VOL. 27 · NO. 3 | June 2017
Ann. Appl. Probab. 27 (3), (June 2017)
No abstract available
Ann. Appl. Probab. 27 (3), (June 2017)
No abstract available
Zhen-Qing Chen, Wai-Tong (Louis) Fan
Ann. Appl. Probab. 27 (3), 1299-1371, (June 2017) DOI: 10.1214/16-AAP1208
KEYWORDS: Hydrodynamic limit, propagation of chaos, Interacting particle system, Random walk, annihilation, reflecting diffusion, boundary local time, heat kernel, coupled nonlinear partial differential equation, BBGKY hierarchy, Duhamel tree expansion, Isoperimetric inequality, 60F17, 60K35, 92D15
Raphael Chetrite, Roland Diel, Matthieu Lerasle
Ann. Appl. Probab. 27 (3), 1372-1394, (June 2017) DOI: 10.1214/16-AAP1231
KEYWORDS: Bradley–Terry model, random environment, paired comparisons, Extreme values, 60K37, 60G70, 60K40
Mihail Poplavskyi, Roger Tribe, Oleg Zaboronski
Ann. Appl. Probab. 27 (3), 1395-1413, (June 2017) DOI: 10.1214/16-AAP1233
KEYWORDS: Real Ginibre ensemble, Fredholm determinant, 60B20, 60F10
Christoph Czichowsky, Walter Schachermayer
Ann. Appl. Probab. 27 (3), 1414-1451, (June 2017) DOI: 10.1214/16-AAP1234
KEYWORDS: portfolio choice, non-semimartingale price processes, fractional Brownian motion, proportional transaction costs, utilities on the whole real line, exponential utility, shadow price, convex duality, stickiness, optimal trading strategies, 91G10, 60G22, 93E20, 60G48
Matteo Burzoni, Marco Frittelli, Marco Maggis
Ann. Appl. Probab. 27 (3), 1452-1477, (June 2017) DOI: 10.1214/16-AAP1235
KEYWORDS: Superhedging theorem, model independent market, model uncertainty, robust duality, finite support martingale measure, analytic sets, 60B05, 60G42, 28A05, 28B20, 46A20, 91B70, 91B24
Paul A. Jenkins, Dario Spanò
Ann. Appl. Probab. 27 (3), 1478-1509, (June 2017) DOI: 10.1214/16-AAP1236
KEYWORDS: Monte Carlo, simulation, Wright–Fisher diffusion, exact algorithm, Fleming–Viot process, diffusion bridge, retrospective simulation, Kingman’s coalescent, Population genetics, 65C05, 60H35, 60J60, 92D15
Yukun He, Antti Knowles
Ann. Appl. Probab. 27 (3), 1510-1550, (June 2017) DOI: 10.1214/16-AAP1237
KEYWORDS: Wigner matrices, mesoscopic eigenvalue distribution, linear statistics, Universality, 15B52, 60B20
Alain Durmus, Éric Moulines
Ann. Appl. Probab. 27 (3), 1551-1587, (June 2017) DOI: 10.1214/16-AAP1238
KEYWORDS: total variation distance, Langevin diffusion, Markov chain Monte Carlo, Metropolis adjusted Langevin algorithm, rate of convergence, 65C05, 60F05, 62L10, 65C40, 60J05, 93E35
Sourav Chatterjee, Sanchayan Sen
Ann. Appl. Probab. 27 (3), 1588-1645, (June 2017) DOI: 10.1214/16-AAP1239
KEYWORDS: Minimal spanning tree, central limit theorem, Stein’s method, Burton–Keane argument, two-arm event, 60D05, 60F05, 60B10
Vu Dinh, Frederick A. Matsen IV
Ann. Appl. Probab. 27 (3), 1646-1677, (June 2017) DOI: 10.1214/16-AAP1240
KEYWORDS: Evolutionary model, molecular evolution, Phylogenetics, likelihood model, characteristic polynomial, algebraic representation, multimodality, universal model, 05C05, 92B10, 05C25, 92D15
Günter Last, Mathew D. Penrose, Sergei Zuyev
Ann. Appl. Probab. 27 (3), 1678-1701, (June 2017) DOI: 10.1214/16-AAP1241
KEYWORDS: continuum percolation, Boolean model, infinite cluster, Capacity functional, percolation function, Reimer inequality, Margulis–Russo-type formula, 60K35, 60D05
Erhan Bayraktar, Song Yao
Ann. Appl. Probab. 27 (3), 1702-1755, (June 2017) DOI: 10.1214/16-AAP1243
KEYWORDS: Robust Dynkin game, nonlinear expectation, dynamic programming principle, controls in weak formulation, weak stability under pasting, martingale approach, path-dependent stochastic differential equations with controls, optimal triplet, optimal stopping with random maturity, 60G40, 93E20, 49L20, 91A15, 91A55, 60G44, 91B28
Anton Bovier, Lisa Hartung
Ann. Appl. Probab. 27 (3), 1756-1777, (June 2017) DOI: 10.1214/16-AAP1244
KEYWORDS: Gaussian processes, Branching Brownian motion, extremal processes, cluster processes, multiplicative chaos, 60J80, 60G70, 82B44
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
Ann. Appl. Probab. 27 (3), 1778-1830, (June 2017) DOI: 10.1214/16-AAP1246
KEYWORDS: Indifference pricing, incomplete markets, utility functions, large position size, 91G99, 60F10, 60H10
Kurt L. Helmes, Richard H. Stockbridge, Chao Zhu
Ann. Appl. Probab. 27 (3), 1831-1885, (June 2017) DOI: 10.1214/16-AAP1247
KEYWORDS: inventory, impulse control, long-term average cost, general diffusion models, $(s,S)$ policies, 93E20, 90B05, 60H30, 90B05, 60H30
Gideon Amir, Omer Angel, Gady Kozma
Ann. Appl. Probab. 27 (3), 1886-1922, (June 2017) DOI: 10.1214/16-AAP1248
KEYWORDS: Diffusion limited aggregation, transient random walk, harmonic measure, Growth process, 60D05, 60J45
Cristina Costantini, Pierpaolo De Blasi, Stewart N. Ethier, Matteo Ruggiero, Dario Spanò
Ann. Appl. Probab. 27 (3), 1923-1950, (June 2017) DOI: 10.1214/16-AAP1252
KEYWORDS: Infinite-dimensional diffusion process, two-parameter Poisson–Dirichlet distribution, Reinforcement, migration, Wright–Fisher model, weak convergence, 92D25, 60J60, 60G57, 60F17
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