VOL. 22 · NO. 4 | August 2012
Ann. Appl. Probab. 22 (4), (August 2012) Open Access
No abstract available
Ann. Appl. Probab. 22 (4), (August 2012) Open Access
No abstract available
C. Litterer, T. Lyons
Ann. Appl. Probab. 22 (4), 1301-1327, (August 2012) DOI: 10.1214/11-AAP786 Open Access
KEYWORDS: Cubature, signature, recombination, Stochastic differential equations, 65C30
Nathanaël Berestycki, Richard Pymar
Ann. Appl. Probab. 22 (4), 1328-1361, (August 2012) DOI: 10.1214/11-AAP793 Open Access
KEYWORDS: Random transposition, Random graphs, phase transition, coagulation-fragmentation, Giant component, percolation, Branching random walk, genome rearrangement, 05C80, 60K35, 92D15
Olivier Garet, Régine Marchand
Ann. Appl. Probab. 22 (4), 1362-1410, (August 2012) DOI: 10.1214/11-AAP796 Open Access
KEYWORDS: Random growth, contact process, random environment, almost subadditive ergodic theorem, asymptotic shape theorem, 60K35, 82B43
Philip S. Griffin, Ross A. Maller
Ann. Appl. Probab. 22 (4), 1411-1449, (August 2012) DOI: 10.1214/11-AAP797 Open Access
KEYWORDS: Lévy insurance risk process, convolution equivalence, time to ruin, overshoot, expected discounted penalty function, 60G51, 60F17, 91B30, 62P05
Oliver Riordan, Lutz Warnke
Ann. Appl. Probab. 22 (4), 1450-1464, (August 2012) DOI: 10.1214/11-AAP798 Open Access
KEYWORDS: Achlioptas processes, explosive percolation, Random graphs, 60C05, 05C80
Erhan Bayraktar, Yu-Jui Huang, Qingshuo Song
Ann. Appl. Probab. 22 (4), 1465-1494, (August 2012) DOI: 10.1214/11-AAP799 Open Access
KEYWORDS: Strict local martingale deflators, optimal arbitrage, quantile hedging, viscosity solutions, nonuniqueness of solutions of nonlinear PDEs, 60H30, 60H10, 91G99, 60G44, 35A02, 60J70
Xin Thomson Tong, Ramon van Handel
Ann. Appl. Probab. 22 (4), 1495-1540, (August 2012) DOI: 10.1214/11-AAP800 Open Access
KEYWORDS: Nonlinear filtering, unique ergodicity, asymptotic stability, nondegenerate Markov chains, exchange of intersection and supremum, Markov chain in random environment, 60J05, 28D99, 62M20, 93E11, 93E15
Jin Feng, Jean-Pierre Fouque, Rohini Kumar
Ann. Appl. Probab. 22 (4), 1541-1575, (August 2012) DOI: 10.1214/11-AAP801 Open Access
KEYWORDS: stochastic volatility, multi-scale asymptotic, large deviation principle, implied volatility smile/skew, 60F10, 91B70, 49L25
Constantinos Kardaras, Scott Robertson
Ann. Appl. Probab. 22 (4), 1576-1610, (August 2012) DOI: 10.1214/11-AAP802 Open Access
KEYWORDS: Asymptotic growth rate, robustness, generalized martingale problem, optimal arbitrage, 60G44, 60G46, 60H05
Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden
Ann. Appl. Probab. 22 (4), 1611-1641, (August 2012) DOI: 10.1214/11-AAP803 Open Access
KEYWORDS: Euler scheme, Euler–Maruyama, Stochastic differential equation, strong approximation, tamed Euler scheme, implicit Euler scheme, Backward Euler scheme, nonglobally Lipschitz, superlinearly growing coefficient, 65C30
Itai Benjamini, Yury Makarychev
Ann. Appl. Probab. 22 (4), 1642-1649, (August 2012) DOI: 10.1214/11-AAP804 Open Access
KEYWORDS: Balls–and–bins process, load balancing, memory performance tradeoffs, 68Q87, 60C05
Codina Cotar, Christof Külske
Ann. Appl. Probab. 22 (4), 1650-1692, (August 2012) DOI: 10.1214/11-AAP808 Open Access
KEYWORDS: Random interfaces, gradient Gibbs measures, Disordered systems, Green’s function, Surface tension, 60K57, 82B24, 82B44
Louis-Pierre Arguin, Anton Bovier, Nicola Kistler
Ann. Appl. Probab. 22 (4), 1693-1711, (August 2012) DOI: 10.1214/11-AAP809 Open Access
KEYWORDS: Branching Brownian motion, Extreme value theory, Extremal process, Traveling waves, 60J80, 60G70, 82B44
Yunjiang Jiang
Ann. Appl. Probab. 22 (4), 1712-1727, (August 2012) DOI: 10.1214/11-AAP810 Open Access
KEYWORDS: Markov chain mixing time, orthogonal group, Kac random walk, interacting particle systems, 60-XX
Anne-Laure Basdevant, Arvind Singh
Ann. Appl. Probab. 22 (4), 1728-1743, (August 2012) DOI: 10.1214/11-AAP811 Open Access
KEYWORDS: Reinforced processes, phase transition, random walks on trees, branching processes, 60G50, 60J80, 60J75
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