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: 2,268 Publications (since 1991) References Indexed: 1,800 Publications with 48,148 References.
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Authors

 22 Durrett, Richard Timothy 21 Roberts, Gareth O. 16 Touzi, Nizar 15 Budhiraja, Amarjit S. 15 Penrose, Mathew D. 15 Ramanan, Kavita 15 Samorodnitsky, Gennady Pinkhosovich 14 Bramson, Maury D. 14 Harrison, John Michael 14 Karatzas, Ioannis 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 Pham, Huyên 11 van der Hofstad, Remco W. 10 Dupuis, Paul G. 10 Ma, Jin 10 Peres, Yuval 10 Schachermayer, Walter 10 Shreve, Steven E. 9 Barbour, Andrew David 9 Cox, J. Theodore 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 Zeitouni, Ofer 9 Zhang, Jianfeng 8 Benaïm, Michel 8 Bhamidi, Shankar 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 Kramkov, Dmitriĭ Olegovich 8 Luczak, Malwina J. 8 Moulines, Eric 8 Neuhauser, Claudia 8 Nutz, Marcel 8 Popovic, Lea 8 Sly, Allan 7 Alexander, Kenneth S. 7 Bai, Zhi-Dong 7 Bank, Peter 7 Bouchard, Bruno 7 Caputo, Pietro 7 Cvitanić, Jakša 7 Dembo, Amir 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 Klüppelberg, Claudia 7 Lambert, Amaury 7 Peskir, Goran 7 Pistorius, Martijn R. 7 Reinert, Gesine D. 7 Sivakoff, David 7 Tsitsiklis, John N. 7 Vigoda, Eric 6 Adler, Robert Joseph 6 Avram, Florin 6 Bertoin, Jean 6 Bovier, Anton 6 Crisan, Dan O. 6 Ekström, Erik 6 Ferrari, Pablo Augusto 6 Fournier, Nicolas G. 6 Goldstein, Larry 6 Grübel, Rudolf 6 Kardaras, Constantinos 6 Kendall, Wilfrid S. 6 Kesten, Harry 6 Liptser, Robert 6 Mahmoud, Hosam M. 6 Martin, James Benedict 6 McDonald, David R. 6 Pal, Soumik 6 Pittel, Boris G. ...and 2,455 more Authors
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Fields

 2,134 Probability theory and stochastic processes (60-XX) 347 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 301 Statistics (62-XX) 259 Statistical mechanics, structure of matter (82-XX) 241 Operations research, mathematical programming (90-XX) 239 Numerical analysis (65-XX) 199 Combinatorics (05-XX) 197 Biology and other natural sciences (92-XX) 172 Systems theory; control (93-XX) 161 Computer science (68-XX) 125 Partial differential equations (35-XX) 81 Calculus of variations and optimal control; optimization (49-XX) 47 Ordinary differential equations (34-XX) 46 Linear and multilinear algebra; matrix theory (15-XX) 43 Dynamical systems and ergodic theory (37-XX) 30 Information and communication theory, circuits (94-XX) 25 Operator theory (47-XX) 23 Fluid mechanics (76-XX) 16 Measure and integration (28-XX) 11 Global analysis, analysis on manifolds (58-XX) 10 Approximations and expansions (41-XX) 10 Functional analysis (46-XX) 9 Number theory (11-XX) 8 Real functions (26-XX) 8 Convex and discrete geometry (52-XX) 8 Differential geometry (53-XX) 7 Integral equations (45-XX) 7 Classical thermodynamics, heat transfer (80-XX) 6 Functions of a complex variable (30-XX) 6 Integral transforms, operational calculus (44-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 Mechanics of particles and systems (70-XX) 5 Quantum theory (81-XX) 4 Group theory and generalizations (20-XX) 4 Potential theory (31-XX) 4 Mechanics of deformable solids (74-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 Mathematical logic and foundations (03-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-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

2,041 Publications have been cited 31,584 times in 18,973 Documents Cited by Year
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
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
Roberts, G. O.; Gelman, A.; Gilks, W. R.
