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Stochastics and Stochastics Reports

Short Title: Stochastics Stochastics Rep.
Publisher: Taylor & Francis, London
ISSN: 1045-1129; 1029-0346/e
Online: http://www.tandfonline.com/loi/gssr20
Predecessor: Stochastics
Successor: Stochastics
Comments: No longer indexed
Documents Indexed: 685 Publications (1989–2004)
References Indexed: 132 Publications with 2,326 References.
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...and 24 more Volumes
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Authors

16 Ouknine, Youssef
13 Nualart, David
9 Manthey, Ralf
9 Mao, Xuerong
8 Flandoli, Franco
8 Pardoux, Etienne
7 Gyöngy, István
7 Zhang, Tusheng S.
6 Albeverio, Sergio A.
6 Benth, Fred Espen
6 Imkeller, Peter
6 Stettner, Łukasz
6 Zhang, Qing
5 Boufoussi, Brahim
5 DeBlassie, Richard Dante
5 Di Masi, Giovanni B.
5 Gątarek, Dariusz
5 Karatzas, Ioannis
5 N’Zi, Modeste
5 Ocone, Daniel L.
5 Rozkosz, Andrzej
5 Słomiński, Leszek
5 Spreij, Peter
5 Yin, Gang George
4 Arnold, Ludwig
4 Bally, Vlad
4 Bassan, Bruno
4 Chen, Hanfu
4 Cutland, Nigel J.
4 Da Prato, Giuseppe
4 Donati-Martin, Catherine
4 Dzhaparidze, Kacha
4 Elliott, Robert James
4 Erraoui, Mohamed
4 Haussmann, Ulrich G.
4 Ivanoff, B. Gail
4 Kolokoltsov, Vassili N.
4 Mathieu, Pierre
4 Milstein, Grigori N.
4 Mittmann, Katrin
4 Morimoto, Hiroaki
4 Orsingher, Enzo
4 Puhalskii, Anatolii A.
4 Sanz-Solé, Marta
3 Bahlali, Khaled
3 Brzeźniak, Zdzisław
3 Buckdahn, Rainer
3 Capasso, Vincenzo
3 Ceci, Claudia
3 Dang Hung Thang
3 Fang, Shizan
3 Ferrante, Marco
3 Florchinger, Patrick
3 Fuhrman, Marco
3 Goldys, Beniamin
3 Hamadene, Saïd
3 Hu, Yaozhong
3 Iscoe, Ian
3 Kallianpur, Gopinath
3 Kendall, Wilfrid S.
3 Krylov, Nicolaĭ Vladimirovich
3 Kushner, Harold J.
3 Lepeltier, Jean-Pierre
3 Liptser, Robert
3 Mezerdi, Brahim
3 Miclo, Laurent
3 Mohammed, Salah-Eldin A.
3 Øksendal, Bernt Karsten
3 Peng, Shige
3 Privault, Nicolas
3 Rogers, L. C. G.
3 Roynette, Bernard
3 Russo, Francesco
3 Schmidt, Wolfgang M.
3 Shashiashvili, Malkhaz
3 Shi, Zhan
3 Spokoiny, Vladimir G.
3 Taniguchi, Takeshi
3 Thieullen, Michèle
3 Tudor, Constantin
3 Vallois, Pierre
3 Wang, Hui
3 Werner, Wendelin
3 Wihstutz, Volker
3 Willinger, Walter
3 Xia, Aihua
3 Zheng, Weian
2 Arnaudon, Marc
2 Assing, Sigurd
2 Bakhtin, Victor I.
2 Bensoussan, Alain
2 Bertoin, Jean
2 Blower, Gordon
2 Borkar, Vivek Shripad
2 Boutahar, Mohamed
2 Breton, Michèle
2 Brown, Timothy C.
2 Calzolari, Antonella
2 Carmona, Sara C.
2 Cherny, Alexander S.
...and 542 more Authors

Publications by Year

Citations contained in zbMATH Open

558 Publications have been cited 5,612 times in 4,561 Documents Cited by Year
Random attractors for the 3D stochastic Navier-Stokes equation with multiplicative white noise. Zbl 0870.60057
Flandoli, Franco; Schmalfuss, Björn
215
1996
Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Zbl 0739.60060
Peng, Shige
200
1991
Backward stochastic differential equations and integral-partial differential equations. Zbl 0878.60036
Barles, Guy; Buckdahn, Rainer; Pardoux, Etienne
199
1997
Equivalent martingale measures and no-arbitrage in stochastic securities market models. Zbl 0694.90037
Dalang, Robert C.; Morton, Andrew; Willinger, Walter
112
1990
A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Zbl 0756.49015
Peng, Shige
102
1992
On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications. Zbl 0721.60062
Dupuis, Paul; Ishii, Hitoshi
93
1991
On stochastic convolution in Banach spaces and applications. Zbl 0891.60056
Brzeźniak, Zdzisław
87
1997
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
83
2002
Stochastic analysis of fractional Brownian motions. Zbl 0886.60076
Lin, S. J.
