VOL. 27 · NO. 2 | April 2017
 
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Frontmatter
Ann. Appl. Probab. 27 (2), (April 2017)
No abstract available
Ann. Appl. Probab. 27 (2), (April 2017)
No abstract available
Articles
Heinrich Matzinger, Angelica Pachon, Serguei Popov
Ann. Appl. Probab. 27 (2), 651-685, (April 2017) DOI: 10.1214/16-AAP1183
KEYWORDS: Random walk, Branching random walk, reconstruction algorithm, 60J05, 60J80
Sigrid Källblad, Xiaolu Tan, Nizar Touzi
Ann. Appl. Probab. 27 (2), 686-719, (April 2017) DOI: 10.1214/16-AAP1191
KEYWORDS: Skorokhod embedding problem, peacocks, martingale inequality, martingale transport problem, maximum of martingale given marginals, 60G40, 91G80, 60G44, 91J20
Robert E. Gaunt, Alastair M. Pickett, Gesine Reinert
Ann. Appl. Probab. 27 (2), 720-756, (April 2017) DOI: 10.1214/16-AAP1213
KEYWORDS: Stein’s method, chi-square approximation, Pearson’s statistic, rate of convergence, 60F05, 62G10, 62G20
Markus Fischer
Ann. Appl. Probab. 27 (2), 757-810, (April 2017) DOI: 10.1214/16-AAP1215
KEYWORDS: Nash equilibrium, mean field game, McKean–Vlasov limit, weak convergence, Martingale problem, optimal control, 60K35, 91A06, 60B10, 93E20
Shun Watanabe, Masahito Hayashi
Ann. Appl. Probab. 27 (2), 811-845, (April 2017) DOI: 10.1214/16-AAP1216
KEYWORDS: Simple hypothesis testing, tail probability, finite-length Markov chain, information geometry, Relative entropy, relative Rényi entropy, 62M02, 62F03
Joris Bierkens, Gareth Roberts
Ann. Appl. Probab. 27 (2), 846-882, (April 2017) DOI: 10.1214/16-AAP1217
KEYWORDS: weak convergence, Markov chain Monte Carlo, Piecewise deterministic Markov process, phase transition, exponential ergodicity, 60F05, 65C05
Christine Fricker, Danielle Tibi
Ann. Appl. Probab. 27 (2), 883-916, (April 2017) DOI: 10.1214/16-AAP1219
KEYWORDS: Closed Jackson networks, finite capacity queues, product form distribution, equivalence of ensembles, Asymptotic independence, local limit theorem, 60K25, 60K35, 60F05
Hubert Lacoin
Ann. Appl. Probab. 27 (2), 917-943, (April 2017) DOI: 10.1214/16-AAP1220
KEYWORDS: Disordered pinning, phase transition, rounding effect, Harris criterion, 60K35, 60K37, 82B27, 82B44
Jean-Christophe Mourrat, James Nolen
Ann. Appl. Probab. 27 (2), 944-959, (April 2017) DOI: 10.1214/16-AAP1221
KEYWORDS: Stochastic homogenization, Scaling limit, Gaussian free field, 35B27, 35J15, 35R60, 60G60
Xiang Yu
Ann. Appl. Probab. 27 (2), 960-1002, (April 2017) DOI: 10.1214/16-AAP1222
KEYWORDS: proportional transaction costs, unbounded random endowments, acceptable portfolios, consumption budget constraint, consumption habit formation, convex duality, market isomorphism, 91G10, 91B42, 60G44, 49K30
Peter Johnson, Goran Peskir
Ann. Appl. Probab. 27 (2), 1003-1056, (April 2017) DOI: 10.1214/16-AAP1223
KEYWORDS: quickest detection, Brownian motion, Bessel process, Optimal stopping, parabolic partial differential equation, free-boundary problem, smooth fit, entrance boundary, nonlinear Fredholm integral equation, the change-of-variable formula with local time on curves/surfaces, 60G40, 60J60, 60H30, 35K67, 45G10, 62C10
Frank Ball, Peter Neal
Ann. Appl. Probab. 27 (2), 1057-1092, (April 2017) DOI: 10.1214/16-AAP1225
KEYWORDS: Random graphs, configuration model, branching processes, variance, 05C80
Martina Baar, Anton Bovier, Nicolas Champagnat
Ann. Appl. Probab. 27 (2), 1093-1170, (April 2017) DOI: 10.1214/16-AAP1227
KEYWORDS: adaptive dynamics, canonical equation, large population limit, mutation-selection individual-based model, 60K35, 92D25, 60J85
Bartosz Kołodziejek
Ann. Appl. Probab. 27 (2), 1171-1189, (April 2017) DOI: 10.1214/16-AAP1228
KEYWORDS: Random iterated equation, perpetuity, regular variation, Tail asymptotic, 60H25, 60E99
Hermine Biermé, Olivier Durieu, Yizao Wang
Ann. Appl. Probab. 27 (2), 1190-1234, (April 2017) DOI: 10.1214/16-AAP1229
KEYWORDS: invariance principle, operator-scaling, Gaussian random field, long-range dependence, 60F17, 60G60, 60G18, 60G22
Riddhipratim Basu, Allan Sly
Ann. Appl. Probab. 27 (2), 1235-1288, (April 2017) DOI: 10.1214/16-AAP1230
KEYWORDS: voter model, coevolutionary network, dense Erdős–Rényi graphs, 60K35, 60K37, 05C80, 05C81
Denis Belomestny, Volker Krätschmer
Ann. Appl. Probab. 27 (2), 1289-1293, (April 2017) DOI: 10.1214/16-AAP1226
KEYWORDS: Optimized certainty equivalents, Optimal stopping, primal representation, additive dual representation, randomized stopping times, thin sets, 60G40, 91G80
No abstract available
Dorival Leão, Alberto Ohashi
Ann. Appl. Probab. 27 (2), 1294-1295, (April 2017) DOI: 10.1214/16-AAP1224
No abstract available
Sophie Laruelle, Gilles Pagès
Ann. Appl. Probab. 27 (2), 1296-1298, (April 2017) DOI: 10.1214/16-AAP1242
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