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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: 2,124 Publications (since 1991) References Indexed: 1,656 Publications with 43,016 References.
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Authors

 22 Durrett, Richard Timothy 19 Roberts, Gareth O. 15 Ramanan, Kavita 15 Samorodnitsky, Gennady Pinkhosovich 15 Touzi, Nizar 14 Harrison, John Michael 14 Karatzas, Ioannis 14 Penrose, Mathew D. 13 Bramson, Maury D. 13 Dai, J. G. (Jim) 13 Resnick, Sidney Ira 13 Robert, Philippe 12 Atar, Rami 12 Budhiraja, Amarjit S. 12 Whitt, Ward 12 Williams, Ruth J. 12 Yukich, Joseph Elliott 11 Diaconis, Persi Warren 11 Glynn, Peter W. 11 Meyn, Sean P. 10 Bayraktar, Erhan 10 Del Moral, Pierre 10 Janson, Svante 10 Ma, Jin 10 Schachermayer, Walter 10 Shreve, Steven E. 10 van der Hofstad, Remco W. 9 Barbour, Andrew D. 9 Cox, J. Theodore 9 Kurtz, Thomas Gordon 9 Kyprianou, Andreas E. 9 Lanchier, Nicolas 9 Mossel, Elchanan 9 Pagès, Gilles 9 Peres, Yuval 9 Pham, Huyên 9 Rosenthal, Jeffrey S. 9 Zhang, Jianfeng 8 Benaïm, Michel 8 Burdzy, Krzysztof 8 Dolinsky, Yan 8 Fill, James Allen 8 Gravner, Janko 8 Hobson, David G. 8 Imkeller, Peter 8 Moulines, Eric 8 Neuhauser, Claudia 8 Popovic, Lea 8 Zeitouni, Ofer 7 Alexander, Kenneth S. 7 Bai, Zhi-Dong 7 Bhamidi, Shankar 7 Blanchet, Jose H. 7 Bouchard, Bruno 7 Cvitanić, Jakša 7 Douc, Randal 7 Duffie, James Darrell 7 Dupuis, Paul G. 7 Etheridge, Alison Mary 7 Fontes, Luiz Renato G. 7 Foss, Sergey G. 7 Frieze, Alan Michael 7 Gamarnik, David 7 Gnedin, Alexander V. 7 Jourdain, Benjamin 7 Kramkov, Dmitriĭ Olegovich 7 Luczak, Malwina J. 7 Mikosch, Thomas 7 Nutz, Marcel 7 Peskir, Goran 7 Pistorius, Martijn R. 7 Reinert, Gesine D. 7 Sly, Allan 7 Tsitsiklis, John N. 6 Adler, Robert Joseph 6 Avram, Florin 6 Bank, Peter 6 Bertoin, Jean 6 Bovier, Anton 6 Caputo, Pietro 6 Crisan, Dan O. 6 Dembo, Amir 6 Ekström, Erik 6 Ferrari, Pablo Augusto 6 Grübel, Rudolf 6 Kesten, Harry 6 Klüppelberg, Claudia 6 Liptser, Robert 6 Mahmoud, Hosam M. 6 Martin, James Benedict 6 McDonald, David R. 6 Pal, Soumik 6 Pittel, Boris G. 6 Rhee, Wansoo T. 6 Rogers, L. C. G. 6 Sivakoff, David 6 Stuart, Andrew M. 6 Vigoda, Eric 5 Baccelli, François Louis 5 Bertsimas, Dimitris John ...and 2,286 more Authors
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Fields

 2,001 Probability theory and stochastic processes (60-XX) 333 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 279 Statistics (62-XX) 235 Statistical mechanics, structure of matter (82-XX) 230 Operations research, mathematical programming (90-XX) 222 Numerical analysis (65-XX) 187 Biology and other natural sciences (92-XX) 182 Combinatorics (05-XX) 164 Systems theory; control (93-XX) 154 Computer science (68-XX) 110 Partial differential equations (35-XX) 71 Calculus of variations and optimal control; optimization (49-XX) 47 Ordinary differential equations (34-XX) 43 Linear and multilinear algebra; matrix theory (15-XX) 38 Dynamical systems and ergodic theory (37-XX) 26 Information and communication theory, circuits (94-XX) 22 Operator theory (47-XX) 21 Fluid mechanics (76-XX) 14 Measure and integration (28-XX) 9 Approximations and expansions (41-XX) 9 Functional analysis (46-XX) 8 Number theory (11-XX) 8 Convex and discrete geometry (52-XX) 8 Differential geometry (53-XX) 8 Global analysis, analysis on manifolds (58-XX) 7 Real functions (26-XX) 7 Integral equations (45-XX) 7 Classical thermodynamics, heat transfer (80-XX) 6 Algebraic topology (55-XX) 5 Order, lattices, ordered algebraic structures (06-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Mechanics of particles and systems (70-XX) 4 Functions of a complex variable (30-XX) 4 Potential theory (31-XX) 4 Special functions (33-XX) 4 Integral transforms, operational calculus (44-XX) 4 Mechanics of deformable solids (74-XX) 3 Group theory and generalizations (20-XX) 3 Difference and functional equations (39-XX) 3 Quantum theory (81-XX) 2 Nonassociative rings and algebras (17-XX) 2 Geophysics (86-XX) 1 History and biography (01-XX) 1 Commutative algebra (13-XX) 1 Topological groups, Lie groups (22-XX) 1 Abstract harmonic analysis (43-XX) 1 General topology (54-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX)

Citations contained in zbMATH Open

1,959 Publications have been cited 28,921 times in 17,439 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
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
1994
Convex duality in constrained portfolio optimization. Zbl 0770.90002
Cvitanić, Jakša; Karatzas, Ioannis
1992
Logarithmic Sobolev inequalities for finite Markov chains. Zbl 0867.60043
Diaconis, P.; Saloff-Coste, L.