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
Antonelli, Fabio
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
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
Loss networks. Zbl 0743.60099
Kelly, F. P.
1991
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
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344
Loeffen, R. L.
2008
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052
Rogers, L. C. G.
1994
Computable bounds for geometric convergence rates of Markov chains. Zbl 0812.60059
Meyn, Sean P.; Tweedie, R. L.
1994
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 microscopic probabilistic description of a locally regulated population and macroscopic approximations. Zbl 1060.92055
Fournier, Nicolas; Méléard, Sylvie
2004
Trailing the dovetail shuffle to its lair. Zbl 0757.60003
Bayer, Dave; Diaconis, Persi
1992
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
2004
Mean-variance hedging in continuous time. Zbl 0735.90021
Duffie, Darrell; Richardson, Henry R.
1991
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
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
2001
Arbitrage and duality in nondominated discrete-time models. Zbl 1322.60045
Bouchard, Bruno; Nutz, Marcel
2015
The pricing of the American option. Zbl 0753.60040
Myneni, Ravi
1992
Exact simulation of diffusions. Zbl 1101.60060
Beskos, Alexandros; Roberts, Gareth O.
2005
Differential equations for random processes and random graphs. Zbl 0847.05084
Wormald, Nicholas C.
1995
On the ergodicity properties of some adaptive MCMC algorithms. Zbl 1114.65001
Andrieu, Christophe; Moulines, Éric
2006
Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Zbl 0726.60069
Fill, James Allen
1991
Hedging options for a large investor and forward-backward SDE’s. Zbl 0856.90011
Cvitanić, Jakša; Ma, Jin
1996
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
2005
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
1998
On the speed of convergence in first-passage percolation. Zbl 0783.60103
Kesten, Harry
1993
Smoluchowski’s coagulation equation: Uniqueness, nonuniqueness and a hydrodynamic limit for the stochastic coalescent. Zbl 0944.60082
Norris, James R.
1999
Mixing times of lozenge tiling and card shuffling Markov chains. Zbl 1040.60063
Wilson, David Bruce
2004
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
1993
Spectral theory and limit theorems for geometrically ergodic Markov processes. Zbl 1016.60066
Kontoyiannis, I.; Meyn, S. P.
2003
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Zbl 1132.91457
Becherer, Dirk
2006
Hedging contingent claims with constrained portfolios. Zbl 0825.93958
Cvitanić, Jakša; Karatzas, Ioannis
1993
A survey of max-type recursive distributional equations. Zbl 1105.60012
2005
Dynamic exponential utility indifference valuation. Zbl 1134.91449
Mania, Michael; Schweizer, Martin
2005
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
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
A Khasminskii type averaging principle for stochastic reaction-diffusion equations. Zbl 1191.60076
Cerrai, Sandra
2009
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
1995
Overshoots and undershoots of Lévy processes. Zbl 1101.60029
Doney, R. A.; Kyprianou, A. E.
2006
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
2000
Asymptotic analysis of multiscale approximations to reaction networks. Zbl 1118.92031
Ball, Karen; Kurtz, Thomas G.; Popovic, Lea; Rempala, Greg
2006
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. Zbl 1352.60101
Sabanis, Sotirios
2016
Polynomial convergence rates of Markov chains. Zbl 1012.60062
Jarner, Søren F.; Roberts, Gareth O.
2002
Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval. Zbl 0880.60077
Bertoin, Jean
1997
Broadcasting on trees and the Ising model. Zbl 1052.60076
Evans, William; Kenyon, Claire; Peres, Yuval; Schulman, Leonard J.
2000
Weak laws of large numbers in geometric probability. Zbl 1029.60008
Penrose, Mathew D.; Yukich, J. E.
2003
On the pricing of contingent claims under constraints. Zbl 0856.90012
Karatzas, I.; Kou, S. G.
1996
Modelling heterogeneity in survival analysis by the compound Poisson distribution. Zbl 0762.62031
Aalen, Odd O.
1992
MaxWeight scheduling in a generalized switch: State space collapse and workload minimization in heavy traffic. Zbl 1057.60092
Stolyar, Alexander L.
