VOL. 21 · NO. 3 | June 2011
Ann. Appl. Probab. 21 (3), (June 2011)
No abstract available
Ann. Appl. Probab. 21 (3), (June 2011)
No abstract available
Wilfrid S. Kendall
Ann. Appl. Probab. 21 (3), 801-842, (June 2011) DOI: 10.1214/10-AAP724
KEYWORDS: Dufresne integral, frustrated optimization, geometric spanner network, Growth process, improper anisotropic Poisson line process, Lamperti transformation, Laplace exponent, Lévy process, logarithmic excess, Manhattan city network, Mills ratio, mark distribution, martingale central limit theorem, network geodesic, Palm distribution, perpetuity, Poisson line process, Poissonian city network, Slivynak theorem, spanner, spatial network, subordinator, traffic flow, uniform integrability, 60D05, 90B15
Sami Assaf, Persi Diaconis, K. Soundararajan
Ann. Appl. Probab. 21 (3), 843-875, (June 2011) DOI: 10.1214/10-AAP701
KEYWORDS: card shuffling, Cutoff phenomenon, lumping of Markov chains, Poisson summation, 60B15, 60C05
Kevin D. Glazebrook, David J. Hodge, Chris Kirkbride
Ann. Appl. Probab. 21 (3), 876-907, (June 2011) DOI: 10.1214/10-AAP705
KEYWORDS: asset management, dynamic programming, dynamic resource allocation, full indexability, index policy, Lagrangian relaxation, monotone policy, queueing control, 68M20, 90B22, 90B36
Arnulf Jentzen, Peter Kloeden, Georg Winkel
Ann. Appl. Probab. 21 (3), 908-950, (June 2011) DOI: 10.1214/10-AAP711
KEYWORDS: Exponential Euler scheme, linear implicit Euler scheme, computational cost, Stochastic reaction diffusion equations, 60H15, 35R60, 65C30
Maury Bramson
Ann. Appl. Probab. 21 (3), 951-986, (June 2011) DOI: 10.1214/10-AAP713
KEYWORDS: Reflecting Brownian motion, fluid model, Queueing networks, heavy traffic limits, 60K25, 68M20, 90B15
Constantinos Daskalakis, Alexandros G. Dimakis, Elchanan Mossel
Ann. Appl. Probab. 21 (3), 987-1016, (June 2011) DOI: 10.1214/10-AAP715
KEYWORDS: Game theory, graphical games, connectivity, Phase transitions, random constraint satisfaction problems, 91A, 60, 68Q
Pierre Del Moral, Emmanuel Rio
Ann. Appl. Probab. 21 (3), 1017-1052, (June 2011) DOI: 10.1214/10-AAP716
KEYWORDS: Concentration inequalities, mean field particle models, measure valued processes, Feynman–Kac semigroups, McKean–Vlasov models, 60E15, 60K35, 60F99, 60F10, 82C22
József Balogh, Béla Bollobás, Michael Krivelevich, Tobias Müller, Mark Walters
Ann. Appl. Probab. 21 (3), 1053-1072, (June 2011) DOI: 10.1214/10-AAP718
KEYWORDS: Hamilton cycles, Random geometric graphs, 05C80, 60D05, 05C45
Andrea Collevecchio, Tom Schmitz
Ann. Appl. Probab. 21 (3), 1073-1101, (June 2011) DOI: 10.1214/10-AAP719
KEYWORDS: Random walk in a random environment, once edge-reinforced random walk, lower bound on the speed, Regeneration times, regular trees, 60K37, 60K99
Erik Ekström, David Hobson
Ann. Appl. Probab. 21 (3), 1102-1135, (June 2011) DOI: 10.1214/10-AAP720
KEYWORDS: American options, generalized diffusions, exact calibration of volatility, Inverse problems, 60J60, 91G20, 60G40
Benoît Collins, Ion Nechita
Ann. Appl. Probab. 21 (3), 1136-1179, (June 2011) DOI: 10.1214/10-AAP722
KEYWORDS: random matrices, Weingarten calculus, quantum information theory, random quantum channel, 15A52, 94A17, 94A40
Soumik Pal
Ann. Appl. Probab. 21 (3), 1180-1213, (June 2011) DOI: 10.1214/10-AAP725
KEYWORDS: Volatility-stabilized markets, Bessel processes, Wright–Fisher model, Kelvin transform, market weights, 60J60, 60J70, 60J35, 91B28
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