# zbMATH — the first resource for mathematics

## Stochastics

### An International Journal of Probability and Stochastic Processes

 Short Title: Stochastics Publisher: Taylor & Francis, Abingdon, Oxfordshire ISSN: 1744-2508; 1744-2516/e Online: http://www.tandfonline.com/loi/gssr20 Predecessor: Stochastics and Stochastics Reports Comments: Indexed cover-to-cover
 Documents Indexed: 529 Publications (since 2005) References Indexed: 468 Publications with 9,637 References.
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#### Latest Issues

 89, No. 8 (2017) 89, No. 6-7 (2017) 89, No. 5 (2017) 89, No. 3-4 (2017) 89, No. 2 (2017) 89, No. 1 (2017) 88, No. 8 (2016) 88, No. 7 (2016) 88, No. 6 (2016) 88, No. 5 (2016) 88, No. 4 (2016) 88, No. 3 (2016) 88, No. 2 (2016) 88, No. 1 (2016) 87, No. 6 (2015) 87, No. 5 (2015) 87, No. 4 (2015) 87, No. 3 (2015) 87, No. 2 (2015) 87, No. 1 (2015) 86, No. 6 (2014) 86, No. 5 (2014) 86, No. 4 (2014) 86, No. 3 (2014) 86, No. 2 (2014) 86, No. 1 (2014) 85, No. 6 (2013) 85, No. 5 (2013) 85, No. 4 (2013) 85, No. 3 (2013) 85, No. 2 (2013) 85, No. 1 (2013) 84, No. 5-6 (2012) 84, No. 4 (2012) 84, No. 2-3 (2012) 84, No. 1 (2012) 83, No. 4-6 (2011) 83, No. 3 (2011) 83, No. 2 (2011) 83, No. 1 (2011) 82, No. 4-6 (2010) 82, No. 1-3 (2010) 81, No. 6 (2009) 81, No. 5 (2009) 81, No. 3-4 (2009) 81, No. 2 (2009) 81, No. 1 (2009) 80, No. 6 (2008) 80, No. 5 (2008) 80, No. 4 (2008) 80, No. 2-3 (2008) 80, No. 1 (2008) 79, No. 6 (2007) 79, No. 5 (2007) 79, No. 3-4 (2007) 79, No. 1-2 (2007) 78, No. 6 (2006) 78, No. 5 (2006) 78, No. 4 (2006) 78, No. 3 (2006) 78, No. 2 (2006) 78, No. 1 (2006) 77, No. 6 (2005) 77, No. 5 (2005) 77, No. 4 (2005) 77, No. 3 (2005) 77, No. 2 (2005) 77, No. 1 (2005)
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#### Authors

 9 Øksendal, Bernt Karsten 8 Benth, Fred Espen 7 Ouerdiane, Habib 7 Ouknine, Youssef 6 Di Nunno, Giulia 5 Gapeev, Pavel V. 5 Jacka, Saul D. 5 Kifer, Yuri 5 Orsingher, Enzo 5 Peskir, Goran 4 Appleby, John A. D. 4 Hu, Shuhe 4 Mao, Xuerong 4 Mishura, Yuliya Stepanivna 4 Morlais, Marie-Amelie 4 Nualart, David 4 Pontier, Monique 4 Proske, Frank Norbert 4 Quenez, Marie-Claire 4 Rodkina, Alexandra 4 Tudor, Ciprian A. 4 Yin, Gang George 4 Yuan, Chenggui 4 Zervos, Mihail 3 Albeverio, Sergio A. 3 Bahlali, Khaled 3 Bayraktar, Erhan 3 Berti, Patrizia 3 Ceci, Claudia 3 da Silva, José Luís 3 Dokuchaev, Nikolai G. 3 Dufour, François 3 Evstigneev, Igor V. 3 Hamadene, Saïd 3 Kuhn, Christoph 3 Kushner, Harold J. 3 Lang, Annika 3 Macci, Claudio 3 Meyer-Brandis, Thilo 3 Mnif, Mohamed 3 Nagel, Werner 3 Novikov, Aleksandr Aleksandrovich 3 Privault, Nicolas 3 Rigo, Pietro 3 Shen, Aiting 3 Shiryaev, Al’bert Nikolaevich 3 Stockbridge, Richard H. 3 von Waldenfels, Wilhelm 3 Yan, Litan 3 Yin, George Gang 2 Accardi, Luigi 2 Amami, Rim 2 An, Ta Thi Kieu 2 Bao, Jianhai 2 Barhoumi, Abdessatar 2 Barth, Andrea 2 Basse-O’Connor, Andreas 2 Beghin, Luisa 2 Bensoussan, Alain 2 Blower, Gordon 2 Bo, Lijun 2 