VOL. 24 · NO. 5 | October 2014
Ann. Appl. Probab. 24 (5), (October 2014) Open Access
No abstract available
Ann. Appl. Probab. 24 (5), (October 2014) Open Access
No abstract available
Randal Douc, Eric Moulines, Jimmy Olsson
Ann. Appl. Probab. 24 (5), 1767-1802, (October 2014) DOI: 10.1214/13-AAP962 Open Access
KEYWORDS: asymptotic variance, general hidden Markov models, local Doeblin condition, bootstrap particle filter, Sequential Monte Carlo methods, time uniform convergence, 62M09, 62F12
Xiaolu Tan
Ann. Appl. Probab. 24 (5), 1803-1834, (October 2014) DOI: 10.1214/13-AAP963 Open Access
KEYWORDS: Numerical scheme, path-dependent stochastic control, weak convergence, invariance principle, 65K99, 93E20, 93E25
Ben Morris, Weiyang Ning, Yuval Peres
Ann. Appl. Probab. 24 (5), 1835-1849, (October 2014) DOI: 10.1214/13-AAP964 Open Access
KEYWORDS: Markov chain, mixing time, 60J10
Viktor Todorov, George Tauchen
Ann. Appl. Probab. 24 (5), 1850-1888, (October 2014) DOI: 10.1214/13-AAP965 Open Access
KEYWORDS: Itô semimartingale, Kolmogorov–Smirnov test, high-frequency data, stochastic volatility, jumps, Stable process, 62F12, 62M05, 60H10, 60J75
Oren Louidor, Ran Tessler, Alexander Vandenberg-Rodes
Ann. Appl. Probab. 24 (5), 1889-1917, (October 2014) DOI: 10.1214/13-AAP966 Open Access
KEYWORDS: Williams–Bjerknes, biased voter, local survival, fixation, 60K35, 82C41
A. B. Dieker, X. Gao
Ann. Appl. Probab. 24 (5), 1918-1945, (October 2014) DOI: 10.1214/13-AAP967 Open Access
KEYWORDS: Basic adjoint relationship, constrained diffusion processes, infinitesimal perturbation analysis, Queueing networks, reflected Brownian motion, sensitivity analysis, Skorohod reflection map, 60J60, 60K25
Eric Luçon, Wilhelm Stannat
Ann. Appl. Probab. 24 (5), 1946-1993, (October 2014) DOI: 10.1214/13-AAP968 Open Access
KEYWORDS: Disordered models, weakly interacting diffusions, Wasserstein distance, spatially extended particle systems, dissipative systems, Kuramoto model, FitzHugh–Nagumo model, 60K35, 60G57, 60F15, 35Q92, 82C44
Christian Bayer, John Schoenmakers
Ann. Appl. Probab. 24 (5), 1994-2032, (October 2014) DOI: 10.1214/13-AAP969 Open Access
KEYWORDS: Forward-reverse representations, pinned or conditional diffusions, Monte Carlo simulation, 65C05, 65C30
Rami Atar, Anup Biswas
Ann. Appl. Probab. 24 (5), 2033-2069, (October 2014) DOI: 10.1214/13-AAP971 Open Access
KEYWORDS: Risk-sensitive control, large deviations, Moderate deviations, differential games, multi-class single-server queue, heavy traffic, 60F10, 60K25, 49N70, 93E20
Pascal Maillard, Ofer Zeitouni
Ann. Appl. Probab. 24 (5), 2070-2090, (October 2014) DOI: 10.1214/13-AAP972 Open Access
KEYWORDS: Metropolis algorithm, Einstein relation, Branching random walk, Random walk in random environment, 60K37, 60J22, 82C41
Joel Spencer, Madhu Sudan, Kuang Xu
Ann. Appl. Probab. 24 (5), 2091-2142, (October 2014) DOI: 10.1214/13-AAP973 Open Access
KEYWORDS: Future information, queuing theory, admissions control, resource pooling, Random walk, online, offline, heavy-traffic asymptotics, 60K25, 60K30, 68M20, 90B36
Jeffrey F. Collamore, Guoqing Diao, Anand N. Vidyashankar
Ann. Appl. Probab. 24 (5), 2143-2175, (October 2014) DOI: 10.1214/13-AAP974 Open Access
KEYWORDS: Monte Carlo methods, importance sampling, perpetuities, large deviations, nonlinear renewal theory, Harris recurrent Markov chains, first entrance times, last exit times, Regeneration times, financial time series, GARCH processes, ARCH processes, Risk theory, ruin theory with stochastic investments, 65C05, 91G60, 68W40, 60H25, 60F10, 60G40, 60J05, 60J10, 60J22, 60K15, 60K20, 60G70, 68U20, 91B30, 91B70, 91G70
Erdinç Akyıldırım, Yan Dolinsky, H. Mete Soner
Ann. Appl. Probab. 24 (5), 2176-2205, (October 2014) DOI: 10.1214/13-AAP977 Open Access
KEYWORDS: stochastic volatility, recombinant trees, weak convergence, Heston model, 60J10, 60J22, 60J60
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