VOL. 21 · NO. 1 | February 2011
Ann. Appl. Probab. 21 (1), (February 2011) Open Access
No abstract available
Ann. Appl. Probab. 21 (1), (February 2011) Open Access
No abstract available
Brigitte Chauvin, Nicolas Pouyanne, Reda Sahnoun
Ann. Appl. Probab. 21 (1), 1-32, (February 2011) DOI: 10.1214/10-AAP696 Open Access
KEYWORDS: Pólya urn, urn model, martingale, Characteristic function, Embedding in continuous time, multitype branching process, Abelian integrals over Fermat curves, 60C05, 60J80, 05D40
Haya Kaspi, Kavita Ramanan
Ann. Appl. Probab. 21 (1), 33-114, (February 2011) DOI: 10.1214/09-AAP662 Open Access
KEYWORDS: Multi-server queues, GI∕G∕N queue, fluid limits, mean-field limits, Strong law of large numbers, Measure-valued processes, call centers, 60F17, 60K25, 90B22, 60H99, 35D99
Renaud Marty, Knut Sølna
Ann. Appl. Probab. 21 (1), 115-139, (February 2011) DOI: 10.1214/10-AAP689 Open Access
KEYWORDS: Waves in random media, long-range dependence, fractional and multifractional processes, 34F05, 34E10, 37H10, 60H20
Ole Eiler Barndorff-Nielsen, Robert Stelzer
Ann. Appl. Probab. 21 (1), 140-182, (February 2011) DOI: 10.1214/10-AAP690 Open Access
KEYWORDS: Lévy bases, long memory, normal matrices, Ornstein–Uhlenbeck-type processes, positive semi-definite stochastic processes, second-order moment structure, Stochastic differential equation, 60G10, 60H20, 60E07, 60G51, 60G57
Thilanka Appuhamillage, Vrushali Bokil, Enrique Thomann, Edward Waymire, Brian Wood
Ann. Appl. Probab. 21 (1), 183-214, (February 2011) DOI: 10.1214/10-AAP691 Open Access
KEYWORDS: skew Brownian motion, advection-diffusion, Local time, occupation time, elastic skew Brownian motion, stochastic order, First passage time, 60K40, 60G44, 35C15
Denis Belomestny
Ann. Appl. Probab. 21 (1), 215-239, (February 2011) DOI: 10.1214/10-AAP692 Open Access
KEYWORDS: Optimal stopping, simulation-based algorithms, Exponential inequalities, Empirical processes, δ-entropy with bracketing, 60J25, 91B28
Benjamin Graham, Geoffrey Grimmett
Ann. Appl. Probab. 21 (1), 240-265, (February 2011) DOI: 10.1214/10-AAP693 Open Access
KEYWORDS: Random-cluster model, Potts model, Ising model, percolation, box-crossing, influence, sharp threshold, colored random-cluster model, fuzzy Potts model, 60K35, 82B20, 60E15
Erik Taflin
Ann. Appl. Probab. 21 (1), 266-282, (February 2011) DOI: 10.1214/10-AAP694 Open Access
KEYWORDS: complete markets, bond markets, generalized integrands, generalized portfolios, replication, 60H05, 60G44, 91B28, 91B70
Steffen Dereich
Ann. Appl. Probab. 21 (1), 283-311, (February 2011) DOI: 10.1214/10-AAP695 Open Access
KEYWORDS: Multilevel Monte Carlo, Komlós–Major–Tusnády coupling, weak approximation, numerical integration, Lévy-driven stochastic differential equation, 60H35, 60H05, 60H10, 60J75
Volker Betz, Daniel Ueltschi, Yvan Velenik
Ann. Appl. Probab. 21 (1), 312-331, (February 2011) DOI: 10.1214/10-AAP697 Open Access
KEYWORDS: Random permutations, cycle weights, cycle lengths, Ewens distribution, 60K35
Erik Ekström, Johan Tysk
Ann. Appl. Probab. 21 (1), 332-350, (February 2011) DOI: 10.1214/10-AAP698 Open Access
KEYWORDS: The term structure equation, Degenerate parabolic equations, stochastic representation, 91B28, 35A05, 35K65, 60J60
Makoto Nakashima
Ann. Appl. Probab. 21 (1), 351-373, (February 2011) DOI: 10.1214/10-AAP699 Open Access
KEYWORDS: Branching random walk, random environment, central limit theorem, linear stochastic evolutions, phase transition, 60K37, 60K35, 60F05, 60J80, 60K35, 82D30
J. van den Berg
Ann. Appl. Probab. 21 (1), 374-395, (February 2011) DOI: 10.1214/10-AAP702 Open Access
KEYWORDS: percolation, contact process, sharp transition, approximate zero-one law, Sharp thresholds, 60K35, 92D40, 92D30, 82B43
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