1996
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
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
2007
Epidemics with two levels of mixing. Zbl 0909.92028
Ball, Frank; Mollison, Denis; Scalia-Tomba, Gianpaolo
1997
A numerical scheme for BSDEs. Zbl 1056.60067
Zhang, Jianfeng
2004
Backward-forward stochastic differential equations. Zbl 0780.60058
Antonelli, Fabio
1993
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
Comparison theorems for reversible Markov chains. Zbl 0799.60058
Diaconis, Persi; Saloff-Coste, Laurent
1993
Loss networks. Zbl 0743.60099
Kelly, F. P.
1991
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
Pricing contingent claims on stocks driven by Lévy processes. Zbl 1054.91033
Chan, Terence
1999
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
2002
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052
Rogers, L. C. G.
1994
A note on Metropolis-Hastings kernels for general state spaces. Zbl 0935.60053
Tierney, Luke
1998
A microscopic probabilistic description of a locally regulated population and macroscopic approximations. Zbl 1060.92055
Fournier, Nicolas; Méléard, Sylvie
2004
Computable bounds for geometric convergence rates of Markov chains. Zbl 0812.60059
Meyn, Sean P.; Tweedie, R. L.
1994
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
2004
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344
Loeffen, R. L.
2008
Trailing the dovetail shuffle to its lair. Zbl 0757.60003
Bayer, Dave; Diaconis, Persi
1992
Mean-variance hedging in continuous time. Zbl 0735.90021
Duffie, Darrell; Richardson, Henry R.
1991
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
2001
The pricing of the American option. Zbl 0753.60040
Myneni, Ravi
1992
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
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
Differential equations for random processes and random graphs. Zbl 0847.05084
Wormald, Nicholas C.
1995
Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034
Alili, L.; Kyprianou, A. E.
2005
Exact simulation of diffusions. Zbl 1101.60060
Beskos, Alexandros; Roberts, Gareth O.
2005
Hedging options for a large investor and forward-backward SDE’s. Zbl 0856.90011
Cvitanić, Jakša; Ma, Jin
1996
Arbitrage and duality in nondominated discrete-time models. Zbl 1322.60045
Bouchard, Bruno; Nutz, Marcel
2015
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Zbl 1132.91457
Becherer, Dirk
2006
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
1998
Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Zbl 0726.60069
Fill, James Allen
1991
Smoluchowski’s coagulation equation: Uniqueness, nonuniqueness and a hydrodynamic limit for the stochastic coalescent. Zbl 0944.60082
Norris, James R.
1999
On the speed of convergence in first-passage percolation. Zbl 0783.60103
Kesten, Harry
1993
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
1993
Hedging contingent claims with constrained portfolios. Zbl 0825.93958
Cvitanić, Jakša; Karatzas, Ioannis
1993
On the ergodicity properties of some adaptive MCMC algorithms. Zbl 1114.65001
Andrieu, Christophe; Moulines, Éric
2006
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
Dynamic exponential utility indifference valuation. Zbl 1134.91449
Mania, Michael; Schweizer, Martin
2005
Mixing times of lozenge tiling and card shuffling Markov chains. Zbl 1040.60063
Wilson, David Bruce
2004
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
1995
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
A survey of max-type recursive distributional equations. Zbl 1105.60012
Aldous, David J.; Bandyopadhyay, Antar
2005
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
Mikosch, Thomas; Samorodnitsky, Gennady
2000
Spectral theory and limit theorems for geometrically ergodic Markov processes. Zbl 1016.60066
Kontoyiannis, I.; Meyn, S. P.
