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The Annals of Applied Probability

Short Title: Ann. Appl. Probab.
Publisher: Institute of Mathematical Statistics (IMS), Beachwood, OH/Bethesda, MD
ISSN: 1050-5164; 2168-8737/e
Online: http://projecteuclid.org/aoap
Comments: Indexed cover-to-cover
Documents Indexed: 2,268 Publications (since 1991)
References Indexed: 1,800 Publications with 48,148 References.
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Latest Issues

32, No. 2 (2022)
32, No. 1 (2022)
31, No. 6 (2021)
31, No. 5 (2021)
31, No. 4 (2021)
31, No. 3 (2021)
31, No. 2 (2021)
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20, No. 6 (2010)
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19, No. 6 (2009)
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18, No. 6 (2008)
18, No. 5 (2008)
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17, No. 5-6 (2007)
17, No. 4 (2007)
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16, No. 4 (2006)
16, No. 3 (2006)
16, No. 2 (2006)
16, No. 1 (2006)
15, No. 4 (2005)
15, No. 3 (2005)
15, No. 2 (2005)
15, No. 1B (2005)
15, No. 1A (2005)
...and 54 more Volumes
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Authors

22 Durrett, Richard Timothy
21 Roberts, Gareth O.
16 Touzi, Nizar
15 Budhiraja, Amarjit S.
15 Penrose, Mathew D.
15 Ramanan, Kavita
15 Samorodnitsky, Gennady Pinkhosovich
14 Bramson, Maury D.
14 Harrison, John Michael
14 Karatzas, Ioannis
13 Atar, Rami
13 Dai, J. G. (Jim)
13 Resnick, Sidney Ira
13 Robert, Philippe
13 Yukich, Joseph Elliott
12 Diaconis, Persi Warren
12 Whitt, Ward
12 Williams, Ruth J.
11 Bayraktar, Erhan
11 Del Moral, Pierre
11 Glynn, Peter W.
11 Janson, Svante
11 Kyprianou, Andreas E.
11 Meyn, Sean P.
11 Pham, Huyên
11 van der Hofstad, Remco W.
