VOL. 24 · NO. 4 | August 2014
Ann. Appl. Probab. 24 (4), (August 2014) Open Access
No abstract available
Ann. Appl. Probab. 24 (4), (August 2014) Open Access
No abstract available
Weining Kang, Kavita Ramanan
Ann. Appl. Probab. 24 (4), 1329-1374, (August 2014) DOI: 10.1214/13-AAP947 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
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 Open Access
KEYWORDS: Filtration shrinkage, local martingales, Föllmer measure, 60G44, 60G17, 60G30, 60G40
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