Buonaguidi, Bruno 2 Chen, Robert W. 2 Choulli, Tahir 2 Chow, Pao-Liu 2 Crisan, Dan O. 2 Cruzeiro, Ana-Bela 2 Dayanik, Savas 2 de Campagnolle, Marc Roger 2 Diop, Mamadou Abdoul 2 Djehiche, Boualem 2 Dolinsky, Yan 2 Engelbert, Hans Jürgen 2 Erraoui, Mohamed 2 Es-Sebaiy, Khalifa 2 Eyjolfsson, Heidar 2 Ezzinbi, Khalil 2 Fagnola, Franco 2 Fan, Shengjun 2 Gerhold, Stefan 2 Gheryani, Soumaya 2 Grigorescu, Ilie 2 Grothaus, Martin 2 Guo, Mingle 2 Hakassou, Antoine 2 Hashorva, Enkelejd 2 Helmes, Kurt L. 2 Hernández-Hernández, Daniel 2 Herzberg, Frederik S. 2 Heunis, Andrew J. 2 Hilbert, Astrid 2 Hillairet, Caroline 2 Hipp, Christian 2 Hobson, David G. 2 Horrigue, Samah 2 Hu, Yaozhong 2 Ignatov, Zvetan G. 2 Jamshidian, Farshid 2 Johnson, Timothy C. 2 Kaishev, Vladimir K. ...and 680 more Authors
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#### Fields

 474 Probability theory and stochastic processes (60-XX) 148 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 89 Systems theory; control (93-XX) 54 Statistics (62-XX) 47 Partial differential equations (35-XX) 34 Calculus of variations and optimal control; optimization (49-XX) 25 Numerical analysis (65-XX) 24 Ordinary differential equations (34-XX) 19 Operations research, mathematical programming (90-XX) 16 Functional analysis (46-XX) 15 Operator theory (47-XX) 12 Quantum theory (81-XX) 10 Dynamical systems and ergodic theory (37-XX) 8 Global analysis, analysis on manifolds (58-XX) 7 Measure and integration (28-XX) 6 Integral equations (45-XX) 5 General and overarching topics; collections (00-XX) 4 History and biography (01-XX) 4 Special functions (33-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Statistical mechanics, structure of matter (82-XX) 4 Biology and other natural sciences (92-XX) 3 Real functions (26-XX) 3 Fluid mechanics (76-XX) 2 Topological groups, Lie groups (22-XX) 2 Potential theory (31-XX) 2 Approximations and expansions (41-XX) 2 Differential geometry (53-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Field theory and polynomials (12-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Nonassociative rings and algebras (17-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Abstract harmonic analysis (43-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Computer science (68-XX) 1 Astronomy and astrophysics (85-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX)

#### Citations contained in zbMATH Open

415 Publications have been cited 2,224 times in 1,997 Documents Cited by Year
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
2012
Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients. Zbl 1304.65009
Mao, Xuerong; Szpruch, Lukasz
2013
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
2008
The stochastic Fubini theorem revisited. Zbl 1255.60086
Veraar, Mark
2012
Some properties of the sub-fractional Brownian motion. Zbl 1124.60038
Tudor, Constantin
2007
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Zbl 1337.60123
Kruse, T.; Popier, A.
