Annals of applied probability: an official journal of the Institute of Mathematical Statistics

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  Año 2019, Vol. 29, Número 1

  • Rate control under heavy traffic with strategic servers

    Erhan Bayraktar, Amarjit Budhiraja, Asaf Cohen

    págs. 1-35

    

  • Nonconvex homogenization for one-dimensional controlled random walks in random potential

    Atilla Yilmaz, Ofer Zeitouni

    págs. 36-88

    

  • Particle systems with singular interaction through hitting times: Application in systemic risk modeling

    Sergey Nadtochiy, Mykhaylo Shkolnikov

    págs. 89-129

    

  • Cubature on Wiener space for McKean–Vlasov SDEs with smooth scalar interaction

    Dan Crisan, Eamon McMurray

    págs. 130-177

    

  • Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients

    Mario Hefter, André Herzwurm, Thomas Müller-Gronbach

    págs. 178-216

    

  • Knudsen gas in flat tire

    Krzysztof Burdzy, Carl-Erik Gauthier

    págs. 217-263

    

  • The Bouchaud–Anderson model with double-exponential potential

    S. Muirhead, R. Pymar, R. S. dos Santos

    págs. 264-325

    

  • Random switching between vector fields having a common zero

    Michel Benaïm, Edouard Strickler

    págs. 326-375

    

  • Multi-scale Lipschitz percolation of increasing events for Poisson random walks

    Peter Gracar, Alexandre Stauffer

    págs. 376-433

    

  • Theoretical properties of quasi-stationary Monte Carlo methods

    Andi Q. Wang, Martin Kolb, Gareth O. Roberts, David Steinsaltz

    págs. 434-457

    

  • Approximation of stable law in Wasserstein-1 distance by Stein’s method

    Lihu Xu

    págs. 458-504

    

  • Continuity of the optimal stopping boundary for two-dimensional diffusions

    Goran Peskir

    págs. 505-530

    

  • Robust hedging of options on a leveraged exchange traded fund

    Alexander M.G. Cox, Sam M. Kinsley

    págs. 531-576

    

  • Exponential utility maximization under model uncertainty for unbounded endowments

    Daniel Bartl

    págs. 577-612

    

  • Serve the shortest queue and Walsh Brownian motion

    Rami Atar, Asaf Cohen

    págs. 613-651