## Stochastic Processes and their Applications

### An Official Journal of the Bernoulli Society for Mathematical Statistics and Probability

 Short Title: Stochastic Processes Appl. Publisher: Elsevier (North-Holland), Amsterdam ISSN: 0304-4149 Online: http://www.sciencedirect.com/science/journal/03044149 Comments: Indexed cover-to-cover
 Documents Indexed: 4,746 Publications (since 1973) References Indexed: 4,630 Publications with 98,871 References.
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### Authors

 36 Nualart, David 24 Samorodnitsky, Gennady Pinkhosovich 23 Mikosch, Thomas 23 Taqqu, Murad S. 21 Resnick, Sidney Ira 20 Zhang, Tusheng S. 19 Durrett, Richard Timothy 19 Horváth, Lajos 19 Kim, Panki 16 Csörgő, Miklós 16 Kyprianou, Andreas E. 16 Maller, Ross Arthur 16 Yor, Marc 15 Davis, Richard A. 15 Imkeller, Peter 15 Révész, Pál 15 Shi, Zhan 15 Słomiński, Leszek 15 Tindel, Samy 14 Csáki, Endre 14 Ferrari, Pablo Augusto 14 Hu, Ying 14 Hüsler, Jürg 14 Liu, Quansheng 14 Surgailis, Donatas 14 Wang, Feng-Yu 13 Alsmeyer, Gerold 13 Asmussen, Søren 13 Khoshnevisan, Davar 13 Shao, Qi-Man 13 Song, Renming 13 Vares, Maria Eulalia 12 Albeverio, Sergio A. 12 Budhiraja, Amarjit S. 12 Chen, Zhen-Qing 12 Jeanblanc, Monique 12 Klüppelberg, Claudia 12 Orsingher, Enzo 12 Peligrad, Magda 12 Vallois, Pierre 12 Volný, Dalibor 12 Yoshida, Nakahiro 12 Zhang, Xicheng 11 Bayraktar, Erhan 11 Dawson, Donald Andrew 11 Hall, Peter Gavin 11 Hambly, Ben M. 11 Heyde, Christopher Charles 11 Iksanov, Aleksander M. 11 Krylov, Nicolaĭ Vladimirovich 11 Meerschaert, Mark Marvin 11 Merlevède, Florence 11 Pakes, Anthony G. 11 Peng, Shige 11 Roberts, Gareth O. 11 Xiao, Yimin 10 Adler, Robert Joseph 10 Berkes, István 10 Bouchard, Bruno 10 de Haan, Laurens 10 Hsing, Tailen 10 Jacod, Jean 10 Kabluchko, Zakhar A. 10 Podolskij, Mark 10 Rosen, Jay S. 10 Russo, Francesco 10 Wang, Jian 9 Albin, J. M. P. 9 Bass, Richard F. 9 Bojdecki, Tomasz 9 Braverman, Michael Sh. 9 Brown, Timothy C. 9 Bryc, Włodzimierz 9 Dai Pra, Paolo 9 Dedecker, Jérôme 9 Khas’minskiĭ, Rafail Zalmanovich 9 Kim, KyeongHun 9 Landim, Claudio 9 Last, Günter 9 Ma, Jin 9 Mao, Xuerong 9 Pardoux, Etienne 9 Pham, Huyên 9 Piterbarg, Vladimir Il’ich 9 Röckner, Michael 9 Sidoravicius, Vladas 9 Thorisson, Hermann 9 Touzi, Nizar 9 Wang, Yizao 9 Wu, Wei Biao 9 Zeitouni, Ofer 8 Bertoin, Jean 8 Cambanis, Stamatis 8 Daley, Daryl John 8 Dembo, Amir 8 Deuschel, Jean-Dominique 8 Dupuis, Paul G. 8 Feng, Shui 8 Fleischmann, Klaus 8 Fournier, Nicolas G. ...and 4,140 more Authors
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### Fields

 4,439 Probability theory and stochastic processes (60-XX) 747 Statistics (62-XX) 333 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 287 Partial differential equations (35-XX) 256 Statistical mechanics, structure of matter (82-XX) 210 Systems theory; control (93-XX) 160 Numerical analysis (65-XX) 135 Biology and other natural sciences (92-XX) 131 Operations research, mathematical programming (90-XX) 95 Dynamical systems and ergodic theory (37-XX) 82 Calculus of variations and optimal control; optimization (49-XX) 73 Combinatorics (05-XX) 70 Operator theory (47-XX) 68 Measure and integration (28-XX) 56 Ordinary differential equations (34-XX) 43 Global analysis, analysis on manifolds (58-XX) 39 Fluid mechanics (76-XX) 36 Computer science (68-XX) 35 Potential theory (31-XX) 30 Linear and multilinear algebra; matrix theory (15-XX) 25 Functional analysis (46-XX) 22 Real functions (26-XX) 22 Harmonic analysis on Euclidean spaces (42-XX) 20 Integral equations (45-XX) 20 Information and communication theory, circuits (94-XX) 14 Special functions (33-XX) 13 History and biography (01-XX) 13 Number theory (11-XX) 12 Approximations and expansions (41-XX) 12 Convex and discrete geometry (52-XX) 12 Quantum theory (81-XX) 11 Integral transforms, operational calculus (44-XX) 10 Differential geometry (53-XX) 7 Functions of a complex variable (30-XX) 6 Mechanics of particles and systems (70-XX) 4 Mathematical logic and foundations (03-XX) 4 Topological groups, Lie groups (22-XX) 4 Difference and functional equations (39-XX) 4 Sequences, series, summability (40-XX) 3 General and overarching topics; collections (00-XX) 3 Group theory and generalizations (20-XX) 3 Algebraic topology (55-XX) 3 Mechanics of deformable solids (74-XX) 3 Classical thermodynamics, heat transfer (80-XX) 2 Field theory and polynomials (12-XX) 2 Several complex variables and analytic spaces (32-XX) 2 General topology (54-XX) 2 Manifolds and cell complexes (57-XX) 2 Geophysics (86-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Associative rings and algebras (16-XX) 1 Abstract harmonic analysis (43-XX) 1 Geometry (51-XX) 1 Optics, electromagnetic theory (78-XX)

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Stability of stochastic differential equations with Markovian switching. Zbl 0962.60043
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Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Zbl 1075.91563
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Multi-dimensional $$G$$-Brownian motion and related stochastic calculus under $$G$$-expectation. Zbl 1158.60023
