VOL. 29 · NO. 1 | February 2019
Ann. Appl. Probab. 29 (1), (February 2019) Open Access
No abstract available
Ann. Appl. Probab. 29 (1), (February 2019) Open Access
No abstract available
Erhan Bayraktar, Amarjit Budhiraja, Asaf Cohen
Ann. Appl. Probab. 29 (1), 1-35, (February 2019) DOI: 10.1214/17-AAP1349 Open Access
KEYWORDS: 60K25, 91A13, 60K35, 93E20, 60H30, 60F17, heavy traffic limits, queuing systems, strategic servers, mean-field games, rate control, Reflected diffusions
Atilla Yilmaz, Ofer Zeitouni
Ann. Appl. Probab. 29 (1), 36-88, (February 2019) DOI: 10.1214/18-AAP1395 Open Access
KEYWORDS: Random walk in random potential, stochastic optimal control, Hamilton–Jacobi, Homogenization‎, Corrector, large deviations, tilted free energy, 60K37, 93E20, 35B27
Sergey Nadtochiy, Mykhaylo Shkolnikov
Ann. Appl. Probab. 29 (1), 89-129, (February 2019) DOI: 10.1214/18-AAP1403 Open Access
KEYWORDS: Banking systems, blow-ups in parabolic partial differential equations, default cascades, interacting particle systems, large system limits, loss of continuity, mean-field models, noncore exposures, nonlinear Cauchy–Dirichlet problems, regularity estimates, self-excitation, singular interaction, systemic crises, systemic risk, 35B65, 35K20, 82C22, 91G80
Dan Crisan, Eamon McMurray
Ann. Appl. Probab. 29 (1), 130-177, (February 2019) DOI: 10.1214/18-AAP1407 Open Access
KEYWORDS: Cubature on Wiener space, Lagrange polynomial interpolation, McKean–Vlasov SDEs, Kusuoka–Stroock functions, 60H30, 60H10, 60H07, 34F05, 35K55, 35K65
Mario Hefter, André Herzwurm, Thomas Müller-Gronbach
Ann. Appl. Probab. 29 (1), 178-216, (February 2019) DOI: 10.1214/18-AAP1411 Open Access
KEYWORDS: Stochastic differential equations, nonglobally Lipschitz continuous coefficients, strong (pathwise) approximation, lower error bounds, 65C30, 60H10
Krzysztof Burdzy, Carl-Erik Gauthier
Ann. Appl. Probab. 29 (1), 217-263, (February 2019) DOI: 10.1214/18-AAP1412 Open Access
KEYWORDS: Stochastic billiard, invariance principle, Knudsen random walk, cosine distribution, 60F17, 37D50, 60G40, 60G42, 60G44, 60J05, 60J25
S. Muirhead, R. Pymar, R. S. dos Santos
Ann. Appl. Probab. 29 (1), 264-325, (February 2019) DOI: 10.1214/18-AAP1417 Open Access
KEYWORDS: Parabolic Anderson model, Bouchaud trap model, Intermittency, localisation, 60H25, 82C44
Michel Benaïm, Edouard Strickler
Ann. Appl. Probab. 29 (1), 326-375, (February 2019) DOI: 10.1214/18-AAP1418 Open Access
KEYWORDS: Piecewise deterministic Markov processes, random switching, Lyapunov exponents, stochastic persistence, Hörmander-bracket conditions, epidemic models, SIS, 60J25, 34A37, 37H15, 37A50, 92D30
Peter Gracar, Alexandre Stauffer
Ann. Appl. Probab. 29 (1), 376-433, (February 2019) DOI: 10.1214/18-AAP1420 Open Access
KEYWORDS: Multi-scale percolation, Lipschitz surface, spread of infection, 60G55, 60K35
Andi Q. Wang, Martin Kolb, Gareth O. Roberts, David Steinsaltz
Ann. Appl. Probab. 29 (1), 434-457, (February 2019) DOI: 10.1214/18-AAP1422 Open Access
KEYWORDS: Quasi-stationary Monte Carlo methods, Quasi-stationary distributions, killed diffusions, $R$-theory, 60J60, 60J70, 47D07, 65C05
Lihu Xu
Ann. Appl. Probab. 29 (1), 458-504, (February 2019) DOI: 10.1214/18-AAP1424 Open Access
KEYWORDS: Stable approximation, Wasserstein-1 distance ($W_{1}$ distance), Stein’s method, $L^{1}$ discrepancy, normal domain of attraction of stable law, $\alpha$-stable processes, 60E07, 60E17, 60F05, 60G52
Goran Peskir
Ann. Appl. Probab. 29 (1), 505-530, (February 2019) DOI: 10.1214/18-AAP1426 Open Access
KEYWORDS: Optimal stopping, free boundary, continuity of the optimal stopping boundary, two-dimensional diffusion process, smooth fit, second-order parabolic/elliptic PDE, local time-space calculus, 60G40, 60J60, 60H30, 35K20, 35J25, 35R35
Alexander M. G. Cox, Sam M. Kinsley
Ann. Appl. Probab. 29 (1), 531-576, (February 2019) DOI: 10.1214/18-AAP1427 Open Access
KEYWORDS: Leveraged exchange traded fund, optimal Skorokhod embedding problem, monotonicity principle, robust pricing and hedging, 60G40, 91G20, 60G44, 60J60
Daniel Bartl
Ann. Appl. Probab. 29 (1), 577-612, (February 2019) DOI: 10.1214/18-AAP1428 Open Access
KEYWORDS: utility maximization, robust finance, Duality, dynamic programming, 91B16, 49L20, 60G42
Rami Atar, Asaf Cohen
Ann. Appl. Probab. 29 (1), 613-651, (February 2019) DOI: 10.1214/18-AAP1432 Open Access
KEYWORDS: Serve the shortest queue, heavy traffic, diffusion limits, Walsh Brownian motion, 60F05, 93E03, 60K25, 60J65, 60J70
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