VOL. 2 · NO. 1 | February, 1992
Front Matter
Ann. Appl. Probab. 2 (1), (February, 1992) Open Access
No abstract available
Ravi Myneni
Ann. Appl. Probab. 2 (1), 1-23, (February, 1992) DOI: 10.1214/aoap/1177005768 Open Access
KEYWORDS: option pricing, Riesz decomposition, Optimal stopping, Snell envelope, principle of smooth fit, free boundary problem, 90A09, 60G40, 35R35, 60J45
S. N. Ethier, Thomas G. Kurtz
Ann. Appl. Probab. 2 (1), 24-35, (February, 1992) DOI: 10.1214/aoap/1177005769 Open Access
KEYWORDS: Population genetics, measure-valued diffusion, Fleming-Viot process, infinitely-many-sites model, Genealogical tree, 60G57, 60J70, 92A10
Chi-Fu Huang, Henri Pages
Ann. Appl. Probab. 2 (1), 36-64, (February, 1992) DOI: 10.1214/aoap/1177005770 Open Access
KEYWORDS: convergence, existence of optimal portfolios, infinite horizon, Martingales, 60G44, 90A16, 60J60
J. G. Dai, J. M. Harrison
Ann. Appl. Probab. 2 (1), 65-86, (February, 1992) DOI: 10.1214/aoap/1177005771 Open Access
KEYWORDS: Brownian system model, reflected Brownian motion, stationary distribution, numerical analysis, open queueing networks, performance analysis, 60J70, 60K30, 65U05, 65P05, 68M20
Gan-Lin Xu, Steven E. Shreve
Ann. Appl. Probab. 2 (1), 87-112, (February, 1992) DOI: 10.1214/aoap/1177005772 Open Access
KEYWORDS: Portfolio and consumption processes, utility functions, Stochastic control, martingale representation theorems, Duality, 93E20, 60G44, 90A16, 49B60
Florin Avram, Dimitris Bertsimas
Ann. Appl. Probab. 2 (1), 113-130, (February, 1992) DOI: 10.1214/aoap/1177005773 Open Access
KEYWORDS: Geometrical probability, minimum spanning tree constant, Euclidean and independent random models, 60D05, 90C27
Douglas Blount
Ann. Appl. Probab. 2 (1), 131-141, (February, 1992) DOI: 10.1214/aoap/1177005774 Open Access
KEYWORDS: Chemical reaction with diffusion, Law of Large Numbers, density dependent birth and death process, 60F17, 60K35, 60H05
Francis Comets, Basilis Gidas
Ann. Appl. Probab. 2 (1), 142-170, (February, 1992) DOI: 10.1214/aoap/1177005775 Open Access
KEYWORDS: Gibbs fields, large deviations, maximum likelihood, Variational principle, 60F10, 62F99
Martin Schweizer
Ann. Appl. Probab. 2 (1), 171-179, (February, 1992) DOI: 10.1214/aoap/1177005776 Open Access
KEYWORDS: hedging, mean-variance criterion, continuous trading, Option valuation, contingent claims, equivalent martingale measures, 60G35, 90A09
Peter W. Glynn, Ward Whitt
Ann. Appl. Probab. 2 (1), 180-198, (February, 1992) DOI: 10.1214/aoap/1177005777 Open Access
KEYWORDS: Stochastic simulation, sequential estimation, fixed-width confidence intervals, sequential stopping rules, functional central limit theorems, strong consistency, variance estimators, 68U20, 62L12, 65C05, 62L15, 60G40, 60F17
Clive R. Loader
Ann. Appl. Probab. 2 (1), 199-228, (February, 1992) DOI: 10.1214/aoap/1177005778 Open Access
KEYWORDS: Boundary crossing, empirical process, change point, Kolmogorov-Smirnov test, point process, Poisson process, 60G55, 60F10, 60G40
J. C. Lagarias, A. Weiss
Ann. Appl. Probab. 2 (1), 229-261, (February, 1992) DOI: 10.1214/aoap/1177005779 Open Access
KEYWORDS: $3x + 1$, large deviations, Branching random walk, 11A99, 60F10, 26A18, 60J85
Back Matter
Ann. Appl. Probab. 2 (1), (February, 1992) Open Access
No abstract available
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