VOL. 27 · NO. 6 | December 2017
 
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Frontmatter
Ann. Appl. Probab. 27 (6), (December 2017)
No abstract available
Ann. Appl. Probab. 27 (6), (December 2017)
No abstract available
Articles
Vladislav B. Tadić, Arnaud Doucet
Ann. Appl. Probab. 27 (6), 3255-3304, (December 2017) DOI: 10.1214/16-AAP1272
KEYWORDS: Stochastic gradient search, biased gradient estimation, chain-recurrence, Yomdin theorem, Lojasiewicz inequalities, 62L20, 90C15, 93E12, 93E35
Pierre Henry-Labordère, Xiaolu Tan, Nizar Touzi
Ann. Appl. Probab. 27 (6), 3305-3341, (December 2017) DOI: 10.1214/17-AAP1281
KEYWORDS: Unbiased simulation of SDEs, regime switching diffusion, linear parabolic PDEs, 65C05, 60J60, 60J85, 35K10
Martijn Pistorius, Mitja Stadje
Ann. Appl. Probab. 27 (6), 3342-3384, (December 2017) DOI: 10.1214/17-AAP1282
KEYWORDS: Deviation measure, time-consistency, Portfolio optimization, extended HJB equation, 60H30, 90C46, 91A10, 91B70, 93E99
Pascal Moyal, Ohad Perry
Ann. Appl. Probab. 27 (6), 3385-3434, (December 2017) DOI: 10.1214/17-AAP1283
KEYWORDS: Matching queues, instability, fluid limits, Graphs, 60K25, 60F17
Chandrasekhar Karnam, Jin Ma, Jianfeng Zhang
Ann. Appl. Probab. 27 (6), 3435-3477, (December 2017) DOI: 10.1214/17-AAP1284
KEYWORDS: Time inconsistency, dynamic programming principle, stochastic maximum principle, Comparison principle, Duality, dynamic utility, master equation, path derivative, 49L20, 60H10, 91C99, 91G80, 35R15
Zakhar Kabluchko, Alexander Marynych, Henning Sulzbach
Ann. Appl. Probab. 27 (6), 3478-3524, (December 2017) DOI: 10.1214/17-AAP1285
KEYWORDS: Biggins martingale, Branching random walk, central limit theorem, Edgeworth expansion, mod-phi convergence, Mode, Profile, Random analytic function, Random tree, width, 60G50, 60F05, 60J80, 60J85, 60F10, 60F15
Tiziano De Angelis, Erik Ekström
Ann. Appl. Probab. 27 (6), 3525-3546, (December 2017) DOI: 10.1214/17-AAP1286
KEYWORDS: The dividend problem, singular control, Optimal stopping, 60J70, 60G40, 91G80, 93E20
Tertuliano Franco, Adriana Neumann
Ann. Appl. Probab. 27 (6), 3547-3587, (December 2017) DOI: 10.1214/17-AAP1287
KEYWORDS: large deviations, Exclusion process, 60K35, 82C22, 60F10
Lihua Bai, Jin Ma, Xiaojing Xing
Ann. Appl. Probab. 27 (6), 3588-3632, (December 2017) DOI: 10.1214/17-AAP1288
KEYWORDS: Optimal dividend problem, Sparre Andersen model, backward Markovization, dynamic programming, Hamilton–Jacobi–Bellman equation, constrained viscosity solution, 91B30, 93E20, 60K05, 35D40
Thibaut Lux, Antonis Papapantoleon
Ann. Appl. Probab. 27 (6), 3633-3671, (December 2017) DOI: 10.1214/17-AAP1292
KEYWORDS: Improved Fréchet–Hoeffding bounds, quasi-copulas, stochastic dominance for quasi-copulas, model-free option pricing, 62H05, 60E15, 91G20
Hoi H. Nguyen
Ann. Appl. Probab. 27 (6), 3672-3705, (December 2017) DOI: 10.1214/17-AAP1293
KEYWORDS: Lyapunov exponents, large random matrices, 15A52, 60B10
Sebastian Engelke, Jevgenijs Ivanovs
Ann. Appl. Probab. 27 (6), 3706-3734, (December 2017) DOI: 10.1214/17-AAP1294
KEYWORDS: Extremal dependence, Pickands’ function, model misspecification, stress test, robust bounds, Convex optimization, 60G70, 62G32, 62G35
Tilmann Blümmel, Thorsten Rheinländer
Ann. Appl. Probab. 27 (6), 3735-3786, (December 2017) DOI: 10.1214/17-AAP1295
KEYWORDS: Large trader, limit order book, no arbitrage, nonlinear stochastic integration, Portfolio optimization, 60H05, 91G10
Giacomo Aletti, Irene Crimaldi, Andrea Ghiglietti
Ann. Appl. Probab. 27 (6), 3787-3844, (December 2017) DOI: 10.1214/17-AAP1296
KEYWORDS: Interacting systems, reinforced stochastic processes, urn models, complex networks, synchronization, asymptotic normality, 60F05, 60F15, 60K35, 62P35, 91D30
Benedikt Jahnel, Christof Külske
Ann. Appl. Probab. 27 (6), 3845-3892, (December 2017) DOI: 10.1214/17-AAP1298
KEYWORDS: Gibbsianness, Non-Gibbsianness, Point processes, Widom–Rowlinson model, spin-flip dynamics, quasilocality, non-almost-sure quasilocality, $\tau$-topology, 82C21, 60K35
Yaming Yu
Ann. Appl. Probab. 27 (6), 3893-3910, (December 2017) DOI: 10.1214/17-AAP1304
KEYWORDS: convolution, Log-concavity, majorization, tail probability, total positivity; unimodality, 60E15
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