# zbMATH — the first resource for mathematics

## 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: 2,212 Publications (since 1991) References Indexed: 1,744 Publications with 46,053 References.
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#### Latest Issues

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#### Authors

 22 Durrett, Richard Timothy 21 Roberts, Gareth O. 16 Touzi, Nizar 15 Ramanan, Kavita 15 Samorodnitsky, Gennady Pinkhosovich 14 Bramson, Maury D. 14 Budhiraja, Amarjit S. 14 Harrison, John Michael 14 Karatzas, Ioannis 14 Penrose, Mathew D. 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 van der Hofstad, Remco W. 10 Ma, Jin 10 Peres, Yuval 10 Pham, Huyên 10 Schachermayer, Walter 10 Shreve, Steven E. 9 Barbour, Andrew D. 9 Cox, J. Theodore 9 Dupuis, Paul G. 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 Zhang, Jianfeng 8 Benaïm, Michel 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 Luczak, Malwina J. 8 Moulines, Eric 8 Neuhauser, Claudia 8 Popovic, Lea 8 Sly, Allan 8 Zeitouni, Ofer 7 Alexander, Kenneth S. 7 Bai, Zhi-Dong 7 Bank, Peter 7 Bhamidi, Shankar 7 Bouchard, Bruno 7 Cvitanić, Jakša 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 Kramkov, Dmitriĭ Olegovich 7 Lambert, Amaury 7 Nutz, Marcel 7 Peskir, Goran 7 Pistorius, Martijn R. 7 Reinert, Gesine D. 7 Sivakoff, David 7 Tsitsiklis, John N. 6 Adler, Robert Joseph 6 Avram, Florin 6 Bertoin, Jean 6 Bovier, Anton 6 Caputo, Pietro 6 Crisan, Dan O. 6 Dembo, Amir 6 Ekström, Erik 6 Ferrari, Pablo Augusto 6 Goldstein, Larry 6 Grübel, Rudolf 6 Kardaras, Constantinos 6 Kendall, Wilfrid S. 6 Kesten, Harry 6 Klüppelberg, Claudia 6 Liptser, Robert 6 Mahmoud, Hosam M. 6 Martin, James Benedict 6 McDonald, David R. 6 Pal, Soumik 6 Pittel, Boris G. 6 Rhee, Wansoo T. 6 Rogers, L. C. G. ...and 2,386 more Authors
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#### Fields

 2,085 Probability theory and stochastic processes (60-XX) 342 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 289 Statistics (62-XX) 249 Statistical mechanics, structure of matter (82-XX) 237 Numerical analysis (65-XX) 234 Operations research, mathematical programming (90-XX) 195 Biology and other natural sciences (92-XX) 192 Combinatorics (05-XX) 169 Systems theory; control (93-XX) 158 Computer science (68-XX) 119 Partial differential equations (35-XX) 76 Calculus of variations and optimal control; optimization (49-XX) 47 Ordinary differential equations (34-XX) 45 Linear and multilinear algebra; matrix theory (15-XX) 39 Dynamical systems and ergodic theory (37-XX) 29 Information and communication theory, circuits (94-XX) 25 Operator theory (47-XX) 23 Fluid mechanics (76-XX) 15 Measure and integration (28-XX) 10 Approximations and expansions (41-XX) 9 Number theory (11-XX) 9 Functional analysis (46-XX) 9 Global analysis, analysis on manifolds (58-XX) 8 Convex and discrete geometry (52-XX) 8 Differential geometry (53-XX) 7 Real functions (26-XX) 7 Integral equations (45-XX) 7 Classical thermodynamics, heat transfer (80-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 Integral transforms, operational calculus (44-XX) 5 Mechanics of particles and systems (70-XX) 4 Group theory and generalizations (20-XX) 4 Functions of a complex variable (30-XX) 4 Potential theory (31-XX) 4 Mechanics of deformable solids (74-XX) 4 Quantum theory (81-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 Commutative algebra (13-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)

#### Citations contained in zbMATH Open

1,981 Publications have been cited 29,889 times in 17,971 Documents Cited by Year
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
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1999
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
2003
Weak convergence and optimal scaling of random walk Metropolis algorithms. Zbl 0876.60015
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1997
Geometric bounds for eigenvalues of Markov chains. Zbl 0731.60061
Diaconis, Persi; Stroock, Daniel
1991
Implicit renewal theory and tails of solutions of random equations. Zbl 0724.60076
Goldie, Charles M.
1991
On positive Harris recurrence of multiclass queueing networks: A unified approach via fluid limit models. Zbl 0822.60083
Dai, J. G.