10 Dupuis, Paul G.
10 Ma, Jin
10 Peres, Yuval
10 Schachermayer, Walter
10 Shreve, Steven E.
9 Barbour, Andrew David
9 Cox, J. Theodore
9 Gravner, Janko
9 Imkeller, Peter
9 Kurtz, Thomas Gordon
9 Lanchier, Nicolas
9 Mikosch, Thomas
9 Mossel, Elchanan
9 Pagès, Gilles
9 Rosenthal, Jeffrey S.
9 Zeitouni, Ofer
9 Zhang, Jianfeng
8 Benaïm, Michel
8 Bhamidi, Shankar
8 Blanchet, Jose H.
8 Burdzy, Krzysztof
8 Dolinsky, Yan
8 Fill, James Allen
8 Gamarnik, David
8 Hobson, David Graham
8 Jourdain, Benjamin
8 Kramkov, Dmitriĭ Olegovich
8 Luczak, Malwina J.
8 Moulines, Eric
8 Neuhauser, Claudia
8 Nutz, Marcel
8 Popovic, Lea
8 Sly, Allan
7 Alexander, Kenneth S.
7 Bai, Zhi-Dong
7 Bank, Peter
7 Bouchard, Bruno
7 Caputo, Pietro
7 Cvitanić, Jakša
7 Dembo, Amir
7 Douc, Randal
7 Duffie, James Darrell
7 Etheridge, Alison Mary
7 Fontes, Luiz Renato G.
7 Foss, Sergey G.
7 Frieze, Alan Michael
7 Gnedin, Alexander V.
7 Klüppelberg, Claudia
7 Lambert, Amaury
7 Peskir, Goran
7 Pistorius, Martijn R.
7 Reinert, Gesine D.
7 Sivakoff, David
7 Tsitsiklis, John N.
7 Vigoda, Eric
6 Adler, Robert Joseph
6 Avram, Florin
6 Bertoin, Jean
6 Bovier, Anton
6 Crisan, Dan O.
6 Ekström, Erik
6 Ferrari, Pablo Augusto
6 Fournier, Nicolas G.
6 Goldstein, Larry
6 Grübel, Rudolf
6 Kardaras, Constantinos
6 Kendall, Wilfrid S.
6 Kesten, Harry
6 Liptser, Robert
6 Mahmoud, Hosam M.
6 Martin, James Benedict
6 McDonald, David R.
6 Pal, Soumik
6 Pittel, Boris G.
...and 2,455 more Authors
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Fields

2,134 Probability theory and stochastic processes (60-XX)
347 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
301 Statistics (62-XX)
259 Statistical mechanics, structure of matter (82-XX)
241 Operations research, mathematical programming (90-XX)
239 Numerical analysis (65-XX)
199 Combinatorics (05-XX)
197 Biology and other natural sciences (92-XX)
172 Systems theory; control (93-XX)
161 Computer science (68-XX)
125 Partial differential equations (35-XX)
81 Calculus of variations and optimal control; optimization (49-XX)
47 Ordinary differential equations (34-XX)
46 Linear and multilinear algebra; matrix theory (15-XX)
43 Dynamical systems and ergodic theory (37-XX)
30 Information and communication theory, circuits (94-XX)
25 Operator theory (47-XX)
23 Fluid mechanics (76-XX)
16 Measure and integration (28-XX)
11 Global analysis, analysis on manifolds (58-XX)
10 Approximations and expansions (41-XX)
10 Functional analysis (46-XX)
9 Number theory (11-XX)
8 Real functions (26-XX)
8 Convex and discrete geometry (52-XX)
8 Differential geometry (53-XX)
7 Integral equations (45-XX)
7 Classical thermodynamics, heat transfer (80-XX)
6 Functions of a complex variable (30-XX)
6 Integral transforms, operational calculus (44-XX)
6 Algebraic topology (55-XX)
5 Order, lattices, ordered algebraic structures (06-XX)
5 Special functions (33-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
5 Mechanics of particles and systems (70-XX)
5 Quantum theory (81-XX)
4 Group theory and generalizations (20-XX)
4 Potential theory (31-XX)
4 Mechanics of deformable solids (74-XX)
3 Difference and functional equations (39-XX)
2 Nonassociative rings and algebras (17-XX)
2 General topology (54-XX)
2 Geophysics (86-XX)
1 History and biography (01-XX)
1 Mathematical logic and foundations (03-XX)
1 Commutative algebra (13-XX)
1 Algebraic geometry (14-XX)
1 Topological groups, Lie groups (22-XX)
1 Abstract harmonic analysis (43-XX)
1 Optics, electromagnetic theory (78-XX)
1 Relativity and gravitational theory (83-XX)

Publications by Year

Citations contained in zbMATH Open

2,041 Publications have been cited 31,584 times in 18,973 Documents Cited by Year
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
312
1999
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
294
2003
Weak convergence and optimal scaling of random walk Metropolis algorithms. Zbl 0876.60015
Roberts, G. O.; Gelman, A.; Gilks, W. R.
257
1997
Geometric bounds for eigenvalues of Markov chains. Zbl 0731.60061
Diaconis, Persi; Stroock, Daniel
215
1991
Implicit renewal theory and tails of solutions of random equations. Zbl 0724.60076
Goldie, Charles M.
207
1991
On positive Harris recurrence of multiclass queueing networks: A unified approach via fluid limit models. Zbl 0822.60083
Dai, J. G.
202
1995
Logarithmic Sobolev inequalities for finite Markov chains. Zbl 0867.60043
Diaconis, P.; Saloff-Coste, L.
173
1996
Convex duality in constrained portfolio optimization. Zbl 0770.90002
Cvitanić, Jakša; Karatzas, Ioannis
164
1992
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
162
1994
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
162
2002
Utility maximization in incomplete markets. Zbl 1083.60048
Hu, Ying; Imkeller, Peter; Müller, Matthias
147
2005
A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047
Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier
143
2005
Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. Zbl 1256.65003
Hutzenthaler, Martin; Jentzen, Arnulf; Kloeden, Peter E.
