VOL. 21 · NO. 6 | December 2011
Ann. Appl. Probab. 21 (6), (December 2011)
No abstract available
Ann. Appl. Probab. 21 (6), (December 2011)
No abstract available
Krzysztof Burdzy, Zhen-Qing Chen, Soumik Pal
Ann. Appl. Probab. 21 (6), 2053-2074, (December 2011) DOI: 10.1214/11-AAP765
KEYWORDS: Archimedes’ principle, reflecting Brownian motion with drift, stationary distribution, sphere packing, surface of liquid, centrifuge effect, 60J65, 60K35
Raphaël Cerf, Marie Théret
Ann. Appl. Probab. 21 (6), 2075-2108, (December 2011) DOI: 10.1214/10-AAP732
KEYWORDS: first passage percolation, Maximal flow, minimal cut, large deviations, 60K35
Randal Douc, Aurélien Garivier, Eric Moulines, Jimmy Olsson
Ann. Appl. Probab. 21 (6), 2109-2145, (December 2011) DOI: 10.1214/10-AAP735
KEYWORDS: Sequential Monte Carlo methods, particle filter, smoothing, Hidden Markov models, 60G10, 60K35, 60G18
Shankar Bhamidi, Guy Bresler, Allan Sly
Ann. Appl. Probab. 21 (6), 2146-2170, (December 2011) DOI: 10.1214/10-AAP740
KEYWORDS: Mixing times, exponential random graphs, path coupling, 60C05, 05C80, 90B15
A. Kuznetsov, A. E. Kyprianou, J. C. Pardo, K. van Schaik
Ann. Appl. Probab. 21 (6), 2171-2190, (December 2011) DOI: 10.1214/10-AAP746
KEYWORDS: Lévy processes, exotic option pricing, Wiener–Hopf factorization, 65C05, 68U20
Daniel Fernholz, Ioannis Karatzas
Ann. Appl. Probab. 21 (6), 2191-2225, (December 2011) DOI: 10.1214/10-AAP755
KEYWORDS: Robust portfolio choice, model uncertainty, Arbitrage, fully nonlinear parabolic equations, minimal solutions, maximal containment probability, Stochastic control, stochastic game, 60H10, 91B28, 60G44, 35B50, 60J70
David F. Anderson, Arnab Ganguly, Thomas G. Kurtz
Ann. Appl. Probab. 21 (6), 2226-2262, (December 2011) DOI: 10.1214/10-AAP756
KEYWORDS: Tau-leaping, simulation, error analysis, Reaction networks, Markov chain, chemical master equation, 60H35, 65C99, 92C40
Vincent Bansaye, Jean-François Delmas, Laurence Marsalle, Viet Chi Tran
Ann. Appl. Probab. 21 (6), 2263-2314, (December 2011) DOI: 10.1214/10-AAP757
KEYWORDS: Branching Markov process, branching diffusion, limit theorems, Many-to-One formula, size biased reproduction distribution, size biased reproduction rate, ancestral lineage, splitted diffusion, 60J80, 60F17, 60F15, 60F05
Hock Peng Chan, Tze Leung Lai
Ann. Appl. Probab. 21 (6), 2315-2342, (December 2011) DOI: 10.1214/10-AAP758
KEYWORDS: Exceedance probabilities, large deviations, logarithmic efficiency, sequential importance sampling and resampling, 60F10, 65C05, 60J22, 60K35
Boris N. Oreshkin, Mark J. Coates
Ann. Appl. Probab. 21 (6), 2343-2378, (December 2011) DOI: 10.1214/11-AAP760
KEYWORDS: Collaborative tracking, particle filtering, error analysis, 62L12, 65C35, 65L20
Yaozhong Hu, David Nualart, Xiaoming Song
Ann. Appl. Probab. 21 (6), 2379-2423, (December 2011) DOI: 10.1214/11-AAP762
KEYWORDS: Backward stochastic differential equations, Malliavin calculus, explicit scheme, implicit scheme, Clark–Ocone–Haussman formula, rate of convergence, Hölder continuity of the solutions, 60H07, 60H10, 60H35, 65C30, 91G60
David Barbato, Franco Flandoli, Francesco Morandin
Ann. Appl. Probab. 21 (6), 2424-2446, (December 2011) DOI: 10.1214/11-AAP768
KEYWORDS: SPDE, Shell models, dyadic model, fluid dynamics, anomalous dissipation, Blow-up, Girsanov’s transform, Multiplicative noise, 60H15, 60J28, 35B65, 76B03
Shirshendu Chatterjee, Rick Durrett
Ann. Appl. Probab. 21 (6), 2447-2482, (December 2011) DOI: 10.1214/10-AAP750
KEYWORDS: Gossip, branching process, First-passage percolation, Integro-differential equation, 60K35, 60J80
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