1995
Logarithmic Sobolev inequalities for finite Markov chains. Zbl 0867.60043
Diaconis, P.; Saloff-Coste, L.
1996
Convex duality in constrained portfolio optimization. Zbl 0770.90002
Cvitanić, Jakša; Karatzas, Ioannis
1992
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
1994
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
2002
Utility maximization in incomplete markets. Zbl 1083.60048
Hu, Ying; Imkeller, Peter; Müller, Matthias
2005
A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047
Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier
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.
2012
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
2007
A numerical scheme for BSDEs. Zbl 1056.60067
Zhang, Jianfeng
2004
Backward-forward stochastic differential equations. Zbl 0780.60058
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1993
Epidemics with two levels of mixing. Zbl 0909.92028
Ball, Frank; Mollison, Denis; Scalia-Tomba, Gianpaolo
1997
Comparison theorems for reversible Markov chains. Zbl 0799.60058
Diaconis, Persi; Saloff-Coste, Laurent
1993
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Zbl 1142.91034
Denis, Laurent; Martini, Claude
2006
Loss networks. Zbl 0743.60099
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1991
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
2004
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
2002
A note on Metropolis-Hastings kernels for general state spaces. Zbl 0935.60053
Tierney, Luke
1998
Pricing contingent claims on stocks driven by Lévy processes. Zbl 1054.91033
Chan, Terence
1999
A microscopic probabilistic description of a locally regulated population and macroscopic approximations. Zbl 1060.92055
Fournier, Nicolas; Méléard, Sylvie
2004
Computable bounds for geometric convergence rates of Markov chains. Zbl 0812.60059
Meyn, Sean P.; Tweedie, R. L.
1994
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052
Rogers, L. C. G.
1994
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344
Loeffen, R. L.
2008
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
2004
Trailing the dovetail shuffle to its lair. Zbl 0757.60003
Bayer, Dave; Diaconis, Persi
1992
Mean-variance hedging in continuous time. Zbl 0735.90021
Duffie, Darrell; Richardson, Henry R.
1991
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
2001
The pricing of the American option. Zbl 0753.60040
Myneni, Ravi
1992
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
Exact simulation of diffusions. Zbl 1101.60060
Beskos, Alexandros; Roberts, Gareth O.
2005
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.
2014
Arbitrage and duality in nondominated discrete-time models. Zbl 1322.60045
Bouchard, Bruno; Nutz, Marcel
2015
Hedging options for a large investor and forward-backward SDE’s. Zbl 0856.90011
Cvitanić, Jakša; Ma, Jin
1996
Differential equations for random processes and random graphs. Zbl 0847.05084
Wormald, Nicholas C.
1995
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
2005
Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Zbl 0726.60069
Fill, James Allen
1991
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
1998
Smoluchowski’s coagulation equation: Uniqueness, nonuniqueness and a hydrodynamic limit for the stochastic coalescent. Zbl 0944.60082
Norris, James R.
1999
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Zbl 1132.91457
Becherer, Dirk
2006
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
1993
Mixing times of lozenge tiling and card shuffling Markov chains. Zbl 1040.60063
Wilson, David Bruce
2004
On the ergodicity properties of some adaptive MCMC algorithms. Zbl 1114.65001
Andrieu, Christophe; Moulines, Éric
2006
Dynamic exponential utility indifference valuation. Zbl 1134.91449
Mania, Michael; Schweizer, Martin
2005
On the speed of convergence in first-passage percolation. Zbl 0783.60103
Kesten, Harry
1993
Hedging contingent claims with constrained portfolios. Zbl 0825.93958
Cvitanić, Jakša; Karatzas, Ioannis
1993
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.
2001
Spectral theory and limit theorems for geometrically ergodic Markov processes. Zbl 1016.60066
Kontoyiannis, I.; Meyn, S. P.
2003
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
1995
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
A survey of max-type recursive distributional equations. Zbl 1105.60012
2005
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
2000
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
2006
On the pricing of contingent claims under constraints. Zbl 0856.90012
Karatzas, I.; Kou, S. G.
1996
Asymptotic analysis of multiscale approximations to reaction networks. Zbl 1118.92031
Ball, Karen; Kurtz, Thomas G.; Popovic, Lea; Rempala, Greg
2006
Polynomial convergence rates of Markov chains. Zbl 1012.60062
Jarner, Søren F.; Roberts, Gareth O.
