VOL. 3 · NO. 3 | August, 1993
 
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Front Matter
Ann. Appl. Probab. 3 (3), (August, 1993)
No abstract available
Articles
Larry Shepp, A. N. Shiryaev
Ann. Appl. Probab. 3 (3), 631-640, (August, 1993) DOI: 10.1214/aoap/1177005355
KEYWORDS: Options, Black-Scholes model, optimal strategy, linear discounting, 90A09, 60H30, 60G44
J. Darrell Duffie, J. Michael Harrison
Ann. Appl. Probab. 3 (3), 641-651, (August, 1993) DOI: 10.1214/aoap/1177005356
KEYWORDS: Options, arbitage, Black-Scholes model, Optimal stopping, 90A09, 60H30
Jaksa Cvitanic, Ioannis Karatzas
Ann. Appl. Probab. 3 (3), 652-681, (August, 1993) DOI: 10.1214/aoap/1177005357
KEYWORDS: Constrained portfolios, Stochastic control, martingale representations, hedging claims, equivalent martingale measures, option pricing, Black and Scholes formula, 93E20, 90A09, 60H30, 60G44, 90A16
Offer Kella
Ann. Appl. Probab. 3 (3), 682-695, (August, 1993) DOI: 10.1214/aoap/1177005358
KEYWORDS: Levy process, reflected Levy process, multi-dimensional Levy process, martingale, queues, M/G/1 queue, fluid models, Queueing networks, storage networks, generalized Pollaczek-Khinchine formula, 60J30, 60K25, 60K30
Persi Diaconis, Laurent Saloff-Coste
Ann. Appl. Probab. 3 (3), 696-730, (August, 1993) DOI: 10.1214/aoap/1177005359
KEYWORDS: Markov chains, Eigenvalues, Exclusion process, Poincare inequalities, Bernoulli-Laplace diffusion, 60J10, 60F05
Bennett Eisenberg, Gilbert Stengle, Gilbert Strang
Ann. Appl. Probab. 3 (3), 731-745, (August, 1993) DOI: 10.1214/aoap/1177005360
KEYWORDS: Tie, asymptotic probability, record value, order statistics, logarithmic summability, geometric distribution, 60G70, 60F05
Luiz Fontes, Charles M. Newman
Ann. Appl. Probab. 3 (3), 746-762, (August, 1993) DOI: 10.1214/aoap/1177005361
KEYWORDS: First-passage percolation, percolation, random colorings, Ising model, 60K35, 82A43, 60G60, 82A68
Masakiyo Miyazawa, Volker Schmidt
Ann. Appl. Probab. 3 (3), 763-776, (August, 1993) DOI: 10.1214/aoap/1177005362
KEYWORDS: Risk theory, stationary marked point process, severity of ruin, ruin probability, Palm distribution, inversion formula, single-server queue, 60K30, 60G10, 90B99
Fabio Antonelli
Ann. Appl. Probab. 3 (3), 777-793, (August, 1993) DOI: 10.1214/aoap/1177005363
KEYWORDS: Adapted process, semimartingale optional projection, backward-forward stochastic differential equations, 60H10, 34F05
WanSoo T. Rhee
Ann. Appl. Probab. 3 (3), 794-801, (August, 1993) DOI: 10.1214/aoap/1177005364
KEYWORDS: Matching problem, subadditive functionals, complete convergence, 60D05, 60G17
E. G. Coffman Jr., E. N. Gilbert, P. W. Shor
Ann. Appl. Probab. 3 (3), 802-818, (August, 1993) DOI: 10.1214/aoap/1177005365
KEYWORDS: Selection-replacement process, Matching, Probabilistic analysis of algorithms, 60F99, 05C70, 60J10
Jeffrey S. Rosenthal
Ann. Appl. Probab. 3 (3), 819-839, (August, 1993) DOI: 10.1214/aoap/1177005366
KEYWORDS: Data augmentation, Gibbs sampler, Harris recurrence, convergence rate, 60J10, 62F15
Keigo Yamada, Sung Jo Hong
Ann. Appl. Probab. 3 (3), 840-862, (August, 1993) DOI: 10.1214/aoap/1177005367
KEYWORDS: limit theorem, functionals of jumps, birth and death processes, heavy traffic condition, Reflecting Brownian motion, Local time, 60F17, 60K25, 60H30
Peter Clifford, Gang Wei
Ann. Appl. Probab. 3 (3), 863-873, (August, 1993) DOI: 10.1214/aoap/1177005368
KEYWORDS: Cox process, birth, death and immigration, Ornstein-Uhlenbeck, point process, 60F05, 62E10, 62G05, 60G15, 60G55
Michael L. Stein
Ann. Appl. Probab. 3 (3), 874-880, (August, 1993) DOI: 10.1214/aoap/1177005369
KEYWORDS: spatial statistics, fixed-domain asymptotics, increasing-domain asymptotics, numerical integration, 62M40, 62M20
B. Blaszczyszyn, T. Rolski
Ann. Appl. Probab. 3 (3), 881-896, (August, 1993) DOI: 10.1214/aoap/1177005370
KEYWORDS: $GI/G/1 \rightarrow \cdots \rightarrow G/1$ queue, Light traffic, waiting time, interdeparture times, $\gamma$-dilation, $\pi$-thinning, asymptotically conditionally equivalent families, single customer effect, asymptotically one-dependent family, 60K25
Chii-Ruey Hwang, Shu-Yin Hwang-Ma, Shuenn-Jyi Sheu
Ann. Appl. Probab. 3 (3), 897-913, (August, 1993) DOI: 10.1214/aoap/1177005371
KEYWORDS: Diffusions, convergence rate, stochastic relaxation, Monte Carlo method, stability matrix, Ornstein-Uhlenbeck process, reversible process, image analysis, Covariance matrix, 60J60, 62E25, 65C05, 82B31, 68U10
Paolo Baldi, Arnoldo Frigessi, Mauro Piccioni
Ann. Appl. Probab. 3 (3), 914-933, (August, 1993) DOI: 10.1214/aoap/1177005372
KEYWORDS: Large deviations for Gibbs random fields, Monte Carlo methods, Rare events, Asymptotic efficiency, variance reduction techniques, 60G60, 65C05, 60F10, 62G20
Back Matter
Ann. Appl. Probab. 3 (3), (August, 1993)
No abstract available
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