VOL. 25 · NO. 5 | October 2015
Ann. Appl. Probab. 25 (5), (October 2015)
No abstract available
Ann. Appl. Probab. 25 (5), (October 2015)
No abstract available
M. H. A. Davis, M. R. Pistorius
Ann. Appl. Probab. 25 (5), 2383-2415, (October 2015) DOI: 10.1214/14-AAP1051
KEYWORDS: Inverse first-passage problem, Lévy process, quasi-invariant distribution, credit risk, counterparty risk, multi-variate first-passage times, 60J75, 91G40, 91G80
Alexandre Stauffer
Ann. Appl. Probab. 25 (5), 2416-2461, (October 2015) DOI: 10.1214/14-AAP1052
KEYWORDS: Poisson point process, Brownian motion, fractal percolation, multi-scale analysis, 82C43, 60G55, 60J65, 60K35, 82C21
Shankar Bhamidi, J. Michael Steele, Tauhid Zaman
Ann. Appl. Probab. 25 (5), 2462-2502, (October 2015) DOI: 10.1214/14-AAP1053
KEYWORDS: Dynamic networks, preferential attachment, continuous time branching processes, characteristics of branching processes, Multitype branching processes, Twitter, social networks, retweet graph, 60C05, 05C80, 90B15
Marcel Nutz, Jianfeng Zhang
Ann. Appl. Probab. 25 (5), 2503-2534, (October 2015) DOI: 10.1214/14-AAP1054
KEYWORDS: Controller-and-stopper game, Optimal stopping, saddle point, nonlinear expectation, $g$-expectation, 93E20, 49L20, 91A15, 60G44, 91B28
Dylan Possamaï, Xiaolu Tan
Ann. Appl. Probab. 25 (5), 2535-2562, (October 2015) DOI: 10.1214/14-AAP1055
KEYWORDS: Second-order BSDEs, weak approximation, Numerical scheme, robustness of BSDE, 60F05, 93E15, 65C50
Arnaud Lionnet, Gonçalo dos Reis, Lukasz Szpruch
Ann. Appl. Probab. 25 (5), 2563-2625, (October 2015) DOI: 10.1214/14-AAP1056
KEYWORDS: FBSDE, monotone driver, polynomial growth, time discretization, path regularity, calculus of variations, Numerical schemes, 65C30, 60H35, 60H07, 60H30
Philippe Robert, Amandine Véber
Ann. Appl. Probab. 25 (5), 2626-2670, (October 2015) DOI: 10.1214/14-AAP1057
KEYWORDS: Stochastic networks, fluid limits, Time scales, 60K25, 60K30, 60F05, 68M20, 90B22
Attila Herczegh, Vilmos Prokaj
Ann. Appl. Probab. 25 (5), 2671-2707, (October 2015) DOI: 10.1214/14-AAP1058
KEYWORDS: shadow price process, Transaction costs, optimal consumption, power utility, 91B28, 91B16, 60H10
Peter Bank, Dmitry Kramkov
Ann. Appl. Probab. 25 (5), 2708-2742, (October 2015) DOI: 10.1214/14-AAP1059
KEYWORDS: Bertrand competition, contingent claims, Equilibrium, indifference prices, liquidity, large investor, Pareto allocation, price impact, saddle functions, nonlinear stochastic integral, Random field, 91G10, 91G20, 52A41, 60G60
Morteza Ibrahimi, Yash Kanoria, Matt Kraning, Andrea Montanari
Ann. Appl. Probab. 25 (5), 2743-2808, (October 2015) DOI: 10.1214/14-AAP1060
KEYWORDS: Random constraint satisfaction problem, clustering of solutions, phase transition, random graph, Local weak convergence, belief propagation, 68Q87, 82B20
Patrick Rebeschini, Ramon van Handel
Ann. Appl. Probab. 25 (5), 2809-2866, (October 2015) DOI: 10.1214/14-AAP1061
KEYWORDS: Filtering in high dimension, local particle filters, curse of dimensionality, interacting Markov chains, decay of correlations, filter stability, data assimilation, 60G35, 60K35, 62M20, 65C05, 68Q87
Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou
Ann. Appl. Probab. 25 (5), 2867-2908, (October 2015) DOI: 10.1214/14-AAP1063
KEYWORDS: Second-order backward stochastic differential equation, backward stochastic differential equation with jumps, mutually singular measures, quasi-sure analysis, 60H10, 60H30
Paul Dupuis, Konstantinos Spiliopoulos, Xiang Zhou
Ann. Appl. Probab. 25 (5), 2909-2958, (October 2015) DOI: 10.1214/14-AAP1064
KEYWORDS: importance sampling, Monte Carlo methods, large deviations, equilibrium points, attractors, 65C05, 60G99, 60F99
Nicos Georgiou, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu
Ann. Appl. Probab. 25 (5), 2959-3006, (October 2015) DOI: 10.1214/14-AAP1065
KEYWORDS: The stochastic heat equation, semi-discrete stochastic heat equation, discrete space, Parabolic Anderson model, Lyapunov exponents, dissipative behavior, Comparison principle, Interacting diffusions, BDG inequality, 60J60, 60K35, 60K37, 47B80, 60H25
Olivier Hénard
Ann. Appl. Probab. 25 (5), 3007-3032, (October 2015) DOI: 10.1214/14-AAP1077
KEYWORDS: Coalescent, Markov chain duality, hitting times, 60J25, 60G55, 60J80
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