140
2012
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
133
2007
A numerical scheme for BSDEs. Zbl 1056.60067
Zhang, Jianfeng
131
2004
Backward-forward stochastic differential equations. Zbl 0780.60058
Antonelli, Fabio
129
1993
Epidemics with two levels of mixing. Zbl 0909.92028
Ball, Frank; Mollison, Denis; Scalia-Tomba, Gianpaolo
124
1997
Comparison theorems for reversible Markov chains. Zbl 0799.60058
Diaconis, Persi; Saloff-Coste, Laurent
118
1993
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Zbl 1142.91034
Denis, Laurent; Martini, Claude
114
2006
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
108
2004
Loss networks. Zbl 0743.60099
Kelly, F. P.
108
1991
A note on Metropolis-Hastings kernels for general state spaces. Zbl 0935.60053
Tierney, Luke
102
1998
Pricing contingent claims on stocks driven by Lévy processes. Zbl 1054.91033
Chan, Terence
97
1999
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344
Loeffen, R. L.
97
2008
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052
Rogers, L. C. G.
97
1994
Computable bounds for geometric convergence rates of Markov chains. Zbl 0812.60059
Meyn, Sean P.; Tweedie, R. L.
97
1994
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
97
2002
A microscopic probabilistic description of a locally regulated population and macroscopic approximations. Zbl 1060.92055
Fournier, Nicolas; Méléard, Sylvie
97
2004
Trailing the dovetail shuffle to its lair. Zbl 0757.60003
Bayer, Dave; Diaconis, Persi
92
1992
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
92
2004
Mean-variance hedging in continuous time. Zbl 0735.90021
Duffie, Darrell; Richardson, Henry R.
88
1991
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Zbl 1285.49012
Galichon, A.; Henry-Labordère, P.; Touzi, N.
88
2014
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
83
2003
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
83
2001
Arbitrage and duality in nondominated discrete-time models. Zbl 1322.60045
Bouchard, Bruno; Nutz, Marcel
82
2015
The pricing of the American option. Zbl 0753.60040
Myneni, Ravi
81
1992
Exact simulation of diffusions. Zbl 1101.60060
Beskos, Alexandros; Roberts, Gareth O.
80
2005
Differential equations for random processes and random graphs. Zbl 0847.05084
Wormald, Nicholas C.
80
1995
On the ergodicity properties of some adaptive MCMC algorithms. Zbl 1114.65001
Andrieu, Christophe; Moulines, Éric
79
2006
Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Zbl 0726.60069
Fill, James Allen
78
1991
Hedging options for a large investor and forward-backward SDE’s. Zbl 0856.90011
Cvitanić, Jakša; Ma, Jin
78
1996
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
78
2005
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
77
1998
On the speed of convergence in first-passage percolation. Zbl 0783.60103
Kesten, Harry
76
1993
Smoluchowski’s coagulation equation: Uniqueness, nonuniqueness and a hydrodynamic limit for the stochastic coalescent. Zbl 0944.60082
Norris, James R.
75
1999
Mixing times of lozenge tiling and card shuffling Markov chains. Zbl 1040.60063
Wilson, David Bruce
74
2004
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
74
1993
Spectral theory and limit theorems for geometrically ergodic Markov processes. Zbl 1016.60066
Kontoyiannis, I.; Meyn, S. P.
72
2003
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Zbl 1132.91457
Becherer, Dirk
72
2006
Hedging contingent claims with constrained portfolios. Zbl 0825.93958
Cvitanić, Jakša; Karatzas, Ioannis
72
1993
A survey of max-type recursive distributional equations. Zbl 1105.60012
Aldous, David J.; Bandyopadhyay, Antar
71
2005
Dynamic exponential utility indifference valuation. Zbl 1134.91449
Mania, Michael; Schweizer, Martin
71
2005
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
70
2002
Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: Asymptotic optimality of a threshold policy. Zbl 1015.60080
Bell, S. L.; Williams, R. J.
70
2001
A Khasminskii type averaging principle for stochastic reaction-diffusion equations. Zbl 1191.60076
Cerrai, Sandra
68
2009
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
68
1995
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
67
2006
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
67
2000
Asymptotic analysis of multiscale approximations to reaction networks. Zbl 1118.92031
Ball, Karen; Kurtz, Thomas G.; Popovic, Lea; Rempala, Greg
67
2006
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. Zbl 1352.60101
Sabanis, Sotirios
65
2016
Polynomial convergence rates of Markov chains. Zbl 1012.60062
Jarner, Søren F.; Roberts, Gareth O.