2004
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
2001
Analysis of a nonreversible Markov chain sampler. Zbl 1083.60516
Diaconis, Persi; Holmes, Susan; Neal, Radford M.
2000
Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe
2004
Central limit theorems for some graphs in computational geometry. Zbl 1044.60016
Penrose, Mathew D.; Yukich, J. E.
2001
Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Zbl 0868.90008
Duffie, Darrell; Schroder, Mark; Skiadas, Costis
1996
Renewal theory and computable convergence rates for geometrically erdgodic Markov chains. Zbl 1070.60061
Baxendale, Peter H.
2005
A general limit theorem for recursive algorithms and combinatorial structures. Zbl 1041.60024
Neininger, Ralph; Rüschendorf, Ludger
2004
Stein’s method and the zero bias transformation with application to simple random sampling. Zbl 0903.60019
Goldstein, Larry; Reinert, Gesine
1997
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
1996
Dynamic scheduling with convex delay costs: The generalized $$c\mu$$ rule. Zbl 0843.90047
van Mieghem, Jan A.
1995
An optimal error estimate in stochastic homogenization of discrete elliptic equations. Zbl 1387.35031
Gloria, Antoine; Otto, Felix
2012
Coexistence and extinction for stochastic Kolmogorov systems. Zbl 1410.60094
Hening, Alexandru; Nguyen, Dang H.
2018
Atlas models of equity markets. Zbl 1099.91056
Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis
2005
Random graphs with a given degree sequence. Zbl 1234.05206
Chatterjee, Sourav; Diaconis, Persi; Sly, Allan
2011
Asymptotic fringe distributions for general families of random trees. Zbl 0733.60016
Aldous, David
1991
Affine processes on positive semidefinite matrices. Zbl 1219.60068
Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef
2011
Ising models on locally tree-like graphs. Zbl 1191.82025
Dembo, Amir; Montanari, Andrea
2010
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
1991
Mean-variance hedging for general claims. Zbl 0742.60042
Schweizer, Martin
1992
On maximum likelihood estimation of the extreme value index. Zbl 1102.62051
Drees, Holger; Ferreira, Ana; de Haan, Laurens
2004
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
The $$G/GI/N$$ queue in the Halfin-Whitt regime. Zbl 1181.60137
Reed, Josh
2009
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
2005
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
2011
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
2003
The longest edge of the random minimal spanning tree. Zbl 0884.60042
Penrose, Mathew D.
1997
Limit laws for random vectors with an extreme component. Zbl 1125.60049
Heffernan, Janet E.; Resnick, Sidney I.
2007
A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100
Carmona, René; Lacker, Daniel
2015
Representation theorems for backward stochastic differential equations. Zbl 1017.60067
Ma, Jin; Zhang, Jianfeng
2002
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
1995
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
Extremal particles of two-dimensional Coulomb gases and random polynomials on a positive background. Zbl 07493826
2022
Stability of martingale optimal transport and weak optimal transport. Zbl 07493836
Backhoff-Veraguas, J.; Pammer, G.
2022
Wasserstein-based methods for convergence complexity analysis of MCMC with applications. Zbl 07493818
Qin, Qian; Hobert, James P.
2022
A universality result for subcritical complex Gaussian multiplicative chaos. Zbl 07493822
Lacoin, Hubert
2022
Long time dynamics for interacting oscillators on graphs. Zbl 07493825
Coppini, Fabio
2022
New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems. Zbl 07493832
Fang, Xiao; Koike, Yuta
2022
Hypocoercivity of piecewise deterministic Markov process-Monte Carlo. Zbl 1476.60124
Andrieu, Christophe; Durmus, Alain; Nüsken, Nikolas; Roussel, Julien
2021
Nonparametric estimation for linear SPDEs from local measurements. Zbl 1476.60099
Altmeyer, Randolf; Reiß, Markus
2021
Precise asymptotics: robust stochastic volatility models. Zbl 1476.60183
Friz, P. K.; Gassiat, P.; Pigato, P.
