VOL. 24 · NO. 1 | February 2014
Ann. Appl. Probab. 24 (1), (February 2014)
No abstract available
Ann. Appl. Probab. 24 (1), (February 2014)
No abstract available
Boris Ettinger, Steven N. Evans, Alexandru Hening
Ann. Appl. Probab. 24 (1), 1-33, (February 2014) DOI: 10.1214/12-AAP902
KEYWORDS: credit risk, inverse first passage time problem, killed Brownian motion, Cox process, Stochastic intensity, Feynman–Kac formula, 60J70, 91G40, 91G80
Pierre E. Jacob, Robin J. Ryder
Ann. Appl. Probab. 24 (1), 34-53, (February 2014) DOI: 10.1214/12-AAP913
KEYWORDS: Markov chain, Monte Carlo, Wang–Landau algorithm, flat histogram, 65C05, 60J22, 60J05
Sergio Pulido
Ann. Appl. Probab. 24 (1), 54-75, (February 2014) DOI: 10.1214/12-AAP914
KEYWORDS: fundamental theorem of asset pricing, hedging problem, maximal claims, supermartingale measures, short sales prohibition, 60H05, 60H30
D. Shah, J. N. Tsitsiklis, Y. Zhong
Ann. Appl. Probab. 24 (1), 76-113, (February 2014) DOI: 10.1214/12-AAP915
KEYWORDS: Bandwidth-sharing policy, state space collapse, $\alpha$-fair, heavy traffic, 60K20, 68M12, 68M20
Aaron Smith
Ann. Appl. Probab. 24 (1), 114-130, (February 2014) DOI: 10.1214/12-AAP916
KEYWORDS: Markov chain, Gibbs sampler, perfect sampling, 60J10, 65C04
Gareth O. Roberts, Jeffrey S. Rosenthal
Ann. Appl. Probab. 24 (1), 131-149, (February 2014) DOI: 10.1214/12-AAP918
KEYWORDS: Markov chain Monte Carlo, simulated tempering, Optimal scaling, diffusion limits, 60J22, 62M05, 62F10
J. Theodore Cox, Edwin A. Perkins
Ann. Appl. Probab. 24 (1), 150-197, (February 2014) DOI: 10.1214/13-AAP919
KEYWORDS: Complete convergence theorem, Lotka–Volterra, Interacting particle system, voter model perturbation, annihilating dual, 60K35, 82C22, 60F99
Sergey Foss, James B. Martin, Philipp Schmidt
Ann. Appl. Probab. 24 (1), 198-234, (February 2014) DOI: 10.1214/13-AAP920
KEYWORDS: Last-passage percolation, directed random graph, Regenerative structure, regular variation, heavy tails, 60K35, 05C80
S. Valère Bitseki Penda, Hacène Djellout, Arnaud Guillin
Ann. Appl. Probab. 24 (1), 235-291, (February 2014) DOI: 10.1214/13-AAP921
KEYWORDS: Bifurcating Markov chains, limit theorems, ergodicity, Deviation inequalities, Moderate deviation, martingale, first-order bifurcating autoregressive process, cellular aging, 60F05, 60F10, 60F15, 60E15, 60G42, 60J05, 62M02, 62M05, 62P10
Michel Benaïm, Stéphane Le Borgne, Florent Malrieu, Pierre-André Zitt
Ann. Appl. Probab. 24 (1), 292-311, (February 2014) DOI: 10.1214/13-AAP924
KEYWORDS: ergodicity, linear differential equations, Lyapunov exponent, planar switched systems, Piecewise deterministic Markov process, Product of random matrices, 60J75, 60J57, 93E15, 34D23
A. Galichon, P. Henry-Labordère, N. Touzi
Ann. Appl. Probab. 24 (1), 312-336, (February 2014) DOI: 10.1214/13-AAP925
KEYWORDS: optimal control, volatility uncertainty, convex duality, 49L25, 60J60, 49L20, 35K55
Andreas Eberle
Ann. Appl. Probab. 24 (1), 337-377, (February 2014) DOI: 10.1214/13-AAP926
KEYWORDS: Metropolis algorithm, Markov chain Monte Carlo, Langevin diffusion, Euler scheme, coupling, contractivity of Markov kernels, 60J22, 60J05, 65C40, 65C05
Yunan Liu, Ward Whitt
Ann. Appl. Probab. 24 (1), 378-421, (February 2014) DOI: 10.1214/13-AAP927
KEYWORDS: Many-server queues, queues with time-varying arrivals, nonstationary queues, customer abandonment, nonexponential patience distribution, heavy traffic, functional central limit theorem, Gaussian approximation, deterministic fluid approximation, 60K25, 60F17, 90B22
Pierre Collet, Florencia Leonardi
Ann. Appl. Probab. 24 (1), 422-446, (February 2014) DOI: 10.1214/13-AAP929
KEYWORDS: Random functions of Markov chains, Oseledec’s theorem, perturbed processes, 60J2, 62M09
Antonio Lijoi, Igor Prünster, Stephen G. Walker
Ann. Appl. Probab. 24 (1), 447-448, (February 2014) DOI: 10.1214/13-AAP928
No abstract available
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