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. all top 5 Latest Issues 32, No. 2 (2022) 32, No. 1 (2022) 31, No. 6 (2021) 31, No. 5 (2021) 31, No. 4 (2021) 31, No. 3 (2021) 31, No. 2 (2021) 31, No. 1 (2021) 30, No. 6 (2020) 30, No. 5 (2020) 30, No. 4 (2020) 30, No. 3 (2020) 30, No. 2 (2020) 30, No. 1 (2020) 29, No. 6 (2019) 29, No. 5 (2019) 29, No. 4 (2019) 29, No. 3 (2019) 29, No. 2 (2019) 29, No. 1 (2019) 28, No. 6 (2018) 28, No. 5 (2018) 28, No. 4 (2018) 28, No. 3 (2018) 28, No. 2 (2018) 28, No. 1 (2018) 27, No. 6 (2017) 27, No. 5 (2017) 27, No. 4 (2017) 27, No. 3 (2017) 27, No. 2 (2017) 27, No. 1 (2017) 26, No. 6 (2016) 26, No. 5 (2016) 26, No. 4 (2016) 26, No. 3 (2016) 26, No. 2 (2016) 26, No. 1 (2016) 25, No. 6 (2015) 25, No. 5 (2015) 25, No. 4 (2015) 25, No. 3 (2015) 25, No. 2 (2015) 25, No. 1 (2015) 24, No. 6 (2014) 24, No. 5 (2014) 24, No. 4 (2014) 24, No. 3 (2014) 24, No. 2 (2014) 24, No. 1 (2014) 23, No. 6 (2013) 23, No. 5 (2013) 23, No. 4 (2013) 23, No. 3 (2013) 23, No. 2 (2013) 23, No. 1 (2013) 22, No. 6 (2012) 22, No. 5 (2012) 22, No. 4 (2012) 22, No. 3 (2012) 22, No. 2 (2012) 22, No. 1 (2012) 21, No. 6 (2011) 21, No. 5 (2011) 21, No. 4 (2011) 21, No. 3 (2011) 21, No. 2 (2011) 21, No. 1 (2011) 20, No. 6 (2010) 20, No. 5 (2010) 20, No. 4 (2010) 20, No. 3 (2010) 20, No. 2 (2010) 20, No. 1 (2010) 19, No. 6 (2009) 19, No. 5 (2009) 19, No. 4 (2009) 19, No. 3 (2009) 19, No. 2 (2009) 19, No. 1 (2009) 18, No. 6 (2008) 18, No. 5 (2008) 18, No. 4 (2008) 18, No. 3 (2008) 18, No. 2 (2008) 18, No. 1 (2008) 17, No. 5-6 (2007) 17, No. 4 (2007) 17, No. 3 (2007) 17, No. 2 (2007) 17, No. 1 (2007) 16, No. 4 (2006) 16, No. 3 (2006) 16, No. 2 (2006) 16, No. 1 (2006) 15, No. 4 (2005) 15, No. 3 (2005) 15, No. 2 (2005) 15, No. 1B (2005) 15, No. 1A (2005) ...and 54 more Volumes all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 0967.91017Kramkov, D.; Schachermayer, W. 312 1999 Affine processes and applications in finance. Zbl 1048.60059Duffie, D.; Filipović, D.; Schachermayer, W. 294 2003 Weak convergence and optimal scaling of random walk Metropolis algorithms. Zbl 0876.60015Roberts, G. O.; Gelman, A.; Gilks, W. R. 257 1997 Geometric bounds for eigenvalues of Markov chains. Zbl 0731.60061Diaconis, Persi; Stroock, Daniel 215 1991 Implicit renewal theory and tails of solutions of random equations. Zbl 0724.60076Goldie, Charles M. 207 1991 On positive Harris recurrence of multiclass queueing networks: A unified approach via fluid limit models. Zbl 0822.60083Dai, J. G. 202 1995 Logarithmic Sobolev inequalities for finite Markov chains. Zbl 0867.60043Diaconis, P.; Saloff-Coste, L. 173 1996 Convex duality in constrained portfolio optimization. Zbl 0770.90002Cvitanić, Jakša; Karatzas, Ioannis 164 1992 Optimal investment and consumption with transaction costs. Zbl 0813.60051Shreve, S. E.; Soner, H. M. 162 1994 On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061Schmidli, Hanspeter 162 2002 Utility maximization in incomplete markets. Zbl 1083.60048Hu, Ying; Imkeller, Peter; Müller, Matthias 147 2005 A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier 143 2005 Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. Zbl 1256.65003Hutzenthaler, Martin; Jentzen, Arnulf; Kloeden, Peter E. 140 2012 On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R. 133 2007 A numerical scheme for BSDEs. Zbl 1056.60067Zhang, Jianfeng 131 2004 Backward-forward stochastic differential equations. Zbl 0780.60058Antonelli, Fabio 129 1993 Epidemics with two levels of mixing. Zbl 0909.92028Ball, Frank; Mollison, Denis; Scalia-Tomba, Gianpaolo 124 1997 Comparison theorems for reversible Markov chains. Zbl 0799.60058Diaconis, Persi; Saloff-Coste, Laurent 118 1993 A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Zbl 1142.91034Denis, Laurent; Martini, Claude 114 2006 Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023Avram, F.; Kyprianou, A. E.; Pistorius, M. R. 108 2004 Loss networks. Zbl 0743.60099Kelly, F. P. 108 1991 A note on Metropolis-Hastings kernels for general state spaces. Zbl 0935.60053Tierney, Luke 102 1998 Pricing contingent