VOL. 21 · NO. 1 | February 2011
 
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Frontmatter
Ann. Appl. Probab. 21 (1), (February 2011)
No abstract available
Ann. Appl. Probab. 21 (1), (February 2011)
No abstract available
Articles
Brigitte Chauvin, Nicolas Pouyanne, Reda Sahnoun
Ann. Appl. Probab. 21 (1), 1-32, (February 2011) DOI: 10.1214/10-AAP696
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
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
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
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
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
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
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
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
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
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
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
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
KEYWORDS: percolation, contact process, sharp transition, approximate zero-one law, Sharp thresholds, 60K35, 92D40, 92D30, 82B43
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