77
1995
A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070
Ocone, Daniel L.; Karatzas, Ioannis
73
1991
On the support of solutions to the heat equation with noise. Zbl 0749.60057
Mueller, Carl
71
1991
Finite element and difference approximation of some linear stochastic partial differential equations. Zbl 0907.65147
Allen, E. J.; Novosel, S. J.; Zhang, Z.
68
1998
Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057
Hamadène, S.
63
2002
Second-order discretization schemes of stochastic differential systems for the computation of the invariant law. Zbl 0697.60066
Talay, Denis
56
1990
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
52
2000
Existence for BSDE with superlinear-quadratic coefficient. Zbl 0910.60046
Lepeltier, J.-P.; San Martín, J.
52
1998
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
50
2000
Importance sampling, large deviations, and differential games. Zbl 1076.65003
Dupuis, Paul; Wang, Hui
48
2004
Backward equations, stochastic control and zero-sum stochastic differential games. Zbl 0858.60056
Hamadène, S.; Lepeltier, J. P.
46
1995
Epi-consistency of convex stochastic programs. Zbl 0733.90049
King, Alan J.; Wets, Roger J.-B.
41
1991
Asymptotic exponential stability of stochastic partial differential equations with delay. Zbl 0723.60074
Caraballo, Tomás
40
1990
Stochastic Burgers equation with correlated noise. Zbl 0853.35138
Da Prato, Giuseppe; Gatarek, Dariusz
39
1995
Maximum principle for semilinear stochastic evolution control systems. Zbl 0722.93080
Hu, Ying; Peng, Shige
39
1990
Almost periodic solutions of affine stochastic evolution equations. Zbl 0752.60049
Tudor, Constantin
37
1992
Evolution equations with white-noise boundary conditions. Zbl 0814.60055
Da Prato, Giuseppe; Zabczyk, J.
37
1993
Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach. Zbl 0795.93103
Tang, Shanjian; Yong, Jiongmin
36
1993
Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066
Mao, Xuerong
34
2000
Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075
Larssen, Bjørnar
34
2002
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
32
1995
Backward stochastic differential equations reflected in a convex domain. (Equations différentielles stochastiques rétrogrades réfléchies dans un convexe.) Zbl 0891.60050
Gegout-Petit, A.; Pardoux, E.
32
1996
Asymptotic stability theorems of semilinear stochastic evolution equations in Hilbert spaces. Zbl 0854.60051
Taniguchi, Takeshi
30
1995
The stochastic maximum principle for a singular control problem. Zbl 0834.93061
Cadenillas, Abel; Haussmann, Ulrich G.
30
1994
Reflected backward stochastic differential equations with jumps. Zbl 0918.60046
Ouknine, Y.
29
1998
Régulations déterministes et stochastiques dans le premier “orthant” de \(R^ n\). (Deterministic and stochastic regulations in the first “orthant” of \(R^ n)\). Zbl 0727.60109
Bernard, Alain; El Kharroubi, Ahmed
28
1991
Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048
Benth, Fred Espen; Gjerde, Jon
28
1998
Ergodic results for stochastic Navier-Stokes equation. Zbl 0882.60059
Ferrario, Benedetta
27
1997
On the differentiation of heat semigroups and Poisson integrals. Zbl 0897.60064
Thalmaier, Anton
27
1997
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
27
1991
An extension of Clark’s formula. Zbl 0745.60056
Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu
27
1991
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
26
2002
Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052
Privault, Nicolas
26
1994
Stationary and almost periodic solutions of almost periodic affine stochastic differential equations. Zbl 1043.60513
Arnold, Ludwig; Tudor, Constantin
26
1998
Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045
Rüdiger, B.
25
2004
Markov measures for random dynamical systems. Zbl 0739.60066
Crauel, Hans
25
1991
Lyapunov functionals and asymptotic stability of stochastic delay evolution equations. Zbl 0947.93037
Liu, Kai
25
1998
A class of solvable stochastic investment problems involving singular controls. Zbl 0825.93981
Kobila, T. Ø.