2002
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
2001
A Khasminskii type averaging principle for stochastic reaction-diffusion equations. Zbl 1191.60076
Cerrai, Sandra
2009
Weak laws of large numbers in geometric probability. Zbl 1029.60008
Penrose, Mathew D.; Yukich, J. E.
2003
Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval. Zbl 0880.60077
Bertoin, Jean
1997
Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe
2004
Broadcasting on trees and the Ising model. Zbl 1052.60076
Evans, William; Kenyon, Claire; Peres, Yuval; Schulman, Leonard J.
2000
A general limit theorem for recursive algorithms and combinatorial structures. Zbl 1041.60024
Neininger, Ralph; Rüschendorf, Ludger
2004
Modelling heterogeneity in survival analysis by the compound Poisson distribution. Zbl 0762.62031
Aalen, Odd O.
1992
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
1996
Central limit theorems for some graphs in computational geometry. Zbl 1044.60016
Penrose, Mathew D.; Yukich, J. E.
2001
MaxWeight scheduling in a generalized switch: State space collapse and workload minimization in heavy traffic. Zbl 1057.60092
Stolyar, Alexander L.
2004
Stein’s method and the zero bias transformation with application to simple random sampling. Zbl 0903.60019
Goldstein, Larry; Reinert, Gesine
1997
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. Zbl 1352.60101
Sabanis, Sotirios
2016
Renewal theory and computable convergence rates for geometrically erdgodic Markov chains. Zbl 1070.60061
Baxendale, Peter H.
2005
Analysis of a nonreversible Markov chain sampler. Zbl 1083.60516
Diaconis, Persi; Holmes, Susan; Neal, Radford M.
2000
Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Zbl 0868.90008
Duffie, Darrell; Schroder, Mark; Skiadas, Costis
1996
Dynamic scheduling with convex delay costs: The generalized $$c\mu$$ rule. Zbl 0843.90047
van Mieghem, Jan A.
1995
Atlas models of equity markets. Zbl 1099.91056
Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis
2005
Affine processes on positive semidefinite matrices. Zbl 1219.60068
Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef
2011
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
2002
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
2008
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
1991
On maximum likelihood estimation of the extreme value index. Zbl 1102.62051
Drees, Holger; Ferreira, Ana; de Haan, Laurens
2004
Mean-variance hedging for general claims. Zbl 0742.60042
Schweizer, Martin
1992
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
2005
Limit laws for random vectors with an extreme component. Zbl 1125.60049
Heffernan, Janet E.; Resnick, Sidney I.
2007
An optimal error estimate in stochastic homogenization of discrete elliptic equations. Zbl 1387.35031
Gloria, Antoine; Otto, Felix
2012
Asymptotic fringe distributions for general families of random trees. Zbl 0733.60016
Aldous, David
1991
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
1995
The $$G/GI/N$$ queue in the Halfin-Whitt regime. Zbl 1181.60137
Reed, Josh
2009
Computable exponential convergence rates for stochastically ordered Markov processes. Zbl 0863.60093
Lund, Robert B.; Meyn, Sean P.; Tweedie, Richard L.
1996
Representation theorems for backward stochastic differential equations. Zbl 1017.60067
Ma, Jin; Zhang, Jianfeng
2002
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
1995
Ising models on locally tree-like graphs. Zbl 1191.82025
Dembo, Amir; Montanari, Andrea
2010
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
2003
Validity of heavy traffic steady-state approximations in generalized Jackson networks. Zbl 1094.60052
Gamarnik, David; Zeevi, Assaf
2006
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
2013
The longest edge of the random minimal spanning tree. Zbl 0884.60042
Penrose, Mathew D.
1997
Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012
Hobson, David G.
1998
Ruin probabilities and decompositions for general perturbed risk processes. Zbl 1061.60075
Huzak, Miljenko; Perman, Mihael; Šikić, Hrvoje; Vondraček, Zoran
2004
Statistical inference for Bures-Wasserstein barycenters. Zbl 07420517
Kroshnin, Alexey; Spokoiny, Vladimir; Suvorikova, Alexandra
2021
Diffusion-approximation for a kinetic equation with perturbed velocity redistribution process. Zbl 07420518
Caillerie, Nils; Vovelle, Julien
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
2021
Hypocoercivity of piecewise deterministic Markov process-Monte Carlo. Zbl 07420557
Andrieu, Christophe; Durmus, Alain; Nüsken, Nikolas; Roussel, Julien
2021
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.
