VOL. 20 · NO. 4 | August 2010
Ann. Appl. Probab. 20 (4), (August 2010) Open Access
No abstract available
Ann. Appl. Probab. 20 (4), (August 2010) Open Access
No abstract available
Daniel Fernholz, Ioannis Karatzas
Ann. Appl. Probab. 20 (4), 1179-1204, (August 2010) DOI: 10.1214/09-AAP642 Open Access
KEYWORDS: portfolios, Arbitrage, parabolic operators, maximum principle, strict local martingales, exit measures for supermartingales, Diffusions, Fichera drift, 60H10, 91B28, 60G44, 35B50
Julien Barral, Xiong Jin, Benoît Mandelbrot
Ann. Appl. Probab. 20 (4), 1205-1218, (August 2010) DOI: 10.1214/09-AAP664 Open Access
KEYWORDS: T-martingales, multiplicative cascades, continuous function-valued martingales, Multifractals, 60G18, 60G42, 60G44, 28A78
Julien Barral, Xiong Jin, Benoît Mandelbrot
Ann. Appl. Probab. 20 (4), 1219-1252, (August 2010) DOI: 10.1214/09-AAP665 Open Access
KEYWORDS: multiplicative cascades, continuous function-valued martingales, functional central limit theorem, Laws stable under random weighted mean, Multifractals, 60F05, 60F15, 60F17, 60G18, 60G42, 60G44, 28A78
Pablo Azcue, Nora Muler
Ann. Appl. Probab. 20 (4), 1253-1302, (August 2010) DOI: 10.1214/09-AAP643 Open Access
KEYWORDS: Cramér–Lundberg process, insurance, dividend payment strategy, optimal investment policy, Hamilton–Jacobi–Bellman equation, viscosity solution, risk control, dynamic programming principle, band strategy, barrier strategy, 91B30, 91B28, 91B70, 49L25
Lancelot F. James
Ann. Appl. Probab. 20 (4), 1303-1340, (August 2010) DOI: 10.1214/09-AAP660 Open Access
KEYWORDS: Bessel bridges, Galton Watson limits, hyperbolic characteristic function, Mittag–Leffler function, Poisson–Dirichlet distributions, stable continuous state branching processes, 60E07, 60G09
J. Kallsen, J. Muhle-Karbe
Ann. Appl. Probab. 20 (4), 1341-1358, (August 2010) DOI: 10.1214/09-AAP648 Open Access
KEYWORDS: Transaction costs, Portfolio optimization, shadow price process, 91B28, 91B16, 60H10
Panayotis Mertikopoulos, Aris L. Moustakas
Ann. Appl. Probab. 20 (4), 1359-1388, (August 2010) DOI: 10.1214/09-AAP651 Open Access
KEYWORDS: Asymptotic stochastic stability, congestion games, dominance, exponential learning, Lyapunov function, Nash equilibrium, replicator dynamics, Stochastic differential equation, 91A26, 60J70, 91A22, 60H10
Madalina Deaconu, Antoine Lejay
Ann. Appl. Probab. 20 (4), 1389-1424, (August 2010) DOI: 10.1214/09-AAP659 Open Access
KEYWORDS: Stochastic differential equations, Monte Carlo methods, random walk on squares, random walk on rectangles, variance reduction, simulation of rare events, Dirichlet/Neumann problems, 60C05, 65C, 65M, 68U20
Jean Jacod, Viktor Todorov
Ann. Appl. Probab. 20 (4), 1425-1469, (August 2010) DOI: 10.1214/09-AAP654 Open Access
KEYWORDS: Common jumps, tests, discrete sampling, Volatility, high-frequency data, 62F12, 62M05, 60H10, 60J60
Noga Alon, Ori Gurel-Gurevich, Eyal Lubetzky
Ann. Appl. Probab. 20 (4), 1470-1511, (August 2010) DOI: 10.1214/09-AAP656 Open Access
KEYWORDS: Space/performance tradeoffs, balls and bins paradigm, lower bounds on memory, balanced allocations, online perfect matching, 60C05, 60G50, 68Q25
Łukasz Delong, Peter Imkeller
Ann. Appl. Probab. 20 (4), 1512-1536, (August 2010) DOI: 10.1214/09-AAP663 Open Access
KEYWORDS: backward stochastic differential equation, time delayed generator, contraction inequality, Comparison principle, measure solution, BMO martingale, 34F05, 60H30, 60G07, 60H10, 60H20
Semih Onur Sezer
Ann. Appl. Probab. 20 (4), 1537-1566, (August 2010) DOI: 10.1214/09-AAP655 Open Access
KEYWORDS: Sequential change detection, jump-diffusion processes, Optimal stopping, 62L10, 62L15, 62C10, 60G40
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