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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Zbl 1071.60059
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$$L^p$$ solutions of backward stochastic differential equations. Zbl 1075.65503
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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. Zbl 1075.60072
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Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
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Tempering stable processes. Zbl 1118.60037
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Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
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A new weak dependence condition and applications to moment inequalities. Zbl 0996.60020
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Regular variation of GARCH processes. Zbl 1060.60033
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Some mixing properties of time series models. Zbl 0564.62068
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Strong approximation theorems for density dependent Markov chains. Zbl 0373.60085
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Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
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Functional limit theorems for multitype branching processes and generalized Pólya urns. Zbl 1075.60109
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2004
Chaotic and predictable representations for Lévy processes. Zbl 1047.60088
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2000
A stochastic calculus model of continuous trading: Complete markets. Zbl 0511.60094
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1983
Mean-field backward stochastic differential equations and related partial differential equations. Zbl 1183.60022
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2009
Nonparametric regression estimation for dependent functional data: asymptotic normality. Zbl 1101.62031
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2005
Maximum-likelihood estimation for hidden Markov models. Zbl 0738.62081
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1992
On the optimal stopping problem for one-dimensional diffusions. Zbl 1075.60524
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2003
Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise. Zbl 1117.60064
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2006
Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients. Zbl 0835.60049
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1995
On convolution tails. Zbl 0487.60016
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1982
Asymptotic behaviour of Wiener-Hopf factors of a random walk. Zbl 0353.60073
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1977
Razumikhin-type theorems on exponential stability of stochastic functional differential equations. Zbl 0889.60062
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1996
M-estimation for autoregression with infinite variance. Zbl 0801.62081
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1992
A universal result in almost sure central limit theory. Zbl 1053.60022
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2001
Selecting the optimal sample fraction in univariate extreme value estimation. Zbl 0926.62013
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1998
Triangular array limits for continuous time random walks. Zbl 1153.60023
Meerschaert, Mark M.; Scheffler, Hans-Peter
2008
Long-time behaviour of a stochastic prey–predator model. Zbl 1075.60539
Rudnicki, Ryszard
2003
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. Zbl 1058.60042
Delarue, François
2002
Backward stochastic differential equations with jumps and related nonlinear expectations. Zbl 1110.60062
Royer, Manuela
2006
A random walk on $$p$$-adics – the generator and its spectrum. Zbl 0810.60065
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1994
Martingale representation theorem for the $$G$$-expectation. Zbl 1228.60070
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2011
Option hedging for semimartingales. Zbl 0735.90028
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1991
Central limit theorems for multiple stochastic integrals and Malliavin calculus. Zbl 1142.60015
Nualart, D.; Ortiz-Latorre, S.
2008
Brownian analogues of Burke’s theorem. Zbl 1058.60078
O’Connell, Neil; Yor, Marc
2001
On the Kullback-Leibler information divergence of locally stationary processes. Zbl 0849.60032
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1996
Regularly varying multivariate time series. Zbl 1161.60319
Basrak, Bojan; Segers, Johan
2009
Pathwise properties and homeomorphic flows for stochastic differential equations driven by $$G$$-Brownian motion. Zbl 1176.60043
Gao, Fuqing
2009
On generalized multiplicative cascades. Zbl 1028.60087
Liu, Quansheng
2000
Stability of regime-switching diffusions. Zbl 1119.60065
Khasminskii, R. Z.; Zhu, C.; Yin, G.
