VOL. 30 · NO. 6 | December 2020
Ann. Appl. Probab. 30 (6), (December 2020) Open Access
No abstract available
Ann. Appl. Probab. 30 (6), (December 2020) Open Access
No abstract available
Erhan Bayraktar, Ibrahim Ekren, Yili Zhang
Ann. Appl. Probab. 30 (6), 2517-2546, (December 2020) DOI: 10.1214/20-AAP1565
KEYWORDS: machine learning, expert advice framework, asymptotic expansion, reflected Brownian motion, system of hyperbolic equations, regret minimization, 68T05, 35L02, 35J60
Dominic Breit, Eduard Feireisl, Martina Hofmanová
Ann. Appl. Probab. 30 (6), 2547-2572, (December 2020) DOI: 10.1214/20-AAP1566
KEYWORDS: Markov selection, compressible Navier–Stokes system, martingale solution, stochastic forcing, 60H15, 60H30, 35Q30, 76M35, 76N10
Emma Horton, Andreas E. Kyprianou, Denis Villemonais
Ann. Appl. Probab. 30 (6), 2573-2612, (December 2020) DOI: 10.1214/20-AAP1567
KEYWORDS: Neutron transport equation, Branching Markov process, Principal eigenvalue, semigroup theory, Perron–Frobenius decomposition, 82D75, 60J80, 60J75, 60J99
M. Arnaudon, P. Del Moral
Ann. Appl. Probab. 30 (6), 2613-2664, (December 2020) DOI: 10.1214/20-AAP1568
KEYWORDS: Nonlinear diffusions, mean field particle systems, variational equations, logarithmic norms, gradient flows, Taylor expansions, contraction inequalities, Wasserstein distance, Bismut–Elworthy–Li formulae, 65C35, 82C80, 58J65, 47J20
Alexander Fromm, Peter Imkeller
Ann. Appl. Probab. 30 (6), 2665-2694, (December 2020) DOI: 10.1214/20-AAP1569
KEYWORDS: optimal stochastic control, forward backward stochastic differential equation, decoupling field, 93E20, 49J55, 60H30, 60H99
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee, Bert Zwart
Ann. Appl. Probab. 30 (6), 2695-2739, (December 2020) DOI: 10.1214/20-AAP1570
KEYWORDS: sample path large deviations, Lévy processes, Random walks, heavy tails, 60F10, 60G17
Yacine Aït-Sahalia, Jean Jacod
Ann. Appl. Probab. 30 (6), 2740-2768, (December 2020) DOI: 10.1214/20-AAP1571
KEYWORDS: Semimartingale, Lévy process, stochastic volatility, jumps, scaling, convergence, high frequency, continuous time, 62F12, 62M05, 60H10, 60J60
Benjamin Landon, Philippe Sosoe
Ann. Appl. Probab. 30 (6), 2769-2795, (December 2020) DOI: 10.1214/20-AAP1572
KEYWORDS: Random matrix theory, Universality, mesoscopic linear statistics, 60F05
Yuval Peres, Miklós Z. Rácz, Allan Sly, Izabella Stuhl
Ann. Appl. Probab. 30 (6), 2796-2814, (December 2020) DOI: 10.1214/20-AAP1573
KEYWORDS: Sequential decision making, information cascades, fragility, asymptotic learning, optimal learning rate, 91A26, 60C05
Simon C. Harris, Emma Horton, Andreas E. Kyprianou
Ann. Appl. Probab. 30 (6), 2815-2845, (December 2020) DOI: 10.1214/20-AAP1574
KEYWORDS: Neutron transport equation, Principal eigenvalue, semigroup theory, Perron–Frobenius decomposition, 82D75, 60J80, 60J75, 60J99
Yukun He
Ann. Appl. Probab. 30 (6), 2846-2879, (December 2020) DOI: 10.1214/20-AAP1575
KEYWORDS: random matrices, sparse Erdős–Rényi graphs, CLT, 05C80, 15B52, 60B20, 05C50
Fabio Lopes, Malwina Luczak
Ann. Appl. Probab. 30 (6), 2880-2922, (December 2020) DOI: 10.1214/20-AAP1576
KEYWORDS: Stochastic SIS logistic epidemic, competing SIS epidemics, time to extinction, near-critical epidemic, 60J27, 92D30
Peter Bank, David Besslich
Ann. Appl. Probab. 30 (6), 2923-2962, (December 2020) DOI: 10.1214/20-AAP1577
KEYWORDS: Stochastic control, Meyer-$\sigma $-fields, làdlàg controls, irreversible investment with inventory risk, 93E20, 60H30, 91B70
Anne Buijsrogge, Paul Dupuis, Michael Snarski
Ann. Appl. Probab. 30 (6), 2963-2998, (December 2020) DOI: 10.1214/20-AAP1578
KEYWORDS: Splitting algorithms, restart, Monte Carlo methods, large deviations, metastable points, 65C05, 60F10, 60G99
Piotr Dyszewski, Thomas Mikosch
Ann. Appl. Probab. 30 (6), 2999-3026, (December 2020) DOI: 10.1214/20-AAP1579
KEYWORDS: Products of random matrices, multivariate regular variation, Breiman lemma, random difference equation, 60E05, 62G20
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