25
1993
Stochastic inertial manifold. Zbl 0854.60059
Bensoussan, Alain; Flandoli, Franco
24
1995
Semigroup of hyperbolic Brownian motion. (Semi-groupe du mouvement Brownien hyperbolique.) Zbl 0891.60075
Gruet, J.-C.
24
1996
Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036
Kuroda, Kazutaka; Nagai, Hideo
24
2002
Brownian motion and Besov spaces. (Mouvement brownien et espaces de Besov.) Zbl 0808.60071
Roynette, Bernard
24
1993
Langevin’s stochastic differential equation extended by a time-delayed term. Zbl 0777.60048
Küchler, Uwe; Mensch, Beatrice
24
1992
Backward stochastic variational inequalities. Zbl 0948.60049
Pardoux, Etienne; Răşcanu, Aurel
23
1999
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
23
2004
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062
Royer, Manuela
23
2004
Lévy measure with generalized polar decomposition and the associated SDE with jumps. Zbl 0753.60073
Tsuchiya, Masaaki
23
1992
Limit theorems on large deviations for semimartingales. Zbl 0749.60027
Liptser, Robert Sh.; Pukhalskii, Anatolii A.
23
1992
A stochastic approximation type EM algorithm for the mixture problem. Zbl 0766.62050
Celeux, Gilles; Diebolt, Jean
23
1992
Dirichlet boundary value problem for stochastic parabolic equations: Compatibility relations and regularity of solutions. Zbl 0696.60057
Flandoli, Franco
22
1990
Large deviations of semimartingales via convergence of the predictable characteristics. Zbl 0827.60017
Puhalskii, A.
22
1994
Pseudodifferential operators with negative definite symbols and the martingale problem. Zbl 0880.47029
Hoh, Walter
21
1995
Equivalent martingale measures and no-arbitrage. Zbl 0851.60042
Rogers, L. C. G.
21
1994
Laplace method: variational study of fluctuations of diffusions of “mean-field” type). (Méthode de Laplace: Étude variationnelle des fluctuations de diffusions de type “champ moyen”.) Zbl 0705.60046
Ben Arous, Gérard; Brunaud, Marc
21
1990
Stratonovich integral and trace. Zbl 0706.60056
Solé, J. LL.; Utzet, F.
21
1990
The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049
Fuhrman, Marco; Tessitore, Gianmario
20
2002
A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027
Rivero, Víctor
20
2003
Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062
Carmona, René A.; Viens, Frederi G.
20
1998
Stochastic evolution equations in \(L_{\rho}^{2\nu}\). Zbl 0926.60051
Manthey, Ralf; Zausinger, Thomas
20
1999
On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056
Geiss, Christel; Geiss, Stefan
19
2004
Microscopic structure at the shock in the asymmetric simple exclusion. Zbl 0679.60094
de Masi, A.; Kipnis, C.; Presutti, E.; Saada, E.
19
1989
Properties of uniform consistency of the kernel estimators of density and of regression functions under dependence assumptions. Zbl 0770.62032
Peligrad, Magda
19
1992
On weak solutions of stochastic equations in Hilbert spaces. Zbl 0824.60052
Gątarek, Dariusz; Gołdys, Beniamin
19
1994
Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044
Djellout, Hacène
18
2002
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2002
Quantitative approximation of certain stochastic integrals. Zbl 1013.60031
Geiss, Stefan
18
2002
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
18
2001
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
18
2000
General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117
Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C.
18
2000
Convergence of the fluctuations for interacting diffusions with jumps associated with Boltzmann equations. Zbl 0905.60073
Meleard, Sylvie
18
1998
On the convergence of Markovian stochastic algorithms with rapidly decreasing ergodicity rates. Zbl 0949.65006
Younes, Laurent
18
1999
On the exponential functionals of certain Lévy processes. (Sur les fonctionnelles exponentielles de certains processus de Lévy.) Zbl 0830.60072
Carmona, P.; Petit, F.; Yor, M.
18
1994
The algebra of iterated stochastic integrals. Zbl 0827.60038
Gaines, J. G.
18
1994
A class of solvable singular stochastic control problems. Zbl 0931.93076
Alvarez, Luis H. R.