2007
Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type. Zbl 0533.60021
Sato, Ken-iti; Yamazato, Makoto
1984
Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. Zbl 0612.62127
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1986
Optimal trading strategy for an investor: the case of partial information. Zbl 0934.91021
Lakner, Peter
1998
Geometric ergodicity of Metropolis algorithms. Zbl 0997.60070
Jarner, Søren Fiig; Hansen, Ernst
2000
Asymptotic stability in distribution of stochastic differential equations with Markovian switching. Zbl 1075.60541
Yuan, Chenggui; Mao, Xuerong
2003
Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems. Zbl 1047.60059
Wu, Liming
2001
Finite and infinite time ruin probabilities in a stochastic economic environment. Zbl 1047.60040
Nyrhinen, Harri
2001
Nonparametric regression with long-range dependence. Zbl 0713.62048
Hall, Peter; Hart, Jeffrey D.
1990
On smoothed probability density estimation for stationary processes. Zbl 0588.62156
Castellana, J. V.; Leadbetter, M. R.
1986
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534
2003
Strong approximations for epidemic models. Zbl 0823.92024
Ball, Frank; Donnelly, Peter
1995
On polynomial mixing bounds for stochastic differential equations. Zbl 0911.60042
Veretennikov, A. Yu.
1997
Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. Zbl 1096.60026
Peng, Shige; Zhu, Xuehong
2006
Nonparametric regression estimation under mixing conditions. Zbl 0699.62038
Roussas, George G.
1990
Stopping times and related Itô’s calculus with $$G$$-Brownian motion. Zbl 1225.60088
Li, Xinpeng; Peng, Shige
2011
Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. Zbl 0315.60035
Tweedie, Richard L.
1975
Subgeometric rates of convergence of $$f$$-ergodic strong Markov processes. Zbl 1163.60034
Douc, Randal; Fort, Gersende; Guillin, Arnaud
2009
Power tailed ruin probabilities in the presence of risky investments. Zbl 1058.60095
2002
Existence and uniqueness results for semilinear stochastic partial differential equations. Zbl 0942.60058
Gyöngy, István
1998
Risk theory in a stochastic economic environment. Zbl 0777.62098
Paulsen, Jostein
1993
Some limit theorems for Hawkes processes and application to financial statistics. Zbl 1292.60032
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
2013
Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching. Zbl 1143.60041
Mao, Xuerong; Shen, Yi; Yuan, Chenggui
2008
Multivariate regression estimation: Local polynomial fitting for time series. Zbl 0889.60039
Masry, E.
1996
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Zbl 0679.60029
de Haan, Laurens; Resnick, Sidney I.; Rootzén, Holger; de Vries, Casper G.
1989
Extremes of a certain class of Gaussian processes. Zbl 0997.60057
Hüsler, J.; Piterbarg, V.
1999
On solutions of backward stochastic differential equations with jumps and applications. Zbl 0890.60049
Situ, Rong
1997
Weak approximation of killed diffusion using Euler schemes. Zbl 1045.60082
Gobet, Emmanuel
2000
Operator scaling stable random fields. Zbl 1111.60033
Biermé, Hermine; Meerschaert, Mark M.; Scheffler, Hans-Peter
2007
Weak convergence of multivariate fractional processes. Zbl 1028.60030
Marinucci, D.; Robinson, P. M.
2000
Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022
Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias
2006
Estimation in nonlinear time series models. Zbl 0598.62109
Tjøstheim, Dag
1986
Ruin problems with assets and liabilities of diffusion type. Zbl 0962.60075
Norberg, Ragnar
1999
Parabolic SPDEs driven by Poisson white noise. Zbl 0934.60055
Albeverio, Sergio; Wu, Jiang-Lun; Zhang, Tu-Sheng
1998
On the ruin probabilities in a general economic environment. Zbl 0997.60041
Nyrhinen, Harri
1999
Regularization of differential equations by fractional noise. Zbl 1075.60536
Nualart, David; Ouknine, Youssef
2002
On pathwise stochastic integration. Zbl 0816.60047
Karandikar, Rajeeva L.
1995
Ergodicity and exponential $$\beta$$-mixing bounds for multidimensional diffusions with jumps. Zbl 1118.60070
Masuda, Hiroki
2007
Strong convergence of sums of $$\alpha$$-mixing random variables with applications to density estimation. Zbl 0885.62045
Liebscher, E.
1996
Additional logarithmic utility of an insider. Zbl 0934.91020
Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin
1998
Fractional ARIMA with stable innovations. Zbl 0846.62066
Kokoszka, Piotr S.; Taqqu, Murad S.
1995
Occupation times of intervals until first passage times for spectrally negative Lévy processes. Zbl 1287.60062
Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen
2014
Utility maximization with partial information. Zbl 0834.90022
Lakner, Peter
1995
Approximation of the tail probability of randomly weighted sums and applications. Zbl 1271.62030
Zhang, Yi; Shen, Xinmei; Weng, Chengguo
2009
The mixing property of bilinear and generalised random coefficient autoregressive models. Zbl 0614.60062
Pham Dinh Tuan
1986
General branching processes as Markov fields. Zbl 0678.92009
Jagers, Peter
1989
Backward stochastic differential equations driven by $$G$$-Brownian motion. Zbl 1300.60074
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng
2014
Ruin problems with compounding assets. Zbl 0361.60053
Harrison, J. Michael
1977
Stochastic equations of non-negative processes with jumps. Zbl 1184.60022
Fu, Zongfei; Li, Zenghu
2010
Limit laws for record values. Zbl 0253.60028
Resnick, Sidney I.