2003
Asymptotic analysis of multiscale approximations to reaction networks. Zbl 1118.92031
Ball, Karen; Kurtz, Thomas G.; Popovic, Lea; Rempala, Greg
2006
On the pricing of contingent claims under constraints. Zbl 0856.90012
Karatzas, I.; Kou, S. G.
1996
Polynomial convergence rates of Markov chains. Zbl 1012.60062
Jarner, Søren F.; Roberts, Gareth O.
2002
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
2001
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
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 general limit theorem for recursive algorithms and combinatorial structures. Zbl 1041.60024
Neininger, Ralph; Rüschendorf, Ludger
2004
Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe
2004
A Khasminskii type averaging principle for stochastic reaction-diffusion equations. Zbl 1191.60076
Cerrai, Sandra
2009
Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Zbl 0868.90008
Duffie, Darrell; Schroder, Mark; Skiadas, Costis
1996
Dynamic scheduling with convex delay costs: The generalized $$c\mu$$ rule. Zbl 0843.90047
van Mieghem, Jan A.
1995
Central limit theorems for some graphs in computational geometry. Zbl 1044.60016
Penrose, Mathew D.; Yukich, J. E.
2001
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
1996
Affine processes on positive semidefinite matrices. Zbl 1219.60068
Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef
2011
On maximum likelihood estimation of the extreme value index. Zbl 1102.62051
Drees, Holger; Ferreira, Ana; de Haan, Laurens
2004
Renewal theory and computable convergence rates for geometrically erdgodic Markov chains. Zbl 1070.60061
Baxendale, Peter H.
2005
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
2008
Mean-variance hedging for general claims. Zbl 0742.60042
Schweizer, Martin
1992
Stein’s method and the zero bias transformation with application to simple random sampling. Zbl 0903.60019
Goldstein, Larry; Reinert, Gesine
1997
Atlas models of equity markets. Zbl 1099.91056
Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis
2005
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
2002
Analysis of a nonreversible Markov chain sampler. Zbl 1083.60516
Diaconis, Persi; Holmes, Susan; Neal, Radford M.
2000
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
2005
Departures from many queues in series. Zbl 0749.60090
Glynn, Peter W.; Whitt, Ward
1991
Efficient Monte Carlo simulation of security prices. Zbl 0877.65099
Duffie, Darrell; Glynn, Peter
1995
Limit laws for random vectors with an extreme component. Zbl 1125.60049
Heffernan, Janet E.; Resnick, Sidney I.
2007
An optimal error estimate in stochastic homogenization of discrete elliptic equations. Zbl 1387.35031
Gloria, Antoine; Otto, Felix
2012
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
1995
The $$G/GI/N$$ queue in the Halfin-Whitt regime. Zbl 1181.60137
Reed, Josh
2009
Representation theorems for backward stochastic differential equations. Zbl 1017.60067
Ma, Jin; Zhang, Jianfeng
2002
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. Zbl 1352.60101
Sabanis, Sotirios
2016
Computable exponential convergence rates for stochastically ordered Markov processes. Zbl 0863.60093
Lund, Robert B.; Meyn, Sean P.; Tweedie, Richard L.
1996
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
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
Ising models on locally tree-like graphs. Zbl 1191.82025
Dembo, Amir; Montanari, Andrea
2010
Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012
Hobson, David G.
1998
Multifractal dimensions and scaling exponents for stronlgy bounded random cascades. Zbl 0786.60064
Holley, Richard; Waymire, Edward C.
1992
Fluid approximations and stability of multiclass queueing networks: Work-conserving disciplines. Zbl 0847.60073
Chen, Hong
1995
Monte Carlo with determinantal point processes. Zbl 07200531
Bardenet, Rémi; Hardy, Adrien
2020
Generalized couplings and ergodic rates for SPDEs and other Markov models. Zbl 1434.60147
Butkovsky, Oleg; Kulik, Alexei; Scheutzow, Michael
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
Convergence to the mean field game limit: a case study. Zbl 1437.91058
Nutz, Marcel; Martin, Jaime San; Tan, Xiaowei
2020
Large deviation principles for first-order scalar conservation laws with stochastic forcing. Zbl 1465.60025
Dong, Zhao; Wu, Jiang-Lun; Zhang, Rangrang; Zhang, Tusheng
2020
Lower bounds for trace reconstruction. Zbl 1445.62014
Holden, Nina; Lyons, Russell
2020
Nonlinear large deviations: beyond the hypercube. Zbl 1464.60026
Yan, Jun
2020
Coupling and convergence for Hamiltonian Monte Carlo. Zbl 07325608
Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael
2020
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes. Zbl 1464.37007
Friesen, Martin; Jin, Peng; Rüdiger, Barbara
2020
On an epidemic model on finite graphs. Zbl 1434.82074
Benjamini, Itai; Fontes, Luiz Renato; Hermon, Jonathan; Machado, Fábio Prates
2020
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift. Zbl 1464.60061
Fang, Wei; Giles, Michael B.