2021
On the limitations of single-step drift and minorization in Markov chain convergence analysis. Zbl 1476.60113
Qin, Qian; Hobert, James P.
2021
Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions: continuous dynamics. Zbl 1476.60112
Mangoubi, Oren; Smith, Aaron
2021
Absence of warm percolation in the very strong reinforcement regime. Zbl 1479.60196
Hirsch, Christian; Holmes, Mark; Kleptsyn, Victor
2021
A characterization of martingale-equivalent mixed compound Poisson processes. Zbl 1476.91036
Lyberopoulos, Demetrios P.; Macheras, Nikolaos D.
2021
Statistical inference for Bures-Wasserstein barycenters. Zbl 1476.60051
Kroshnin, Alexey; Spokoiny, Vladimir; Suvorikova, Alexandra
2021
Diffusion-approximation for a kinetic equation with perturbed velocity redistribution process. Zbl 1476.35345
Caillerie, Nils; Vovelle, Julien
2021
Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation. Zbl 1475.93116
Jaber, Eduardo Abi; Miller, Enzo; Pham, Huyên
2021
Entropy dissipation estimates for inhomogeneous zero-range processes. Zbl 1476.60134
Hermon, Jonathan; Salez, Justin
2021
Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates. Zbl 07473099
Deligiannidis, George; Paulin, Daniel; Bouchard-Côté, Alexandre; Doucet, Arnaud
2021
The interchange process on high-dimensional products. Zbl 1476.60117
Hermon, Jonathan; Salez, Justin
2021
The random connection model and functions of edge-marked Poisson processes: second order properties and normal approximation. Zbl 1476.60053
Last, Günter; Nestmann, Franz; Schulte, Matthias
2021
Cramér-type moderate deviation theorems for nonnormal approximation. Zbl 1476.60060
Shao, Qi-Man; Zhang, Mengchen; Zhang, Zhuo-Song
2021
Fluctuations of the arctic curve in the tilings of the Aztec diamond on restricted domains. Zbl 1476.60013
Ferrari, Patrik L.; Vető, Bálint
2021
A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: the two-dimensional case. Zbl 1479.60147
Tomašević, Milica
2021
Optimal subgraph structures in scale-free configuration models. Zbl 1477.05174
van der Hofstad, Remco; van Leeuwaarden, Johan S. H.; Stegehuis, Clara
2021
Periodicity induced by noise and interaction in the kinetic mean-field FitzHugh-Nagumo model. Zbl 1479.60198
Luçon, Eric; Poquet, Christophe
2021
Regeneration-enriched Markov processes with application to Monte Carlo. Zbl 1476.60126
Wang, Andi Q.; Pollock, Murray; Roberts, Gareth O.; Steinsaltz, David
2021
Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence. Zbl 1476.60056
Atar, Rami; Budhiraja, Amarjit; Dupuis, Paul; Wu, Ruoyu
2021
Antithetic multilevel sampling method for nonlinear functionals of measure. Zbl 1479.60005
Szpruch, Łukasz; Tse, Alvin
2021
Path dependent optimal transport and model calibration on exotic derivatives. Zbl 1479.60144
Guo, Ivan; Loeper, Grégoire
2021
Conservative stochastic two-dimensional Cahn-Hilliard equation. Zbl 1476.60104
Röckner, Michael; Yang, Huanyu; Zhu, Rongchan
2021
Semimartingales and shrinkage of filtration. Zbl 1479.60084
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz
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
Graphon-valued stochastic processes from population genetics. Zbl 1475.92110
Athreya, Siva; den Hollander, Frank; Röllin, Adrian
2021
Approximation of fractional local times: zero energy and derivatives. Zbl 1476.60068
Jaramillo, Arturo; Nourdin, Ivan; Peccati, Giovanni
2021
Many-server asymptotics for join-the-shortest-queue: large deviations and rare events. Zbl 1477.60053
Budhiraja, Amarjit; Friedlander, Eric; Wu, Ruoyu
2021
Submodular mean field games: existence and approximation of solutions. Zbl 07473096
Dianetti, Jodi; Ferrari, Giorgio; Fischer, Markus; Nendel, Max
2021
A simple Fourier analytic proof of the AKT optimal matching theorem. Zbl 1482.60011
Bobkov, Sergey G.; Ledoux, Michel
2021
Regenerative properties of the linear Hawkes process with unbounded memory. Zbl 07473104
Graham, Carl
2021
Coupling and convergence for Hamiltonian Monte Carlo. Zbl 07325608
Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael
2020
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
On the convergence of closed-loop Nash equilibria to the mean field game limit. Zbl 1470.91036
