Sommaire du Fascicule no. 4

The Pricing of the American Option

Myneni, Ravi

Text on Project Euclid
PDF
Alt PDF
p. 1-23

Project Euclid
On the Stationary Distribution of the Neutral Diffusion Model in Population Genetics

Ethier, S. N. ; Kurtz, Thomas G.

Text on Project Euclid
PDF
Alt PDF
p. 24-35

Project Euclid
Optimal Consumption and Portfolio Policies with an Infinite Horizon: Existence and Convergence

Huang, Chi-Fu ; Pages, Henri

Text on Project Euclid
PDF
Alt PDF
p. 36-64

Project Euclid
Reflected Brownian Motion in an Orthant: Numerical Methods for Steady-State Analysis

Dai, J. G. ; Harrison, J. M.

Text on Project Euclid
PDF
Alt PDF
p. 65-86

Project Euclid
A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients

Xu, Gan-Lin ; Shreve, Steven E.

Text on Project Euclid
PDF
Alt PDF
p. 87-112

Project Euclid
The Minimum Spanning Tree Constant in Geometrical Probability and Under the Independent Model: A Unified Approach

Avram, Florin ; Bertsimas, Dimitris

Text on Project Euclid
PDF
Alt PDF
p. 113-130

Project Euclid
Law of Large Numbers in the Supremum Norm for a Chemical Reaction with Diffusion

Blount, Douglas

Text on Project Euclid
PDF
Alt PDF
p. 131-141

Project Euclid
Parameter Estimation for Gibbs Distributions from Partially Observed Data

Comets, Francis ; Gidas, Basilis

Text on Project Euclid
PDF
Alt PDF
p. 142-170

Project Euclid
Mean-Variance Hedging for General Claims

Schweizer, Martin

Text on Project Euclid
PDF
Alt PDF
p. 171-179

Project Euclid
The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations

Glynn, Peter W. ; Whitt, Ward

Text on Project Euclid
PDF
Alt PDF
p. 180-198

Project Euclid
Boundary Crossing Probabilities for Locally Poisson Processes

Loader, Clive R.

Text on Project Euclid
PDF
Alt PDF
p. 199-228

Project Euclid
The $3x + 1$ Problem: Two Stochastic Models

Lagarias, J. C. ; Weiss, A.

Text on Project Euclid
PDF
Alt PDF
p. 229-261

Project Euclid
Brownian Models of Feedforward Queueing Networks: Quasireversibility and Product Form Solutions

Harrison, J. M. ; Williams, R. J.

Text on Project Euclid
PDF
Alt PDF
p. 263-293

Project Euclid
Trailing the Dovetail Shuffle to its Lair

Bayer, Dave ; Diaconis, Persi

Text on Project Euclid
PDF
Alt PDF
p. 294-313

Project Euclid
A Duality Method for Optimal Consumption and Investment Under Short-Selling Prohibition. II. Constant Market Coefficients

Xu, Gan-Lin ; Shreve, Steven E.

Text on Project Euclid
PDF
Alt PDF
p. 314-328

Project Euclid
Poisson Approximations for $r$-Scan Processes

Dembo, Amir ; Karlin, Samuel

Text on Project Euclid
PDF
Alt PDF
p. 329-357

Project Euclid
On Likely Solutions of a Stable Marriage Problem

Pittel, Boris

Text on Project Euclid
PDF
Alt PDF
p. 358-401

Project Euclid
A Study of Trie-Like Structures Under the Density Model

Devroye, Luc

Text on Project Euclid
PDF
Alt PDF
p. 402-434

Project Euclid
Random Walk Processes and their Applications in Order Statistics

Takacs, Lajos

Text on Project Euclid
PDF
Alt PDF
p. 435-459

Project Euclid
Performance Bounds for Scheduling Queueing Networks

Ou, Jihong ; Wein, Lawrence M.

Text on Project Euclid
PDF
Alt PDF
p. 460-480

Project Euclid
The Tail of the Convolution of Densities and its Application to a Model of HIV-Latency Time

Berman, Simeon M.

Text on Project Euclid
PDF
Alt PDF
p. 481-502

Project Euclid
Sharp Inequalities for Optimal Stopping with Rewards Based on Ranks

Hill, T. P. ; Kennedy, D. P.

Text on Project Euclid
PDF
Alt PDF
p. 503-517

Project Euclid
Poisson Process Approximations for the Ewens Sampling Formula

Arratia, Richard ; Barbour, A. D. ; Tavare, Simon

Text on Project Euclid
PDF
Alt PDF
p. 519-535

Project Euclid
Stein's Method and Multinomial Approximation

Loh, Wei-Liem

Text on Project Euclid
PDF
Alt PDF
p. 536-554

Project Euclid
Light Traffic Equivalence in Single-Server Queues

Asmussen, Soren

Text on Project Euclid
PDF
Alt PDF
p. 555-574

Project Euclid
The Population Composition of a Multitype Branching Random Walk

Bramson, M. ; Ney, P. ; Tao, J.