2020
Coupling and convergence for Hamiltonian Monte Carlo. Zbl 07325608
Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael
2020
Convergence to the mean field game limit: a case study. Zbl 1437.91058
Nutz, Marcel; Martin, Jaime San; Tan, Xiaowei
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
2020
Monte Carlo with determinantal point processes. Zbl 07200531
2020
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift. Zbl 1464.60061
Fang, Wei; Giles, Michael B.
2020
Generalized couplings and ergodic rates for SPDEs and other Markov models. Zbl 1434.60147
Butkovsky, Oleg; Kulik, Alexei; Scheutzow, Michael
2020
Sensitivity analysis for rare events based on Rényi divergence. Zbl 1464.60024
Dupuis, Paul; Katsoulakis, Markos A.; Pantazis, Yannis; Rey-Bellet, Luc
2020
On the convergence of closed-loop Nash equilibria to the mean field game limit. Zbl 1470.91036
Lacker, Daniel
2020
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes. Zbl 1464.37007
Friesen, Martin; Jin, Peng; Rüdiger, Barbara
2020
Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario
2020
Thermalisation for small random perturbations of dynamical systems. Zbl 1469.60303
Barrera, Gerardo; Jara, Milton
2020
Lower bounds for trace reconstruction. Zbl 1445.62014
Holden, Nina; Lyons, Russell
2020
Optimal position targeting via decoupling fields. Zbl 1445.49001
Ankirchner, Stefan; Fromm, Alexander; Kruse, Thomas; Popier, Alexandre
2020
Nonlinear large deviations: beyond the hypercube. Zbl 1464.60026
Yan, Jun
2020
On an epidemic model on finite graphs. Zbl 1434.82074
Benjamini, Itai; Fontes, Luiz Renato; Hermon, Jonathan; Machado, Fábio Prates
2020
Global $$C^1$$ regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
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
2020
The coalescent structure of continuous-time Galton-Watson trees. Zbl 1472.60141
Harris, Simon C.; Johnston, Samuel G. G.; Roberts, Matthew Iain
2020
Random permutations without macroscopic cycles. Zbl 1472.60058
Betz, Volker; Schäfer, Helge; Zeindler, Dirk
2020
Nonasymptotic bounds for sampling algorithms without log-concavity. Zbl 1466.65008
Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz
2020
High-dimensional limits of eigenvalue distributions for general Wishart process. Zbl 1461.60052
Song, Jian; Yao, Jianfeng; Yuan, Wangjun
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
2020
Exact formulas for two interacting particles and applications in particle systems with duality. Zbl 1460.82013
Carinci, Gioia; Giardinà, Cristian; Redig, Frank
2020
Geometric ergodicity of the bouncy particle sampler. Zbl 1472.60118
Durmus, Alain; Guillin, Arnaud; Monmarché, Pierre
2020
Propagation of chaos and the many-demes limit for weakly interacting diffusions in the sparse regime. Zbl 1457.60144
Hutzenthaler, Martin; Pieper, Daniel
2020
Stochastic approximation on noncompact measure spaces and application to measure-valued Pólya processes. Zbl 1461.62147
Mailler, Cécile; Villemonais, Denis
2020
Rarity of extremal edges in random surfaces and other theoretical applications of cluster algorithms. Zbl 1460.82001
Cohen-Alloro, Omri; Peled, Ron
2020
Local weak convergence for PageRank. Zbl 1434.60027
Garavaglia, Alessandro; van der Hofstad, Remco; Litvak, Nelly
2020
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control. Zbl 1472.60091
Backhoff-Veraguas, Julio; Lacker, Daniel; Tangpi, Ludovic
2020
Zero-sum path-dependent stochastic differential games in weak formulation. Zbl 1462.35410
Possamaï, Dylan; Touzi, Nizar; Zhang, Jianfeng
2020
Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier. Zbl 1464.60080
Barnes, Clayton L.
2020
Conditional optimal stopping: a time-inconsistent optimization. Zbl 1464.60038
Nutz, Marcel; Zhang, Yuchong
2020
Approximation schemes for viscosity solutions of fully nonlinear stochastic partial differential equations. Zbl 1466.65078
Seeger, Benjamin
2020
Imaginary multiplicative chaos: moments, regularity and connections to the Ising model. Zbl 1472.60064
Junnila, Janne; Saksman, Eero; Webb, Christian
2020
Pathwise stochastic control with applications to robust filtering. Zbl 1471.93265
Allan, Andrew L.; Cohen, Samuel N.