2020
Optimal position targeting via decoupling fields. Zbl 1445.49001
Ankirchner, Stefan; Fromm, Alexander; Kruse, Thomas; Popier, Alexandre
2020
Global $$C^1$$ regularity of the value function in optimal stopping problems. Zbl 07325602
de Angelis, Tiziano; Peskir, Goran
2020
Random permutations without macroscopic cycles. Zbl 07325615
Betz, Volker; Schäfer, Helge; Zeindler, Dirk
2020
High-dimensional limits of eigenvalue distributions for general Wishart process. Zbl 1461.60052
Song, Jian; Yao, Jianfeng; Yuan, Wangjun
2020
On the convergence of closed-loop Nash equilibria to the mean field game limit. Zbl 07325623
Lacker, Daniel
2020
Join-the-shortest queue diffusion limit in Halfin-Whitt regime: sensitivity on the heavy-traffic parameter. Zbl 1434.60263
Banerjee, Sayan; Mukherjee, Debankur
2020
Random-cluster dynamics in $$\mathbb{Z}^2$$: rapid mixing with general boundary conditions. Zbl 1434.60273
Blanca, Antonio; Gheissari, Reza; Vigoda, Eric
2020
The largest real eigenvalue in the real Ginibre ensemble and its relation to the Zakharov-Shabat system. Zbl 1434.60018
Baik, Jinho; Bothner, Thomas
2020
Bounds for the asymptotic distribution of the likelihood ratio. Zbl 1446.62073
Anastasiou, Andreas; Reinert, Gesine
2020
Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls. Zbl 1445.35118
Wu, Cong; Zhang, Jianfeng
2020
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control. Zbl 07325611
Backhoff-Veraguas, Julio; Lacker, Daniel; Tangpi, Ludovic
2020
The coalescent structure of continuous-time Galton-Watson trees. Zbl 07325612
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
Nonasymptotic bounds for sampling algorithms without log-concavity. Zbl 1466.65008
Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz
2020
Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier. Zbl 1464.60080
Barnes, Clayton L.
2020
Conditional optimal stopping: a time-inconsistent optimization. Zbl 1464.60038
Nutz, Marcel; Zhang, Yuchong
2020
Particles systems and numerical schemes for mean reflected stochastic differential equations. Zbl 07325628
Briand, Philippe; de Raynal, Paul-Éric Chaudru; Guillin, Arnaud; Labart, Céline
2020
Exact formulas for two interacting particles and applications in particle systems with duality. Zbl 1460.82013
Carinci, Gioia; Giardinà, Cristian; Redig, Frank
2020
Geometric ergodicity of the bouncy particle sampler. Zbl 07325635
Durmus, Alain; Guillin, Arnaud; Monmarché, Pierre
2020
Imaginary multiplicative chaos: moments, regularity and connections to the Ising model. Zbl 07325636
Junnila, Janne; Saksman, Eero; Webb, Christian
2020
Pathwise stochastic control with applications to robust filtering. Zbl 07325641
Allan, Andrew L.; Cohen, Samuel N.
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
Pathwise McKean-Vlasov theory with additive noise. Zbl 07325643
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario
2020
Stochastic approximation on noncompact measure spaces and application to measure-valued Pólya processes. Zbl 1461.62147
Mailler, Cécile; Villemonais, Denis
2020
Rarity of extremal edges in random surfaces and other theoretical applications of cluster algorithms. Zbl 1460.82001
Cohen-Alloro, Omri; Peled, Ron
2020
Affine Volterra processes. Zbl 1441.60052
Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio
2019
Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients. Zbl 07047435
Conus, Daniel; Jentzen, Arnulf; Kurniawan, Ryan
2019
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
2019
Exponential utility maximization under model uncertainty for unbounded endowments. Zbl 1419.91285
Bartl, Daniel
2019
Normal approximation for stabilizing functionals. Zbl 1466.60047
Lachièze-Rey, Raphaël; Schulte, Matthias; Yukich, J. E.
