VOL. 24 · NO. 3 | June 2014
 
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Frontmatter
Ann. Appl. Probab. 24 (3), (June 2014)
No abstract available
Ann. Appl. Probab. 24 (3), (June 2014)
No abstract available
Articles
Bruno Bouchard, Ludovic Moreau, Marcel Nutz
Ann. Appl. Probab. 24 (3), 899-934, (June 2014) DOI: 10.1214/13-AAP938
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
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
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
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
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
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
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
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
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
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
KEYWORDS: mean-field limits, propagation of chaos, delayed stochastic differential equations, infinite-dimensional stochastic processes, neural fields, 60F99, 60B10, 34C15
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