VOL. 23 · NO. 4 | August 2013
Ann. Appl. Probab. 23 (4), (August 2013) Open Access
No abstract available
Ann. Appl. Probab. 23 (4), (August 2013) Open Access
No abstract available
A. B. Dieker, Xuefeng Gao
Ann. Appl. Probab. 23 (4), 1291-1317, (August 2013) DOI: 10.1214/12-AAP870 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
KEYWORDS: Riffle shuffling, testing for randomness, valleys in permutations, 60C05, 05A15
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