17
1999
A large deviation principle with queueing applications. Zbl 1006.60021
Ganesh, A. J.; O’Connell, Neil
16
2002
Solving Wick-stochastic boundary value problems using a finite element method. Zbl 0974.65009
Theting, Thomas Gorm
16
2000
On a class of mixing processes. Zbl 0677.93070
Gerencsér, László
16
1989
On the Dirichlet problem for a class of second order PDE systems with small parameter. Zbl 0723.60095
Eizenberg, Alexander; Freidlin, Mark
16
1990
Large deviations for occupation times of measure-valued branching Brownian motions. Zbl 0797.60025
Iscoe, Ian; Lee, Tzong-Yow
16
1993
On the approximation of stochastic partial differential equations. II. Zbl 0669.60059
Gyöngy, I.
16
1989
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments. Zbl 0694.90038
Foldes, Lucien
15
1990
Exponential estimates in exit probability for some diffusion processes in Hilbert spaces. Zbl 0699.60047
Chow, Pao-Liu; Menaldi, José-Luis
15
1990
Risk-minimality and orthogonality of martingales. Zbl 0702.60049
Schweizer, Martin
15
1990
A unified treatment of maximum principle and dynamic programming in stochastic controls. Zbl 0756.93087
Zhou, Xun Yu
15
1991
On extensions of Polyak’s averaging approach to stochastic approximation. Zbl 0749.62055
Yin, G.
15
1991
Existence, uniqueness and smoothness for a class of function valued stochastic partial differential equations. Zbl 0766.60078
Kotelenez, Peter
15
1992
Wiener-Hopf factorization revisited and some applications. Zbl 0928.60067
Alili, L.; Doney, R. A.
15
1999
Asymptotic expansions for Ornstein-Uhlenbeck semigroups perturbed by potentials over Banach spaces. Zbl 0973.60064
Albeverio, Sergio; Röckle, Haio; Steblovskaya, Victoria
14
2000
Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048
Cambanis, Stamatis; Hu, Yaozhong
14
1996
Construction of stochastic inertial manifolds using backward integration. Zbl 0876.60040
Da Prato, Giuseppe; Debussche, Arnaud
14
1996
Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038
Pedersen, Jesper Lund
14
2003
Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060
Ichihara, Naoyuki
14
2004
Importance sampling, large deviations, and differential games. Zbl 1076.65003
Dupuis, Paul; Wang, Hui
48
2004
Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045
Rüdiger, B.
25
2004
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
23
2004
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062
Royer, Manuela
23
2004
On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056
Geiss, Christel; Geiss, Stefan
19
2004
Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060
Ichihara, Naoyuki
14
2004
Hyperfinite Lévy processes. Zbl 1063.60072
Lindstrøm, Tom
14
2004
Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034
Ceci, Claudia; Bassan, Bruno
13
2004
Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052
Benth, Fred Espen; Løkka, Arne
11
2004
On Markov processes with decomposable pseudo-differential generators. Zbl 1091.60014
Kolokoltsov, Vassili N.
9
2004
Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations. Zbl 1049.60050
Amadori, Anna Lisa; Karlsen, Kenneth H.; La Chioma, Claudia
9
2004
Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080
Yin, G.; Yang, H.
6
2004
Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029
Mishura, Yuliya
6
2004
Some useful functions for functional large deviations. Zbl 1050.60024
Duffy, Ken; Rodgers-Lee, Mark
5
2004
Further calculations for Israeli options. Zbl 1062.60043
Baurdoux, E. J.; Kyrianou, A. E.
4
2004
On the approximation of the solutions of stochastic equations with \(\theta\)-integrals. Zbl 1051.60065
Lazakovich, N. V.; Yablonski, A. L.
3
2004
A cyclic random motion in \(R^3\) with four directions and finite velocity. Zbl 1048.60084
Orsingher, E.; Sommella, A. M.
2
2004
Donsker type theorem in Besov spaces involving regularly varying functions. Zbl 1050.60015
Boufoussi, Brahim; N’Zi, Modeste
2
2004
Measure-valued Markov processes and stochastic flows on abstract spaces. Zbl 1063.60084
Dorogovtsev, Andrey A.
2
2004
Existence and uniqueness for solutions of one dimensional SDE’s driven by an additive fractional noise. Zbl 1062.60056
Denis, Laurent; Erraoui, Mohamed; Ouknine, Youssef
2
2004
Measure-valued limits of interacting particle systems with \(k\)-nary interactions. II. Finite-dimensional limits. Zbl 1080.60093
Kolokoltsov, Vassili N.
