VOL. 30 · NO. 2 | April 2020
Ann. Appl. Probab. 30 (2), (April 2020)
No abstract available
Ann. Appl. Probab. 30 (2), (April 2020)
No abstract available
Nina Holden, Russell Lyons
Ann. Appl. Probab. 30 (2), 503-525, (April 2020) DOI: 10.1214/19-AAP1506
KEYWORDS: Strings, deletion channel, sample complexity, 62C20, 68Q25, 68W32, 68W40, 68Q87, 60K30
Wei Fang, Michael B. Giles
Ann. Appl. Probab. 30 (2), 526-560, (April 2020) DOI: 10.1214/19-AAP1507
KEYWORDS: SDE, Euler–Maruyama, strong convergence, adaptive time-step, ergodicity, invariant measure, 60H10, 60H35, 65C30
Hermine Biermé, Agnès Desolneux
Ann. Appl. Probab. 30 (2), 561-607, (April 2020) DOI: 10.1214/19-AAP1508
KEYWORDS: perimeter, total curvature, Gauss–Bonnet theorem, Euler characteristic, Excursion sets, stationary random field, shot noise random field, Gaussian random field, Persistent homology, 60G60, 60G17, 60D05, 60E10, 26B15, 60G10, 60E07, 62M40
Andreas Anastasiou, Gesine Reinert
Ann. Appl. Probab. 30 (2), 608-643, (April 2020) DOI: 10.1214/19-AAP1510
KEYWORDS: Log-likelihood ratio statistics, Wilks’ theorem, Stein’s method, 62H15, 62E17, 60F05
Stefan Ankirchner, Alexander Fromm, Thomas Kruse, Alexandre Popier
Ann. Appl. Probab. 30 (2), 644-672, (April 2020) DOI: 10.1214/19-AAP1511
KEYWORDS: optimal stochastic control, calculus of variations, forward backward stochastic differential equation, decoupling field, 49J05, 60H99, 60G99, 93E20
Hoang-Long Ngo, Dai Taguchi
Ann. Appl. Probab. 30 (2), 673-705, (April 2020) DOI: 10.1214/19-AAP1512
KEYWORDS: Implicit Euler–Maruyama approximation, noncolliding particle systems, rate of convergence, 60K35, 41A25
Thomas Cayé, Martin Herdegen, Johannes Muhle-Karbe
Ann. Appl. Probab. 30 (2), 706-746, (April 2020) DOI: 10.1214/19-AAP1513
KEYWORDS: Nonlinear price impact, portfolio choice, asymptotics, 91G10, 91G80
Oleksii Mostovyi, Mihai Sîrbu
Ann. Appl. Probab. 30 (2), 747-787, (April 2020) DOI: 10.1214/19-AAP1514
KEYWORDS: utility maximization, labor income, semimartingale incomplete market, duality theory, optional supermartingale deflator, 91G10, 93E20, 91B16
Nicola Kistler, Adrien Schertzer, Marius A. Schmidt
Ann. Appl. Probab. 30 (2), 788-811, (April 2020) DOI: 10.1214/19-AAP1515
KEYWORDS: first passage percolation, mean field approximation, Derrida’s REMs, 60J80, 60G70, 82B44
Jun Yan
Ann. Appl. Probab. 30 (2), 812-846, (April 2020) DOI: 10.1214/19-AAP1516
KEYWORDS: large deviations, mean-field, Random graphs, vector spin models, 60F10, 60C05, 05C80, 60K35
Emanuele Dolera, Stefano Favaro
Ann. Appl. Probab. 30 (2), 847-869, (April 2020) DOI: 10.1214/19-AAP1518
KEYWORDS: Berry–Esseen theorem, Ewens–Pitman sampling model, Laplace approximation of integrals, Poisson compound random partitions, Poisson approximation, Pitman’s $\alpha $-diversity, 60F15, 60G57
David Gamarnik, John N. Tsitsiklis, Martin Zubeldia
Ann. Appl. Probab. 30 (2), 870-901, (April 2020) DOI: 10.1214/19-AAP1519
KEYWORDS: load balancing, queueing delay, resource constraints, 60G99
Jonathan Hermon, Ben Morris, Chuan Qin, Allan Sly
Ann. Appl. Probab. 30 (2), 902-935, (April 2020) DOI: 10.1214/19-AAP1520
KEYWORDS: Social network, percolation, Random walks, infinite cluster, amenability, phase transition, 60J10, 60G50, 60K35, 82C41, 82B43
Cong Wu, Jianfeng Zhang
Ann. Appl. Probab. 30 (2), 936-986, (April 2020) DOI: 10.1214/19-AAP1521
KEYWORDS: master equation, McKean–Vlasov SDEs, viscosity solution, functional Itô formula, path dependent PDEs, Wasserstein spaces, dynamic programming principle, 35K55, 49L25, 60H30, 35R15, 49L20, 93E20
Assaf Shapira
Ann. Appl. Probab. 30 (2), 987-1006, (April 2020) DOI: 10.1214/19-AAP1527
KEYWORDS: Bootstrap percolation, Kinetically constrained models, interacting particle systems, random environments, hitting times, 82C22, 60K37
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