VOL. 26 · NO. 3 | June 2016
 
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Frontmatter
Ann. Appl. Probab. 26 (3), (June 2016)
No abstract available
Ann. Appl. Probab. 26 (3), (June 2016)
No abstract available
Articles
Eric Foxall, Roderick Edwards, P. van den Driessche
Ann. Appl. Probab. 26 (3), 1297-1328, (June 2016) DOI: 10.1214/15-AAP1117
KEYWORDS: SIS model, contact process, interacting particle systems, 60J25, 92B99
Ioannis Karatzas, Andrey Sarantsev
Ann. Appl. Probab. 26 (3), 1329-1361, (June 2016) DOI: 10.1214/15-AAP1118
KEYWORDS: Competing Brownian particles, splits, mergers, diverse markets, arbitrage opportunity, portfolio, 60K35, 60J60, 91B26
Victor Bapst, Amin Coja-Oghlan, Felicia Raßmann
Ann. Appl. Probab. 26 (3), 1362-1406, (June 2016) DOI: 10.1214/15-AAP1119
KEYWORDS: Discrete structures, Random hypergraphs, Phase transitions, positive temperature, 05C80, 68Q87, 05C15
Michele Coghi, Franco Flandoli
Ann. Appl. Probab. 26 (3), 1407-1442, (June 2016) DOI: 10.1214/15-AAP1120
KEYWORDS: Interacting particle system, propagation of chaos, mean field limit, Kraichnan noise, Wasserstain metric, 60K35, 82C22, 60K37, 60H15
Giulia Di Nunno, Tusheng Zhang
Ann. Appl. Probab. 26 (3), 1443-1466, (June 2016) DOI: 10.1214/15-AAP1122
KEYWORDS: Stochastic partial differential equations, approximations, jump noise, tightness, weak convergence, stochastic Burgers equations, 60H15, 93E20, 35R60
Scott N. Armstrong, Ofer Zeitouni
Ann. Appl. Probab. 26 (3), 1467-1494, (June 2016) DOI: 10.1214/15-AAP1123
KEYWORDS: Stochastic control, martingale, nonlinear parabolic equation, 60G42, 93E20
Marianne Clausel, Jean-François Coeurjolly, Jérôme Lelong
Ann. Appl. Probab. 26 (3), 1495-1534, (June 2016) DOI: 10.1214/15-AAP1124
KEYWORDS: Stein formula, Malliavin calculus, superefficient estimator, intensity estimation, spatial point process, 60G55, 60H07
René Carmona, Xiuneng Zhu
Ann. Appl. Probab. 26 (3), 1535-1580, (June 2016) DOI: 10.1214/15-AAP1125
KEYWORDS: Mean field games, Stochastic control, McKean–Vlasov diffusion, stochastic Pontryagin principle, Mean-field interaction, mean-field forward–backward stochastic differential equation, 93E20, 60H10, 60K35
Patrick Cattiaux, José R. León, Clémentine Prieur
Ann. Appl. Probab. 26 (3), 1581-1619, (June 2016) DOI: 10.1214/15-AAP1126
KEYWORDS: Hypoelliptic diffusion, variance estimation, fluctuation-dissipation models, 62M05, 60H10, 60F05, 35H10
Christopher Hoffman, Tobias Johnson, Matthew Junge
Ann. Appl. Probab. 26 (3), 1620-1635, (June 2016) DOI: 10.1214/15-AAP1127
KEYWORDS: frog model, transience, recurrence, phase transition, 60K35, 60J80, 60J10
Paul Embrechts, Marius Hofert, Ruodu Wang
Ann. Appl. Probab. 26 (3), 1636-1658, (June 2016) DOI: 10.1214/15-AAP1128
KEYWORDS: tail dependence, Bernoulli random vectors, compatibility, matrices, copulas, insurance application, 60E05, 62H99, 62H20, 62E15, 62H86
Alan Edelman, A. Guionnet, S. Péché
Ann. Appl. Probab. 26 (3), 1659-1697, (June 2016) DOI: 10.1214/15-AAP1129
KEYWORDS: Random matrix, Singular value, Universality, Wigner matrix, bulk, hard edge, 15A52
Peter Bank, Yan Dolinsky, Selim Gökay
Ann. Appl. Probab. 26 (3), 1698-1726, (June 2016) DOI: 10.1214/15-AAP1130
KEYWORDS: super-replication, hedging with friction, volatility uncertainty, limit theorems, 91G10, 91G40
Antoine Lejay
Ann. Appl. Probab. 26 (3), 1727-1742, (June 2016) DOI: 10.1214/15-AAP1131
KEYWORDS: Interface condition, elastic Brownian motion, semi-permeable barrier, thin layer, piecing out a Markov process, 60J60, 60G20, 60J35, 60J55
Fulvia Confortola, Marco Fuhrman, Jean Jacod
Ann. Appl. Probab. 26 (3), 1743-1773, (June 2016) DOI: 10.1214/15-AAP1132
KEYWORDS: Backward stochastic differential equations, marked point processes, stochastic optimal control, 60H10, 93E20
Max Fathi, Jan Maas
Ann. Appl. Probab. 26 (3), 1774-1806, (June 2016) DOI: 10.1214/15-AAP1133
KEYWORDS: Discrete Ricci curvature, transport metrics, functional inequalities, birth-death processes, zero-range processes, Bernoulli–Laplace model, random transposition model, 60J10, 60K35
Rahul Roy, Kumarjit Saha, Anish Sarkar
Ann. Appl. Probab. 26 (3), 1807-1836, (June 2016) DOI: 10.1214/15-AAP1134
KEYWORDS: Brownian excursion, Brownian meander, Brownian web, Hack’s law, 60D05
Jamal Najim, Jianfeng Yao
Ann. Appl. Probab. 26 (3), 1837-1887, (June 2016) DOI: 10.1214/15-AAP1135
KEYWORDS: Large random matrix, linear statistics of the eigenvalues, central limit theorem, 15A52, 15A18‎, 60F15
Christoph Czichowsky, Walter Schachermayer
Ann. Appl. Probab. 26 (3), 1888-1941, (June 2016) DOI: 10.1214/15-AAP1136
KEYWORDS: Utility maximisation, proportional transaction costs, convex duality, shadow prices, supermartingale deflators, optional strong supermartingales, predictable strong supermartingales, logarithmic utility, 91G10, 93E20, 60G48
Folkmar Bornemann
Ann. Appl. Probab. 26 (3), 1942-1946, (June 2016) DOI: 10.1214/15-AAP1121
KEYWORDS: rate of convergence, Random matrix, smallest eigenvalue, LUE, 60F05, 15B52
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