VOL. 24 · NO. 3 | June 2014
Ann. Appl. Probab. 24 (3), (June 2014) Open Access
No abstract available
Ann. Appl. Probab. 24 (3), (June 2014) Open Access
No abstract available
Bruno Bouchard, Ludovic Moreau, Marcel Nutz
Ann. Appl. Probab. 24 (3), 899-934, (June 2014) DOI: 10.1214/13-AAP938 Open Access
KEYWORDS: Stochastic target, stochastic game, geometric dynamic programming principle, viscosity solution, 49N70, 91A23, 91A60, 49L20, 49L25
Natesh S. Pillai, Jun Yin
Ann. Appl. Probab. 24 (3), 935-1001, (June 2014) DOI: 10.1214/13-AAP939 Open Access
KEYWORDS: Covariance matrix, Marcenko–Pastur law, Universality, Tracy–Widom law, Dyson Brownian motion, 15B52, 82B44
Mathieu Rosenbaum, Peter Tankov
Ann. Appl. Probab. 24 (3), 1002-1048, (June 2014) DOI: 10.1214/13-AAP940 Open Access
KEYWORDS: Discretization of stochastic integrals, asymptotic optimality, hitting times, option hedging, semimartingales with jumps, Blumenthal–Getoor index, 60H05, 91G20
A. Alfonsi, B. Jourdain, A. Kohatsu-Higa
Ann. Appl. Probab. 24 (3), 1049-1080, (June 2014) DOI: 10.1214/13-AAP941 Open Access
KEYWORDS: Euler scheme, Wasserstein distance, weak trajectorial error, diffusion bridges, 65C30, 60H35
Frank G. Ball, David J. Sirl, Pieter Trapman
Ann. Appl. Probab. 24 (3), 1081-1128, (June 2014) DOI: 10.1214/13-AAP942 Open Access
KEYWORDS: Epidemic process, random intersection graphs, multi-type branching processes, coupling, 60K35, 92D30, 05C80, 60J80, 91D30
Philippe Briand, Céline Labart
Ann. Appl. Probab. 24 (3), 1129-1171, (June 2014) DOI: 10.1214/13-AAP943 Open Access
KEYWORDS: backward stochastic differential equation, Wiener chaos expansion, 60H10, 60H35, 65C05, 65G99, 60H07
Alexei Borodin, Ivan Corwin
Ann. Appl. Probab. 24 (3), 1172-1198, (June 2014) DOI: 10.1214/13-AAP944 Open Access
KEYWORDS: Parabolic Anderson model, Lyapunov exponents, 82C22, 82B23, 60H1
Baisuo Jin, Chen Wang, Z. D. Bai, K. Krishnan Nair, Matthew Harding
Ann. Appl. Probab. 24 (3), 1199-1225, (June 2014) DOI: 10.1214/13-AAP945 Open Access
KEYWORDS: Auto-cross covariance, factor analysis, Marčenko–Pastur law, Limiting spectral distribution, order detection, Random matrix theory, Stieltjes transform, 60F15, 15A52, 62H25, 60F05, 60F17
John K. McSweeney, Lea Popovic
Ann. Appl. Probab. 24 (3), 1226-1268, (June 2014) DOI: 10.1214/13-AAP946 Open Access
KEYWORDS: Reaction networks, chemical reactions, Resampling, bistability, Markov chains, large deviations, stochastic switching, scaling limits, 60J27, 60J28, 60J60, 60F10, 60F17, 92C45, 92C37, 80A30
Rudolf Grübel
Ann. Appl. Probab. 24 (3), 1269-1297, (June 2014) DOI: 10.1214/13-AAP948 Open Access
KEYWORDS: Doob–Martin compactification, metric trees, path length, silhouette, subtree size metric, vector-valued martingales, Wiener index, 60B99, 60J10, 68Q25, 05C05
Jonathan Touboul
Ann. Appl. Probab. 24 (3), 1298-1328, (June 2014) DOI: 10.1214/13-AAP950 Open Access
KEYWORDS: mean-field limits, propagation of chaos, delayed stochastic differential equations, infinite-dimensional stochastic processes, neural fields, 60F99, 60B10, 34C15
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