Lacker, Daniel
2020
Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario
2020
Generalized couplings and ergodic rates for SPDEs and other Markov models. Zbl 1434.60147
Butkovsky, Oleg; Kulik, Alexei; Scheutzow, Michael
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
Global $$C^1$$ regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
2020
Nonasymptotic bounds for sampling algorithms without log-concavity. Zbl 1466.65008
Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz
2020
Geometric ergodicity of the bouncy particle sampler. Zbl 1472.60118
Durmus, Alain; Guillin, Arnaud; Monmarché, Pierre
2020
Convergence to the mean field game limit: a case study. Zbl 1437.91058
Nutz, Marcel; Martin, Jaime San; Tan, Xiaowei
2020
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift. Zbl 1464.60061
Fang, Wei; Giles, Michael B.
2020
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes. Zbl 1464.37007
Friesen, Martin; Jin, Peng; Rüdiger, Barbara
2020
Lower bounds for trace reconstruction. Zbl 1445.62014
Holden, Nina; Lyons, Russell
2020
The coalescent structure of continuous-time Galton-Watson trees. Zbl 1472.60141
Harris, Simon C.; Johnston, Samuel G. G.; Roberts, Matthew Iain
2020
Sensitivity analysis for rare events based on Rényi divergence. Zbl 1464.60024
Dupuis, Paul; Katsoulakis, Markos A.; Pantazis, Yannis; Rey-Bellet, Luc
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
Imaginary multiplicative chaos: moments, regularity and connections to the Ising model. Zbl 1472.60064
Junnila, Janne; Saksman, Eero; Webb, Christian
2020
On an epidemic model on finite graphs. Zbl 1434.82074
Benjamini, Itai; Fontes, Luiz Renato; Hermon, Jonathan; Machado, Fábio Prates
2020
Thermalisation for small random perturbations of dynamical systems. Zbl 1469.60303
Barrera, Gerardo; Jara, Milton
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.
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Square permutations are typically rectangular. Zbl 1475.60017
Borga, Jacopo; Slivken, Erik
2020
Rarity of extremal edges in random surfaces and other theoretical applications of cluster algorithms. Zbl 1460.82001
Cohen-Alloro, Omri; Peled, Ron
2020
Mean geometry for 2D random fields: level perimeter and level total curvature integrals. Zbl 1464.60049
Biermé, Hermine; Desolneux, Agnès
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
Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls. Zbl 1445.35118
Wu, Cong; Zhang, Jianfeng
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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
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control. Zbl 1472.60091
Backhoff-Veraguas, Julio; Lacker, Daniel; Tangpi, Ludovic
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Random permutations without macroscopic cycles. Zbl 1472.60058
Betz, Volker; Schäfer, Helge; Zeindler, Dirk
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Hamilton-Jacobi equations for finite-rank matrix inference. Zbl 1460.82007
Mourrat, Jean-Christophe
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
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
Applications of mesoscopic CLTs in random matrix theory. Zbl 1476.60052
Landon, Benjamin; Sosoe, Philippe
2020
Modelling information flows by Meyer-$$\sigma$$-fields in the singular stochastic control problem of irreversible investment. Zbl 1476.93155
Bank, Peter; Besslich, David
2020
Local weak convergence for PageRank. Zbl 1434.60027
Garavaglia, Alessandro; van der Hofstad, Remco; Litvak, Nelly
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
Bounds for the asymptotic distribution of the likelihood ratio. Zbl 1446.62073
Anastasiou, Andreas; Reinert, Gesine
2020
Trading with small nonlinear price impact. Zbl 1447.91157
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes
2020
An information-percolation bound for spin synchronization on general graphs. Zbl 1461.62025
2020
On the exit time from open sets of some semi-Markov processes. Zbl 1472.60148
Ascione, Giacomo; Pirozzi, Enrica; Toaldo, Bruno
2020
Optimal Cheeger cuts and bisections of random geometric graphs. Zbl 1459.05306
Müller, Tobias; Penrose, Mathew D.