65
2002
Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval. Zbl 0880.60077
Bertoin, Jean
64
1997
Broadcasting on trees and the Ising model. Zbl 1052.60076
Evans, William; Kenyon, Claire; Peres, Yuval; Schulman, Leonard J.
64
2000
Weak laws of large numbers in geometric probability. Zbl 1029.60008
Penrose, Mathew D.; Yukich, J. E.
64
2003
On the pricing of contingent claims under constraints. Zbl 0856.90012
Karatzas, I.; Kou, S. G.
64
1996
Modelling heterogeneity in survival analysis by the compound Poisson distribution. Zbl 0762.62031
Aalen, Odd O.
63
1992
MaxWeight scheduling in a generalized switch: State space collapse and workload minimization in heavy traffic. Zbl 1057.60092
Stolyar, Alexander L.
63
2004
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
63
2001
Analysis of a nonreversible Markov chain sampler. Zbl 1083.60516
Diaconis, Persi; Holmes, Susan; Neal, Radford M.
63
2000
Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe
62
2004
Central limit theorems for some graphs in computational geometry. Zbl 1044.60016
Penrose, Mathew D.; Yukich, J. E.
62
2001
Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Zbl 0868.90008
Duffie, Darrell; Schroder, Mark; Skiadas, Costis
61
1996
Renewal theory and computable convergence rates for geometrically erdgodic Markov chains. Zbl 1070.60061
Baxendale, Peter H.
61
2005
A general limit theorem for recursive algorithms and combinatorial structures. Zbl 1041.60024
Neininger, Ralph; Rüschendorf, Ludger
60
2004
Stein’s method and the zero bias transformation with application to simple random sampling. Zbl 0903.60019
Goldstein, Larry; Reinert, Gesine
60
1997
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
60
1996
Dynamic scheduling with convex delay costs: The generalized \(c\mu\) rule. Zbl 0843.90047
van Mieghem, Jan A.
60
1995
An optimal error estimate in stochastic homogenization of discrete elliptic equations. Zbl 1387.35031
Gloria, Antoine; Otto, Felix
60
2012
Coexistence and extinction for stochastic Kolmogorov systems. Zbl 1410.60094
Hening, Alexandru; Nguyen, Dang H.
59
2018
Atlas models of equity markets. Zbl 1099.91056
Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis
58
2005
Random graphs with a given degree sequence. Zbl 1234.05206
Chatterjee, Sourav; Diaconis, Persi; Sly, Allan
57
2011
Asymptotic fringe distributions for general families of random trees. Zbl 0733.60016
Aldous, David
56
1991
Affine processes on positive semidefinite matrices. Zbl 1219.60068
Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef
56
2011
Ising models on locally tree-like graphs. Zbl 1191.82025
Dembo, Amir; Montanari, Andrea
56
2010
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
56
1991
Mean-variance hedging for general claims. Zbl 0742.60042
Schweizer, Martin
56
1992
On maximum likelihood estimation of the extreme value index. Zbl 1102.62051
Drees, Holger; Ferreira, Ana; de Haan, Laurens
56
2004
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
56
2002
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
55
2008
The \(G/GI/N\) queue in the Halfin-Whitt regime. Zbl 1181.60137
Reed, Josh
54
2009
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
54
2005
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
53
2011
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
53
2003
The longest edge of the random minimal spanning tree. Zbl 0884.60042
Penrose, Mathew D.
53
1997
Limit laws for random vectors with an extreme component. Zbl 1125.60049
Heffernan, Janet E.; Resnick, Sidney I.
53
2007
A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100
Carmona, René; Lacker, Daniel
52
2015
Representation theorems for backward stochastic differential equations. Zbl 1017.60067
Ma, Jin; Zhang, Jianfeng
52
2002
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
52
1995
Validity of heavy traffic steady-state approximations in generalized Jackson networks. Zbl 1094.60052
Gamarnik, David; Zeevi, Assaf
51
2006
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
51
2013
Extremal particles of two-dimensional Coulomb gases and random polynomials on a positive background. Zbl 07493826
Butez, Raphael; García-Zelada, David
2
2022
Stability of martingale optimal transport and weak optimal transport. Zbl 07493836
Backhoff-Veraguas, J.; Pammer, G.
