期刊： ANNALS OF APPLIED PROBABILITY, 2021; 31 (3)
We study the quenched invariance principle for random conductance models with long range jumps on Z(d), where the transition probability from x to y i......
期刊： ANNALS OF APPLIED PROBABILITY, 2021; 31 (4)
We obtain explicit error bounds for the d-dimensional normal approximation on hyperrectangles for a random vector that has a Stein kernel, or admits a......
期刊： ANNALS OF APPLIED PROBABILITY, 2021; 31 (3)
We consider the stochastic two-dimensional Cahn-Hilliard equation which is driven by the derivative in space of a space-time white noise. We use two d......
期刊： ANNALS OF APPLIED PROBABILITY, 2021; 31 (1)
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control sys......
期刊： ANNALS OF APPLIED PROBABILITY, 2021; 31 (1)
A Cramer-type moderate deviation theorem quantifies the relative error of the tail probability approximation. It provides a criterion whether the limi......
期刊： ANNALS OF APPLIED PROBABILITY, 2020; 30 (3)
This paper is the discrete time counterpart of the previous work in the continuous time case by Guillin, Leonard, the second named author and Yao [Pro......
期刊： ANNALS OF APPLIED PROBABILITY, 2020; 30 (3)
The classical inverse first passage time problem asks whether, for a Brownian motion (B-t)(t >= 0) and a positive random variable xi, there exists ......
期刊： ANNALS OF APPLIED PROBABILITY, 2020; 30 (1)
In this paper, we established the Freidlin-Wentzell-type large deviation principles for first-order scalar conservation laws perturbed by small multip......
期刊： ANNALS OF APPLIED PROBABILITY, 2019; 29 (1)
Let n is an element of N, let zeta(n,1), . . . , zeta(n,n) be a sequence of independent random variables with E zeta(n,i) = 0 and E vertical bar zeta(......
期刊： ANNALS OF APPLIED PROBABILITY, 2019; 29 (4)
A one-dimensional interacting particle system is said to exhibit interface tightness if starting in an initial condition describing the interface betw......
期刊： ANNALS OF APPLIED PROBABILITY, 2019; 29 (4)
In this paper, we consider the unique nonnegative solution to the following generalized version of the stochastic differential equation for a continuo......
期刊： ANNALS OF APPLIED PROBABILITY, 2018; 28 (6)
Multiclass queueing networks (MQN) are, in general, difficult objects to study analytically. The diffusion approximation refers to using the stationar......
期刊： ANNALS OF APPLIED PROBABILITY, 2018; 28 (2)
In this article, we study a class of reflected backward stochastic differential equations (introduced in El Karoui et al. [Ann. Probab. 25 (1997) 702-......
期刊： ANNALS OF APPLIED PROBABILITY, 2017; 27 (1)
Consider a multidimensional diffusion process X = {X (t) : t is an element of [0, 1]}. Let epsilon > 0 be a deterministic, user defined, tolerance ......
期刊： ANNALS OF APPLIED PROBABILITY, 2017; 27 (2)
This paper studies the optimal consumption via the habit formation preference in markets with transaction costs and unbounded random endowments. To mo......