1
2004
Lévy approximation of increment processes with Markov switching. Zbl 1063.60044
Korolyuk, Vladimir S.; Limnios, Nikolaos
1
2004
Probabilistic interpretation of a system of quasilinear parabolic PDEs. Zbl 1062.60063
Sow, A. B.; Pardoux, E.
1
2004
A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027
Rivero, Víctor
20
2003
Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038
Pedersen, Jesper Lund
14
2003
Large deviations for multi-dimensional reflected fractional Brownian motion. Zbl 1032.60024
Majewski, Kurt
12
2003
Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075
Łaukajtys, Weronika; Słomiński, Leszek
11
2003
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027
Bender, Christian; Elliott, Robert J.
11
2003
Functional central limit theorems for vicious walkers. Zbl 1206.82044
Katori, Makoto; Tanemura, Hideki
10
2003
Capacity expansion with exponential jump diffusion processes. Zbl 1089.90033
Wang, Hui
6
2003
Solving parabolic Wick-stochastic boundary value problems using a finite element method. Zbl 1031.65016
Theting, Thomas Gorm
5
2003
Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise. Zbl 1018.60062
Kolokol’tsov, V. N.; Tyukov, A. E.
4
2003
Maximal inequalities for a continuous semimartingale. Zbl 1021.60059
Yan, Litan
4
2003
Uniqueness result for the 2D Navier-Stokes equation with additive noise. Zbl 1107.76026
Ferrario, Benedetta
4
2003
Cramér’s asymptotics in systems with fast and slow motions. Zbl 1034.60029
Bakhtin, Victor I.
3
2003
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057
Pham, Huyên
3
2003
Ergodic control of partially degenerate diffusions in a compact domain. Zbl 1046.93048
Borkar, Vivek S.; Ghosh, Mrinal K.
1
2003
Asymptotics of superregular perturbations of fiber ergodic semigroups. Zbl 1039.60055
Bakhtin, Victor I.
1
2003
Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes. Zbl 1043.60033
Danelia, Akaki; Dochviri, Besarion; Shashiashvili, Malkhaz
1
2003
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
83
2002
Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057
Hamadène, S.
63
2002
Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075
Larssen, Bjørnar
34
2002
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
26
2002
Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036
Kuroda, Kazutaka; Nagai, Hideo
24
2002
The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049
Fuhrman, Marco; Tessitore, Gianmario
20
2002
Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044
Djellout, Hacène
18
2002
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2002
Quantitative approximation of certain stochastic integrals. Zbl 1013.60031
Geiss, Stefan
18
2002
A large deviation principle with queueing applications. Zbl 1006.60021
Ganesh, A. J.; O’Connell, Neil
16
2002
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
11
2002
Exact transient analysis of a planar random motion with three directions. Zbl 0997.60058
Di Crescenzo, Antonio
9
2002
A Cameron-Martin type formula for general Gaussian processes: A filtering approach. Zbl 1002.60031
Kleptsyna, M. L.; Le Breton, A.
9
2002
Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079
Milstein, G. N.; Schoenmakers, J. G. M.
9
2002
Stochastic integral representations, stochastic derivatives and minimal variance hedging. Zbl 1009.60045
Di Nunno, G.
9
2002
Differential equations in spaces of abstract stochastic distributions. Zbl 1005.60083
Filinkov, Alexei; Sorensen, Julian
8
2002
Cahn-Hilliard stochastic equation: Strict positivity of the density. Zbl 1002.60050
Cardon-Weber, Caroline
8
2002
SPDEs driven by space-time white noise in high dimensions: Absolute continuity of the law and convergence of solutions. Zbl 1030.60042
Zhang, T. S.; Zheng, W. A.
8
2002
Comparison theorems for stochastic evolution equations. Zbl 0999.60060
Milian, Anna
6
2002
On a general result for backward stochastic differential equations. Zbl 1013.60041
Hassani, Mohammed; Ouknine, Youssef
6
2002
Generalized calculus and SDEs with non regular drift. Zbl 1007.60046
Flandoli, Franco; Russo, Francesco
5
2002
Bessel functions of third order and the distribution of cyclic planar motions with three directions. Zbl 1015.60040
Orsingher, Enzo
5
2002
Necessary conditions for optimality in relaxed stochastic control problems. Zbl 1092.93043
Mezerdi, Brahim; Bahlali, Seid
5
2002
Limit theorems for some functionals associated with stable processes in a class of Besov spaces. (Théorèmes limites pour certaines fonctionnelles associées aux processus stables dans une classe d’espaces de Besov.) Zbl 1015.60068
Ait Ouahra, M.; Boufoussi, B.; Lakhel, E.