2
2022
Wasserstein-based methods for convergence complexity analysis of MCMC with applications. Zbl 07493818
Qin, Qian; Hobert, James P.
1
2022
A universality result for subcritical complex Gaussian multiplicative chaos. Zbl 07493822
Lacoin, Hubert
1
2022
Long time dynamics for interacting oscillators on graphs. Zbl 07493825
Coppini, Fabio
1
2022
New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems. Zbl 07493832
Fang, Xiao; Koike, Yuta
1
2022
Hypocoercivity of piecewise deterministic Markov process-Monte Carlo. Zbl 1476.60124
Andrieu, Christophe; Durmus, Alain; Nüsken, Nikolas; Roussel, Julien
6
2021
Nonparametric estimation for linear SPDEs from local measurements. Zbl 1476.60099
Altmeyer, Randolf; Reiß, Markus
4
2021
Precise asymptotics: robust stochastic volatility models. Zbl 1476.60183
Friz, P. K.; Gassiat, P.; Pigato, P.
4
2021
On the limitations of single-step drift and minorization in Markov chain convergence analysis. Zbl 1476.60113
Qin, Qian; Hobert, James P.
4
2021
Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions: continuous dynamics. Zbl 1476.60112
Mangoubi, Oren; Smith, Aaron
3
2021
Absence of warm percolation in the very strong reinforcement regime. Zbl 1479.60196
Hirsch, Christian; Holmes, Mark; Kleptsyn, Victor
2
2021
A characterization of martingale-equivalent mixed compound Poisson processes. Zbl 1476.91036
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D.
2
2021
Statistical inference for Bures-Wasserstein barycenters. Zbl 1476.60051
Kroshnin, Alexey; Spokoiny, Vladimir; Suvorikova, Alexandra
2
2021
Diffusion-approximation for a kinetic equation with perturbed velocity redistribution process. Zbl 1476.35345
Caillerie, Nils; Vovelle, Julien
2
2021
Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation. Zbl 1475.93116
Jaber, Eduardo Abi; Miller, Enzo; Pham, Huyên
2
2021
Entropy dissipation estimates for inhomogeneous zero-range processes. Zbl 1476.60134
Hermon, Jonathan; Salez, Justin
2
2021
Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates. Zbl 07473099
Deligiannidis, George; Paulin, Daniel; Bouchard-Côté, Alexandre; Doucet, Arnaud
2
2021
The interchange process on high-dimensional products. Zbl 1476.60117
Hermon, Jonathan; Salez, Justin
1
2021
The random connection model and functions of edge-marked Poisson processes: second order properties and normal approximation. Zbl 1476.60053
Last, Günter; Nestmann, Franz; Schulte, Matthias
1
2021
Cramér-type moderate deviation theorems for nonnormal approximation. Zbl 1476.60060
Shao, Qi-Man; Zhang, Mengchen; Zhang, Zhuo-Song
1
2021
Fluctuations of the arctic curve in the tilings of the Aztec diamond on restricted domains. Zbl 1476.60013
Ferrari, Patrik L.; Vető, Bálint
1
2021
A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: the two-dimensional case. Zbl 1479.60147
Tomašević, Milica
1
2021
Optimal subgraph structures in scale-free configuration models. Zbl 1477.05174
van der Hofstad, Remco; van Leeuwaarden, Johan S. H.; Stegehuis, Clara
1
2021
Periodicity induced by noise and interaction in the kinetic mean-field FitzHugh-Nagumo model. Zbl 1479.60198
Luçon, Eric; Poquet, Christophe
1
2021
Regeneration-enriched Markov processes with application to Monte Carlo. Zbl 1476.60126