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
A threshold for cutoff in two-community random graphs. Zbl 1472.60117
Ben-Hamou, Anna
2020
Mixing time and cutoff for the weakly asymmetric simple exclusion process. Zbl 1472.60127
Labbé, Cyril; Lacoin, Hubert
2020
Statistical thresholds for tensor PCA. Zbl 1461.62087
Jagannath, Aukosh; Lopatto, Patrick; Miolane, Léo
2020
Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions. Zbl 1472.60135
Banerjee, Sayan; Budhiraja, Amarjit
2020
The two-type Richardson model in the half-plane. Zbl 1457.60140
Ahlberg, Daniel; Deijfen, Maria; Hoffman, Christopher
2020
Pathwise stochastic control with applications to robust filtering. Zbl 1471.93265
Allan, Andrew L.; Cohen, Samuel N.
2020
Utility maximization via decoupling fields. Zbl 1476.49025
Fromm, Alexander; Imkeller, Peter
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
Central limit theorems for patterns in multiset permutations and set partitions. Zbl 1434.60040
Féray, Valentin
2020
Semi-implicit Euler-Maruyama approximation for noncolliding particle systems. Zbl 1464.60083
Ngo, Hoang-Long; Taguchi, Dai
2020
Kinetically constrained models with random constraints. Zbl 1446.82057
Shapira, Assaf
2020
Affine Volterra processes. Zbl 1441.60052
Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio
2019
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
2019
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Cited by 15,891 Authors

 75 Roberts, Gareth O. 64 Mandjes, Michel Robertus Hendrikus 63 Bayraktar, Erhan 53 Zwart, Bert P. 49 Janson, Svante 47 Diaconis, Persi Warren 46 Kyprianou, Andreas E. 46 Touzi, Nizar 46 van der Hofstad, Remco W. 45 Resnick, Sidney Ira 44 Hashorva, Enkelejd 43 Mikosch, Thomas 43 Rosenthal, Jeffrey S. 43 Samorodnitsky, Gennady Pinkhosovich 42 Palmowski, Zbigniew 41 Del Moral, Pierre 41 Jourdain, Benjamin 41 Penrose, Mathew D. 40 Blanchet, Jose H. 40 Budhiraja, Amarjit S. 40 Foss, Sergey G. 39 Dębicki, Krzysztof 39 Jasra, Ajay 39 Pham, Huyên 38 Stuart, Andrew M. 38 Yin, Gang George 37 Karatzas, Ioannis 37 Pagès, Gilles 36 Bo, Lijun 36 Bouchard, Bruno 35 Durrett, Richard Timothy 35 Jentzen, Arnulf 35 Moulines, Eric 34 Peres, Yuval 34 van Leeuwaarden, Johan S. H. 34 Wu, Zhen 33 Atar, Rami 33 Ekström, Erik 33 Ramanan, Kavita 33 Wang, Yongjin 33 Whitt, Ward 33 Yin, George Gang 33 Yuen, Kam Chuen 33 Yukich, Joseph Elliott 32 Garnier, Josselin 32 Glynn, Peter W. 32 Iksanov, Aleksander M. 32 Leonenko, Nikolai N. 32 Muhle-Karbe, Johannes 32 Rásonyi, Miklós 31 Fournier, Nicolas G. 31 Tang, Qihe 30 Ball, Frank G. 30 Klüppelberg, Claudia 30 Lacoin, Hubert 30 Méléard, Sylvie 29 Dupuis, Paul G. 29 Nutz, Marcel 29 Sly, Allan 29 Soner, Halil Mete 29 Spiliopoulos, Konstantinos V. 29 Surgailis, Donatas 29 Yamazaki, Kazutoshi 28 Boxma, Onno Johan 28 Caputo, Pietro 28 Chatterjee, Sourav 28 Devroye, Luc P. J. A. 28 Dolinsky, Yan 28 Guasoni, Paolo 28 Guo, Xianping 28 Lambert, Amaury 28 Lanchier, Nicolas 28 Ma, Jin 28 Mahmoud, Hosam M. 28 Zhou, Xiaowen 27 Borst, Sem C. 27 Buraczewski, Dariusz 27 Neal, Peter J. 27 Pang, Guodong 26 Barbour, Andrew David 26 Bhamidi, Shankar 26 Favaro, Stefano 26 Löwe, Matthias 26 Mossel, Elchanan 26 Obloj, Jan K. 26 Stolyar, Alexander L. 25 Belomestny, Denis 25 den Hollander, Frank 25 Doucet, Arnaud 25 Gobet, Emmanuel 25 Ivanovs, Jevgeņijs 25 Kardaras, Constantinos 25 Röllin, Adrian 25 Schachermayer, Walter 25 Yong, Jiongmin 24 Avram, Florin 24 Burdzy, Krzysztof 24 Guillin, Arnaud 24 Ji, Shaolin 24 Komorowski, Tomasz ...and 15,791 more Authors