5
2002
On a variational inequality associated with a stopping game combined with a control. Zbl 1019.49018
Kamizono, Kenji; Morimoto, Hiroaki
4
2002
The Robbins-Monro type stochastic differential equations. II: Asymptotic behaviour of solutions. Zbl 1032.60054
Lazrieva, N.; Sharia, T.; Toronjadze, T.
4
2002
Discrete chaotic calculus and covariance identities. Zbl 1007.60047
Privault, Nicolas; Schoutens, Wim
3
2002
Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039
Bassan, Bruno; Ceci, Claudia
3
2002
Stochastic partial differential equations in bounded domains with Dirichlet boundary conditions. Zbl 1015.60055
Bonaccorsi, S.; Guatteri, G.
3
2002
Local asymptotic normality for multivariate nonlinear AR processes. Zbl 0992.62087
Lai, Dejian; Wang, Xiaobao; Wiorkowski, John
2
2002
Reduction of dimension for spatial point processes and right continuous martingales. Zbl 1004.60048
Aletti, G.; Capasso, V.
2
2002
A multidimensional central limit theorem for random walks on hypergroups. Zbl 1007.60007
Gallardo, Léonard
2
2002
Limit theorems for BSDE with local time applications to non-linear PDE. Zbl 1011.60043
Eddahbi, M.; Ouknine, Y.
2
2002
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029
Bassan, Bruno; Ceci, Claudia
2
2002
On the stochastic versions of Neumann and oblique derivative problems. Zbl 1014.60056
Rozanov, Y.; Sansò, F.
2
2002
Quasi-sure analysis of two-parameter stochastic differential equations. Zbl 1002.60051
Ren, Jiagang; Zhang, Xicheng
1
2002
Backward stochastic differential equations with Azéma’s martingale. Zbl 1011.60020
Rainer, C.
1
2002
Besov regularity for the indefinite Skorokhod integral with respect to the fractional Brownian motion: The singular case. Zbl 1010.60048
Lakhel, Hassan; Ouknine, Youssef; Tudor, Ciprian A.
1
2002
Statistical analysis of stochastic resonance with ergodic diffusion noise. Zbl 1034.93060
Iacus, Stefano Maria
1
2002
On a problem of optimal harvesting from a stochastic system with a jump component. Zbl 1036.93067
Makasu, Cloud
1
2002
Stochastic reaction diffusion equations on an infinite interval with reflection. Zbl 1038.60059
Otobe, Yoshiki
1
2002
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
18
2001
Dirichlet processes associated to diffusions. Zbl 0983.60074
Mathieu, P.
1
2001
Filtering of hidden diffusion processes. Zbl 0984.60089
Kim, Hyung Geun
1
2001
Logarithmic derivatives of invariant measure for stochastic differential equations in Hilbert spaces. Zbl 0981.60060
Fuhrman, Marco
1
2001
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
52
2000
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
50
2000
Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066
Mao, Xuerong
34
2000
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
18
2000
General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117
Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C.
18
2000
Solving Wick-stochastic boundary value problems using a finite element method. Zbl 0974.65009
Theting, Thomas Gorm
16
2000
Asymptotic expansions for Ornstein-Uhlenbeck semigroups perturbed by potentials over Banach spaces. Zbl 0973.60064
Albeverio, Sergio; Röckle, Haio; Steblovskaya, Victoria
14
2000
On function spaces related to fractional diffusions on \(d\)-sets. Zbl 0967.60079
Pietruska-Pałuba, Katarzyna
14
2000
Exact joint distribution in a model of planar random motion. Zbl 0954.60099
Orsingher, E.
12
2000
On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066
Cherny, A. S.
10
2000
On the positive recurrence of a reflecting Brownian motion in a positive orthant of \(\mathbb{R}^n\). (Sur la récurrence positive du mouvement brownien réflechi dans l’orthant positif de \(\mathbb{R}^n\).) Zbl 0962.60080
El Kharroubi, A.; Ben Tahar, A.; Yaacoubi, A.
6
2000
Optimal control of assignment of jobs to processors under heavy traffic. Zbl 1033.90148
Kushner, Harold J.; Chen, Y. N.
5
2000
Impulse and continuous control of piecewise deterministic Markov processes. Zbl 1145.90461
Costa, O. L. V.; Raymundo, C. A. B.