claims on stocks driven by Lévy processes. Zbl 1054.91033Chan, Terence 97 1999 On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344Loeffen, R. L. 97 2008 Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052Rogers, L. C. G. 97 1994 Computable bounds for geometric convergence rates of Markov chains. Zbl 0812.60059Meyn, Sean P.; Tweedie, R. L. 97 1994 Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin 97 2002 A microscopic probabilistic description of a locally regulated population and macroscopic approximations. Zbl 1060.92055Fournier, Nicolas; Méléard, Sylvie 97 2004 Trailing the dovetail shuffle to its lair. Zbl 0757.60003Bayer, Dave; Diaconis, Persi 92 1992 Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A. 92 2004 Mean-variance hedging in continuous time. Zbl 0735.90021Duffie, Darrell; Richardson, Henry R. 88 1991 A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Zbl 1285.49012Galichon, A.; Henry-Labordère, P.; Touzi, N. 88 2014 Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036Kramkov, D.; Schachermayer, W. 83 2003 Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085Schachermayer, Walter 83 2001 Arbitrage and duality in nondominated discrete-time models. Zbl 1322.60045Bouchard, Bruno; Nutz, Marcel 82 2015 The pricing of the American option. Zbl 0753.60040Myneni, Ravi 81 1992 Exact simulation of diffusions. Zbl 1101.60060Beskos, Alexandros; Roberts, Gareth O. 80 2005 Differential equations for random processes and random graphs. Zbl 0847.05084Wormald, Nicholas C. 80 1995 On the ergodicity properties of some adaptive MCMC algorithms. Zbl 1114.65001Andrieu, Christophe; Moulines, Éric 79 2006 Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Zbl 0726.60069Fill, James Allen 78 1991 Hedging options for a large investor and forward-backward SDE’s. Zbl 0856.90011Cvitanić, Jakša; Ma, Jin 78 1996 Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034Alili, L.; Kyprianou, A. E. 78 2005 Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034Asmussen, Søren 77 1998 On the speed of convergence in first-passage percolation. Zbl 0783.60103Kesten, Harry 76 1993 Smoluchowski’s coagulation equation: Uniqueness, nonuniqueness and a hydrodynamic limit for the stochastic coalescent. Zbl 0944.60082Norris, James R. 75 1999 Mixing times of lozenge tiling and card shuffling Markov chains. Zbl 1040.60063Wilson, David Bruce 74 2004 The Russian option: Reduced regret. Zbl 0783.90011Shepp, Larry; Shiryaev, A. N. 74 1993 Spectral theory and limit theorems for geometrically ergodic Markov processes. Zbl 1016.60066Kontoyiannis, I.; Meyn, S. P. 72 2003 Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Zbl 1132.91457Becherer, Dirk 72 2006 Hedging contingent claims with constrained portfolios. Zbl 0825.93958Cvitanić, Jakša; Karatzas, Ioannis 72 1993 A survey of max-type recursive distributional equations. Zbl 1105.60012Aldous, David J.; Bandyopadhyay, Antar 71 2005 Dynamic exponential utility indifference valuation. Zbl 1134.91449Mania, Michael; Schweizer, Martin 71 2005 A characterization of multivariate regular variation. Zbl 1070.60011Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 70 2002 Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: Asymptotic optimality of a threshold policy. Zbl 1015.60080Bell, S. L.; Williams, R. J. 70 2001 A Khasminskii type averaging principle for stochastic reaction-diffusion equations. Zbl 1191.60076Cerrai, Sandra 68 2009 There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012Soner, H. M.; Shreve, S. E.; Cvitanić, J. 68 1995 Overshoots and undershoots of Lévy processes. Zbl 1101.60029Doney, R. A.; Kyprianou, A. E. 67 2006 The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506Mikosch, Thomas; Samorodnitsky, Gennady 67 2000 Asymptotic analysis of multiscale approximations to reaction networks. Zbl 1118.92031Ball, Karen; Kurtz, Thomas G.; Popovic, Lea; Rempala, Greg 67 2006 Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. Zbl 1352.60101Sabanis, Sotirios 65 2016 Polynomial convergence rates of Markov chains. Zbl 1012.60062Jarner, Søren F.; Roberts, Gareth O. 65 2002 Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval. Zbl 0880.60077Bertoin, Jean 64 1997 Broadcasting on trees and the Ising model. Zbl 1052.60076Evans, William; Kenyon, Claire; Peres, Yuval; Schulman, Leonard J. 64 2000 Weak laws of large numbers in geometric probability. Zbl 1029.60008Penrose, Mathew D.; Yukich, J. E. 64 2003 On the pricing of contingent claims under constraints. Zbl 0856.90012Karatzas, I.; Kou, S. G. 64 1996 Modelling heterogeneity in survival analysis by the compound Poisson distribution. Zbl 0762.62031Aalen, Odd O. 63 1992 MaxWeight scheduling in a generalized switch: State space collapse and workload minimization in heavy traffic. Zbl 1057.60092Stolyar, Alexander L. 63 2004 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 63 2001 Analysis of a nonreversible Markov chain sampler. Zbl 1083.60516Diaconis, Persi; Holmes, Susan; Neal, Radford M. 63 2000 Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe 62 2004 Central limit theorems for some graphs in computational geometry. Zbl 1044.60016Penrose, Mathew D.; Yukich, J. E. 62 2001 Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Zbl 0868.90008Duffie, Darrell; Schroder, Mark; Skiadas, Costis 61 1996 Renewal theory and computable convergence rates for geometrically erdgodic Markov chains. Zbl 1070.60061Baxendale, Peter H. 61 2005 A general limit theorem for recursive algorithms and combinatorial structures. Zbl 1041.60024Neininger, Ralph; Rüschendorf, Ludger 60 2004 Stein’s method and the zero bias transformation with application to simple random sampling. Zbl 0903.60019Goldstein, Larry; Reinert, Gesine 60 1997 Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131Douglas, Jim jun.; Ma, Jin; Protter, Philip 60 1996 Dynamic scheduling with convex delay costs: The generalized \(c\mu\) rule. Zbl 0843.90047van Mieghem, Jan A. 60 1995 An optimal error estimate in stochastic homogenization of discrete elliptic equations. Zbl 1387.35031Gloria, Antoine; Otto, Felix 60 2012 Coexistence and extinction for stochastic Kolmogorov systems. Zbl 1410.60094Hening, Alexandru; Nguyen, Dang H. 59 2018 Atlas models of equity markets. Zbl 1099.91056Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis 58 2005 Random graphs with a given degree sequence. Zbl 1234.05206Chatterjee, Sourav; Diaconis, Persi; Sly, Allan 57 2011 Asymptotic fringe distributions for general families of random trees. Zbl 0733.60016Aldous, David 56 1991 Affine processes on positive semidefinite matrices. Zbl 1219.60068Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef 56 2011 Ising models on locally tree-like graphs. Zbl 1191.82025Dembo, Amir; Montanari, Andrea 56 2010 Departures from many queues in series. Zbl 0749.60090Glynn, Peter W.; Whitt, Ward 56 1991 Mean-variance hedging for general claims. Zbl 0742.60042Schweizer, Martin 56 1992 On maximum likelihood estimation of the extreme value index. Zbl 1102.62051Drees, Holger; Ferreira, Ana; de Haan, Laurens 56 2004 Numerical method for backward stochastic differential equations. Zbl 1017.60074Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad 56 2002 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 55 2008 The \(G/GI/N\) queue in the Halfin-Whitt regime. Zbl 1181.60137Reed, Josh 54 2009 Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034Cheridito, Patrick; Filipović, Damir; Yor, Marc 54 2005 A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009Fahim, Arash; Touzi, Nizar; Warin, Xavier 53 2011 Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113Gaier, J.; Grandits, P.; Schachermayer, W. 53 2003 The longest edge of the random minimal spanning tree. Zbl 0884.60042Penrose, Mathew D. 53 1997 Limit laws for random vectors with an extreme component. Zbl 1125.60049Heffernan, Janet E.; Resnick, Sidney I. 53 2007 A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100Carmona, René; Lacker, Daniel 52 2015 Representation theorems for backward stochastic differential equations. Zbl 1017.60067Ma, Jin; Zhang, Jianfeng 52 2002 Efficient Monte Carlo simulation of security prices. Zbl 0877.65099Duffie, Darrell; Glynn, Peter 52 1995 