VOL. 26 · NO. 1 | February 2016
Ann. Appl. Probab. 26 (1), (February 2016)
No abstract available
Ann. Appl. Probab. 26 (1), (February 2016)
No abstract available
Pierre Henry-Labordère, Jan Obłój, Peter Spoida, Nizar Touzi
Ann. Appl. Probab. 26 (1), 1-44, (February 2016) DOI: 10.1214/14-AAP1084
KEYWORDS: maximum process, martingale, robust pricing and hedging, volatility uncertainty, Optimal transportation, optimal control, pathwise inequalities, lookback option, 60G44, 91G80, 91G20, 60J60
James A. Duffy
Ann. Appl. Probab. 26 (1), 45-72, (February 2016) DOI: 10.1214/14-AAP1085
KEYWORDS: Fractional stable motion, fractional Brownian motion, Local time, weak convergence to local time, integral functionals of stochastic processes, nonlinear cointegration, Nonparametric regression, 60F17, 60G18, 60J55, 62G08, 62M10
Daniel Hug, Günter Last, Matthias Schulte
Ann. Appl. Probab. 26 (1), 73-135, (February 2016) DOI: 10.1214/14-AAP1086
KEYWORDS: Boolean model, central limit theorem, Covariance matrix, intrinsic volume, additive functional, curvature measure, Fock space representation, Malliavin calculus, Wiener–Itô chaos expansion, Berry–Esseen bound, integral geometry, 60D05, 60F05, 60G55, 60H07, 52A22
Steffen Dereich, Sangmeng Li
Ann. Appl. Probab. 26 (1), 136-185, (February 2016) DOI: 10.1214/14-AAP1087
KEYWORDS: Multilevel Monte Carlo, central limit theorem, Lévy-driven stochastic differential equation, Euler scheme, jump-adapted scheme, stable convergence, 65C05, 60G51, 60F05
Han Feng, David Hobson
Ann. Appl. Probab. 26 (1), 186-215, (February 2016) DOI: 10.1214/14-AAP1088
KEYWORDS: Gambling contest, Nash equilibrium, Skorokhod embedding, Seel–Strack problem, 60G40, 60J65, 91A05
Sylvain Delattre, Nicolas Fournier, Marc Hoffmann
Ann. Appl. Probab. 26 (1), 216-261, (February 2016) DOI: 10.1214/14-AAP1089
KEYWORDS: Point processes, multivariate Hawkes processes, Stochastic differential equations, limit theorems, Mean-field approximations, interacting particle systems, 60F05, 60G55, 60G57
Jean-François Chassagneux, Adrien Richou
Ann. Appl. Probab. 26 (1), 262-304, (February 2016) DOI: 10.1214/14-AAP1090
KEYWORDS: Backward stochastic differential equations, Generator of quadratic growth, time-discretization, numerical approximation, 60H10, 65C30
Venkat Anantharam, Justin Salez
Ann. Appl. Probab. 26 (1), 305-327, (February 2016) DOI: 10.1214/14-AAP1091
KEYWORDS: Maximum subgraph density, load balancing, Local weak convergence, objective method, unimodularity, pairing model, 60C05, 05C80, 90B15
Daniel Hackmann, Alexey Kuznetsov
Ann. Appl. Probab. 26 (1), 328-359, (February 2016) DOI: 10.1214/14-AAP1093
KEYWORDS: Lévy processes, complete monotonicity, hyperexponential processes, Padé approximation, rational interpolation, Gaussian quadrature, Stieltjes functions, Jacobi polynomials, 60G51, 26C15
Philip S. Griffin
Ann. Appl. Probab. 26 (1), 360-401, (February 2016) DOI: 10.1214/14-AAP1094
KEYWORDS: Lévy insurance risk process, Cramér–Lundberg, convolution equivalence, ruin time, overshoot, EDPF, 60G51, 60F17, 91B30, 62P05
Hugo Gimbert, Jérôme Renault, Sylvain Sorin, Xavier Venel, Wiesław Zielonka
Ann. Appl. Probab. 26 (1), 402-424, (February 2016) DOI: 10.1214/14-AAP1095
KEYWORDS: Multistage game, repeated games with signals, repeated games with symmetric information, Borelian evaluation, limsup value, uniform value, 91A20, 91A05, 91A15, 60G35
David Kelly
Ann. Appl. Probab. 26 (1), 425-461, (February 2016) DOI: 10.1214/15-AAP1096
KEYWORDS: Stochastic differential equations, rough path theory, diffusion limits, nonsemi-martingale, Numerical schemes, 60H05, 60H10, 60H35, 39A50
Domenico Marinucci, Sreekar Vadlamani
Ann. Appl. Probab. 26 (1), 462-506, (February 2016) DOI: 10.1214/15-AAP1097
KEYWORDS: High-frequency asymptotics, Spherical random fields, Gaussian subordination, Lipschitz–Killing curvatures, Minkowski functionals, Excursion sets, 60G60, 62M15, 53C65, 42C15
Janosch Ortmann, Jeremy Quastel, Daniel Remenik
Ann. Appl. Probab. 26 (1), 507-548, (February 2016) DOI: 10.1214/15-AAP1099
KEYWORDS: interacting particle systems, Kardar–Parisi–Zhang universality class, Asymmetric simple exclusion process, flat initial data, 60K35, 82C22, 82C23, 82B23, 60H15
Jason Cantarella, Clayton Shonkwiler
Ann. Appl. Probab. 26 (1), 549-596, (February 2016) DOI: 10.1214/15-AAP1100
KEYWORDS: Closed random walk, statistics on Riemannian manifolds, Duistermaat–Heckman theorem, random knot, random polygon, crankshaft algorithm, 53D30, 60G50
Hariharan Narayanan
Ann. Appl. Probab. 26 (1), 597-641, (February 2016) DOI: 10.1214/15-AAP1104
KEYWORDS: Random walks, interior point methods, 65C40, 90C30
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