2019
Numerical method for FBSDEs of McKean-Vlasov type. Zbl 1466.65012
Chassagneux, Jean-François; Crisan, Dan; Delarue, François
2019
Computational methods for martingale optimal transport problems. Zbl 1433.49043
Guo, Gaoyue; Obłój, Jan
2019
Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues. Zbl 1445.60059
Arapostathis, Ari; Pang, Guodong; Sandrić, Nikola
2019
A general continuous-state nonlinear branching process. Zbl 1466.60179
Li, Pei-Sen; Yang, Xu; Zhou, Xiaowen
2019
Random switching between vector fields having a common zero. Zbl 1437.60044
Benaïm, Michel; Strickler, Edouard
2019
Decompositions of log-correlated fields with applications. Zbl 1444.60026
Junnila, Janne; Saksman, Eero; Webb, Christian
2019
First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case. Zbl 1467.60042
Liu, Yanghui; Tindel, Samy
2019
Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law. Zbl 1466.60056
Dos Reis, Gonçalo; Salkeld, William; Tugaut, Julian
2019
Condensation in critical Cauchy Bienaymé-Galton-Watson trees. Zbl 1427.60178
Kortchemski, Igor; Richier, Loïc
2019
A version of Aldous’ spectral-gap conjecture for the zero range process. Zbl 1466.60208
Hermon, Jonathan; Salez, Justin
2019
Extinction in lower Hessenberg branching processes with countably many types. Zbl 1439.60079
Braunsteins, Peter; Hautphenne, Sophie
2019
Join-the-shortest queue diffusion limit in Halfin-Whitt regime: tail asymptotics and scaling of extrema. Zbl 1467.60069
Banerjee, Sayan; Mukherjee, Debankur
2019
On a Wasserstein-type distance between solutions to stochastic differential equations. Zbl 1412.60115
Bion-Nadal, Jocelyne; Talay, Denis
2019
Nonconvex homogenization for one-dimensional controlled random walks in random potential. Zbl 1415.60121
Yilmaz, Atilla; Zeitouni, Ofer
2019
Approximation of stable law in Wasserstein-1 distance by Stein’s method. Zbl 1448.60062
Xu, Lihu
2019
Measuring sample quality with diffusions. Zbl 1439.60073
Gorham, Jackson; Duncan, Andrew B.; Vollmer, Sebastian J.; Mackey, Lester
2019
Ergodicity of an SPDE associated with a many-server queue. Zbl 1447.60087
Aghajani, Reza; Ramanan, Kavita
2019
Ergodicity of the zigzag process. Zbl 1467.60020
Bierkens, Joris; Roberts, Gareth O.; Zitt, Pierre-André
2019
A McKean-Vlasov equation with positive feedback and blow-ups. Zbl 1423.35224
Hambly, Ben; Ledger, Sean; Søjmark, Andreas
2019
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
2019
Nonparametric spot volatility from options. Zbl 1443.91301
Todorov, Viktor
2019
Malliavin calculus approach to long exit times from an unstable equilibrium. Zbl 1466.60111
Bakhtin, Yuri; Pajor-Gyulai, Zsolt
2019
Central limit theorems in the configuration model. Zbl 1466.60039
Barbour, A. D.; Röllin, Adrian
2019
A constrained Langevin approximation for chemical reaction networks. Zbl 1467.60059
Leite, Saul C.; Williams, Ruth J.
2019
Second-order BSDE under monotonicity condition and liquidation problem under uncertainty. Zbl 1451.60060
Popier, Alexandre; Zhou, Chao
2019
Supermarket model on graphs. Zbl 1412.60051
Budhiraja, Amarjit; Mukherjee, Debankur; Wu, Ruoyu
2019
The nested Kingman coalescent: speed of coming down from infinity. Zbl 1427.60179
Blancas, Airam; Rogers, Tim; Schweinsberg, Jason; Siri-Jégousse, Arno
2019
Entropy-controlled last-passage percolation. Zbl 1467.60072
Berger, Quentin; Torri, Niccolò
2019
On Skorokhod embeddings and Poisson equations. Zbl 1466.60083
Döring, Leif; Gonon, Lukas; Prömel, David J.; Reichmann, Oleg
2019
Approximation of stochastic processes by nonexpansive flows and coming down from infinity. Zbl 1466.60158
Bansaye, Vincent
2019
Metastability of the contact process on fast evolving scale-free networks. Zbl 1441.05207
Jacob, Emmanuel; Linker, Amitai; Mörters, Peter
2019
Interference queueing networks on grids. Zbl 1442.60104
Sankararaman, Abishek; Baccelli, François; Foss, Sergey
2019
Another look into the Wong-zakai theorem for stochastic heat equation. Zbl 1447.35400
Gu, Yu; Tsai, Li-Cheng
2019
Affine processes beyond stochastic continuity. Zbl 1432.60073
Keller-Ressel, Martin; Schmidt, Thorsten; Wardenga, Robert
2019
A martingale approach for fractional Brownian motions and related path dependent PDEs. Zbl 1441.60031
Viens, Frederi; Zhang, Jianfeng
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
2019
Localization of the Gaussian multiplicative chaos in the Wiener space and the stochastic heat equation in strong disorder. Zbl 1432.60088
Bröker, Yannic; Mukherjee, Chiranjib
2019
Continuous-time duality for superreplication with transient price impact. Zbl 1444.91194
Bank, Peter; Dolinsky, Yan
2019
Super-replication with fixed transaction costs. Zbl 1411.91538
Bank, Peter; Dolinsky, Yan
2019
On one-dimensional Riccati diffusions. Zbl 1466.60115
Bishop, A. N.; Del Moral, P.; Kamatani, K.; Rémillard, B.