Wang, Andi Q.; Pollock, Murray; Roberts, Gareth O.; Steinsaltz, David
1
2021
Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence. Zbl 1476.60056
Atar, Rami; Budhiraja, Amarjit; Dupuis, Paul; Wu, Ruoyu
1
2021
Antithetic multilevel sampling method for nonlinear functionals of measure. Zbl 1479.60005
Szpruch, Łukasz; Tse, Alvin
1
2021
Path dependent optimal transport and model calibration on exotic derivatives. Zbl 1479.60144
Guo, Ivan; Loeper, Grégoire
1
2021
Conservative stochastic two-dimensional Cahn-Hilliard equation. Zbl 1476.60104
Röckner, Michael; Yang, Huanyu; Zhu, Rongchan
1
2021
Semimartingales and shrinkage of filtration. Zbl 1479.60084
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz
1
2021
Corrigendum to: “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”. Zbl 07420524
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao
1
2021
Graphon-valued stochastic processes from population genetics. Zbl 1475.92110
Athreya, Siva; den Hollander, Frank; Röllin, Adrian
1
2021
Approximation of fractional local times: zero energy and derivatives. Zbl 1476.60068
Jaramillo, Arturo; Nourdin, Ivan; Peccati, Giovanni
1
2021
Many-server asymptotics for join-the-shortest-queue: large deviations and rare events. Zbl 1477.60053
Budhiraja, Amarjit; Friedlander, Eric; Wu, Ruoyu
1
2021
Submodular mean field games: existence and approximation of solutions. Zbl 07473096
Dianetti, Jodi; Ferrari, Giorgio; Fischer, Markus; Nendel, Max
1
2021
A simple Fourier analytic proof of the AKT optimal matching theorem. Zbl 1482.60011
Bobkov, Sergey G.; Ledoux, Michel
1
2021
Regenerative properties of the linear Hawkes process with unbounded memory. Zbl 07473104
Graham, Carl
1
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Coupling and convergence for Hamiltonian Monte Carlo. Zbl 07325608
Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael
13
2020
Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions. Zbl 1434.60299
Mehri, Sima; Scheutzow, Michael; Stannat, Wilhelm; Zangeneh, Bian Z.
12
2020
On the convergence of closed-loop Nash equilibria to the mean field game limit. Zbl 1470.91036
Lacker, Daniel
8
2020
Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario
8
2020
Generalized couplings and ergodic rates for SPDEs and other Markov models. Zbl 1434.60147
Butkovsky, Oleg; Kulik, Alexei; Scheutzow, Michael
8
2020
Large deviation principles for first-order scalar conservation laws with stochastic forcing. Zbl 1465.60025
Dong, Zhao; Wu, Jiang-Lun; Zhang, Rangrang; Zhang, Tusheng
7
2020
Monte Carlo with determinantal point processes. Zbl 07200531
Bardenet, Rémi; Hardy, Adrien
7
2020
Global \(C^1\) regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
6
2020
Nonasymptotic bounds for sampling algorithms without log-concavity. Zbl 1466.65008
Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz
6
2020
Geometric ergodicity of the bouncy particle sampler. Zbl 1472.60118
Durmus, Alain; Guillin, Arnaud; Monmarché, Pierre
6
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Convergence to the mean field game limit: a case study. Zbl 1437.91058
Nutz, Marcel; Martin, Jaime San; Tan, Xiaowei
6
2020
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift. Zbl 1464.60061
Fang, Wei; Giles, Michael B.