1973
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by $$G$$-Brownian motion. Zbl 1300.60075
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng
2014
A forward scheme for backward SDEs. Zbl 1131.60054
Bender, Christian; Denk, Robert
2007
Quasi-stationary distribution for the Langevin process in cylindrical domains. I: Existence, uniqueness and long-time convergence. Zbl 1481.35294
Lelièvre, Tony; Ramil, Mouad; Reygner, Julien
2022
Extremal clustering under moderate long range dependence and moderately heavy tails. Zbl 07472518
2022
On the center of mass of the elephant random walk. Zbl 1469.60135
Bercu, Bernard; Laulin, Lucile
2021
On the identifiability of interaction functions in systems of interacting particles. Zbl 1468.60120
Li, Zhongyang; Lu, Fei; Maggioni, Mauro; Tang, Sui; Zhang, Cheng
2021
Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness. Zbl 1475.60059
Gulisashvili, Archil
2021
Large deviations in discrete-time renewal theory. Zbl 1472.60054
Zamparo, Marco
2021
Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders. Zbl 1475.60142
Cho, Soobin; Kim, Panki
2021
Lyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processes. Zbl 1469.60248
Champagnat, Nicolas; Villemonais, Denis
2021
Hydrodynamics for the partial exclusion process in random environment. Zbl 1479.60194
Floreani, Simone; Redig, Frank; Sau, Federico
2021
Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs. Zbl 1480.60159
Hu, Mingshang; Wang, Falei
2021
A critical branching process with immigration in random environment. Zbl 1469.60264
Afanasyev, V. I.
2021
Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients. Zbl 1472.60099
Cui, Jianbo; Hong, Jialin; Sun, Liying
2021
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
2021
The domain of definition of the Lévy white noise. Zbl 1469.60113
Fageot, Julien; Humeau, Thomas
2021
Regularity of multifractional moving average processes with random Hurst exponent. Zbl 1475.60075
Loboda, Dennis; Mies, Fabian; Steland, Ansgar
2021
Continuity properties and the support of killed exponential functionals. Zbl 1475.60086
Behme, Anita; Lindner, Alexander; Reker, Jana; Rivero, Victor
2021
Concentration on Poisson spaces via modified $$\Phi$$-Sobolev inequalities. Zbl 1475.60026
Gusakova, Anna; Sambale, Holger; Thäle, Christoph
2021
Stochastic mSQG equations with multiplicative transport noises: white noise solutions and scaling limit. Zbl 1468.60081
Luo, Dejun; Zhu, Rongchan
2021
Stochastic functional Kolmogorov equations. I: Persistence. Zbl 07419529
Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George
2021
Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations. Zbl 1476.60140
Genon-Catalot, Valentine; Larédo, Catherine
2021
On the exact distributions of the maximum of the asymmetric telegraph process. Zbl 1479.60206
Cinque, Fabrizio; Orsingher, Enzo
2021
Mean reflected stochastic differential equations with two constraints. Zbl 1480.60187
2021
Large sample autocovariance matrices of linear processes with heavy tails. Zbl 1476.60014
Heiny, Johannes; Mikosch, Thomas
2021
Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration. Zbl 1475.60162
Barczy, Mátyás; Basrak, Bojan; Kevei, Péter; Pap, Gyula; Planinić, Hrvoje
2021
Hypothesis testing for a Lévy-driven storage system by Poisson sampling. Zbl 1475.60191
Mandjes, M.; Ravner, L.
2021
Extremes of locally stationary Gaussian and chi fields on manifolds. Zbl 1466.60106
Qiao, Wanli
2021
Martingale driven BSDEs, PDEs and other related deterministic problems. Zbl 1469.60217
2021
Asymptotic approach for backward stochastic differential equation with singular terminal condition. Zbl 1454.60077
Graewe, Paulwin; Popier, Alexandre
2021
Global solutions to stochastic wave equations with superlinear coefficients. Zbl 1475.60124
Millet, Annie; Sanz-Solé, Marta
2021
Fluctuation limits for mean-field interacting nonlinear Hawkes processes. Zbl 1475.60091
Heesen, Sophie; Stannat, Wilhelm
2021
Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games. Zbl 1469.60123
Klimsiak, Tomasz
2021
Partial derivative with respect to the measure and its application to general controlled mean-field systems. Zbl 1471.93275
Buckdahn, Rainer; Chen, Yajie; Li, Juan
2021
A regularity theory for stochastic partial differential equations with a super-linear diffusion coefficient and a spatially homogeneous colored noise. Zbl 1471.60097
Choi, Jae-Hwan; Han, Beom-Seok
2021
Dimension-free Wasserstein contraction of nonlinear filters. Zbl 1469.60122
Whiteley, Nick
2021
Stochastic MHD equations with fractional kinematic dissipation and partial magnetic diffusion in $$\mathbb{R}^2$$. Zbl 1464.35238
Li, Jingna; Liu, Hongxia; Tang, Hao
2021
Competing growth processes with random growth rates and random birth times. Zbl 1469.60278
Mailler, Cécile; Mörters, Peter; Senkevich, Anna
2021
On stochastic Itô processes with drift in $$L_d$$. Zbl 1469.60186
Krylov, N. V.
