VOL. 6 · NO. 2 | May 1996
I. Karatzas, S. G. Kou
Ann. Appl. Probab. 6 (2), 321-369, (May 1996) DOI: 10.1214/aoap/1034968135 Open Access
KEYWORDS: Pricing of contingent claims, Constrained portfolios, incomplete markets, two different interest rates, Black-Scholes formula, utility maximization, Stochastic control, martingale representations, equivalent martingale measures, minimization of relative entropy, 90A09, 93E20, 60H30, 60G44, 90A10, 90A16, 49N15
Jakša Cvitanić, Jin Ma
Ann. Appl. Probab. 6 (2), 370-398, (May 1996) DOI: 10.1214/aoap/1034968136 Open Access
KEYWORDS: Forward-backward stochastic differential equations, contingent claims, hedging strategy, large investor, 90A09, 60H30, 90A12, 93A20
John S. Sadowsky
Ann. Appl. Probab. 6 (2), 399-422, (May 1996) DOI: 10.1214/aoap/1034968137 Open Access
KEYWORDS: large deviations, Monte Carlo methods, computer simulations of stochastic systems, 60F10, 65C05, 93E30
Chuanshu Ji, Lynne Seymour
Ann. Appl. Probab. 6 (2), 423-443, (May 1996) DOI: 10.1214/aoap/1034968138 Open Access
KEYWORDS: Markov random fields, Gibbs random fields, Model selection, pseudolikelihood, texture synthesis, image analysis, 62M40, 62F12, 68U10
George S. Fishman
Ann. Appl. Probab. 6 (2), 444-465, (May 1996) DOI: 10.1214/aoap/1034968139 Open Access
KEYWORDS: Coordinate selection, Gibbs sampling, Markov random field, Monte Carlo, 60J05, 62E25
Kenneth S. Alexander
Ann. Appl. Probab. 6 (2), 466-494, (May 1996) DOI: 10.1214/aoap/1034968140 Open Access
KEYWORDS: central limit theorem, occupied crossing, continuum percolation, Minimal spanning tree, 60D05, 60K35, 90C27
Harry Kesten, Sungchul Lee
Ann. Appl. Probab. 6 (2), 495-527, (May 1996) DOI: 10.1214/aoap/1034968141 Open Access
KEYWORDS: Minimal spanning tree, central limit theorem, 60D05, 60F05
Mathew D. Penrose
Ann. Appl. Probab. 6 (2), 528-544, (May 1996) DOI: 10.1214/aoap/1034968142 Open Access
KEYWORDS: geometric probability, continuum percolation, Phase transitions, minimal spanning tree constant, high dimensions, Poisson process, branching process, 60K35, 60D05, 60J80, 82B43
Timothy C. Brown, Darryl Greig
Ann. Appl. Probab. 6 (2), 545-560, (May 1996) DOI: 10.1214/aoap/1034968143 Open Access
KEYWORDS: Poisson approximation, monotone couplings, Cox process, NBU, NWU renewal process, 60G55, 60K05, 60J25
Yi-Ching Yao, Gordon Simons
Ann. Appl. Probab. 6 (2), 561-571, (May 1996) DOI: 10.1214/aoap/1034968144 Open Access
KEYWORDS: Nearest neighbor counts, Poisson point process, 60G55, 60B12, 60D05
WanSoo T. Rhee, Michel Talagrand
Ann. Appl. Probab. 6 (2), 572-576, (May 1996) DOI: 10.1214/aoap/1034968145 Open Access
KEYWORDS: wasted space, Packing, random intervals, asymptotic estimate, 60G55, 90B05
P. A. Ferrari, H. Kesten, S. Martínez
Ann. Appl. Probab. 6 (2), 577-616, (May 1996) DOI: 10.1214/aoap/1034968146 Open Access
KEYWORDS: Absorbing Markov chain, quasi-stationary distribution, ratio limit theorem, Yaglom limit, $R$-positivity, central limit theorem, 60J10, 60F05, 60K35
Dmitrii S. Silvestrov
Ann. Appl. Probab. 6 (2), 617-649, (May 1996) DOI: 10.1214/aoap/1034968147 Open Access
KEYWORDS: Semi-Markov processes, hitting times, recurrent relations and upper bounds for moments, test functions, semi-Markov dynamical systems, Random walks, Diffusion processes, queuing systems, ergodic theorems, 60J10, 60J15, 60J27, 60K15
Q. Zhang, G. Yin
Ann. Appl. Probab. 6 (2), 650-670, (May 1996) DOI: 10.1214/aoap/1034968148 Open Access
KEYWORDS: Finite state Markov chain, Singular perturbation, Gaussian process, 60F05, 60J27, 34E05, 93E20
Tailen Hsing, Jürg Hüsler, Rolf-Dieter Reiss
Ann. Appl. Probab. 6 (2), 671-686, (May 1996) DOI: 10.1214/aoap/1034968149 Open Access
KEYWORDS: Dependence, extremal index, time series, weak convergence, 60F05, 60G10, 60G15
Peter Kirschenhofer, Helmut Prodinger
Ann. Appl. Probab. 6 (2), 687-694, (May 1996) DOI: 10.1214/aoap/1034968150 Open Access
KEYWORDS: geometric distribution, generating functions, Rice's method, 60C05
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