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
2020
Bounds for the asymptotic distribution of the likelihood ratio. Zbl 1446.62073
Anastasiou, Andreas; Reinert, Gesine
2020
Semi-implicit Euler-Maruyama approximation for noncolliding particle systems. Zbl 1464.60083
Ngo, Hoang-Long; Taguchi, Dai
2020
Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls. Zbl 1445.35118
Wu, Cong; Zhang, Jianfeng
2020
Modelling information flows by Meyer-$$\sigma$$-fields in the singular stochastic control problem of irreversible investment. Zbl 07420076
Bank, Peter; Besslich, David
2020
Join-the-shortest queue diffusion limit in Halfin-Whitt regime: sensitivity on the heavy-traffic parameter. Zbl 1434.60263
Banerjee, Sayan; Mukherjee, Debankur
2020
Random-cluster dynamics in $$\mathbb{Z}^2$$: rapid mixing with general boundary conditions. Zbl 1434.60273
Blanca, Antonio; Gheissari, Reza; Vigoda, Eric
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
2020
Affine Volterra processes. Zbl 1441.60052
Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio
2019
Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients. Zbl 07047435
Conus, Daniel; Jentzen, Arnulf; Kurniawan, Ryan
2019
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
2019
Exponential utility maximization under model uncertainty for unbounded endowments. Zbl 1419.91285
Bartl, Daniel
2019
Normal approximation for stabilizing functionals. Zbl 1466.60047
Lachièze-Rey, Raphaël; Schulte, Matthias; Yukich, J. E.
2019
Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law. Zbl 1466.60056
Dos Reis, Gonçalo; Salkeld, William; Tugaut, Julian
2019
Numerical method for FBSDEs of McKean-Vlasov type. Zbl 1466.65012
Chassagneux, Jean-François; Crisan, Dan; Delarue, François
2019
Computational methods for martingale optimal transport problems. Zbl 1433.49043
Guo, Gaoyue; Obłój, Jan
2019
Random switching between vector fields having a common zero. Zbl 1437.60044
Benaïm, Michel; Strickler, Edouard
2019
Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues. Zbl 1445.60059
Arapostathis, Ari; Pang, Guodong; Sandrić, Nikola
2019
A version of Aldous’ spectral-gap conjecture for the zero range process. Zbl 1466.60208
Hermon, Jonathan; Salez, Justin
2019
A general continuous-state nonlinear branching process. Zbl 1466.60179
Li, Pei-Sen; Yang, Xu; Zhou, Xiaowen
2019
First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case. Zbl 1467.60042
Liu, Yanghui; Tindel, Samy
2019
Ergodicity of the zigzag process. Zbl 1467.60020
Bierkens, Joris; Roberts, Gareth O.; Zitt, Pierre-André
2019
Join-the-shortest queue diffusion limit in Halfin-Whitt regime: tail asymptotics and scaling of extrema. Zbl 1467.60069
Banerjee, Sayan; Mukherjee, Debankur
2019
Condensation in critical Cauchy Bienaymé-Galton-Watson trees. Zbl 1427.60178
Kortchemski, Igor; Richier, Loïc
2019
Measuring sample quality with diffusions. Zbl 1439.60073
Gorham, Jackson; Duncan, Andrew B.; Vollmer, Sebastian J.; Mackey, Lester
2019
Decompositions of log-correlated fields with applications. Zbl 1444.60026
Junnila, Janne; Saksman, Eero; Webb, Christian
2019
Nonconvex homogenization for one-dimensional controlled random walks in random potential. Zbl 1415.60121
Yilmaz, Atilla; Zeitouni, Ofer
2019
Approximation of stable law in Wasserstein-1 distance by Stein’s method. Zbl 1448.60062
Xu, Lihu
2019
Central limit theorems in the configuration model. Zbl 1466.60039
2019
On a Wasserstein-type distance between solutions to stochastic differential equations. Zbl 1412.60115
2019
Second-order BSDE under monotonicity condition and liquidation problem under uncertainty. Zbl 1451.60060
Popier, Alexandre; Zhou, Chao
2019
A McKean-Vlasov equation with positive feedback and blow-ups. Zbl 1423.35224
Hambly, Ben; Ledger, Sean; Søjmark, Andreas
2019
Extinction in lower Hessenberg branching processes with countably many types. Zbl 1439.60079
Braunsteins, Peter; Hautphenne, Sophie
2019
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
2019
Malliavin calculus approach to long exit times from an unstable equilibrium. Zbl 1466.60111
Bakhtin, Yuri; Pajor-Gyulai, Zsolt
2019
Ergodicity of an SPDE associated with a many-server queue. Zbl 1447.60087
Aghajani, Reza; Ramanan, Kavita
2019
Supermarket model on graphs. Zbl 1412.60051
Budhiraja, Amarjit; Mukherjee, Debankur; Wu, Ruoyu
2019
Nonparametric spot volatility from options. Zbl 1443.91301
Todorov, Viktor
2019
Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients. Zbl 07039124
Hefter, Mario; Herzwurm, André; Müller-Gronbach, Thomas
2019
Theoretical properties of quasi-stationary Monte Carlo methods. Zbl 1408.60072
Wang, Andi Q.; Kolb, Martin; Roberts, Gareth O.; Steinsaltz, David
2019
A constrained Langevin approximation for chemical reaction networks. Zbl 1467.60059
Leite, Saul C.; Williams, Ruth J.