2016
Pathwise uniqueness and continuous dependence for SDEs with non-regular drift. Zbl 1221.60081
Fedrizzi, E.; Flandoli, F.
2011
Almost sure exponential stability for stochastic neutral partial functional differential equations. Zbl 1115.60064
Govindan, T. E.
2005
A complete representation theorem for $$G$$-martingales. Zbl 1337.60130
Peng, Shige; Song, Yongsheng; Zhang, Jianfeng
2014
The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion. Zbl 1154.60046
Mishura, Yu; Shevchenko, G.
2008
On complete convergence of weighted sums for arrays of rowwise extended negatively dependent random variables. Zbl 1290.60040
Wang, Xuejun; Wang, Shijie; Hu, Shuhe; Ling, Jimin; Wei, Yunfei
2013
Simulation of stochastic partial differential equations using finite element methods. Zbl 1255.60114
Barth, Andrea; Lang, Annika
2012
Approximate McKean-Vlasov representations for a class of SPDEs. Zbl 1211.60022
Crisan, Dan; Xiong, Jie
2010
A harmonic function technique for the optimal stopping of diffusions. Zbl 1241.60022
Christensen, Sören; Irle, Albrecht
2011
Jump-diffusions in Hilbert spaces: existence, stability and numerics. Zbl 1230.60066
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
2010
Utility maximization in a jump market model. Zbl 1156.91380
Morlais, Marie-Amelie
2009
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
2014
Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise. Zbl 1177.39020
Appleby, John A. D.; Berkolaiko, Gregory; Rodkina, Alexandra
2009
A stochastic target formulation for optimal switching problems in finite horizon. Zbl 1175.60037
Bouchard, Bruno
2009
Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362
Ceci, Claudia
2006
Stochastic differential delay equations with jumps, under nonlinear growth condition. Zbl 1191.60081
Jacob, Niels; Wang, Yongtian; Yuan, Chenggui
2009
Large deviations for neutral functional SDEs with jumps. Zbl 1319.60124
Bao, Jianhai; Yuan, Chenggui
2015
Optimal stopping of Hunt and Lévy processes. Zbl 1114.60034
Mordecki, Ernesto; Salminen, Paavo
2007
Phase transitions of McKean-Vlasov processes in double-wells landscape. Zbl 1314.60118
Tugaut, Julian
2014
A global construction of homogeneous random planar tessellations that are stable under iteration. Zbl 1139.60011
Mecke, J.; Nagel, W.; Weiss, V.
2008
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
2012
Existence and uniqueness of path wise solutions for stochastic integral equations driven by Lévy noise on separable Banach spaces. Zbl 1119.60040
Mandrekar, V.; Rüdiger, B.
2006
On the local time of multifractional Brownian motion. Zbl 1124.60061
Boufoussi, B.; Dozzi, M.; Guerbaz, R.
2006
Cheridito, Patrick; Nam, Kihun
2015
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
2013
Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces. Zbl 1117.60056
Rüdiger, B.; Ziglio, G.
2006
Existence of an optimal control for stochastic control systems with nonlinear cost functional. Zbl 1200.93137
Buckdahn, R.; Labed, B.; Rainer, C.; Tamer, L.
2010
Risk-sensitive control of continuous time Markov chains. Zbl 1337.49046
Ghosh, Mrinal K.; Saha, Subhamay
2014
Existence and global attractiveness of a pseudo almost periodic solution in $$p$$-th mean sense for stochastic evolution equation driven by a fractional Brownian motion. Zbl 1337.60137
2015
Amplitude equations for SPDEs with cubic nonlinearities. Zbl 1291.60127
Blömker, Dirk; Mohammed, Wael W.
2013
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. Zbl 1298.91166
Jacquier, Antoine; Keller-Ressel, Martin; Mijatović, Aleksandar
2013
Multivariate regular variation on cones: Application to extreme values, hidden regular variation and conditioned limit laws. Zbl 1142.60042
Resnick, Sidney I.