2021
Exponential mixing under controllability conditions for sdes driven by a degenerate Poisson noise. Zbl 1469.60194
Nersesyan, Vahagn; Raquépas, Renaud
2021
On estimation of quadratic variation for multivariate pure jump semimartingales. Zbl 1469.60079
Heiny, Johannes; Podolskij, Mark
2021
Semilinear Kolmogorov equations on the space of continuous functions via BSDEs. Zbl 1465.35284
Masiero, Federica; Orrieri, Carlo; Tessitore, Gianmario; Zanco, Giovanni
2021
Risk sensitive optimal stopping. Zbl 1467.93330
Jelito, Damian; Pitera, Marcin; Stettner, Łukasz
2021
Beta Laguerre processes in a high temperature regime. Zbl 1469.60349
Trinh, Hoang Dung; Trinh, Khanh Duy
2021
Asymptotic optimality of the generalized $$c\mu$$ rule under model uncertainty. Zbl 1469.60284
Cohen, Asaf; Saha, Subhamay
2021
The extremal process of super-Brownian motion. Zbl 1469.60260
Ren, Yan-Xia; Song, Renming; Zhang, Rui
2021
Local theorems for (multidimensional) additive functionals of semi-Markov chains. Zbl 1469.60087
Logachov, Artem; Mogulskii, Anatolii; Prokopenko, Evgeny; Yambartsev, Anatoly
2021
Lasso estimation for spherical autoregressive processes. Zbl 1467.62126
Caponera, Alessia; Durastanti, Claudio; Vidotto, Anna
2021
Markov chains in random environment with applications in queuing theory and machine learning. Zbl 1469.60235
Lovas, Attila; Rásonyi, Miklós
2021
Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift. Zbl 1471.60081
Chaudru de Raynal, P. E.
2020
Mean field analysis of neural networks: a central limit theorem. Zbl 1441.60022
Sirignano, Justin; Spiliopoulos, Konstantinos
2020
Volatility estimation for stochastic PDEs using high-frequency observations. Zbl 1462.60082
Bibinger, Markus; Trabs, Mathias
2020
General nonlinear stochastic systems motivated by chemostat models: complete characterization of long-time behavior, optimal controls, and applications to wastewater treatment. Zbl 1444.92065
Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George
2020
Selection of equilibria in a linear quadratic mean-field game. Zbl 1471.91029
Delarue, François; Tchuendom, Rinel Foguen
2020
A central limit theorem for the stochastic heat equation. Zbl 1458.60072
Huang, Jingyu; Nualart, David; Viitasaari, Lauri
2020
Optimal stopping with $$f$$-expectations: the irregular case. Zbl 1471.60055
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire
2020
$$L^q(L^p)$$-theory of stochastic differential equations. Zbl 1456.60153
Xia, Pengcheng; Xie, Longjie; Zhang, Xicheng; Zhao, Guohuan
2020
Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component. Zbl 1444.60060
Bréhier, Charles-Edouard
2020
An entropic interpolation proof of the HWI inequality. Zbl 1443.60023
Gentil, Ivan; Léonard, Christian; Ripani, Luigia; Tamanini, Luca
2020
Brownian motion with general drift. Zbl 1435.60047
Kinzebulatov, D.; Semënov, Yu. A.
2020
Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling. Zbl 1435.60037
Liang, Mingjie; Wang, Jian
2020
Ergodic properties of some piecewise-deterministic Markov process with application to gene expression modelling. Zbl 1440.60069
Czapla, Dawid; Horbacz, Katarzyna; Wojewódka-Ściążko, Hanna
2020
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. Zbl 1435.90012
Acciaio, B.; Backhoff-Veraguas, J.; Zalashko, A.
2020
Stein’s method for multivariate Brownian approximations of sums under dependence. Zbl 1445.60058
Kasprzak, Mikołaj J.
2020
An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation. Zbl 07243121
Wang, Xiaojie
2020
Explosion in weighted hyperbolic random graphs and geometric inhomogeneous random graphs. Zbl 1440.60011
Komjáthy, Júlia; Lodewijks, Bas
2020
Multiperiod martingale transport. Zbl 1444.60033
Nutz, Marcel; Stebegg, Florian; Tan, Xiaowei
2020
A semigroup approach to nonlinear Lévy processes. Zbl 1457.60075
Denk, Robert; Kupper, Michael; Nendel, Max
2020
On time-inconsistent stopping problems and mixed strategy stopping times. Zbl 1435.60029
Christensen, Sören; Lindensjö, Kristoffer
2020
Non-equilibrium and stationary fluctuations for the SSEP with slow boundary. Zbl 1441.60079
Gonçalves, P.; Jara, M.; Menezes, O.; Neumann, A.