2019
The nested Kingman coalescent: speed of coming down from infinity. Zbl 1427.60179
Blancas, Airam; Rogers, Tim; Schweinsberg, Jason; Siri-Jégousse, Arno
2019
Entropy-controlled last-passage percolation. Zbl 1467.60072
Berger, Quentin; Torri, Niccolò
2019
The left-curtain martingale coupling in the presence of atoms. Zbl 1427.60073
Hobson, David G.; Norgilas, Dominykas
2019
On Skorokhod embeddings and Poisson equations. Zbl 1466.60083
Döring, Leif; Gonon, Lukas; Prömel, David J.; Reichmann, Oleg
2019
Approximation of stochastic processes by nonexpansive flows and coming down from infinity. Zbl 1466.60158
Bansaye, Vincent
2019
A martingale approach for fractional Brownian motions and related path dependent PDEs. Zbl 1441.60031
Viens, Frederi; Zhang, Jianfeng
2019
Crossing a fitness valley as a metastable transition in a stochastic population model. Zbl 1433.92033
Bovier, Anton; Coquille, Loren; Smadi, Charline
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
2019
Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction. Zbl 1418.60094
Crisan, Dan; McMurray, Eamon
2019
Multi-scale Lipschitz percolation of increasing events for Poisson random walks. Zbl 1408.60038
Gracar, Peter; Stauffer, Alexandre
2019
Robust hedging of options on a leveraged exchange traded fund. Zbl 1409.60064
Cox, Alexander M. G.; Kinsley, Sam M.
2019
Serve the shortest queue and Walsh Brownian motion. Zbl 1409.60037
Atar, Rami; Cohen, Asaf
2019
Super-replication with fixed transaction costs. Zbl 1411.91538
Bank, Peter; Dolinsky, Yan
2019
On one-dimensional Riccati diffusions. Zbl 1466.60115
Bishop, A. N.; Del Moral, P.; Kamatani, K.; Rémillard, B.
2019
Annealed limit theorems for the Ising model on random regular graphs. Zbl 1411.05235
Can, van Hao
2019
Effective Berry-Esseen and concentration bounds for Markov chains with a spectral gap. Zbl 1447.60129
Kloeckner, Benoît
2019
Critical point for infinite cycles in a random loop model on trees. Zbl 1467.60078
Hammond, Alan; Hegde, Milind
2019
Parking on transitive unimodular graphs. Zbl 1466.60201
Damron, Michael; Gravner, Janko; Junge, Matthew; Lyu, Hanbaek; Sivakoff, David
2019
The hydrodynamic limit of a randomized load balancing network. Zbl 1444.60080
Aghajani, Reza; Ramanan, Kavita
2019
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#### Cited by 15,075 Authors

 75 Roberts, Gareth O. 62 Mandjes, Michel Robertus Hendrikus 60 Bayraktar, Erhan 51 Zwart, Bert P. 46 Diaconis, Persi Warren 46 Janson, Svante 46 Kyprianou, Andreas E. 45 Touzi, Nizar 44 Resnick, Sidney Ira 44 van der Hofstad, Remco W. 43 Mikosch, Thomas 43 Samorodnitsky, Gennady Pinkhosovich 42 Hashorva, Enkelejd 41 Del Moral, Pierre 41 Rosenthal, Jeffrey S. 40 Blanchet, Jose H. 40 Penrose, Mathew D. 39 Palmowski, Zbigniew 38 Foss, Sergey G. 38 Jourdain, Benjamin 38 Yin, Gang George 37 Dębicki, Krzysztof 37 Jasra, Ajay 37 Pham, Huyên 37 Stuart, Andrew M. 35 Bo, Lijun 35 Durrett, Richard Timothy 35 Pagès, Gilles 34 Bouchard, Bruno 34 Budhiraja, Amarjit S. 34 Karatzas, Ioannis 34 Moulines, Eric 34 van Leeuwaarden, Johan S. H. 33 Peres, Yuval 33 Ramanan, Kavita 33 Wang, Yongjin 33 Whitt, Ward 33 Yuen, Kam Chuen 33 Yukich, Joseph Elliott 32 Atar, Rami 32 Wu, Zhen 31 Garnier, Josselin 31 Glynn, Peter W. 31 Iksanov, Aleksander M. 31 Muhle-Karbe, Johannes 31 Tang, Qihe 30 Ball, Frank G. 30 Ekström, Erik 30 Fournier, Nicolas G. 30 Jentzen, Arnulf 30 Klüppelberg, Claudia 30 Leonenko, Nikolai N. 30 Méléard, Sylvie 30 Rásonyi, Miklós 29 Soner, Halil Mete 29 Surgailis, Donatas 29 Yamazaki, Kazutoshi 29 Yin, George Gang 28 Guasoni, Paolo 28 Guo, Xianping 28 Lambert, Amaury 28 Mahmoud, Hosam M. 27 Borst, Sem C. 27 Boxma, Onno