2008
Hitting densities for spectrally positive stable processes. Zbl 1231.60042
Simon, Thomas
2011
The duality of optimal exercise and domineering claims: a Doob-Meyer decomposition approach to the Snell envelope. Zbl 1235.60039
Jamshidian, Farshid
2007
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
2011
Optimal stopping, Appell polynomials, and Wiener-Hopf factorization. Zbl 1248.60046
Salminen, Paavo
2011
Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise. Zbl 1422.62275
El Onsy, Brahim; Es-Sebaiy, Khalifa; Viens, Frederi G.
2017
A bulk quorum queueing system with a random setup time under $$N$$-policy and with Bernoulli vacation schedule. Zbl 1122.60082
2006
Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics. Zbl 1115.60043
Androshchuk, Taras; Mishura, Yuliya
2006
Moving randomly amid scattered obstacles. Zbl 1210.60111
Beghin, Luisa; Orsingher, Enzo
2010
Numerical solutions for jump-diffusions with regime switching. Zbl 1071.60050
Yin, G.; Song, Q. S.; Zhang, Z.
2005
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Zbl 1090.60057
Øksendal, Bernt; Proske, Frank; Zhang, Tusheng
2005
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
2007
Strong convergence for sequences of asymptotically almost negatively associated random variables. Zbl 1312.60024
Shen, Aiting; Wu, Ranchao
2014
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets. Zbl 1115.91025
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl
2005
An approach for solving perpetual optimal stopping problems driven by Lévy processes. Zbl 1156.60026
Surya, B. A.
2007
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
2017
Existence and exponential stability of almost automorphic mild solutions for stochastic functional differential equations. Zbl 1221.60078
Cao, Junfei; Yang, Qigui; Huang, Zaitang
2011
$$L^p$$-solution for BSDEs with jumps in the case $$p<2$$: Corrections to the paper ‘BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration’. Zbl 1394.60064
Kruse, T.; Popier, Alexandre
2017
Dynamic assessment indices. Zbl 1414.91420
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin
2016
Complete moment convergence for arrays of rowwise NSD random variables. Zbl 1337.60038
Shen, Aiting; Xue, Mingxiang; Volodin, Andrei
2016
Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029
Hobson, David
2007
Hedging with risk for game options in discrete time. Zbl 1151.91503
Dolinsky, Yan; Kifer, Yuri
2007
Almost sure weak convergence of random probability measures. Zbl 1100.60025
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro
2006
Hyperbolic and fractional hyperbolic Brownian motion. Zbl 1129.60038
Lao, Lanjun; Orsingher, Enzo
2007
Feynman-Kac formulas for regime-switching jump diffusions and their applications. Zbl 1337.60200
Zhu, Chao; Yin, George; Baran, Nicholas A.
2015
On convergence rate of Wiener-Itô expansion for generalized random variables. Zbl 1100.60037
Cao, Yanzhao
2006
White noise-based stochastic calculus with respect to multifractional Brownian motion. Zbl 1326.60079
Lebovits, Joachim; Lévy Véhel, Jacques
2014
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions. Zbl 1306.60040
Crocce, Fabián; Mordecki, Ernesto
2014
Sequential multi-hypothesis testing for compound Poisson processes. Zbl 1132.62061
Dayanik, Savas; Poor, H. Vincent; Sezer, Semih O.
2008
$$L^p$$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients. Zbl 1261.60053
Fan, Sheng Jun; Jiang, Long
2012
A note on the supremum of a stable process. Zbl 1139.60022
Doney, R. A.