2019
Effective Berry-Esseen and concentration bounds for Markov chains with a spectral gap. Zbl 1447.60129
Kloeckner, Benoît
2019
The left-curtain martingale coupling in the presence of atoms. Zbl 1427.60073
Hobson, David G.; Norgilas, Dominykas
2019
Critical point for infinite cycles in a random loop model on trees. Zbl 1467.60078
Hammond, Alan; Hegde, Milind
2019
Parking on transitive unimodular graphs. Zbl 1466.60201
Damron, Michael; Gravner, Janko; Junge, Matthew; Lyu, Hanbaek; Sivakoff, David
2019
The hydrodynamic limit of a randomized load balancing network. Zbl 1444.60080
Aghajani, Reza; Ramanan, Kavita
2019
Mixing time estimation in reversible Markov chains from a single sample path. Zbl 1466.60143
Hsu, Daniel; Kontorovich, Aryeh; Levin, David A.; Peres, Yuval; Szepesvári, Csaba; Wolfer, Geoffrey
2019
Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients. Zbl 07039124
Hefter, Mario; Herzwurm, André; Müller-Gronbach, Thomas
2019
Multi-scale Lipschitz percolation of increasing events for Poisson random walks. Zbl 1408.60038
Gracar, Peter; Stauffer, Alexandre
2019
Theoretical properties of quasi-stationary Monte Carlo methods. Zbl 1408.60072
Wang, Andi Q.; Kolb, Martin; Roberts, Gareth O.; Steinsaltz, David
2019
Robust hedging of options on a leveraged exchange traded fund. Zbl 1409.60064
Cox, Alexander M. G.; Kinsley, Sam M.
2019
Normal convergence of nonlocalised geometric functionals and shot-noise excursions. Zbl 1448.60057
Lachièze-Rey, Raphaël
2019
Tree lengths for general $$\Lambda$$-coalescents and the asymptotic site frequency spectrum around the Bolthausen-Sznitman coalescent. Zbl 07155057
Diehl, Christina S.; Kersting, Götz
2019
Empirical optimal transport on countable metric spaces: distributional limits and statistical applications. Zbl 1439.60028
Tameling, Carla; Sommerfeld, Max; Munk, Axel
2019
Local law and Tracy-Widom limit for sparse sample covariance matrices. Zbl 1447.60023
Hwang, Jong Yun; Lee, Ji Oon; Schnelli, Kevin
2019
Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations. Zbl 07172335
Gong, Ruoting; Mou, Chenchen; Święch, Andrzej
2019
Robust pricing and hedging around the globe. Zbl 1435.60031
Herrmann, Sebastian; Stebegg, Florian
2019
Crossing a fitness valley as a metastable transition in a stochastic population model. Zbl 1433.92033
Bovier, Anton; Coquille, Loren; Smadi, Charline
2019
Right marker speeds of solutions to the KPP equation with noise. Zbl 1432.60063
Kliem, Sandra
2019
Zero temperature limit for the Brownian directed polymer among Poissonian disasters. Zbl 1432.60095
Fukushima, Ryoki; Junk, Stefan
2019
...and 1744 more Documents
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Cited by 14,678 Authors

 70 Roberts, Gareth O. 60 Mandjes, Michel Robertus Hendrikus 58 Bayraktar, Erhan 50 Zwart, Bert P. 46 Kyprianou, Andreas E. 44 Diaconis, Persi Warren 44 Resnick, Sidney Ira 44 Touzi, Nizar 43 Janson, Svante 43 Samorodnitsky, Gennady Pinkhosovich 43 van der Hofstad, Remco W. 40 Del Moral, Pierre 40 Hashorva, Enkelejd 40 Mikosch, Thomas 40 Penrose, Mathew D. 39 Blanchet, Jose H. 39 Rosenthal, Jeffrey S. 38 Foss, Sergey G. 38 Palmowski, Zbigniew 38 Yin, Gang George 37 Jasra, Ajay 37 Jourdain, Benjamin 36 Dębicki, Krzysztof 36 Pham, Huyên 36 Stuart, Andrew M. 35 Pagès, Gilles 34 Bo, Lijun 34 Bouchard, Bruno 34 Durrett, Richard Timothy 34 Karatzas, Ioannis 34 van Leeuwaarden, Johan S. H. 33 Moulines, Eric 33 Peres, Yuval 33 Wang, Yongjin 33 Whitt, Ward 32 Ramanan, Kavita 32 Yukich, Joseph Elliott 31 Atar, Rami 31 Budhiraja, Amarjit S. 31 Glynn, Peter W. 31 Iksanov, Aleksander M. 31 Muhle-Karbe, Johannes 31 Tang, Qihe 30 Ekström, Erik 30 Garnier, Josselin 30 Klüppelberg, Claudia 30 Leonenko, Nikolai N. 30 Yuen, Kam Chuen 29 Ball, Frank