VOL. 23 · NO. 4 | August 2013
Ann. Appl. Probab. 23 (4), (August 2013)
No abstract available
Ann. Appl. Probab. 23 (4), (August 2013)
No abstract available
A. B. Dieker, Xuefeng Gao
Ann. Appl. Probab. 23 (4), 1291-1317, (August 2013) DOI: 10.1214/12-AAP870
KEYWORDS: stability, common quadratic Lyapunov function, Lyapunov function, piecewise OU process, Multi-server queues, customer abandonment, Halfin–Whitt regime, phase-type distribution, 60K25, 93E15, 60J70
John Musacchio, Jean Walrand
Ann. Appl. Probab. 23 (4), 1318-1354, (August 2013) DOI: 10.1214/12-AAP871
KEYWORDS: fluid limit, Stochastic network, 60K25, 68M20, 68M10, 68K20
Constantinos Kardaras
Ann. Appl. Probab. 23 (4), 1355-1376, (August 2013) DOI: 10.1214/12-AAP872
KEYWORDS: Wealth-process sets, Semimartingales, Emery topology, utility maximization, 60H99, 60G44, 91B28, 91B70
Michael Kelly
Ann. Appl. Probab. 23 (4), 1377-1408, (August 2013) DOI: 10.1214/12-AAP873
KEYWORDS: Evolutionary process, Moran model, selection, Adaptation rate, 92D15, 60J27, 82C22, 92D10
Sophie Laruelle, Gilles Pagès
Ann. Appl. Probab. 23 (4), 1409-1436, (August 2013) DOI: 10.1214/12-AAP875
KEYWORDS: stochastic approximation, extended Pólya urn models, nonhomogeneous generating matrix, strong consistency, asymptotic normality, multi-arm clinical trials, adaptive asset allocation, 62L20, 62E20, 62L05, 62F12, 62P10
Jasmine Foo, Kevin Leder
Ann. Appl. Probab. 23 (4), 1437-1468, (August 2013) DOI: 10.1214/12-AAP876
KEYWORDS: branching processes, Population genetics, Cancer, 60J80
Jean Bertoin, Grégory Miermont
Ann. Appl. Probab. 23 (4), 1469-1493, (August 2013) DOI: 10.1214/12-AAP877
KEYWORDS: Galton–Watson tree, Cut-tree, Brownian continuum random tree, 60F05, 60J80
B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer, J. Temme
Ann. Appl. Probab. 23 (4), 1494-1505, (August 2013) DOI: 10.1214/12-AAP878
KEYWORDS: Doob maximal inequalities, martingale inequalities, pathwise hedging, 60G42, 60G44, 91G20
Philip S. Griffin
Ann. Appl. Probab. 23 (4), 1506-1543, (August 2013) DOI: 10.1214/12-AAP879
KEYWORDS: Lévy process, convolution equivalence, First passage time, insurance risk, probability of ruin in finite time, 60G51, 60F17, 91B30, 62P05
Antoine Gloria, Jean-Christophe Mourrat
Ann. Appl. Probab. 23 (4), 1544-1583, (August 2013) DOI: 10.1214/12-AAP880
KEYWORDS: Random walk, random environment, Stochastic homogenization, effective coefficients, Monte Carlo method, quantitative estimates, 35B27, 60K37, 60H25, 65C05, 60H35, 60G50
Gerard Brunick, Steven Shreve
Ann. Appl. Probab. 23 (4), 1584-1628, (August 2013) DOI: 10.1214/12-AAP881
KEYWORDS: Itô process, Stochastic differential equation, derivative security pricing, stochastic volatility models, 60G99, 60H10, 91G20
A. Galves, N. L. Garcia, E. Löcherbach, E. Orlandi
Ann. Appl. Probab. 23 (4), 1629-1659, (August 2013) DOI: 10.1214/12-AAP882
KEYWORDS: interacting particle systems, infinite range interactions, continuous spin systems, perfect simulation, random Markov chains, Kalikow-type decomposition, 60J25, 60K35, 82B20
Dorival Leão, Alberto Ohashi
Ann. Appl. Probab. 23 (4), 1660-1691, (August 2013) DOI: 10.1214/12-AAP883
KEYWORDS: weak convergence, Clark–Ocone formula, Optimal stopping, hedging, 60Hxx, 60H20
Persi Diaconis, Jason Fulman, Susan Holmes
Ann. Appl. Probab. 23 (4), 1692-1720, (August 2013) DOI: 10.1214/12-AAP884
KEYWORDS: Riffle shuffling, testing for randomness, valleys in permutations, 60C05, 05A15
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