: 10.1214/09-AAP614
KEYWORDS: Multi-class systems, Mean-field interaction, coupling, chaoticity, Nonlinear stochastic differential equations, equilibrium distributions, 60K35, 60K25, 90B18
Noureddine El Karoui
Ann. Appl. Probab. 19 (6), 2362-2405, (December 2009) DOI: 10.1214/08-AAP548
KEYWORDS: Covariance matrices, correlation matrices, eigenvalues of covariance matrices, multivariate statistical analysis, high-dimensional inference, Random matrix theory, elliptical distributions, concentration of measure, 62H10
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