VOL. 21 · NO. 2 | April 2011
Ann. Appl. Probab. 21 (2), (April 2011) Open Access
No abstract available
Ann. Appl. Probab. 21 (2), (April 2011) Open Access
No abstract available
Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer, Josef Teichmann
Ann. Appl. Probab. 21 (2), 397-463, (April 2011) DOI: 10.1214/10-AAP710 Open Access
KEYWORDS: Affine processes, Wishart processes, stochastic volatility, stochastic invariance, 60J25, 91B70
Sourav Chatterjee, Qi-Man Shao
Ann. Appl. Probab. 21 (2), 464-483, (April 2011) DOI: 10.1214/10-AAP712 Open Access
KEYWORDS: Stein’s method, exchangeable pair, Berry–Esseen bound, Curie–Weiss model, 60F05, 60G09
Łukasz Kruk, John Lehoczky, Kavita Ramanan, Steven Shreve
Ann. Appl. Probab. 21 (2), 484-545, (April 2011) DOI: 10.1214/10-AAP681 Open Access
KEYWORDS: Due dates, heavy traffic, Queueing, reneging, diffusion limits, Random measures, real-time queues, 60K25, 60G57, 60J65, 68M20
Viktor Todorov, George Tauchen
Ann. Appl. Probab. 21 (2), 546-588, (April 2011) DOI: 10.1214/10-AAP700 Open Access
KEYWORDS: Activity index, Blumenthal–Getoor index, central limit theorem, Itô semimartingale, high-frequency data, jumps, realized power variation, 62F12, 62M05, 60H10, 60J60
Stefan Gerhold
Ann. Appl. Probab. 21 (2), 589-608, (April 2011) DOI: 10.1214/10-AAP704 Open Access
KEYWORDS: option pricing, dynamic programming, Monte Carlo, regression, orthogonal polynomials, Lévy–Meixner systems, 62P05, 33C45
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner, Ioannis Karatzas, Robert Fernholz
Ann. Appl. Probab. 21 (2), 609-644, (April 2011) DOI: 10.1214/10-AAP706 Open Access
KEYWORDS: Diffusion processes interacting through their ranks, reflected Brownian motions in polyhedral domains, invariant measure of diffusion, growth-optimal and universal portfolios, local times of Bessel processes, 60G44, 91B28, 70F10
Mariana Olvera-Cravioto, Jose Blanchet, Peter Glynn
Ann. Appl. Probab. 21 (2), 645-668, (April 2011) DOI: 10.1214/10-AAP707 Open Access
KEYWORDS: M/G/1 queue, heavy traffic, heavy tails, uniform approximations, large deviations, 41A60, 60F10, 60F05, 60G10, 60G50
Martin Hairer, Andrew M. Stuart, Jochen Voss
Ann. Appl. Probab. 21 (2), 669-698, (April 2011) DOI: 10.1214/10-AAP708 Open Access
KEYWORDS: Stochastic partial differential equations, fourth-order SPDEs, Hypoelliptic diffusions, conditioned stochastic ordinary differential equations, 60H15, 60G35
Rick Durrett, John Mayberry
Ann. Appl. Probab. 21 (2), 699-744, (April 2011) DOI: 10.1214/10-AAP721 Open Access
KEYWORDS: Moran model, selective sweep, rate of adaptation, stochastic tunneling, branching processes, cancer models, 60J85, 92D25, 92C50.
Jiheng Zhang, J. G. Dai, Bert Zwart
Ann. Appl. Probab. 21 (2), 745-799, (April 2011) DOI: 10.1214/10-AAP709 Open Access
KEYWORDS: Limited processor sharing, heavy traffic, diffusion approximation, state-space collapse, measure valued process, 60K25, 68M20, 90B22
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