2008
On financial markets based on telegraph processes. Zbl 1136.91013
Ratanov, Nikita; Melnikov, Alexander
2008
The explicit solution to a sequential switching problem with non-smooth data. Zbl 1195.93146
Johnson, Timothy C.; Zervos, Mihail
2010
Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type. Zbl 1205.60132
Lang, Annika; Chow, Pao-Liu; Potthoff, Jürgen
2010
Quantum stochastic integral representations of Fock space operators. Zbl 1178.81146
Ji, Un Cig; Obata, Nobuaki
2009
On the convergence of some Procrustean averaging algorithms. Zbl 1079.60018
Groisser, David
2005
Game approach to the optimal stopping problem. Zbl 1084.60027
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
2005
Optimal risk control and dividend policies under excess of loss reinsurance. Zbl 1076.93046
Mnif, Mohamed; Sulem, Agnès
2005
Global-in-time regularity via duality for congestion-penalized mean field games. Zbl 1395.91035
2017
Pricing Israeli options: a pathwise approach. Zbl 1284.91549
Kühn, C.; Kyprianou, A. E.; van Schaik, K.
2007
Explicit solutions to some optimal variance stopping problems. Zbl 1249.62006
Pedersen, Jesper Lund
2011
On the future infimum of positive self-similar Markov processes. Zbl 1100.60018
Pardo, J. C.
2006
Stochastic differential equations with time-dependent reflecting barriers. Zbl 1296.60175
Słomiński, Leszek; Wojciechowski, Tomasz
2013
Mixed fractional stochastic differential equations with jumps. Zbl 1307.60087
Shevchenko, Georgiy
2014
Dynkin games in a general framework. Zbl 1298.60050
Kobylanski, Magdalena; Quenez, Marie-Claire; de Campagnolle, Marc Roger
2014
On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time. Zbl 1251.93140
Dufour, Francois; Stockbridge, Richard H.
2012
Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion. Zbl 1082.60014
Leonenko, Nikolai; Taufer, Emanuele
2005
Equilibrium in two-player non-zero-sum Dynkin games in continuous time. Zbl 1284.91040
Laraki, Rida; Solan, Eilon
2013
Game-theoretic versions of strong law of large numbers for unbounded variables. Zbl 1183.60013
Kumon, Masayuki; Takemura, Akimichi; Takeuchi, Kei
2007
The existence and asymptotic behaviour of solutions to non-Lipschitz stochastic functional evolution equations driven by Poisson jumps. Zbl 1219.60064
Taniguchi, Takeshi
2010
Numerical approximations for nonlinear stochastic systems with delays. Zbl 1140.93497
Kushner, Harold J.
2005
Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications. Zbl 1394.60021
Wang, Xuejun; Wu, Yi; Rosalsky, Andrew
2017
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan
2014
Asymptotic stability of impulsive stochastic partial integrodifferential equations with delays. Zbl 1337.60136
Diop, Mamadou Abdoul; Ezzinbi, Khalil; Lo, Modou
2014
Weak laws of large numbers for arrays of dependent random variables. Zbl 1337.60028
Wang, Xinghui; Hu, Shuhe
2014
Asymptotics for randomly weighted and stopped dependent sums. Zbl 1338.62065
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
2016
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
2007
Some linear fractional stochastic equations. Zbl 1102.60050
Nourdin, Ivan; Tudor, Ciprian A.
2006
Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
2014
The Bouleau-Yor identity for a bi-fractional Brownian motion. Zbl 1319.60083
Yan, Litan; Gao, Bo; Liu, Junfeng
2014
Stationary distributions for retarded stochastic differential equations without dissipativity. Zbl 1379.60059
Bao, Jianhai; Yin, George; Yuan, Chenggui
2017
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
2008
Existence of martingale and stationary suitable weak solutions for a stochastic Navier-Stokes system. Zbl 1277.76012
Romito, Marco
2010
Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise. Zbl 1422.62275
El Onsy, Brahim; Es-Sebaiy, Khalifa; Viens, Frederi G.