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Cited in 766 Journals

 1,216 The Annals of Applied Probability 1,089 Stochastic Processes and their Applications 500 The Annals of Probability 485 Journal of Applied Probability 439 Advances in Applied Probability 433 Journal of Statistical Physics 393 Statistics & Probability Letters 374 Queueing Systems 365 Probability Theory and Related Fields 343 Bernoulli 268 Insurance Mathematics & Economics 261 Finance and Stochastics 256 Electronic Journal of Probability 253 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 228 Journal of Theoretical Probability 226 The Annals of Statistics 196 Journal of Mathematical Analysis and Applications 195 Quantitative Finance 189 Mathematical Finance 185 Stochastic Analysis and Applications 163 SIAM Journal on Control and Optimization 161 Communications in Mathematical Physics 158 Stochastic Models 157 Journal of Computational and Applied Mathematics 157 Methodology and Computing in Applied Probability 156 Journal of Mathematical Biology 146 European Journal of Operational Research 144 International Journal of Theoretical and Applied Finance 140 Applied Mathematics and Optimization 135 Theoretical Population Biology 129 SIAM Journal on Financial Mathematics 128 Extremes 121 Journal of Multivariate Analysis 119 Stochastics 115 Electronic Journal of Statistics 114 Mathematics of Operations Research 112 Journal of Statistical Planning and Inference 112 Mathematics and Financial Economics 109 Random Structures & Algorithms 107 Electronic Communications in Probability 103 Statistics and Computing 99 Journal of Econometrics 98 Journal of Economic Dynamics & Control 96 Operations Research Letters 96 Communications in Statistics. Theory and Methods 96 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 93 Annals of Operations Research 93 ALEA. Latin American Journal of Probability and Mathematical Statistics 89 Combinatorics, Probability and Computing 87 Mathematical Methods of Operations Research 86 Transactions of the American Mathematical Society 85 Mathematical Biosciences 81 Journal of Mathematical Physics 79 Journal of Functional Analysis 79 Applied Mathematical Finance 79 Probability in the Engineering and Informational Sciences 78 Scandinavian Actuarial Journal 78 Stochastics and Dynamics 76 Computational Statistics and Data Analysis 73 Applied Mathematics and Computation 70 Journal of Theoretical Biology 69 Journal of Differential Equations 67 Stochastic Systems 65 Bulletin of Mathematical Biology 65 Operations Research 65 Theoretical Computer Science 60 Journal of Computational Physics 59 Journal of Optimization Theory and Applications 58 Automatica 52 Statistical Science 51 Journal of Statistical Mechanics: Theory and Experiment 50 Journal of Mathematical Economics 50 SIAM/ASA Journal on Uncertainty Quantification 49 Acta Mathematicae Applicatae Sinica. English Series 49 Science China. Mathematics 47 Annals of the Institute of Statistical Mathematics 47 SIAM Journal on Scientific Computing 47 Comptes Rendus. Mathématique. Académie des Sciences, Paris 45 Advances in Mathematics 44 Discrete and Continuous Dynamical