Text on Project Euclid
PDF
Alt PDF
p. 575-596

Project Euclid
A Limit Theory for Random Skip Lists

Devroye, Luc

Text on Project Euclid
PDF
Alt PDF
p. 597-609

Project Euclid
Optimal Spectral Structure of Reversible Stochastic Matrices, Monte Carlo Methods and the Simulation of Markov Random Fields

Frigessi, Arnoldo ; Hwang, Chii-Ruey ; Younes, Laurent

Text on Project Euclid
PDF
Alt PDF
p. 610-628

Project Euclid
The Resolvent of a Degenerate Diffusion on the Plane, with Application to Partially Observed Stochastic Control

Karatzas, Ioannis ; Ocone, Daniel L.

Text on Project Euclid
PDF
Alt PDF
p. 629-668

Project Euclid
Fluctuations in a Nonlinear Reaction-Diffusion Model

Kotelenez, Peter

Text on Project Euclid
PDF
Alt PDF
p. 669-694

Project Euclid
Matching Random Subsets of the Cube with a Tight Control on One Coordinate

Rhee, WanSoo T. ; Talagrand, Michel

Text on Project Euclid
PDF
Alt PDF
p. 695-713

Project Euclid
On Moments of the First Ladder Height of Random Walks with Small Drift

Chang, Joseph T.

Text on Project Euclid
PDF
Alt PDF
p. 714-738

Project Euclid
On Coupling and Weak Convergence to Stationarity

Asmussen, Soren

Text on Project Euclid
PDF
Alt PDF
p. 739-751

Project Euclid
Buying with Exact Confidence

Dalal, S. R. ; Mallows, C. L.

Text on Project Euclid
PDF
Alt PDF
p. 752-765

Project Euclid
Convex Duality in Constrained Portfolio Optimization

Cvitanic, Jaksa ; Karatzas, Ioannis

Text on Project Euclid
PDF
Alt PDF
p. 767-818

Project Euclid
Multifractal Dimensions and Scaling Exponents for Strongly Bounded Random Cascades

Holley, Richard ; Waymire, Edward C.

Text on Project Euclid
PDF
Alt PDF
p. 819-845

Project Euclid
Matching Random Samples in Many Dimensions

Talagrand, Michel

Text on Project Euclid
PDF
Alt PDF
p. 846-856

Project Euclid
Large Deviation Results for a Class of Markov Chains with Application to an Infinite Alleles Model of Population Genetics

Morrow, Gregory J.

Text on Project Euclid
PDF
Alt PDF
p. 857-905

Project Euclid
A Continuous Polling System with General Service Times

Kroese, Dirk P. ; Schmidt, Volker

Text on Project Euclid
PDF
Alt PDF
p. 906-927

Project Euclid
Shocks in Asymmetric Exclusion Automata

Ferrari, P. A. ; Ravishankar, K.

Text on Project Euclid
PDF
Alt PDF
p. 928-941

Project Euclid
Extremal Character of the Lyapunov Exponent of the Stochastic Harmonic Oscillator

Pinsky, Mark A.

Text on Project Euclid
PDF
Alt PDF
p. 942-950

Project Euclid
Modelling Heterogeneity in Survival Analysis by the Compound Poisson Distribution

Aalen, Odd O.

Text on Project Euclid
PDF
Alt PDF
p. 951-972

Project Euclid
Decomposing the Branching Brownian Path

Jansons, Kalvis M. ; Rogers, L. C. G.

Text on Project Euclid
PDF
Alt PDF
p. 973-986

Project Euclid
Finiteness of Waiting-Time Moments in General Stationary Single-Server Queues

Daley, D. J. ; Rolski, T.

Text on Project Euclid
PDF
Alt PDF
p. 987-1008

Project Euclid
The Height of a Random Partial Order: Concentration of Measure

Bollobas, Bela ; Brightwell, Graham

Text on Project Euclid
PDF
Alt PDF
p. 1009-1018

Project Euclid
Market Share Paradox and Heterogeneous Chains

Benjamini, Yoav ; Krieger, Abba M.

Text on Project Euclid
PDF
Alt PDF
p. 1019-1023

Project Euclid
On the Gittins Index for Multiarmed Bandits

Weber, Richard

Text on Project Euclid
PDF
Alt PDF
p. 1024-1033

Project Euclid