VOL. 32 · NO. 3 | June 2022
Ann. Appl. Probab. 32 (3), (June 2022)
No abstract available
Ann. Appl. Probab. 32 (3), (June 2022)
No abstract available
Fernando Cordero, Sebastian Hummel, Emmanuel Schertzer
Ann. Appl. Probab. 32 (3), 1499-1556, (June 2022) DOI: 10.1214/21-AAP1683
KEYWORDS: Λ-Wright–Fisher process, Duality, frequency-dependent selection, branching-coalescing system, ancestral selection graph, absorption probability, coming down from infinity, 60K35, 92D15, 60G99, 60J25, 60J27
Tianyi Bai, Yijun Wan
Ann. Appl. Probab. 32 (3), 1557-1589, (June 2022) DOI: 10.1214/21-AAP1689
KEYWORDS: Galton–Watson tree, Branching random walk, capacity of the range, 60J80, 60J65
Arnaud Guillin, Wei Liu, Liming Wu, Chaoen Zhang
Ann. Appl. Probab. 32 (3), 1590-1614, (June 2022) DOI: 10.1214/21-AAP1707
KEYWORDS: Poincaré inequality, Logarithmic Sobolev inequality, mean field particle models, McKean–Vlasov equation, 26D10, ‎39B62, 60G10
Guodong Pang, Étienne Pardoux
Ann. Appl. Probab. 32 (3), 1615-1665, (June 2022) DOI: 10.1214/21-AAP1717
KEYWORDS: Non-Markovian epidemic models, general infectious periods, functional law of large numbers, functional central limit theorems, Poisson random measure representations, 92D30, 60F17
Sarath Yasodharan, Rajesh Sundaresan
Ann. Appl. Probab. 32 (3), 1666-1704, (June 2022) DOI: 10.1214/21-AAP1718
KEYWORDS: Mean-field interaction, large deviations, time scale separation, averaging principle, metastability, 60F10, 60K37, 60K35, 60J75
Bruno Bouchard, Xiaolu Tan
Ann. Appl. Probab. 32 (3), 1705-1733, (June 2022) DOI: 10.1214/21-AAP1719
KEYWORDS: Market impact, second order BSDEs, Dupire derivative, 49N15, 91G20, 49N60
Kartick Adhikari, Robert J. Adler, Omer Bobrowski, Ron Rosenthal
Ann. Appl. Probab. 32 (3), 1734-1773, (June 2022) DOI: 10.1214/21-AAP1720
KEYWORDS: Random geometric graphs, spectral measure, homological connectivity, 60D05, 05C80, 47G10
Tiziano De Angelis, Nikita Merkulov, Jan Palczewski
Ann. Appl. Probab. 32 (3), 1774-1813, (June 2022) DOI: 10.1214/21-AAP1721
KEYWORDS: Non-Markovian Dynkin games, partial information, asymmetric information, Optimal stopping, randomised stopping times, regular processes, predictable-jump processes, 91A27, 91A55, 91A15, 60G07, 60G40
Imma Valentina Curato, Robert Stelzer, Bennet Ströh
Ann. Appl. Probab. 32 (3), 1814-1861, (June 2022) DOI: 10.1214/21-AAP1722
KEYWORDS: stationary random fields, Weak dependence, central limit theorems, mixed moving average fields, CARMA fields, ambit fields, 60G10, 60G57, 60G60, 62M40, 62F10, 62M30
Yingjia Fu, Ruth J. Williams
Ann. Appl. Probab. 32 (3), 1862-1901, (June 2022) DOI: 10.1214/21-AAP1723
KEYWORDS: critical fluid model, α-fair bandwidth sharing, general file size distribution, Lyapunov function, asymptotic behavior, measure-valued fluid model, transport equation, 60F99, 60K30, 90B10, 60J25, 60K25, 90B18
Sigrid Källblad
Ann. Appl. Probab. 32 (3), 1902-1928, (June 2022) DOI: 10.1214/21-AAP1724
KEYWORDS: Distribution-constrained optimal stopping, measure-valued martingales, dynamic programming principle, Optimal transport, measurable selection, 60G40, 60G57, 49L20, 62L15, 49Q20, 93E20, 58E25, 91A15, 28B20, 60J25, 06A06
