VOL. 22 · NO. 1 | February 2012
Ann. Appl. Probab. 22 (1), (February 2012) Open Access
No abstract available
Ann. Appl. Probab. 22 (1), (February 2012) Open Access
No abstract available
Antoine Gloria, Felix Otto
Ann. Appl. Probab. 22 (1), 1-28, (February 2012) DOI: 10.1214/10-AAP745 Open Access
KEYWORDS: Stochastic homogenization, effective coefficients, Difference operator, 35B27, 39A70, 60H25, 60F99
Shankar Bhamidi, Remco van der Hofstad
Ann. Appl. Probab. 22 (1), 29-69, (February 2012) DOI: 10.1214/10-AAP753 Open Access
KEYWORDS: Flows, Random graphs, first passage percolation, hopcount, central limit theorem, weak disorder, continuous-time branching process, stable-age distribution theory, mean-field model of distance, Cox point processes, 60C05, 05C80, 90B15
Devavrat Shah, Damon Wischik
Ann. Appl. Probab. 22 (1), 70-127, (February 2012) DOI: 10.1214/11-AAP759 Open Access
KEYWORDS: Switched network, maximum weight scheduling, fluid models, state space collapse, heavy traffic, diffusion approximation, 60K25, 60K30, 90B36
Devavrat Shah, Jinwoo Shin
Ann. Appl. Probab. 22 (1), 128-171, (February 2012) DOI: 10.1214/11-AAP763 Open Access
KEYWORDS: Wireless medium access, buffered circuit switched network, Aloha, stability, scheduling, mixing time, slowly varying Markov chain, 60K20, 68M12, 68M20
Thomas Knispel
Ann. Appl. Probab. 22 (1), 172-212, (February 2012) DOI: 10.1214/11-AAP764 Open Access
KEYWORDS: Robust utility maximization, Risk-sensitive control, ergodic Bellman equation, large deviations, 91B16, 91B28, 93E20, 60F10, 49L20
Jocelyne Bion-Nadal, Magali Kervarec
Ann. Appl. Probab. 22 (1), 213-238, (February 2012) DOI: 10.1214/11-AAP766 Open Access
KEYWORDS: risk measure, duality theory, uncertainty, capacity, 46A20, 91B30, 46E05
Paolo Guasoni, Scott Robertson
Ann. Appl. Probab. 22 (1), 239-284, (February 2012) DOI: 10.1214/11-AAP767 Open Access
KEYWORDS: Long-run, portfolio choice, derivatives pricing, incomplete markets, 91G10, 62P05, 91G20
Peter Imkeller, Anthony Réveillac, Anja Richter
Ann. Appl. Probab. 22 (1), 285-336, (February 2012) DOI: 10.1214/11-AAP769 Open Access
KEYWORDS: Forward–backward stochastic differential equation driven by continuous martingale, quadratic growth, Markov property, BMO martingale, utility indifference hedging and pricing, sensitivity analysis, stochastic calculus of variations, delta hedge, 60H10, 60J25
Zakhar Kabluchko
Ann. Appl. Probab. 22 (1), 337-362, (February 2012) DOI: 10.1214/11-AAP772 Open Access
KEYWORDS: central limit theorem, empirical process, Disordered systems, long-range dependence, Hermite polynomials, reduction principle, 60F05, 60K35
Marcel Nutz
Ann. Appl. Probab. 22 (1), 363-406, (February 2012) DOI: 10.1214/11-AAP776 Open Access
KEYWORDS: power utility, Bellman equation, opportunity process, semimartingale characteristics, BSDE, 91B28, 93E20, 60G44
Baris Ata, Itai Gurvich
Ann. Appl. Probab. 22 (1), 407-455, (February 2012) DOI: 10.1214/11-AAP777 Open Access
KEYWORDS: Multiclass queues, many servers, heavy-traffic, Halfin–Whitt regime, optimal control, optimality gaps, asymptotic optimality, strong approximations for queues, 60K25, 90B20, 90B36, 49L20, 60F17
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