VOL. 26 · NO. 6 | December 2016
Ann. Appl. Probab. 26 (6), (December 2016)
No abstract available
Ann. Appl. Probab. 26 (6), (December 2016)
No abstract available
Mei Yin, Alessandro Rinaldo, Sukhada Fadnavis
Ann. Appl. Probab. 26 (6), 3251-3285, (December 2016) DOI: 10.1214/16-AAP1175
KEYWORDS: exponential random graphs, Graph limits, normal cone, asymptotic quantization, 05C80, 62F99, 82B26
Bhaswar B. Bhattacharya
Ann. Appl. Probab. 26 (6), 3286-3318, (December 2016) DOI: 10.1214/16-AAP1176
KEYWORDS: discrete logarithm, Graph coloring, limit theorems, Poisson embedding, 05C15, 60F05, 94A62, 60G55
Frédéric Cérou, Arnaud Guyader
Ann. Appl. Probab. 26 (6), 3319-3380, (December 2016) DOI: 10.1214/16-AAP1177
KEYWORDS: sequential Monte Carlo, Rare events, interacting particle systems, Feynman–Kac semigroups, 65C35, 65C05, 60J85, 47D08
Zhenjie Ren
Ann. Appl. Probab. 26 (6), 3381-3414, (December 2016) DOI: 10.1214/16-AAP1178
KEYWORDS: viscosity solutions, Optimal stopping, path-dependent PDEs, Comparison principle, Perron’s approach, 35D40, 35K10, 60H10, 60H30
Mark Podolskij, Nakahiro Yoshida
Ann. Appl. Probab. 26 (6), 3415-3455, (December 2016) DOI: 10.1214/16-AAP1179
KEYWORDS: Diffusion processes, Edgeworth expansion, high frequency observations, power variation, 62M09, 60F05, 62H12, 62G20, 60G44
Rick Durrett, Wai-Tong (Louis) Fan
Ann. Appl. Probab. 26 (6), 3456-3490, (December 2016) DOI: 10.1214/16-AAP1181
KEYWORDS: Biased voter model, SPDE, Duality, Scaling limit, genealogies, 60K35, 60H15, 92C50
Manon Costa
Ann. Appl. Probab. 26 (6), 3491-3530, (December 2016) DOI: 10.1214/16-AAP1182
KEYWORDS: Prey–predator communities, Piecewise deterministic Markov processes, irreducibility, ergodicity, Invariant measures, slow–fast systems, averaging techniques, 60J25, 60J75, 92D25
Erhan Bayraktar, Zhou Zhou
Ann. Appl. Probab. 26 (6), 3531-3558, (December 2016) DOI: 10.1214/16-AAP1184
KEYWORDS: fundamental theorem of asset pricing, hedging duality, utility maximization, semi-static trading strategies, American options, 60G42, 91G20, 60G40, 49L20, 93E20
Charles-Edouard Bréhier, Maxime Gazeau, Ludovic Goudenège, Tony Lelièvre, Mathias Rousset
Ann. Appl. Probab. 26 (6), 3559-3601, (December 2016) DOI: 10.1214/16-AAP1185
KEYWORDS: Rare event, adaptive multilevel splitting algorithms, unbiased estimator, 65C05, 65C35
Tusheng Zhang
Ann. Appl. Probab. 26 (6), 3602-3629, (December 2016) DOI: 10.1214/16-AAP1186
KEYWORDS: Systems of reflecting stochastic differential equations, Skorohod-type problems on time-dependent domains, stochastic partial differential equation with reflection, discretization of deterministic parabolic obstacle problems, 60H15, 60F10, 60F05
Li-Xin Zhang
Ann. Appl. Probab. 26 (6), 3630-3658, (December 2016) DOI: 10.1214/16-AAP1187
KEYWORDS: Stochastic approximation algorithms, central limit theorem, urn model, adaptive design, Gaussian approximation, the ODE method, 60F05, 62L20, 60F15, 60F17
Rudolf Grübel, Zakhar Kabluchko
Ann. Appl. Probab. 26 (6), 3659-3698, (December 2016) DOI: 10.1214/16-AAP1188
KEYWORDS: Branching random walk, functional central limit theorem, Gaussian analytic function, Binary search trees, Random recursive trees, Quicksort distribution, stable convergence, mixing convergence, almost sure weak convergence, Pólya urns, Galton–Watson processes, 60J80, 60F05, 60F17, 60B10, 68P10, 60G42
Martin Forde, Rohini Kumar
Ann. Appl. Probab. 26 (6), 3699-3726, (December 2016) DOI: 10.1214/16-AAP1189
KEYWORDS: stochastic volatility, large deviations, Donsker–Varadhan large deviation principle, implied volatility asymptotics, Ergodic processes, occupation measures, 60G99, 60J60, 60J25
Riddhipratim Basu, Alexander E. Holroyd, James B. Martin, Johan Wästlund
Ann. Appl. Probab. 26 (6), 3727-3753, (December 2016) DOI: 10.1214/16-AAP1190
KEYWORDS: Combinatorial game, percolation, maximum matching, maximum independent set, boundary conditions, 05C57, 60K35, 05C70
Michel Benaïm, Claude Lobry
Ann. Appl. Probab. 26 (6), 3754-3785, (December 2016) DOI: 10.1214/16-AAP1192
KEYWORDS: Population dynamics, Persistence, piecewise deterministic processes, competitive exclusion, Markov processes, 60J99, 34A60
Ji Oon Lee, Kevin Schnelli
Ann. Appl. Probab. 26 (6), 3786-3839, (December 2016) DOI: 10.1214/16-AAP1193
KEYWORDS: Sample covariance matrix, Tracy–Widom distribution, edge universality, 60B20, 15B52, 62H10
Eric Luçon, Wilhelm Stannat
Ann. Appl. Probab. 26 (6), 3840-3909, (December 2016) DOI: 10.1214/16-AAP1194
KEYWORDS: weakly interacting diffusions, spatially-extended particle systems, weighted empirical measures, Fluctuations, Kuramoto model, neuronal models, Stochastic partial differential equations, 60F05, 60G57, 60H15, 82C20, 92B25
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