VOL. 26 · NO. 4 | August 2016
Ann. Appl. Probab. 26 (4), (August 2016)
No abstract available
Ann. Appl. Probab. 26 (4), (August 2016)
No abstract available
I. M. Verloop
Ann. Appl. Probab. 26 (4), 1947-1995, (August 2016) DOI: 10.1214/15-AAP1137
KEYWORDS: Restless bandits, asymptotic optimality, Whittle’s index policy, arm-aquiring bandits, nonindexable bandits, 90C40, 68M20, 90B36
Umut Çetin, Albina Danilova
Ann. Appl. Probab. 26 (4), 1996-2029, (August 2016) DOI: 10.1214/15-AAP1138
KEYWORDS: Kyle model with risk averse market makers, Bertrand competition, forward–backward stochastic and partial differential equations, Markov bridges, 60H30, 60J60, 91B44
Ivan Corwin, Zhipeng Liu, Dong Wang
Ann. Appl. Probab. 26 (4), 2030-2082, (August 2016) DOI: 10.1214/15-AAP1139
KEYWORDS: TASEP, Last passage percolation, Kardar–Parisi–Zhang, C22, 82B23, 60H15
Sotirios Sabanis
Ann. Appl. Probab. 26 (4), 2083-2105, (August 2016) DOI: 10.1214/15-AAP1140
KEYWORDS: Explicit Euler approximations, rate of convergence, local Lipschitz condition, superlinearly growing coefficients, 60H35, 65C30
Giovanni Luca Torrisi
Ann. Appl. Probab. 26 (4), 2106-2140, (August 2016) DOI: 10.1214/15-AAP1141
KEYWORDS: Clark–Ocone formula, Gaussian approximation, Hawkes process, Malliavin’s calculus, Poisson process, Stein’s method, Stochastic intensity, 60F05, 60G55
Alessandro Arlotto, J. Michael Steele
Ann. Appl. Probab. 26 (4), 2141-2168, (August 2016) DOI: 10.1214/15-AAP1142
KEYWORDS: Traveling salesman problem, Beardwood–Halton–Hammersley theorem, subadditive Euclidean functional, stationary ergodic processes, equidistribution, construction of stationary processes, 60D05, 90B15, 60F15, 60G10, 60G55, 90C27
Joscha Diehl, Peter Friz, Hilmar Mai
Ann. Appl. Probab. 26 (4), 2169-2192, (August 2016) DOI: 10.1214/15-AAP1143
KEYWORDS: maximum likelihood estimation, robust estimation, rough paths analysis, 62M05, 62F99, 60H99
Siva Athreya, Adrian Röllin
Ann. Appl. Probab. 26 (4), 2193-2210, (August 2016) DOI: 10.1214/15-AAP1144
KEYWORDS: random graph, dense graph limits, Ergodic, respondent driven sampling, 05C80, 60J20, 37A30, 9482
Elchanan Mossel, Joe Neeman, Allan Sly
Ann. Appl. Probab. 26 (4), 2211-2256, (August 2016) DOI: 10.1214/15-AAP1145
KEYWORDS: Stochastic block model, unsupervised learning, belief propagation, robust reconstruction, 05C80, 60J20, 91D30
Zhiyi Chi
Ann. Appl. Probab. 26 (4), 2257-2272, (August 2016) DOI: 10.1214/15-AAP1146
KEYWORDS: Random matrix, random graph, Markov matrix, reversible, 60B20, 05C80
David Hobson
Ann. Appl. Probab. 26 (4), 2273-2303, (August 2016) DOI: 10.1214/15-AAP1147
KEYWORDS: martingale, mimicking process, fake Brownian motion, minimal expected total variation, 60G44, 60G18, 60J65, 91G20
Guillaume Barraquand, Ivan Corwin
Ann. Appl. Probab. 26 (4), 2304-2356, (August 2016) DOI: 10.1214/15-AAP1148
KEYWORDS: interacting particle systems, KPZ universality class, Exclusion processes, Bethe ansatz, Tracy–Widom distribution, 60J27, 82C22, 82B23
Randal Douc, François Roueff, Tepmony Sim
Ann. Appl. Probab. 26 (4), 2357-2383, (August 2016) DOI: 10.1214/15-AAP1149
KEYWORDS: consistency, ergodicity, Hidden Markov models, maximum likelihood, observation-driven models, time series of counts, 60J05, 62F12, 62M05, 62M10
Xiao Fang, David Siegmund
Ann. Appl. Probab. 26 (4), 2384-2418, (August 2016) DOI: 10.1214/15-AAP1150
KEYWORDS: Stein’s method, Poisson approximation, total variation distance, relative error, rate of convergence, scan statistics, change-point analysis, exponential family, 60F05, 62E20, 62L10
Maria Deijfen, Remco van der Hofstad
Ann. Appl. Probab. 26 (4), 2419-2453, (August 2016) DOI: 10.1214/15-AAP1151
KEYWORDS: Random graphs, configuration model, first passage percolation, competing growth, Coexistence, continuous-time branching process, 60K35, 05C80, 90B15
Chen Jia, Da-Quan Jiang, Min-Ping Qian
Ann. Appl. Probab. 26 (4), 2454-2493, (August 2016) DOI: 10.1214/15-AAP1152
KEYWORDS: Haldane equality, Nonequilibrium, Fluctuation theorem, Current fluctuation, large deviation, 60J10, 60J20, 60J27, 60J28, 60F10, 82C31
Remco van der Hofstad, Mark Holmes, Alexey Kuznetsov, Wioletta Ruszel
Ann. Appl. Probab. 26 (4), 2494-2539, (August 2016) DOI: 10.1214/16-AAP1153
KEYWORDS: Reinforcement model, Pólya urn, stochastic approximation algorithm, stable equilibria, 60K35, 37C10
Ian W. McKeague, Bruce Levin
Ann. Appl. Probab. 26 (4), 2540-2555, (August 2016) DOI: 10.1214/15-AAP1154
KEYWORDS: Interacting particle system, Normal approximation, Stein’s method, 60F05, 81Q65, 60F17
Jean Bertoin, Igor Kortchemski
Ann. Appl. Probab. 26 (4), 2556-2595, (August 2016) DOI: 10.1214/15-AAP1157
KEYWORDS: Markov chains, Self-similar Markov processes, Lévy processes, Invariance principles, 60F17, 60J10, 60G18, 60J35
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