2020
Well posedness, large deviations and ergodicity of the stochastic 2D Oldroyd model of order one. Zbl 1445.60029
Mohan, Manil T.
2020
A remark on triviality for the two-dimensional stochastic nonlinear wave equation. Zbl 1448.35587
Oh, Tadahiro; Okamoto, Mamoru; Robert, Tristan
2020
Degree growth rates and index estimation in a directed preferential attachment model. Zbl 1443.60078
Wang, Tiandong; Resnick, Sidney I.
2020
Random dynamics of $$p$$-Laplacian lattice systems driven by infinite-dimensional nonlinear noise. Zbl 1462.34036
Wang, Renhai; Wang, Bixiang
2020
Long time behavior of a mean-field model of interacting neurons. Zbl 1437.35708
Cormier, Quentin; Tanré, Etienne; Veltz, Romain
2020
An approximation scheme for quasi-stationary distributions of killed diffusions. Zbl 1434.60014
Wang, Andi Q.; Roberts, Gareth O.; Steinsaltz, David
2020
Perturbation bounds for Monte Carlo within metropolis via restricted approximations. Zbl 07188046
Medina-Aguayo, Felipe; Rudolf, Daniel; Schweizer, Nikolaus
2020
From infinite urn schemes to self-similar stable processes. Zbl 1434.60105
Durieu, Olivier; Samorodnitsky, Gennady; Wang, Yizao
2020
Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions. Zbl 1434.60089
Gulisashvili, Archil
2020
A note on Herglotz’s theorem for time series on function spaces. Zbl 1462.60041
van Delft, Anne; Eichler, Michael
2020
Invariance principles for random walks in cones. Zbl 1456.60103
Duraj, Jetlir; Wachtel, Vitali
2020
Geometric ergodicity of affine processes on cones. Zbl 1434.60195
Mayerhofer, Eberhard; Stelzer, Robert; Vestweber, Johanna
2020
Regularly varying random fields. Zbl 1456.60127
2020
Optimal scaling of random-walk Metropolis algorithms on general target distributions. Zbl 1455.60100
Yang, Jun; Roberts, Gareth O.; Rosenthal, Jeffrey S.
2020
The parametrix method for parabolic SPDEs. Zbl 1455.60085
Pascucci, Andrea; Pesce, Antonello
2020
Mathematical foundation of nonequilibrium fluctuation-dissipation theorems for inhomogeneous diffusion processes with unbounded coefficients. Zbl 1471.60121
Chen, Xian; Jia, Chen
2020
On laws of large numbers for systems with mean-field interactions and Markovian switching. Zbl 1471.60115
Nguyen, Son L.; Yin, George; Hoang, Tuan A.
2020
Estimates of Dirichlet heat kernel for symmetric Markov processes. Zbl 1468.60097
Grzywny, Tomasz; Kim, Kyung-Youn; Kim, Panki
2020
Large deviations for empirical measures of mean-field Gibbs measures. Zbl 1471.60038
Liu, Wei; Wu, Liming
2020
FK-Ising coupling applied to near-critical planar models. Zbl 1475.82002
Camia, Federico; Jiang, Jianping; Newman, Charles M.
2020
Posterior consistency for partially observed Markov models. Zbl 1471.60107
Douc, Randal; Olsson, Jimmy; Roueff, François
2020
Semigroup properties of solutions of SDEs driven by Lévy processes with independent coordinates. Zbl 1454.60079
2020
Exit times for semimartingales under nonlinear expectation. Zbl 1473.60070
Liu, Guomin
2020
Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion. Zbl 1451.60076
Hong, Jialin; Huang, Chuying; Kamrani, Minoo; Wang, Xu
2020
Stochastic representation of solution to nonlocal-in-time diffusion. Zbl 1441.60060
Du, Qiang; Toniazzi, Lorenzo; Zhou, Zhi
2020
Heat kernel for non-local operators with variable order. Zbl 1462.60106
Chen, Xin; Chen, Zhen-Qing; Wang, Jian
2020
Optimal kernel estimation of spot volatility of stochastic differential equations. Zbl 1441.62225
Figueroa-López, José E.; Li, Cheng
2020
Stochastic differential equations with critical drifts. Zbl 1447.35403
Nam, Kyeongsik
2020
Existence of densities for multi-type continuous-state branching processes with immigration. Zbl 1453.60040
Friesen, Martin; Jin, Peng; Rüdiger, Barbara
2020
A functional non-central limit theorem for multiple-stable processes with long-range dependence. Zbl 1455.60050
Bai, Shuyang; Owada, Takashi; Wang, Yizao
2020
Lévy driven CARMA generalized processes and stochastic partial differential equations. Zbl 1455.60070
Berger, David
2020
Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes. Zbl 1456.62038
Amorino, Chiara; Gloter, Arnaud
2020
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### Cited by 19,474 Authors