Validity of heavy traffic steady-state approximations in generalized Jackson networks. Zbl 1094.60052Gamarnik, David; Zeevi, Assaf 51 2006 Dual formulation of second order target problems. Zbl 1293.60063Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 51 2013 Extremal particles of two-dimensional Coulomb gases and random polynomials on a positive background. Zbl 07493826Butez, Raphael; García-Zelada, David 2 2022 Stability of martingale optimal transport and weak optimal transport. Zbl 07493836Backhoff-Veraguas, J.; Pammer, G. 2 2022 Wasserstein-based methods for convergence complexity analysis of MCMC with applications. Zbl 07493818Qin, Qian; Hobert, James P. 1 2022 A universality result for subcritical complex Gaussian multiplicative chaos. Zbl 07493822Lacoin, Hubert 1 2022 Long time dynamics for interacting oscillators on graphs. Zbl 07493825Coppini, Fabio 1 2022 New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems. Zbl 07493832Fang, Xiao; Koike, Yuta 1 2022 Hypocoercivity of piecewise deterministic Markov process-Monte Carlo. 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Zbl 1476.60126Wang, Andi Q.; Pollock, Murray; Roberts, Gareth O.; Steinsaltz, David 1 2021 Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence. Zbl 1476.60056Atar, Rami; Budhiraja, Amarjit; Dupuis, Paul; Wu, Ruoyu 1 2021 Antithetic multilevel sampling method for nonlinear functionals of measure. Zbl 1479.60005Szpruch, Łukasz; Tse, Alvin 1 2021 Path dependent optimal transport and model calibration on exotic derivatives. Zbl 1479.60144Guo, Ivan; Loeper, Grégoire 1 2021 Conservative stochastic two-dimensional Cahn-Hilliard equation. Zbl 1476.60104Röckner, Michael; Yang, Huanyu; Zhu, Rongchan 1 2021 Semimartingales and shrinkage of filtration. Zbl 1479.60084Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz 1 2021 Corrigendum to: “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”. Zbl 07420524Matoussi, Anis; Possamaï, Dylan; Zhou, Chao 1 2021 Graphon-valued stochastic processes from population genetics. Zbl 1475.92110Athreya, Siva; den Hollander, Frank; Röllin, Adrian 1 2021 Approximation of fractional local times: zero energy and derivatives. Zbl 1476.60068Jaramillo, Arturo; Nourdin, Ivan; Peccati, Giovanni 1 2021 Many-server asymptotics for join-the-shortest-queue: large deviations and rare events. Zbl 1477.60053Budhiraja, Amarjit; Friedlander, Eric; Wu, Ruoyu 1 2021 Submodular mean field games: existence and approximation of solutions. Zbl 07473096Dianetti, Jodi; Ferrari, Giorgio; Fischer, Markus; Nendel, Max 1 2021 A simple Fourier analytic proof of the AKT optimal matching theorem. Zbl 1482.60011Bobkov, Sergey G.; Ledoux, Michel 1 2021 Regenerative properties of the linear Hawkes process with unbounded memory. Zbl 07473104Graham, Carl 1 2021 Coupling and convergence for Hamiltonian Monte Carlo. Zbl 07325608Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael 13 2020 Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions. Zbl 1434.60299Mehri, Sima; Scheutzow, Michael; Stannat, Wilhelm; Zangeneh, Bian Z. 12 2020 On the convergence of closed-loop Nash equilibria to the mean field game limit. Zbl 1470.91036Lacker, Daniel 8 2020 Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario 8 2020 Generalized couplings and ergodic rates for SPDEs and other Markov models. Zbl 1434.60147Butkovsky, Oleg; Kulik, Alexei; Scheutzow, Michael 8 2020 Large deviation principles for first-order scalar conservation laws with stochastic forcing. Zbl 1465.60025Dong, Zhao; Wu, Jiang-Lun; Zhang, Rangrang; Zhang, Tusheng 7 2020 Monte Carlo with determinantal point processes. 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Zbl 1417.35204Nadtochiy, Sergey; Shkolnikov, Mykhaylo 18 2019 ...and 1687 more Documents all cited Publications top 5 cited Publications all top 5 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. 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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 all top 5 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. 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