VOL. 26 · NO. 2 | April 2016
Ann. Appl. Probab. 26 (2), (April 2016) Open Access
No abstract available
Ann. Appl. Probab. 26 (2), (April 2016) Open Access
No abstract available
Thomas Madaule, Rémi Rhodes, Vincent Vargas
Ann. Appl. Probab. 26 (2), 643-690, (April 2016) DOI: 10.1214/14-AAP1071 Open Access
KEYWORDS: Gaussian multiplicative chaos, supercritical, renormalization, freezing, glassy phase, 60G57, 60G15
Harry Crane
Ann. Appl. Probab. 26 (2), 691-721, (April 2016) DOI: 10.1214/15-AAP1098 Open Access
KEYWORDS: Time-varying network, dynamic network, complex network, exchangeable random graph, Partial exchangeability, graph limit, graphon, Markov process, Aldous–Hoover theorem, combinatorial stochastic process, 60G05, 60G09, 60J25, 90B15
Dan Cheng, Yimin Xiao
Ann. Appl. Probab. 26 (2), 722-759, (April 2016) DOI: 10.1214/15-AAP1101 Open Access
KEYWORDS: Gaussian random fields with stationary increments, excursion probability, excursion set, Euler characteristic, super-exponentially small, 60G15, 60G60, 60G70
R. Fernandez, F. Manzo, F. R. Nardi, E. Scoppola, J. Sohier
Ann. Appl. Probab. 26 (2), 760-793, (April 2016) DOI: 10.1214/15-AAP1102 Open Access
KEYWORDS: metastability, continuous time Markov chains on discrete spaces, hitting times, asymptotic exponential behavior, 60J27, 60J28, 82C05
Dmitry Kramkov, Sergio Pulido
Ann. Appl. Probab. 26 (2), 794-817, (April 2016) DOI: 10.1214/15-AAP1103 Open Access
KEYWORDS: liquidity, price impact, multi-dimensional quadratic BSDE, 60H10, 91B24, 91G80
Akihiko Takahashi, Toshihiro Yamada
Ann. Appl. Probab. 26 (2), 818-856, (April 2016) DOI: 10.1214/15-AAP1105 Open Access
KEYWORDS: asymptotic expansion, weak approximation, Malliavin calculus, Watanabe theory, Kusuoka scheme, 60H07, 91G20, 91G60
Jochen Blath, Adrián González Casanova, Noemi Kurt, Maite Wilke-Berenguer
Ann. Appl. Probab. 26 (2), 857-891, (April 2016) DOI: 10.1214/15-AAP1106 Open Access
KEYWORDS: Wright–Fisher model, seed-bank, Coalescent, coming down from infinity, age structure, 60K35, 92D10
Roberto Cortez, Joaquin Fontbona
Ann. Appl. Probab. 26 (2), 892-916, (April 2016) DOI: 10.1214/15-AAP1107 Open Access
KEYWORDS: propagation of chaos, Kac equation, wealth distribution equations, Stochastic particle systems, Wasserstein distance, optimal coupling, 60K35, 82C22, 82C40
J. Theodore Cox, Yuval Peres, Jeffrey E. Steif
Ann. Appl. Probab. 26 (2), 917-932, (April 2016) DOI: 10.1214/15-AAP1108 Open Access
KEYWORDS: Noisy voter models, mixing times for Markov chains, cutoff phenomena, 60J27, 60K35
Noufel Frikha
Ann. Appl. Probab. 26 (2), 933-985, (April 2016) DOI: 10.1214/15-AAP1109 Open Access
KEYWORDS: Multi-level Monte Carlo methods, stochastic approximation, Ruppert–Polyak averaging principle, Euler scheme, 60F05, 62K12, 65C05, 60H35
Mathew D. Penrose
Ann. Appl. Probab. 26 (2), 986-1028, (April 2016) DOI: 10.1214/15-AAP1110 Open Access
KEYWORDS: random graph, Stochastic geometry, random connection model, connectivity, isolated points, continuum percolation, 05C80, 60D05, 05C40, 60K35
James Norris
Ann. Appl. Probab. 26 (2), 1029-1081, (April 2016) DOI: 10.1214/15-AAP1111 Open Access
KEYWORDS: Kac process, Law of Large Numbers, Wasserstein distance, Boltzmann equation, 60J25, 35Q20
Erhan Bayraktar, Jiaqi Li
Ann. Appl. Probab. 26 (2), 1082-1110, (April 2016) DOI: 10.1214/15-AAP1112 Open Access
KEYWORDS: The stochastic target problem, stochastic Perron method, viscosity solutions, geometric dynamic programming principle, 93E20, 49L20, 49L25, 60G46, 60H30, 91B28, 35D05
Alexandros Beskos, Ajay Jasra, Nikolas Kantas, Alexandre Thiery
Ann. Appl. Probab. 26 (2), 1111-1146, (April 2016) DOI: 10.1214/15-AAP1113 Open Access
KEYWORDS: Adaptive sequential Monte Carlo, CLT, MCMC, 82C80, 60K35, 60F99, 62F15
Yaozhong Hu, Yanghui Liu, David Nualart
Ann. Appl. Probab. 26 (2), 1147-1207, (April 2016) DOI: 10.1214/15-AAP1114 Open Access
KEYWORDS: fractional Brownian motion, Stochastic differential equations, Euler scheme, Fractional calculus, Malliavin calculus, Fourth moment theorem, 60H10, 60H07, 26A33, 60H35
Sébastien Choukroun, Andrea Cosso
Ann. Appl. Probab. 26 (2), 1208-1259, (April 2016) DOI: 10.1214/15-AAP1115 Open Access
KEYWORDS: BSDE with jumps, constrained BSDE, controlled intensity, conditionally Poisson random measure, Hamilton–Jacobi–Bellman equation, nonlinear integro-PDE, viscosity solution, 60H10, 93E20, 60G57
Denis Belomestny, Volker Krätschmer
Ann. Appl. Probab. 26 (2), 1260-1295, (April 2016) DOI: 10.1214/15-AAP1116 Open Access
KEYWORDS: Optimized certainty equivalents, Optimal stopping, primal representation, additive dual representation, randomized stopping times, thin sets, 60G40, 91G80
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