VOL. 5 · NO. 2 | May, 1995
Front Matter
Ann. Appl. Probab. 5 (2), (May, 1995) Open Access
No abstract available
H. M. Soner, S. E. Shreve, J. Cvitanic
Ann. Appl. Probab. 5 (2), 327-355, (May, 1995) DOI: 10.1214/aoap/1177004767 Open Access
KEYWORDS: Transaction costs, hedging, option pricing, Black-Scholes portfolio, 90A09, 90A12, 60H30, 93E20
Darrell Duffie, Jin Ma, Jiongmin Yong
Ann. Appl. Probab. 5 (2), 356-382, (May, 1995) DOI: 10.1214/aoap/1177004768 Open Access
KEYWORDS: Forward-backward stochastic differential equations, nodal solutions, Term structure of interest rates, consol rate problem, 60H10, 60H20, 90A12, 90A16
Jiro Akahori
Ann. Appl. Probab. 5 (2), 383-388, (May, 1995) DOI: 10.1214/aoap/1177004769 Open Access
KEYWORDS: Options, Black-Scholes model, Feynman-Kac formula, arc-sine law, percentiles, 90A69, 60H30, 60G44
Angelos Dassios
Ann. Appl. Probab. 5 (2), 389-398, (May, 1995) DOI: 10.1214/aoap/1177004770 Open Access
KEYWORDS: Quantiles of Brownian motion with a drift, Feyman-Kac, occupation time, path-dependent financial options, 60J65
M. A. H. Dempster, J. J. Ye
Ann. Appl. Probab. 5 (2), 399-423, (May, 1995) DOI: 10.1214/aoap/1177004771 Open Access
KEYWORDS: impulse control, Piecewise deterministic Markov processes, Bellman-Hamilton-Jacobi equation, quasivariational inequality, 60G40, 49B60, 93E20
Paul Glasserman, Shing-Gang Kou
Ann. Appl. Probab. 5 (2), 424-445, (May, 1995) DOI: 10.1214/aoap/1177004772 Open Access
KEYWORDS: Extreme values, first passage times, Law of the iterated logarithm, limit theorems, Rare events, regenerative processes, 60F20, 60F15, 60G70
G. O. Roberts, C. F. Shortland
Ann. Appl. Probab. 5 (2), 446-460, (May, 1995) DOI: 10.1214/aoap/1177004773 Open Access
KEYWORDS: 60J6S, boundary hitting time, one-dimensional diffusion process, Brownian motion, 60350
T. Funaki, D. Surgailis, W. A. Woyczynski
Ann. Appl. Probab. 5 (2), 461-492, (May, 1995) DOI: 10.1214/aoap/1177004774 Open Access
KEYWORDS: Burgers turbulence, scaling limits, Gibbs-Cox random field, multiple Wiener-Ito integral, 60H15, 35H53, 76F20
G. Kallianpur, J. Xiong
Ann. Appl. Probab. 5 (2), 493-517, (May, 1995) DOI: 10.1214/aoap/1177004775 Open Access
KEYWORDS: diffusion approximation, Stochastic differential equation, Poisson random measure, 60B10, 60F05, 60H10
Klaus Ritter, Grzegorz W. Wasilkowski, Henryk Wozniakowski
Ann. Appl. Probab. 5 (2), 518-540, (May, 1995) DOI: 10.1214/aoap/1177004776 Open Access
KEYWORDS: Multivariate stochastic processes, Integration, approximation, optimal linear estimators, 41A50, 41A55, 41A63, 62H12, 62G05
Haya Kaspi, Avi Mandelbaum
Ann. Appl. Probab. 5 (2), 541-565, (May, 1995) DOI: 10.1214/aoap/1177004777 Open Access
KEYWORDS: Levy processes, Excursions, Local time, Wiener-Hopf factorization, multiparameter processes, multiarmed bandits, optional increasing path, 60J30, 60G40, 60J55
K. B. Athreya, A. N. Vidyashankar
Ann. Appl. Probab. 5 (2), 566-576, (May, 1995) DOI: 10.1214/aoap/1177004778 Open Access
KEYWORDS: 60J, 60F, large deviations, Multitype branching processes
Back Matter
Ann. Appl. Probab. 5 (2), (May, 1995) Open Access
No abstract available
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