VOL. 23 · NO. 2 | April 2013
Ann. Appl. Probab. 23 (2), (April 2013)
No abstract available
Ann. Appl. Probab. 23 (2), (April 2013)
No abstract available
Bruno Bouchard, Erik Taflin
Ann. Appl. Probab. 23 (2), 427-454, (April 2013) DOI: 10.1214/11-AAP825
KEYWORDS: no-arbitrage, Transaction costs, bond market, 91B28, 60G42
Ying Jiao, Idris Kharroubi, Huyên Pham
Ann. Appl. Probab. 23 (2), 455-491, (April 2013) DOI: 10.1214/11-AAP829
KEYWORDS: optimal investment, multiple defaults, progressive enlargement of filtrations, dynamic programming, quadratic backward stochastic differential equations, 60J75, 91B28, 93E20
Po-Shen Loh, Eyal Lubetzky
Ann. Appl. Probab. 23 (2), 492-528, (April 2013) DOI: 10.1214/11-AAP832
KEYWORDS: Stochastic coalescence processes, randomized distributed algorithms, 60K30, 60K35, 60J10
Hye-Won Kang, Thomas G. Kurtz
Ann. Appl. Probab. 23 (2), 529-583, (April 2013) DOI: 10.1214/12-AAP841
KEYWORDS: Reaction networks, chemical reactions, cellular processes, multiple time scales, Markov chains, averaging, scaling limits, quasi-steady state assumption, 60J27, 60J80, 60F17, 92C45, 80A30
Adam J. Harper
Ann. Appl. Probab. 23 (2), 584-616, (April 2013) DOI: 10.1214/12-AAP847
KEYWORDS: Gaussian processes, bounds on tail probabilities, Pickands constants, random multiplicative functions, 60G15, 60G70, 11N64
Larry Goldstein
Ann. Appl. Probab. 23 (2), 617-636, (April 2013) DOI: 10.1214/12-AAP848
KEYWORDS: Stein’s method, size bias coupling, inductive method, Random graphs, 60F05, 60C05, 05C80
Yu-Ting Chen
Ann. Appl. Probab. 23 (2), 637-664, (April 2013) DOI: 10.1214/12-AAP849
KEYWORDS: Evolutionary game theory, evolution of cooperation, interacting particle systems, voter model perturbations, voter model, Coalescing random walks, perturbations of Markov chains, 60K35, 91A22, 60J10, 60J28
Kasper Larsen, Gordan Žitković
Ann. Appl. Probab. 23 (2), 665-692, (April 2013) DOI: 10.1214/12-AAP850
KEYWORDS: utility maximization, convex constraints, Semimartingales, finitely-additive measures, convex duality, 91G10, 91G80
Constantinos Daskalakis, Sebastien Roch
Ann. Appl. Probab. 23 (2), 693-721, (April 2013) DOI: 10.1214/12-AAP852
KEYWORDS: phylogenetic reconstruction, alignment, branching processes, 60K35, 92D15
Jihyeok Choi, Sunder Sethuraman
Ann. Appl. Probab. 23 (2), 722-763, (April 2013) DOI: 10.1214/12-AAP854
KEYWORDS: preferential attachment, Random graphs, degree distribution, large deviations, time-dependent, Law of Large Numbers, power law, Condensation, 60F10, 05C80
Christoph Czichowsky, Martin Schweizer
Ann. Appl. Probab. 23 (2), 764-810, (April 2013) DOI: 10.1214/12-AAP855
KEYWORDS: Markowitz problem, cone constraints, portfolio selection, Mean-variance hedging, Stochastic control, Semimartingales, BSDEs, martingale optimality principle, opportunity process, $\mathcal{E}$-martingales, linear-quadratic control, 91G10, 91G80, 93E20, 60G48, 49N10
Kshitij Khare, Nabanita Mukherjee
Ann. Appl. Probab. 23 (2), 811-833, (April 2013) DOI: 10.1214/12-AAP856
KEYWORDS: Convergence analysis, Markov chains, Stochastic monotonicity, partial ordering, 60J10, 60J22, 47H05
Carl Lindberg, Holger Rootzén
Ann. Appl. Probab. 23 (2), 834-857, (April 2013) DOI: 10.1214/12-AAP858
KEYWORDS: Approximation error, random grid, joint weak convergence, multidimensional stochastic differential equation, stochastic integrals, random evaluation times, discrete option hedging, portfolio tracking error, 60F05, 60H05, 91G20, 60G44, 60H35
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