5
2000
Sharp Laplace asymptotics for a parabolic SPDE. Zbl 0957.60035
Rovira, Carles; Tindel, Samy
4
2000
Optimal stopping with continuous control of piecewise deterministic Markov processes. Zbl 0967.60045
Costa, O. L. V.; Raymundo, C. A. B.; Dufour, F.
3
2000
Regularity properties of transition probabilities in infinite dimensions. Zbl 0954.60058
Fuhrman, Marco
2
2000
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Cited by 4,186 Authors

42 Wang, Bixiang
36 Nualart, David
32 Ouknine, Youssef
30 Øksendal, Bernt Karsten
30 Zhang, Tusheng S.
29 Albeverio, Sergio A.
29 Brzeźniak, Zdzisław
28 Caraballo Garrido, Tomás
27 Russo, Francesco
26 Maslowski, Bohdan
25 Peng, Shige
24 Hamadene, Saïd
24 Hu, Ying
23 Lu, Kening
23 Wu, Zhen
20 Duan, Jinqiao
20 Khoshnevisan, Davar
20 Ren, Yong
20 Yan, Litan
19 Röckner, Michael
19 Zhao, Weidong
18 Imkeller, Peter
18 Kloeden, Peter Eris
18 Li, Juan
18 Privault, Nicolas
18 Schmalfuß, Björn
18 Zhang, Qing
17 Bahlali, Khaled
17 Słomiński, Leszek
16 Dupuis, Paul G.
16 Flandoli, Franco
16 Fuhrman, Marco
16 Hu, Yaozhong
16 Mao, Xuerong
16 Tindel, Samy
15 Budhiraja, Amarjit S.
15 Mezerdi, Brahim
15 Vallois, Pierre
14 Buckdahn, Rainer
14 Dalang, Robert C.
14 Djehiche, Boualem
14 Ferrari, Giorgio
14 Gyöngy, István
14 Jentzen, Arnulf
14 Langa, Jose’ Antonio
14 Orsingher, Enzo
14 Pardoux, Etienne
14 Tudor, Ciprian A.
14 Zabczyk, Jerzy
13 Confortola, Fulvia
13 Fan, Shengjun
13 Goldys, Beniamin
13 Hausenblas, Erika
13 Klimsiak, Tomasz
13 Li, Dingshi
13 Milstein, Grigori N.
13 Ondreját, Martin
13 Pasik-Duncan, Bozenna
13 Pham, Huyên
13 Rásonyi, Miklós
13 Tessitore, Gianmario
13 Veraar, Mark C.
13 Wang, Xiaohu
13 Zhao, Huaizhong
13 Zhou, Shengfan
12 Duncan, Tyrone E.
12 El Otmani, Mohamed
12 Essaky, El Hassan
12 Garrido-Atienza, María José
12 Ji, Shaolin
12 Karatzas, Ioannis
12 Proske, Frank Norbert
12 Rascanu, Aurel
12 Stettner, Łukasz
12 Tang, Shanjian
12 Xiong, Jie
12 Yor, Marc
12 Zhao, Wenqiang
11 Debussche, Arnaud
11 Friz, Peter Karl
11 Hu, Mingshang
11 León, Jorge A.
11 Ma, Jin
11 Maticiuc, Lucian
11 Sethi, Suresh P.
11 Shu, Ji
11 Thalmaier, Anton
11 Viens, Frederi G.
11 Wang, Feng-Yu
10 Chen, Xia
10 Di Nunno, Giulia
10 Eddahbi, M’hamed
10 Elliott, Robert James
10 Han, Xiaoying
10 Kohatsu-Higa, Arturo
10 Liptser, Robert
10 Peskir, Goran
10 Real Anguas, José
10 Schachermayer, Walter
10 Wang, Yejuan
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Cited in 470 Journals

441 Stochastic Processes and their Applications
158 The Annals of Probability
135 The Annals of Applied Probability
134 Stochastic Analysis and Applications
122 Journal of Mathematical Analysis and Applications
111 Probability Theory and Related Fields
107 Statistics & Probability Letters
90 Stochastics
88 Stochastics and Dynamics
85 Journal of Differential Equations
82 Applied Mathematics and Optimization
77 Journal of Functional Analysis
74 Journal of Theoretical Probability
59 Systems & Control Letters
55 Mathematical Finance
54 Potential Analysis
51 Bernoulli
49 SIAM Journal on Control and Optimization
47 Journal of Statistical Physics
46 Finance and Stochastics
44 Journal of Applied Probability
43 Infinite Dimensional Analysis, Quantum Probability and Related Topics
41 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
39 Transactions of the American Mathematical Society
38 Journal of Computational and Applied Mathematics
38 Discrete and Continuous Dynamical Systems. Series B
37 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
35 Advances in Applied Probability
34 Comptes Rendus. Mathématique. Académie des Sciences, Paris
33 Applied Mathematics and Computation
33 Journal of Optimization Theory and Applications
32 Journal of Mathematical Physics
32 Stochastics and Stochastics Reports
31 Queueing Systems
30 International Journal of Theoretical and Applied Finance
29 Bulletin des Sciences Mathématiques
29 Abstract and Applied Analysis