 98 Mao, Xuerong 91 Jiang, Daqing 88 Hashorva, Enkelejd 85 Nualart, David 82 Chen, Zhen-Qing 74 Horváth, Lajos 69 Tudor, Ciprian A. 69 Yan, Litan 68 Leonenko, Nikolai N. 66 Taqqu, Murad S. 66 Yuan, Chenggui 62 Song, Renming 61 Kyprianou, Andreas E. 60 Elliott, Robert James 60 Samorodnitsky, Gennady Pinkhosovich 59 Kim, Panki 59 Mandjes, Michel Robertus Hendrikus 59 Röckner, Michael 58 Zhang, Tusheng S. 57 Dębicki, Krzysztof 57 Xiao, Yimin 57 Yin, George Gang 56 Wang, Feng-Yu 55 Yang, Yang 55 Zhang, Li-Xin 54 Mikosch, Thomas 54 Wang, Jian 53 Lin, Zhengyan 53 Ouknine, Youssef 53 Ren, Yong 51 Nourdin, Ivan 49 Klüppelberg, Claudia 49 Siu, Tak Kuen 48 Zhang, Xicheng 47 Doukhan, Paul 47 Iksanov, Aleksander M. 47 Resnick, Sidney Ira 47 Surgailis, Donatas 46 Wang, Ke 45 Meerschaert, Mark Marvin 45 Tindel, Samy 44 Øksendal, Bernt Karsten 44 Roberts, Gareth O. 44 Russo, Francesco 44 Tang, Qihe 43 Bayraktar, Erhan 42 Mishura, Yuliya Stepanivna 42 Moulines, Eric 42 Peccati, Giovanni 42 Xiong, Jie 41 Imkeller, Peter 41 Liu, Meng 41 Touzi, Nizar 40 Brzeźniak, Zdzisław 40 Csörgő, Miklós 40 Flandoli, Franco 40 Palmowski, Zbigniew 40 Yang, Hailiang 39 Dedecker, Jérôme 39 Hu, Yaozhong 39 Janson, Svante 39 Landim, Claudio 39 Liu, Quansheng 39 Wu, Wei Biao 39 Zeifman, Alexander Izrailevich 38 Wang, Yuebao 38 Wu, Fuke 37 Albeverio, Sergio A. 37 Durrett, Richard Timothy 37 Fan, Shengjun 37 Jeanblanc, Monique 37 Pham, Huyên 37 Pitman, Jim William 37 Yor, Marc 36 Budhiraja, Amarjit S. 36 Davis, Richard A. 36 Glynn, Peter W. 36 Merlevède, Florence 36 Pap, Gyula 36 Peligrad, Magda 36 Wang, Yongjin 36 Zwart, Bert P. 35 Bao, Jianhai 35 Jacod, Jean 35 Maller, Ross Arthur 35 Tan, Zhongquan 34 Duan, Jinqiao 34 Friz, Peter Karl 34 Kumagai, Takashi 34 Madan, Dilip B. 34 Orsingher, Enzo 33 Liang, Hanying 33 Pardo, Juan Carlos 33 Podolskij, Mark 33 Ren, Yanxia 33 Wang, Kaiyong 33 Wu, Zhen 32 Hüsler, Jürg 32 Kabluchko, Zakhar A. 32 Nane, Erkan ...and 19,374 more Authors
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### Cited in 863 Journals

 2,557 Stochastic Processes and their Applications 1,148 Statistics & Probability Letters 765 The Annals of Applied Probability 714 The Annals of Probability 538 Probability Theory and Related Fields 535 Journal of Statistical Physics 529 Journal of Theoretical Probability 510 Journal of Applied Probability 507 Bernoulli 485 Journal of Mathematical Analysis and Applications 442 Stochastic Analysis and Applications 391 Advances in Applied Probability 380 Journal of Statistical Planning and Inference 354 Communications in Statistics. Theory and Methods 346 Journal of Multivariate Analysis 337 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 332 The Annals of Statistics 315 Journal of Econometrics 315 Insurance Mathematics & Economics 277 Electronic Journal of Probability 253 Stochastics and Dynamics 221 Journal of Time Series Analysis 221 Queueing Systems 213 Journal of Functional Analysis 203 Finance and Stochastics 195 Electronic Journal of Statistics 192 Stochastics 191 Methodology and Computing in Applied Probability 184 Potential Analysis 183 Applied Mathematics and Computation 181 Journal of Differential Equations 177 SIAM Journal on Control and Optimization 177 International Journal of Theoretical and Applied Finance 176 Extremes 174 Mathematical Finance 173 Theoretical Population Biology 167 Stochastic Models 166 Journal of Computational and Applied Mathematics 165 Communications in Mathematical Physics 161 Applied Mathematics and Optimization 157 Econometric Theory 155 Quantitative Finance 151 Statistical Inference for Stochastic Processes 148 Statistics 146 Journal of Mathematical Biology 141 European Journal of Operational Research 139 Transactions of the American Mathematical Society 139 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 132 Lithuanian Mathematical Journal 131 Electronic Communications in Probability 128 Science China. Mathematics 124 Journal of Nonparametric Statistics 123 Annals of the Institute of Statistical Mathematics 112 Journal of Mathematical Physics 112 Probability in the Engineering and Informational Sciences 111 Advances in Difference Equations 108 Acta Mathematica Sinica. English Series 107 ALEA. Latin American Journal of Probability and Mathematical Statistics 106 Comptes Rendus. Mathématique. Académie des Sciences, Paris 104 Computational