Johan 27 Caputo, Pietro 27 Chatterjee, Sourav 27 Devroye, Luc P. J. A. 27 Dupuis, Paul G. 27 Ma, Jin 27 Neal, Peter J. 27 Spiliopoulos, Konstantinos V. 26 Buraczewski, Dariusz 26 Dolinsky, Yan 26 Lacoin, Hubert 26 Nutz, Marcel 26 Stolyar, Alexander L. 25 Barbour, Andrew D. 25 Bhamidi, Shankar 25 Gobet, Emmanuel 25 Kardaras, Constantinos 25 Lanchier, Nicolas 25 Mossel, Elchanan 25 Obloj, Jan K. 25 Yong, Jiongmin 24 Avram, Florin 24 Belomestny, Denis 24 Favaro, Stefano 24 Ivanovs, Jevgeņijs 24 Ji, Shaolin 24 Löwe, Matthias 24 Pang, Guodong 24 Pistorius, Martijn R. 24 Sly, Allan 24 Zhang, Jianfeng 24 Zhou, Xiaowen 23 Asmussen, Søren 23 Barral, Julien 23 Burdzy, Krzysztof 23 Doucet, Arnaud 23 Goldstein, Larry ...and 14,975 more Authors
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#### Cited in 747 Journals

 1,174 The Annals of Applied Probability 1,047 Stochastic Processes and their Applications 480 Journal of Applied Probability 474 The Annals of Probability 423 Advances in Applied Probability 420 Journal of Statistical Physics 381 Statistics & Probability Letters 367 Queueing Systems 354 Probability Theory and Related Fields 311 Bernoulli 263 Insurance Mathematics & Economics 252 Finance and Stochastics 229 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 219 Electronic Journal of Probability 215 The Annals of Statistics 215 Journal of Theoretical Probability 191 Journal of Mathematical Analysis and Applications 191 Quantitative Finance 189 Mathematical Finance 176 Stochastic Analysis and Applications 154 Communications in Mathematical Physics 154 Journal of Computational and Applied Mathematics 154 SIAM Journal on Control and Optimization 154 Stochastic Models 153 Methodology and Computing in Applied Probability 150 Journal of Mathematical Biology 143 European Journal of Operational Research 136 International Journal of Theoretical and Applied Finance 131 Theoretical Population Biology 130 Applied Mathematics and Optimization 120 Extremes 119 Stochastics 119 SIAM Journal on Financial Mathematics 117 Journal of Multivariate Analysis 112 Journal of Statistical Planning and Inference 109 Random Structures & Algorithms 107 Mathematics and Financial Economics 103 Mathematics of Operations Research 98 Journal of Economic Dynamics & Control 97 Journal of Econometrics 96 Electronic Journal of Statistics 91 Operations Research Letters 91 Communications in Statistics. Theory and Methods 89 Combinatorics, Probability and Computing 89 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 88 Annals of Operations Research 86 Statistics and Computing 85 Transactions of the American Mathematical Society 84 Mathematical Methods of Operations Research 84 ALEA. Latin American Journal of Probability and Mathematical Statistics 83 Mathematical Biosciences 79 Journal of Mathematical Physics 78 Probability in the Engineering and Informational Sciences 77 Applied Mathematical Finance 75 Scandinavian Actuarial Journal 74 Computational Statistics and Data Analysis 73 Stochastics and Dynamics 72 Applied Mathematics and Computation 72 Journal of Functional Analysis 71 Electronic Communications in Probability 67 Journal of Theoretical Biology 67 Stochastic Systems 64 Journal of Differential Equations 64 Theoretical Computer Science 63 Bulletin of Mathematical Biology 57 Journal of Optimization Theory and Applications 54 Operations Research 52 Journal of Computational Physics 52 Automatica 49 Acta Mathematicae Applicatae Sinica. English Series 48 Journal of Mathematical Economics 48 Science China. Mathematics 47 Statistical Science 47 Journal of Statistical Mechanics: Theory and Experiment 47 SIAM/ASA Journal on