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

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  Año 2019, Vol. 29, Número 6

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    Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations

    Ruoting Gong, Chenchen Mou, Andrzej Swiech

    págs. 3271-3310

    
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    Computational methods for martingale optimal transport problems

    Gaoyue Guo, Jan Oblój

    págs. 3311-3347

    
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    Robust pricing and hedging around the globe

    Sebastian Herrmann, Florian Stebegg

    págs. 3348-3386

    
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    Affine processes beyond stochastic continuity

    Martin Keller-Ressel, Thorsten Schmidt, Robert Wardenga

    págs. 3387-3437

    
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    Poincaré and logarithmic Sobolev constants for metastable Markov chains via capacitary inequalities

    André Schlichting, Martin Slowik

    págs. 3438-3488

    
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    A martingale approach for fractional Brownian motions and related path dependent PDEs

    Frederi Viens, Jianfeng Zhang

    págs. 3489-3540

    
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    Crossing a fitness valley as a metastable transition in a stochastic population model

    Anton Bovier, Loren Coquille, Charline Smadi

    págs. 3541-3589

    
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    Nonparametric spot volatility from options

    Viktor Todorov

    págs. 3590-3636

    
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    Right marker speeds of solutions to the KPP equation with noise

    Sandra Kliem

    págs. 3637-3694

    
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    Large tournament games

    Erhan Bayraktar, Jaksa Cvitanic, Yuchong Zhang

    págs. 3695-3744

    
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    Localization of the Gaussian multiplicative chaos in the Wiener space and the stochastic heat equation in strong disorder

    Yannic Bröker, Chiranjib Mukherjee

    págs. 3745-3785

    
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    Decompositions of log-correlated fields with applications

    Janne Junnila, Eero Saksman , Christian Webb

    págs. 3786-3820

    
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    Zero temperature limit for the Brownian directed polymer among Poissonian disasters

    Ryoki Fukushima, Stefan Junk

    págs. 3821-3860

    
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    Cutoff for the cyclic adjacent transposition shuffle

    Danny Nam, Evita Nestoridi

    págs. 3861-3892

    
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    Continuous-time duality for superreplication with transient price impact

    Peter Bank, Yan Dolinsky

    págs. 3893-3917