Statistics and Data Analysis 100 SIAM Journal on Financial Mathematics 97 Acta Mathematicae Applicatae Sinica. English Series 95 Abstract and Applied Analysis 95 Infinite Dimensional Analysis, Quantum Probability and Related Topics 91 Automatica 91 Systems & Control Letters 90 Journal of Inequalities and Applications 87 Discrete and Continuous Dynamical Systems. Series B 87 Frontiers of Mathematics in China 86 Theory of Probability and its Applications 85 Acta Applicandae Mathematicae 81 Mathematical Biosciences 81 Scandinavian Journal of Statistics 81 Annals of Operations Research 81 Applied Mathematical Finance 80 Computers & Mathematics with Applications 80 Journal of Economic Dynamics & Control 80 Theory of Probability and Mathematical Statistics 79 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 79 Mathematical Problems in Engineering 76 Mathematics and Financial Economics 75 Journal of the Franklin Institute 75 Chaos, Solitons and Fractals 75 Test 73 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 73 Scandinavian Actuarial Journal 72 Proceedings of the American Mathematical Society 72 Stochastic and Partial Differential Equations. Analysis and Computations 71 Mathematics of Operations Research 70 Journal of the Korean Statistical Society 68 Journal of Mathematical Sciences (New York) 65 Metrika 65 Physica A 65 Sequential Analysis 64 Mathematical Methods of Operations Research 63 Journal of Optimization Theory and Applications 63 Random Operators and Stochastic Equations 62 Operations Research Letters 62 Brazilian Journal of Probability and Statistics 62 Modern Stochastics. Theory and Applications ...and 763 more Journals
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### Cited in 63 Fields

 20,870 Probability theory and stochastic processes (60-XX) 6,944 Statistics (62-XX) 4,310 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,480 Partial differential equations (35-XX) 2,087 Numerical analysis (65-XX) 1,938 Systems theory; control (93-XX) 1,761 Statistical mechanics, structure of matter (82-XX) 1,725 Biology and other natural sciences (92-XX) 1,288 Operations research, mathematical programming (90-XX) 974 Ordinary differential equations (34-XX) 794 Dynamical systems and ergodic theory (37-XX) 769 Calculus of variations and optimal control; optimization (49-XX) 622 Combinatorics (05-XX) 594 Operator theory (47-XX) 453 Computer science (68-XX) 357 Measure and integration (28-XX) 352 Functional analysis (46-XX) 314 Fluid mechanics (76-XX) 270 Real functions (26-XX) 228 Global analysis, analysis on manifolds (58-XX) 218 Quantum theory (81-XX) 209 Potential theory (31-XX) 203 Integral equations (45-XX) 193 Harmonic analysis on Euclidean spaces (42-XX) 162 Linear and multilinear algebra; matrix theory (15-XX) 161 Information and communication theory, circuits (94-XX) 122 Special functions (33-XX) 104 Approximations and expansions (41-XX) 97 Differential geometry (53-XX) 93 Number theory (11-XX) 91 Difference and functional equations (39-XX) 72 Functions of a complex variable (30-XX) 70 Integral transforms, operational calculus (44-XX) 68 Convex and discrete geometry (52-XX) 67 Geophysics (86-XX) 61 Mechanics of particles and systems (70-XX) 45 Mechanics of deformable solids (74-XX) 44 Classical thermodynamics, heat transfer (80-XX) 39 Group theory and generalizations (20-XX) 39 Abstract harmonic analysis (43-XX) 32 Topological groups, Lie groups (22-XX) 28 General and overarching topics; collections (00-XX) 28 History and biography (01-XX) 26 General topology (54-XX) 22 Sequences, series, summability (40-XX) 19 Mathematical logic and foundations (03-XX) 18 Nonassociative rings and algebras (17-XX) 15 Relativity and gravitational theory (83-XX) 13 Algebraic topology (55-XX) 12 Astronomy and astrophysics (85-XX) 11 Associative rings and algebras (16-XX) 10 Order, lattices, ordered algebraic structures (06-XX) 9 Several complex variables and analytic spaces (32-XX) 9 Optics, electromagnetic theory (78-XX) 8 Field theory and polynomials (12-XX) 7 Algebraic geometry (14-XX) 5 Geometry (51-XX) 4 General algebraic systems (08-XX) 4 Manifolds and cell complexes (57-XX) 3 Commutative algebra (13-XX) 3 Category theory; homological algebra (18-XX) 3 Mathematics education (97-XX) 1 $$K$$-theory (19-XX)