Jean-François Chassagneux, Lukasz Szpruch, Alvin Tse
Ann. Appl. Probab. 32 (3), 1929-1969, (June 2022) DOI: 10.1214/21-AAP1725
KEYWORDS: Particle system, master equation, error expansion, propagation of chaos, 65C35, 60H35
Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo
Ann. Appl. Probab. 32 (3), 1970-2027, (June 2022) DOI: 10.1214/21-AAP1726
KEYWORDS: multilevel Monte Carlo methods, Functional limit theorems, Milstein scheme, 60F05, 62F12, 65C05, 60H35
Chiranjib Mukherjee
Ann. Appl. Probab. 32 (3), 2028-2062, (June 2022) DOI: 10.1214/21-AAP1727
KEYWORDS: Gibbs measures, Nelson model, Fröhlich polaron, singular interactions, central limit theorem, long-range correlations, Stochastic heat equation, Homogenization‎, annealed central limit theorem, 60F05, 60J65, 60H15, 60H30, 60J55
Tyler Helmuth, Will Perkins, Samantha Petti
Ann. Appl. Probab. 32 (3), 2063-2082, (June 2022) DOI: 10.1214/21-AAP1728
KEYWORDS: Hard sphere model, Markov chains, correlation decay, 82B21, 60J05
Shankar Bhamidi, Amarjit Budhiraja, Miheer Dewaskar
Ann. Appl. Probab. 32 (3), 2083-2138, (June 2022) DOI: 10.1214/21-AAP1729
KEYWORDS: Power of Choice, join-the-shortest-queue, fluid limits, heavy traffic, Halfin–Whitt, load balancing, diffusion approximations, Skorohod problem, Reflected diffusions, Functional limit theorems, 90B15, 60F17, 90B22, 60C05
Paul Hager, Eyal Neuman
Ann. Appl. Probab. 32 (3), 2139-2179, (June 2022) DOI: 10.1214/21-AAP1730
KEYWORDS: fractional Brownian fields, Log-correlated Gaussian fields, Rough volatility, Gaussian multiplicative chaos, multifractal random walk, 60G15, 60G57, 60G60, 60G18
Sayan Banerjee, Shankar Bhamidi
Ann. Appl. Probab. 32 (3), 2180-2210, (June 2022) DOI: 10.1214/21-AAP1731
KEYWORDS: continuous time branching processes, temporal networks, centrality measures, Jordan centrality, Random trees, stable age distribution theory, recursive distributional equations, Malthusian rate of growth, 05C80, 05C85, 60J80, 60J85
Noah Forman, Douglas Rizzolo, Quan Shi, Matthias Winkel
Ann. Appl. Probab. 32 (3), 2211-2253, (June 2022) DOI: 10.1214/21-AAP1732
KEYWORDS: Fleming–Viot process, Poisson–Dirichlet distribution, infinitely-many-neutral-alleles model, Excursion theory, Stable process, 60J68, 60J60, 60J80, 60G18, 60G52, 60G55
Vassili N. Kolokoltsov
Ann. Appl. Probab. 32 (3), 2254-2288, (June 2022) DOI: 10.1214/21-AAP1733
KEYWORDS: Quantum dynamic games, Mean field games, quantum control, quantum filtering, Belavkin equation, nonlinear stochastic Schrödinger equation, quantum interacting particles, controlled diffusion on Riemannian manifolds, Hamilton–Jacobi–Bellman equation on manifolds, Mild solutions, 91A15, 81Q93, 91A06, 93E11, 93E20
Pierre Cardaliaguet, Panagiotis E. Souganidis
Ann. Appl. Probab. 32 (3), 2289-2326, (June 2022) DOI: 10.1214/21-AAP1734
KEYWORDS: Mean field games, Backward stochastic partial differential equations, maximum principle, common noise, 49N80, 60H15, 49L25
Souvik Dhara, Subhabrata Sen
Ann. Appl. Probab. 32 (3), 2327-2353, (June 2022) DOI: 10.1214/21-AAP1745
KEYWORDS: large deviation, graphons, uniform random graphs, degree contraints, 60C05, 05C80
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