6
2020
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes. Zbl 1464.37007
Friesen, Martin; Jin, Peng; Rüdiger, Barbara
5
2020
Lower bounds for trace reconstruction. Zbl 1445.62014
Holden, Nina; Lyons, Russell
5
2020
The coalescent structure of continuous-time Galton-Watson trees. Zbl 1472.60141
Harris, Simon C.; Johnston, Samuel G. G.; Roberts, Matthew Iain
4
2020
Sensitivity analysis for rare events based on Rényi divergence. Zbl 1464.60024
Dupuis, Paul; Katsoulakis, Markos A.; Pantazis, Yannis; Rey-Bellet, Luc
4
2020
High-dimensional limits of eigenvalue distributions for general Wishart process. Zbl 1461.60052
Song, Jian; Yao, Jianfeng; Yuan, Wangjun
4
2020
Particles systems and numerical schemes for mean reflected stochastic differential equations. Zbl 1472.60093
Briand, Philippe; de Raynal, Paul-Éric Chaudru; Guillin, Arnaud; Labart, Céline
4
2020
Exact formulas for two interacting particles and applications in particle systems with duality. Zbl 1460.82013
Carinci, Gioia; Giardinà, Cristian; Redig, Frank
4
2020
Imaginary multiplicative chaos: moments, regularity and connections to the Ising model. Zbl 1472.60064
Junnila, Janne; Saksman, Eero; Webb, Christian
4
2020
On an epidemic model on finite graphs. Zbl 1434.82074
Benjamini, Itai; Fontes, Luiz Renato; Hermon, Jonathan; Machado, Fábio Prates
4
2020
Thermalisation for small random perturbations of dynamical systems. Zbl 1469.60303
Barrera, Gerardo; Jara, Milton
3
2020
Zero-sum path-dependent stochastic differential games in weak formulation. Zbl 1462.35410
Possamaï, Dylan; Touzi, Nizar; Zhang, Jianfeng
3
2020
Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier. Zbl 1464.60080
Barnes, Clayton L.
3
2020
Square permutations are typically rectangular. Zbl 1475.60017
Borga, Jacopo; Slivken, Erik
3
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Rarity of extremal edges in random surfaces and other theoretical applications of cluster algorithms. Zbl 1460.82001
Cohen-Alloro, Omri; Peled, Ron
3
2020
Mean geometry for 2D random fields: level perimeter and level total curvature integrals. Zbl 1464.60049
Biermé, Hermine; Desolneux, Agnès
3
2020
Optimal position targeting via decoupling fields. Zbl 1445.49001
Ankirchner, Stefan; Fromm, Alexander; Kruse, Thomas; Popier, Alexandre
3
2020
Nonlinear large deviations: beyond the hypercube. Zbl 1464.60026
Yan, Jun
3
2020
Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls. Zbl 1445.35118
Wu, Cong; Zhang, Jianfeng
3
2020
Spatial growth processes with long range dispersion: microscopics, mesoscopics and discrepancy in spread rate. Zbl 1469.60306
Bezborodov, Viktor; Di Persio, Luca; Krueger, Tyll; Tkachov, Pasha
2
2020
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control. Zbl 1472.60091
Backhoff-Veraguas, Julio; Lacker, Daniel; Tangpi, Ludovic
2
2020
Random permutations without macroscopic cycles. Zbl 1472.60058
Betz, Volker; Schäfer, Helge; Zeindler, Dirk
2
2020
Hamilton-Jacobi equations for finite-rank matrix inference. Zbl 1460.82007
Mourrat, Jean-Christophe
2
2020
Propagation of chaos and the many-demes limit for weakly interacting diffusions in the sparse regime. Zbl 1457.60144
Hutzenthaler, Martin; Pieper, Daniel
2
2020
Stochastic approximation on noncompact measure spaces and application to measure-valued Pólya processes. Zbl 1461.62147
Mailler, Cécile; Villemonais, Denis
2
2020
Functional large deviations for Cox processes and \(Cox / G / \infty\) queues, with a biological application. Zbl 1457.60047
Dean, Justin; Ganesh, Ayalvadi; Crane, Edward
2
2020
Applications of mesoscopic CLTs in random matrix theory. Zbl 1476.60052
Landon, Benjamin; Sosoe, Philippe
2
2020
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment. Zbl 1476.93155
Bank, Peter; Besslich, David
2
2020
Local weak convergence for PageRank. Zbl 1434.60027
Garavaglia, Alessandro; van der Hofstad, Remco; Litvak, Nelly
2
2020
Random-cluster dynamics in \(\mathbb{Z}^2\): rapid mixing with general boundary conditions. Zbl 1434.60273
Blanca, Antonio; Gheissari, Reza; Vigoda, Eric
2
2020
The largest real eigenvalue in the real Ginibre ensemble and its relation to the Zakharov-Shabat system. Zbl 1434.60018
Baik, Jinho; Bothner, Thomas
2
2020
Bounds for the asymptotic distribution of the likelihood ratio. Zbl 1446.62073
Anastasiou, Andreas; Reinert, Gesine
2
2020
Trading with small nonlinear price impact. Zbl 1447.91157
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes
2
2020
An information-percolation bound for spin synchronization on general graphs. Zbl 1461.62025
Abbe, Emmanuel; Boix-Adserà, Enric
1
2020
On the exit time from open sets of some semi-Markov processes. Zbl 1472.60148
Ascione, Giacomo; Pirozzi, Enrica; Toaldo, Bruno
1
2020
Optimal Cheeger cuts and bisections of random geometric graphs. Zbl 1459.05306
Müller, Tobias; Penrose, Mathew D.
