Sommaire du Fascicule no. 4

There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

Soner, H. M. ; Shreve, S. E. ; Cvitanic, J.

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p. 327-355

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Black's Consol Rate Conjecture

Duffie, Darrell ; Ma, Jin ; Yong, Jiongmin

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p. 356-382

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Some Formulae for a New Type of Path-Dependent Option

Akahori, Jiro

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p. 383-388

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The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options

Dassios, Angelos

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p. 389-398

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Impulse Control of Piecewise Deterministic Markov Processes

Dempster, M. A. H. ; Ye, J. J.

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p. 399-423

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Limits of First Passage Times to Rare Sets in Regenerative Processes

Glasserman, Paul ; Kou, Shing-Gang

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p. 424-445

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The Hazard Rate Tangent Approximation for Boundary Hitting Times

Roberts, G. O. ; Shortland, C. F.

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p. 446-460

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Gibbs-Cox Random Fields and Burgers Turbulence

Funaki, T. ; Surgailis, D. ; Woyczynski, W. A.

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p. 461-492

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Diffusion Approximation of Nuclear Space-Valued Stochastic Differential Equations Driven by Poisson Random Measures

Kallianpur, G. ; Xiong, J.

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p. 493-517

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Multivariate Integration and Approximation for Random Fields Satisfying Sacks-Ylvisaker Conditions

Ritter, Klaus ; Wasilkowski, Grzegorz W. ; Wozniakowski, Henryk

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p. 518-540

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Levy Bandits: Multi-Armed Bandits Driven by Levy Processes

Kaspi, Haya ; Mandelbaum, Avi

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p. 541-565

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Large Deviation Rates for Branching Processes. II. The Multitype Case

Athreya, K. B. ; Vidyashankar, A. N.

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p. 566-576

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Hidden Markov Random Fields

Kunsch, Hans ; Geman, Stuart ; Kehagias, Athanasios

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p. 577-602

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Consistency of the Maximum Pseudo-Likelihood Estimator of Continuous State Space Gibbsian Processes

Mase, Shigeru

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p. 603-612

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Survival of Discrete Time Growth Models, with Applications to Oriented Percolation

Liggett, Thomas M.

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p. 613-636

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Fluid Approximations and Stability of Multiclass Queueing Networks: Work-Conserving Disciplines

Chen, Hong

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p. 637-665

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Dynamic Asymptotic Results for a Generalized Star-Shaped Loss Network

Graham, Carl ; Meleard, Sylvie

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p. 666-680

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Polling Systems with Zero Switchover Times: A Heavy-Traffic Averaging Principle

Coffman, E. G. ; Puhalskii, A. A. ; Reiman, M. I.

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p. 681-719

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Stochastic Models of Host-Macroparasite Interaction

Isham, Valerie

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p. 720-740

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On the Local Time of the Brownian Motion

Takacs, Lajos

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p. 741-756

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A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift

Embrechts, P. ; Rogers, L. C. G. ; Yor, M.

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p. 757-767

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Probabilistic Analysis of an Algorithm in the Theory of Markets in Indivisible Goods

Frieze, Alan ; Pittel, Boris G.

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p. 768-808

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Dynamic Scheduling with Convex Delay Costs: The Generalized $c|mu$ Rule

van Mieghem, Jan A.

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p. 809-833

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Target Shooting with Programmed Random Variables

Brightwell, Graham ; Ott, Teunis J. ; Winkler, Peter

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p. 834-853

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Precision Calculation of Distributions for Trimmed Sums

Csorgo, Sandor ; Simons, Gordon

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p. 854-873

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Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion

Asmussen, Soren ; Glynn, Peter ; Pitman, Jim

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p. 875-896

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Efficient Monte Carlo Simulation of Security Prices

Duffie, Darrell ; Glynn, Peter

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p. 897-905

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A Necessary and Sufficient Condition for Absence of Arbitrage with Tame Portfolios

Levental, Shlomo ; Skorohod, Antolii V.

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p. 906-925

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The Existence of Absolutely Continuous Local Martingale Measures

Delbaen, Freddy ; Schachermayer, Walter

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p. 926-945

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Transience of Multiclass Queueing Networks Via Fluid Limit Models

Meyn, Sean P.

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p. 946-957

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Diffusion Approximation for Open State-Dependent Queueing Networks in the Heavy Traffic Situation

Yamada, Keigo

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p. 958-982

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Asymptotic Analysis of Tail Probabilities Based on the Computation of Moments

Abate, Joseph ; Choudhury, Gagan L. ; Lucantoni, David M. ; Whitt, Ward

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p. 983-1007

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The Growth and Spread of the General Branching Random Walk

Biggins, J. D.

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p. 1008-1024

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Stepping-Stone Models with Extinction and Recolonization

Kang, Hyun-Chung ; Krone, Stephen M. ; Neuhauser, Claudia

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p. 1025-1060

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The Asymptotic Evolution of the General Stochastic Epidemic

Reinert, Gesine

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p. 1061-1086

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Probabilistic Search with Overrides

Fox, Bennett L. ; Heine, George W.

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p. 1087-1094

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A Generalized Maximum Pseudo-Likelihood Estimator for Noisy Markov Fields

Barsky, David J. ; Gandolfi, Alberto

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p. 1095-1125

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A Stochastic Navier-Stokes Equation for the Vorticity of a Two-Dimensional Fluid

Kotelenez, Peter

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p. 1126-1160

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Empirical Spectral Processes and Their Applications to Stationary Point Processes

Eichler, Michael

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p. 1161-1176

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On the A.S. Convergence of the Kohonen Algorithm with a General Neighborhood Function

Fort, Jean-Claude ; Pages, Gilles

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p. 1177-1216

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Differential Equations for Random Processes and Random Graphs

Wormald, Nicholas C.

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p. 1217-1235

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A Limit Theorem for Matching Random Sequences Allowing Deletions

Zhang, Yu

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p. 1236-1240

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