VOL. 20 · NO. 4 | August 2010
Ann. Appl. Probab. 20 (4), (August 2010)
No abstract available
Ann. Appl. Probab. 20 (4), (August 2010)
No abstract available
Daniel Fernholz, Ioannis Karatzas
Ann. Appl. Probab. 20 (4), 1179-1204, (August 2010) DOI: 10.1214/09-AAP642
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
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
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
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
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
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
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
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
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
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
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
KEYWORDS: Sequential change detection, jump-diffusion processes, Optimal stopping, 62L10, 62L15, 62C10, 60G40
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