G. 29 Méléard, Sylvie 29 Rásonyi, Miklós 29 Soner, Halil Mete 29 Surgailis, Donatas 29 Wu, Zhen 28 Fournier, Nicolas G. 28 Guasoni, Paolo 28 Guo, Xianping 28 Jentzen, Arnulf 28 Yamazaki, Kazutoshi 27 Boxma, Onno Johan 27 Lambert, Amaury 27 Ma, Jin 27 Mahmoud, Hosam M. 27 Neal, Peter J. 27 Yin, George Gang 26 Borst, Sem C. 26 Buraczewski, Dariusz 26 Caputo, Pietro 26 Chatterjee, Sourav 26 Lacoin, Hubert 26 Nutz, Marcel 26 Spiliopoulos, Konstantinos V. 26 Stolyar, Alexander L. 25 Bhamidi, Shankar 25 Devroye, Luc P. J. A. 25 Dolinsky, Yan 25 Gobet, Emmanuel 25 Mossel, Elchanan 25 Obloj, Jan K. 24 Barbour, Andrew D. 24 Dupuis, Paul G. 24 Ji, Shaolin 24 Kardaras, Constantinos 24 Löwe, Matthias 24 Pistorius, Martijn R. 24 Yong, Jiongmin 24 Zhang, Jianfeng 24 Zhou, Xiaowen 23 Asmussen, Søren 23 Avram, Florin 23 Barral, Julien 23 Belomestny, Denis 23 Burdzy, Krzysztof 23 Doucet, Arnaud 23 Favaro, Stefano 23 Guillin, Arnaud 23 Knessl, Charles 23 Lanchier, Nicolas 23 Miyazawa, Masakiyo 23 Müller-Gronbach, Thomas ...and 14,578 more Authors
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Cited in 737 Journals

 1,116 The Annals of Applied Probability 1,030 Stochastic Processes and their Applications 473 Journal of Applied Probability 468 The Annals of Probability 417 Journal of Statistical Physics 410 Advances in Applied Probability 363 Statistics & Probability Letters 359 Queueing Systems 347 Probability Theory and Related Fields 311 Bernoulli 255 Insurance Mathematics & Economics 249 Finance and Stochastics 229 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 208 Electronic Journal of Probability 207 Journal of Theoretical Probability 204 The Annals of Statistics 189 Mathematical Finance 185 Journal of Mathematical Analysis and Applications 181 Quantitative Finance 174 Stochastic Analysis and Applications 153 Stochastic Models 152 Journal of Computational and Applied Mathematics 149 SIAM Journal on Control and Optimization 147 Methodology and Computing in Applied Probability 146 Communications in Mathematical Physics 146 Journal of Mathematical Biology 139 European Journal of Operational Research 136 International Journal of Theoretical and Applied Finance 130 Theoretical Population Biology 119 Stochastics 115 Journal of Multivariate Analysis 115 Extremes 111 Journal of Statistical Planning and Inference 111 SIAM Journal on Financial Mathematics 109 Random Structures & Algorithms 108 Applied Mathematics and Optimization 103 Mathematics of Operations Research 103 Mathematics and Financial Economics 97 Journal of Econometrics 92 Journal of Economic Dynamics & Control 91 Operations Research Letters 89 Combinatorics, Probability and Computing 89 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 88 Electronic Journal of Statistics 86 Communications in Statistics. Theory and Methods 86 Statistics and Computing 84 Transactions of the American Mathematical Society 84 Annals of Operations Research 84 Mathematical Methods of Operations Research 83 Mathematical Biosciences 78 Journal of Mathematical Physics 78 Probability in the Engineering and Informational Sciences 76 Applied Mathematical Finance 75 Scandinavian Actuarial Journal 73 Computational Statistics and Data Analysis 72 Journal of Functional Analysis 71 Electronic Communications in Probability 70 Stochastics and Dynamics 68 ALEA. Latin American Journal of Probability and Mathematical Statistics 67 Journal of Theoretical Biology 67 Stochastic Systems 63 Bulletin of Mathematical Biology 62 Theoretical Computer Science 61 Applied Mathematics and Computation 61 Journal of Differential Equations 57 Journal of Optimization Theory and Applications 54 Operations Research 52 Journal of Computational Physics 52 Automatica 48 Journal of