1
2020
Conditional optimal stopping: a time-inconsistent optimization. Zbl 1464.60038
Nutz, Marcel; Zhang, Yuchong
1
2020
Approximation schemes for viscosity solutions of fully nonlinear stochastic partial differential equations. Zbl 1466.65078
Seeger, Benjamin
1
2020
A threshold for cutoff in two-community random graphs. Zbl 1472.60117
Ben-Hamou, Anna
1
2020
Mixing time and cutoff for the weakly asymmetric simple exclusion process. Zbl 1472.60127
Labbé, Cyril; Lacoin, Hubert
1
2020
Statistical thresholds for tensor PCA. Zbl 1461.62087
Jagannath, Aukosh; Lopatto, Patrick; Miolane, Léo
1
2020
Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions. Zbl 1472.60135
Banerjee, Sayan; Budhiraja, Amarjit
1
2020
The two-type Richardson model in the half-plane. Zbl 1457.60140
Ahlberg, Daniel; Deijfen, Maria; Hoffman, Christopher
1
2020
Pathwise stochastic control with applications to robust filtering. Zbl 1471.93265
Allan, Andrew L.; Cohen, Samuel N.
1
2020
Utility maximization via decoupling fields. Zbl 1476.49025
Fromm, Alexander; Imkeller, Peter
1
2020
Join-the-shortest queue diffusion limit in Halfin-Whitt regime: sensitivity on the heavy-traffic parameter. Zbl 1434.60263
Banerjee, Sayan; Mukherjee, Debankur
1
2020
Central limit theorems for patterns in multiset permutations and set partitions. Zbl 1434.60040
Féray, Valentin
1
2020
Semi-implicit Euler-Maruyama approximation for noncolliding particle systems. Zbl 1464.60083
Ngo, Hoang-Long; Taguchi, Dai
1
2020
Kinetically constrained models with random constraints. Zbl 1446.82057
Shapira, Assaf
1
2020
Affine Volterra processes. Zbl 1441.60052
Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio
32
2019
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
18
2019
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75 Roberts, Gareth O.
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46 Touzi, Nizar
46 van der Hofstad, Remco W.
45 Resnick, Sidney Ira
44 Hashorva, Enkelejd
43 Mikosch, Thomas
43 Rosenthal, Jeffrey S.
43 Samorodnitsky, Gennady Pinkhosovich
42 Palmowski, Zbigniew
41 Del Moral, Pierre
41 Jourdain, Benjamin
41 Penrose, Mathew D.
40 Blanchet, Jose H.
40 Budhiraja, Amarjit S.
40 Foss, Sergey G.
39 Dębicki, Krzysztof
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39 Pham, Huyên
38 Stuart, Andrew M.
38 Yin, Gang George
37 Karatzas, Ioannis
37 Pagès, Gilles
36 Bo, Lijun
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35 Durrett, Richard Timothy
35 Jentzen, Arnulf
35 Moulines, Eric
34 Peres, Yuval
34 van Leeuwaarden, Johan S. H.
34 Wu, Zhen
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33 Wang, Yongjin
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32 Garnier, Josselin
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32 Iksanov, Aleksander M.
32 Leonenko, Nikolai N.
32 Muhle-Karbe, Johannes
32 Rásonyi, Miklós
31 Fournier, Nicolas G.
31 Tang, Qihe
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30 Lacoin, Hubert
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26 Obloj, Jan K.
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25 Belomestny, Denis
25 den Hollander, Frank
25 Doucet, Arnaud
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25 Ivanovs, Jevgeņijs
25 Kardaras, Constantinos
25 Röllin, Adrian
25 Schachermayer, Walter
25 Yong, Jiongmin
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