Systems. Series B 44 Annals of Finance 43 Acta Mathematica Sinica. English Series 42 Journal of Machine Learning Research (JMLR) 41 Theory of Probability and its Applications 41 The Electronic Journal of Combinatorics 41 Monte Carlo Methods and Applications 41 Mathematical Problems in Engineering 41 Journal of Industrial and Management Optimization 40 Asia-Pacific Financial Markets 40 Stochastic and Partial Differential Equations. Analysis and Computations 39 Journal of Economic Theory 39 Frontiers of Mathematics in China 38 Lithuanian Mathematical Journal 38 Linear Algebra and its Applications 37 Archive for Rational Mechanics and Analysis 37 Acta Applicandae Mathematicae 37 Journal of Statistical Computation and Simulation 37 Econometric Theory 37 Multiscale Modeling & Simulation 36 Brazilian Journal of Probability and Statistics ...and 666 more Journals
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Cited in 62 Fields

 13,149 Probability theory and stochastic processes (60-XX) 4,444 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3,314 Statistics (62-XX) 2,081 Numerical analysis (65-XX) 1,791 Operations research, mathematical programming (90-XX) 1,682 Statistical mechanics, structure of matter (82-XX) 1,508 Systems theory; control (93-XX) 1,465 Biology and other natural sciences (92-XX) 1,356 Partial differential equations (35-XX) 1,324 Combinatorics (05-XX) 953 Computer science (68-XX) 742 Calculus of variations and optimal control; optimization (49-XX) 445 Dynamical systems and ergodic theory (37-XX) 431 Ordinary differential equations (34-XX) 391 Linear and multilinear algebra; matrix theory (15-XX) 233 Operator theory (47-XX) 188 Fluid mechanics (76-XX) 188 Information and communication theory, circuits (94-XX) 165 Measure and integration (28-XX) 149 Functional analysis (46-XX) 145 Quantum theory (81-XX) 134 Integral equations (45-XX) 116 Convex and discrete geometry (52-XX) 108 Real functions (26-XX) 101 Number theory (11-XX) 88 Special functions (33-XX) 86 Approximations and expansions (41-XX) 82 Harmonic analysis on Euclidean spaces (42-XX) 77 Global analysis, analysis on manifolds (58-XX) 65 Integral transforms, operational calculus (44-XX) 59 Differential geometry (53-XX) 58 Difference and functional equations (39-XX) 54 Mechanics of deformable solids (74-XX) 53 Group theory and generalizations (20-XX) 46 Geophysics (86-XX) 38 Functions of a complex variable (30-XX) 37 Algebraic topology (55-XX) 36 Order, lattices, ordered algebraic structures (06-XX) 32 Mechanics of particles and systems (70-XX) 31 Classical thermodynamics, heat transfer (80-XX) 28 Potential theory (31-XX) 22 General topology (54-XX) 21 General and overarching topics; collections (00-XX) 20 Mathematical logic and foundations (03-XX) 19 Abstract harmonic analysis (43-XX) 19 Manifolds and cell complexes (57-XX) 19 Optics, electromagnetic theory (78-XX) 17 Topological groups, Lie groups (22-XX) 17 Relativity and gravitational theory (83-XX) 15 History and biography (01-XX) 11 Several complex variables and analytic spaces (32-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 Sequences, series, summability (40-XX) 10 Geometry (51-XX) 9 Associative rings and algebras (16-XX) 5 Field theory and polynomials (12-XX) 4 Category theory; homological algebra (18-XX) 4 Mathematics education (97-XX) 1 $$K$$-theory (19-XX)