Mathematical Economics 48 Acta Mathematicae Applicatae Sinica. English Series 46 Comptes Rendus. Mathématique. Académie des Sciences, Paris 45 Science China. Mathematics 45 SIAM/ASA Journal on Uncertainty Quantification 44 Annals of the Institute of Statistical Mathematics 43 Acta Mathematica Sinica. English Series 43 Journal of Statistical Mechanics: Theory and Experiment 43 Annals of Finance 42 Advances in Mathematics 42 SIAM Journal on Scientific Computing 41 Mathematical Problems in Engineering 40 Asia-Pacific Financial Markets 39 Statistical Science 38 Journal of Economic Theory 38 Linear Algebra and its Applications 38 Discrete and Continuous Dynamical Systems. Series B 38 Frontiers of Mathematics in China 37 Stochastic and Partial Differential Equations. Analysis and Computations 36 Lithuanian Mathematical Journal 36 Monte Carlo Methods and Applications 35 Acta Applicandae Mathematicae 35 Journal of Statistical Computation and Simulation 35 ASTIN Bulletin 34 Theory of Probability and its Applications 34 Journal of Mathematical Sciences (New York) 34 Journal of Machine Learning Research (JMLR) 34 Review of Derivatives Research 34 Journal of Industrial and Management Optimization 33 Econometric Theory 33 Journal of Systems Science and Complexity ...and 637 more Journals
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Cited in 62 Fields

 12,112 Probability theory and stochastic processes (60-XX) 4,141 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3,006 Statistics (62-XX) 1,904 Numerical analysis (65-XX) 1,695 Operations research, mathematical programming (90-XX) 1,509 Statistical mechanics, structure of matter (82-XX) 1,398 Systems theory; control (93-XX) 1,342 Biology and other natural sciences (92-XX) 1,196 Partial differential equations (35-XX) 1,183 Combinatorics (05-XX) 862 Computer science (68-XX) 659 Calculus of variations and optimal control; optimization (49-XX) 409 Dynamical systems and ergodic theory (37-XX) 401 Ordinary differential equations (34-XX) 359 Linear and multilinear algebra; matrix theory (15-XX) 218 Operator theory (47-XX) 176 Information and communication theory, circuits (94-XX) 163 Fluid mechanics (76-XX) 148 Measure and integration (28-XX) 138 Functional analysis (46-XX) 131 Quantum theory (81-XX) 117 Integral equations (45-XX) 103 Convex and discrete geometry (52-XX) 102 Real functions (26-XX) 93 Number theory (11-XX) 83 Approximations and expansions (41-XX) 81 Special functions (33-XX) 79 Harmonic analysis on Euclidean spaces (42-XX) 68 Global analysis, analysis on manifolds (58-XX) 59 Integral transforms, operational calculus (44-XX) 54 Differential geometry (53-XX) 53 Difference and functional equations (39-XX) 50 Group theory and generalizations (20-XX) 49 Mechanics of deformable solids (74-XX) 41 Geophysics (86-XX) 34 Order, lattices, ordered algebraic structures (06-XX) 34 Functions of a complex variable (30-XX) 32 Algebraic topology (55-XX) 28 Mechanics of particles and systems (70-XX) 28 Classical thermodynamics, heat transfer (80-XX) 24 Potential theory (31-XX) 21 General topology (54-XX) 18 Optics, electromagnetic theory (78-XX) 17 Mathematical logic and foundations (03-XX) 17 Abstract harmonic analysis (43-XX) 17 Manifolds and cell complexes (57-XX) 15 General and overarching topics; collections (00-XX) 14 Topological groups, Lie groups (22-XX) 13 History and biography (01-XX) 13 Relativity and gravitational theory (83-XX) 11 Several complex variables and analytic spaces (32-XX) 11 Sequences, series, summability (40-XX) 11 Astronomy and astrophysics (85-XX) 10 Algebraic geometry (14-XX) 10 Nonassociative rings and algebras (17-XX) 10 Geometry (51-XX) 9 Commutative algebra (13-XX) 8 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)