VOL. 29 · NO. 6 | December 2019
Ann. Appl. Probab. 29 (6), (December 2019)
No abstract available
Ann. Appl. Probab. 29 (6), (December 2019)
No abstract available
Ruoting Gong, Chenchen Mou, Andrzej Święch
Ann. Appl. Probab. 29 (6), 3271-3310, (December 2019) DOI: 10.1214/19-AAP1473
KEYWORDS: viscosity solution, integro-PDE, Hamilton–Jacobi–Bellman equation, dynamic programming principle, stochastic representation formula, value function, Lévy process, 35R09, 35K61, 35K65, 49L20, 49L25, 60H10, 60H30, 93E20
Gaoyue Guo, Jan Obłój
Ann. Appl. Probab. 29 (6), 3311-3347, (December 2019) DOI: 10.1214/19-AAP1481
KEYWORDS: Martingale optimal transport, martingale relaxation, robust hedging, Duality, discretization of measure, linear programming, 49M25, 60H99, 90C08
Sebastian Herrmann, Florian Stebegg
Ann. Appl. Probab. 29 (6), 3348-3386, (December 2019) DOI: 10.1214/19-AAP1482
KEYWORDS: Robust superhedging, semistatic strategies, Martingale optimal transport, Duality, 60G44, 49N05, 91G20
Martin Keller-Ressel, Thorsten Schmidt, Robert Wardenga
Ann. Appl. Probab. 29 (6), 3387-3437, (December 2019) DOI: 10.1214/19-AAP1483
KEYWORDS: Affine process, Semimartingale, Markov process, stochastic discontinuity, measure differential equations, default risk, interest rate, option pricing, announcement effects, dividends, 60J25, 91G99
André Schlichting, Martin Slowik
Ann. Appl. Probab. 29 (6), 3438-3488, (December 2019) DOI: 10.1214/19-AAP1484
KEYWORDS: Capacitary inequality, Harmonic functions, logarithmic Sobolev constant, mean hitting time, metastability, Poincaré constant, random field Curie–Weiss model, 60J10, 34L15, 49J40, 60J45, 82C26
Frederi Viens, Jianfeng Zhang
Ann. Appl. Probab. 29 (6), 3489-3540, (December 2019) DOI: 10.1214/19-AAP1486
KEYWORDS: fractional Brownian motion, Volterra SDE, Monte Carlo methods, path dependent PDEs, functional Itô formula, Rough volatility, Time inconsistency, 60G22, 60H20, 60H30, 35K10, 91G20
Anton Bovier, Loren Coquille, Charline Smadi
Ann. Appl. Probab. 29 (6), 3541-3589, (December 2019) DOI: 10.1214/19-AAP1487
KEYWORDS: Eco-evolution, birth and death process with immigration, selective sweep, coupling, competitive Lotka–Volterra system with mutations, 92D25, 60J80, 60J27, 92D15, 60F15, 37N25
Viktor Todorov
Ann. Appl. Probab. 29 (6), 3590-3636, (December 2019) DOI: 10.1214/19-AAP1488
KEYWORDS: Itô semimartingale, jumps, nonparametric inference, Options, stable convergence, stochastic volatility, 60F05, 60E10, 60J60, 60J75
Sandra Kliem
Ann. Appl. Probab. 29 (6), 3637-3694, (December 2019) DOI: 10.1214/19-AAP1489
KEYWORDS: Stochastic pde, KPP equation, White noise, traveling wave speed, near-critical, 60H15, 35R60
Erhan Bayraktar, Jakša Cvitanić, Yuchong Zhang
Ann. Appl. Probab. 29 (6), 3695-3744, (December 2019) DOI: 10.1214/19-AAP1490
KEYWORDS: Tournaments, rank-based rewards, mechanism design, Mean field games, 91A13, 91B40, 93E20
Yannic Bröker, Chiranjib Mukherjee
Ann. Appl. Probab. 29 (6), 3745-3785, (December 2019) DOI: 10.1214/19-AAP1491
KEYWORDS: Gaussian multiplicative chaos, supercritical, renormalization, glassy phase, freezing, Stochastic heat equation, Strong disorder, asymptotic pure atomicity, translation-invariant compactification, 60K35, 60J65, 60J55, 60F10, 35R60, 35Q82, 60H15, 82D60
Janne Junnila, Eero Saksman, Christian Webb
Ann. Appl. Probab. 29 (6), 3786-3820, (December 2019) DOI: 10.1214/19-AAP1492
KEYWORDS: Log-correlated Gaussian fields, random generalized functions, Gaussian multiplicative chaos, 60G15, 60G57
Ryoki Fukushima, Stefan Junk
Ann. Appl. Probab. 29 (6), 3821-3860, (December 2019) DOI: 10.1214/19-AAP1493
KEYWORDS: Directed polymer, random environment, zero temperature, 60K37, 60K35, 82A51, 82D30
Danny Nam, Evita Nestoridi
Ann. Appl. Probab. 29 (6), 3861-3892, (December 2019) DOI: 10.1214/19-AAP1495
KEYWORDS: Markov chains, mixing time, adjacent transpositions, time inhomogeneous card shuffles, Cutoff phenomenon, 60J10, 60C05, 60G42
Peter Bank, Yan Dolinsky
Ann. Appl. Probab. 29 (6), 3893-3917, (December 2019) DOI: 10.1214/19-AAP1498
KEYWORDS: Duality, permanent and transient price impact, Superreplication, consistent price systems, shadow price, 91G10, 91G20
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