Uncertainty Quantification 46 Comptes Rendus. Mathématique. Académie des Sciences, Paris 45 Annals of the Institute of Statistical Mathematics 44 Annals of Finance 43 Acta Mathematica Sinica. English Series 42 Advances in Mathematics 42 SIAM Journal on Scientific Computing 42 Journal of Machine Learning Research (JMLR) 41 Mathematical Problems in Engineering 40 Discrete and Continuous Dynamical Systems. Series B 40 Asia-Pacific Financial Markets 39 The Electronic Journal of Combinatorics 39 Journal of Industrial and Management Optimization 39 Frontiers of Mathematics in China 38 Journal of Economic Theory 38 Linear Algebra and its Applications 38 Monte Carlo Methods and Applications 37 Acta Applicandae Mathematicae 37 Stochastic and Partial Differential Equations. Analysis and Computations 36 Lithuanian Mathematical Journal 36 ASTIN Bulletin 35 Theory of Probability and its Applications 35 Journal of Statistical Computation and Simulation 35 Multiscale Modeling & Simulation 34 Journal of Mathematical Sciences (New York) 34 Econometric Theory ...and 647 more Journals
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#### Cited in 62 Fields

 12,507 Probability theory and stochastic processes (60-XX) 4,255 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3,099 Statistics (62-XX) 1,977 Numerical analysis (65-XX) 1,727 Operations research, mathematical programming (90-XX) 1,566 Statistical mechanics, structure of matter (82-XX) 1,436 Systems theory; control (93-XX) 1,386 Biology and other natural sciences (92-XX) 1,241 Combinatorics (05-XX) 1,241 Partial differential equations (35-XX) 901 Computer science (68-XX) 689 Calculus of variations and optimal control; optimization (49-XX) 423 Dynamical systems and ergodic theory (37-XX) 414 Ordinary differential equations (34-XX) 370 Linear and multilinear algebra; matrix theory (15-XX) 227 Operator theory (47-XX) 181 Information and communication theory, circuits (94-XX) 173 Fluid mechanics (76-XX) 150 Measure and integration (28-XX) 141 Functional analysis (46-XX) 136 Quantum theory (81-XX) 125 Integral equations (45-XX) 106 Convex and discrete geometry (52-XX) 101 Real functions (26-XX) 95 Number theory (11-XX) 85 Special functions (33-XX) 84 Approximations and expansions (41-XX) 81 Harmonic analysis on Euclidean spaces (42-XX) 69 Global analysis, analysis on manifolds (58-XX) 63 Integral transforms, operational calculus (44-XX) 54 Differential geometry (53-XX) 53 Difference and functional equations (39-XX) 51 Group theory and generalizations (20-XX) 50 Mechanics of deformable solids (74-XX) 42 Geophysics (86-XX) 36 Functions of a complex variable (30-XX) 34 Order, lattices, ordered algebraic structures (06-XX) 33 Algebraic topology (55-XX) 30 Classical thermodynamics, heat transfer (80-XX) 28 Mechanics of particles and systems (70-XX) 26 Potential theory (31-XX) 21 General topology (54-XX) 19 General and overarching topics; collections (00-XX) 18 Mathematical logic and foundations (03-XX) 18 Manifolds and cell complexes (57-XX) 18 Optics, electromagnetic theory (78-XX) 17 Abstract harmonic analysis (43-XX) 15 Relativity and gravitational theory (83-XX) 14 History and biography (01-XX) 14 Topological groups, Lie groups (22-XX) 11 Several complex variables and analytic spaces (32-XX) 11 Sequences, series, summability (40-XX) 11 Astronomy and astrophysics (85-XX) 10 Commutative algebra (13-XX) 10 Algebraic geometry (14-XX) 10 Nonassociative rings and algebras (17-XX) 10 Geometry (51-XX) 8 Associative rings and algebras (16-XX) 6 Mathematics education (97-XX) 5 Field theory and polynomials (12-XX) 4 Category theory; homological algebra (18-XX) 1 $$K$$-theory (19-XX)