26 Random Operators and Stochastic Equations
23 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
23 Science China. Mathematics
23 Stochastic and Partial Differential Equations. Analysis and Computations
22 Communications in Mathematical Physics
22 Insurance Mathematics & Economics
22 NoDEA. Nonlinear Differential Equations and Applications
21 Mathematics of Operations Research
21 Acta Mathematicae Applicatae Sinica. English Series
21 Journal of Dynamics and Differential Equations
21 Mathematical Methods of Operations Research
20 Discrete and Continuous Dynamical Systems
19 Electronic Journal of Probability
19 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
19 Acta Mathematica Sinica. English Series
18 Computers & Mathematics with Applications
18 Journal of Economic Dynamics & Control
18 Advances in Difference Equations
18 Mathematics and Financial Economics
18 Mathematical Control and Related Fields
17 Acta Applicandae Mathematicae
17 Journal of Mathematical Sciences (New York)
17 Journal of Evolution Equations
17 Journal of Systems Science and Complexity
16 Automatica
16 Mathematische Nachrichten
16 Mathematical Problems in Engineering
15 Journal of Mathematical Economics
15 Journal of Applied Mathematics and Stochastic Analysis
15 Annals of Operations Research
15 Communications on Pure and Applied Analysis
14 International Journal of Control
14 Journal of Statistical Planning and Inference
14 Sequential Analysis
13 Lithuanian Mathematical Journal
13 Mathematics of Computation
13 European Journal of Operational Research
13 Mathematical Programming. Series A. Series B
12 Communications on Pure and Applied Mathematics
12 The Annals of Statistics
12 Czechoslovak Mathematical Journal
12 Proceedings of the American Mathematical Society
12 Physica D
12 Nonlinear Analysis. Real World Applications
12 Stochastic Models
12 Frontiers of Mathematics in China
11 Journal of Scientific Computing
11 SIAM Journal on Mathematical Analysis
11 Asia-Pacific Financial Markets
11 Afrika Matematika
10 Journal of Inequalities and Applications
10 International Journal of Stochastic Analysis
9 Computer Methods in Applied Mechanics and Engineering
9 Journal of Computational Physics
9 MCSS. Mathematics of Control, Signals, and Systems
9 Quantitative Finance
9 SIAM Journal on Financial Mathematics
8 Journal of the Franklin Institute
8 Chaos, Solitons and Fractals
8 Journal of Multivariate Analysis
8 Mathematics and Computers in Simulation
8 SIAM Journal on Numerical Analysis
8 Optimal Control Applications & Methods
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Cited in 58 Fields

3,567 Probability theory and stochastic processes (60-XX)
917 Partial differential equations (35-XX)
753 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
719 Systems theory; control (93-XX)
407 Numerical analysis (65-XX)
382 Calculus of variations and optimal control; optimization (49-XX)
328 Statistics (62-XX)
315 Ordinary differential equations (34-XX)
308 Dynamical systems and ergodic theory (37-XX)
244 Operations research, mathematical programming (90-XX)
164 Operator theory (47-XX)
135 Statistical mechanics, structure of matter (82-XX)
109 Functional analysis (46-XX)
100 Fluid mechanics (76-XX)
92 Global analysis, analysis on manifolds (58-XX)
87 Biology and other natural sciences (92-XX)
83 Measure and integration (28-XX)
50 Integral equations (45-XX)
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26 Quantum theory (81-XX)
20 Harmonic analysis on Euclidean spaces (42-XX)
20 Differential geometry (53-XX)
17 Abstract harmonic analysis (43-XX)
17 Information and communication theory, circuits (94-XX)
16 Linear and multilinear algebra; matrix theory (15-XX)
15 Mechanics of particles and systems (70-XX)
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5 Integral transforms, operational calculus (44-XX)
5 Optics, electromagnetic theory (78-XX)
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