VOL. 24 · NO. 4 | August 2014
Ann. Appl. Probab. 24 (4), (August 2014)
No abstract available
Ann. Appl. Probab. 24 (4), (August 2014)
No abstract available
Weining Kang, Kavita Ramanan
Ann. Appl. Probab. 24 (4), 1329-1374, (August 2014) DOI: 10.1214/13-AAP947
KEYWORDS: Reflected diffusions, Invariant distribution, stationary density, submartingale problem, Stochastic differential equations with reflection, basic adjoint relation (BAR), adjoint partial differential equation, skew-symmetry condition, product-form solutions, skew-transform, gradient drift, Queueing networks, 60H10, 60J60, 60J65, 90B15, 90B22
Peter Hegarty, Anders Martinsson
Ann. Appl. Probab. 24 (4), 1375-1395, (August 2014) DOI: 10.1214/13-AAP949
KEYWORDS: Accessible path, hypercube, percolation, house of cards, rough Mount Fuji, 60C05, 92D15, 05A05
Alexandros Beskos, Dan Crisan, Ajay Jasra
Ann. Appl. Probab. 24 (4), 1396-1445, (August 2014) DOI: 10.1214/13-AAP951
KEYWORDS: sequential Monte Carlo, high dimensions, Resampling, functional CLT, 82C80, 60K35, 60F99, 62F15
Louis-Pierre Arguin, Olivier Zindy
Ann. Appl. Probab. 24 (4), 1446-1481, (August 2014) DOI: 10.1214/13-AAP952
KEYWORDS: Log-correlated Gaussian fields, Gibbs measure, Poisson–Dirichlet variable, tree approximation, Spin glasses, 60G15, 60F05, 82B44, 60G70, 82B26
Soumik Pal, Mykhaylo Shkolnikov
Ann. Appl. Probab. 24 (4), 1482-1508, (August 2014) DOI: 10.1214/13-AAP954
KEYWORDS: Brownian particle systems, concentration of measure, transportation cost inequalities, Skorokhod maps, Stochastic Portfolio Theory, atlas model, 82C22, 60H10, 91G10
Libo Li, Marek Rutkowski
Ann. Appl. Probab. 24 (4), 1509-1553, (August 2014) DOI: 10.1214/13-AAP955
KEYWORDS: random time, pseudo-honest time, enlarged filtration, semimartingale decomposition, 60H99, 91H99
Sigurd Assing, Saul Jacka, Adriana Ocejo
Ann. Appl. Probab. 24 (4), 1554-1584, (August 2014) DOI: 10.1214/13-AAP956
KEYWORDS: Optimal stopping, time-change, coupling, stochastic volatility model, American option, 60G40, 91G20
Michael B. Giles, Lukasz Szpruch
Ann. Appl. Probab. 24 (4), 1585-1620, (August 2014) DOI: 10.1214/13-AAP957
KEYWORDS: Monte Carlo, multilevel, Lévy area, Stochastic differential equation, 65C30, 65C05
Brian Rider, Christopher D. Sinclair
Ann. Appl. Probab. 24 (4), 1621-1651, (August 2014) DOI: 10.1214/13-AAP958
KEYWORDS: random matrices, spectral radius, 60B20, 60G25, 60G70
Emmanuel Gobet, Nicolas Landon
Ann. Appl. Probab. 24 (4), 1652-1690, (August 2014) DOI: 10.1214/13-AAP959
KEYWORDS: Almost sure convergence, Discretization of stochastic integrals, option hedging, asymptotic optimality, 60G40, 60F15, 60H05
Jingchen Liu, Gongjun Xu
Ann. Appl. Probab. 24 (4), 1691-1738, (August 2014) DOI: 10.1214/13-AAP960
KEYWORDS: Gaussian process, Change of measure, Efficient simulation, 60G15, 65C05
Martin Larsson
Ann. Appl. Probab. 24 (4), 1739-1766, (August 2014) DOI: 10.1214/13-AAP961
KEYWORDS: Filtration shrinkage, local martingales, Föllmer measure, 60G44, 60G17, 60G30, 60G40
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