2017
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
2017
$$L^p$$-solution for BSDEs with jumps in the case $$p<2$$: Corrections to the paper ‘BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration’. Zbl 1394.60064
Kruse, T.; Popier, Alexandre
2017
Global-in-time regularity via duality for congestion-penalized mean field games. Zbl 1395.91035
2017
Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications. Zbl 1394.60021
Wang, Xuejun; Wu, Yi; Rosalsky, Andrew
2017
Stationary distributions for retarded stochastic differential equations without dissipativity. Zbl 1379.60059
Bao, Jianhai; Yin, George; Yuan, Chenggui
2017
Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail
2017
Mixed generalized Dynkin game and stochastic control in a Markovian framework. Zbl 1361.60054
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès
2017
Exponential tightness for Gaussian processes, with applications to some sequences of weighted means. Zbl 1379.60042
Macci, Claudio; Pacchiarotti, Barbara
2017
Asymptotic optimal tracking: feedback strategies. Zbl 1397.93080
Cai, Jiatu; Rosenbaum, Mathieu; Tankov, Peter
2017
Singular recursive utility. Zbl 1394.60060
Dahl, K. R.; Øksendal, B.
2017
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs. Zbl 1410.91133
Grigorova, Miryana; Quenez, Marie-Claire
2017
Nonconventional polynomial CLT. Zbl 1379.60026
Hafouta, Yeor; Kifer, Yuri
2017
Asymptotic ruin probabilities for a bidimensional renewal risk model. Zbl 1394.60090
Yang, Haizhong; Li, Jinzhu
2017
Perron’s method for viscosity solutions of semilinear path dependent PDEs. Zbl 1394.60070
Ren, Zhenjie
2017
A Malliavin-Skorohod calculus in $$L^{0}$$ and $$L^{1}$$ for additive and Volterra-type processes. Zbl 1361.60038
Di Nunno, Giulia; Vives, Josep
2017
Partially observable stochastic optimal control problems for an energy storage. Zbl 1364.49033
Shardin, Anton A.; Wunderlich, Ralf
2017
The exponential behaviour and stabilizability of stochastic 2D hydrodynamical type systems. Zbl 1379.60062
Anh, Cung The; Da, Nguyen Tien
2017
No-arbitrage for informational discrete time market models. Zbl 1410.91243
Choulli, Tahir; Deng, Jun
2017
Random attractors for the three dimensional stochastical planetary geostrophic equations of large-scale Ocean circulation. Zbl 1394.60075
You, Bo
2017
General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general $$g$$-supermartingales. Zbl 1394.60066
Xiao, Lishun; Fan, Shengjun
2017
An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space. Zbl 1395.91031
Basna, Rani; Hilbert, Astrid; Kolokoltsov, Vassili N.
2017
One dimensional BSDEs with logarithmic growth application to PDEs. Zbl 1394.60058
Bahlali, Khaled; Kebiri, Omar; Khelfallah, Nabil; Moussaoui, Hadjer
2017
The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
2017
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
2017
Risk-sensitive investment in a finite-factor model. Zbl 1411.91474
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien
2017
The investment horizon problem: a possible resolution. Zbl 1411.91473
Aase, Knut K.
2017
On the policy improvement algorithm in continuous time. Zbl 1380.93289
Jacka, Saul D.; Mijatović, Aleksandar
2017
On critical cases in limit theory for stationary increments Lévy driven moving averages. Zbl 1379.60050
Basse-O&rsquo;Connor, Andreas; Podolskij, Mark
2017
A fractional Heston model with $$H>1/2$$. Zbl 1366.91112
Alòs, Elisa; Yang, Yan
2017
Continuity of the Feynman-Kac formula for a generalized parabolic equation. Zbl 1394.60065
Pardoux, Etienne; Răşcanu, Aurel
2017
Mixing properties of stationary Poisson cylinder models. Zbl 1394.60009
Bräu, Christian; Heinrich, Lothar
2017
Jacobi sequences of squares of random variables. Zbl 1394.60010
Accardi, Luigi; Barhoumi, Abdessatar; Rhaima, Mohamed
2017
Strong approximation of stochastic processes at random times and application to their exact simulation. Zbl 1394.60062
2017
On quantum versions of the classical Wasserstein distance. Zbl 1395.81141
Agredo, J.; Fagnola, Franco
2017
$$P(\phi)_1$$-process for the spin-boson model and a functional central limit theorem for associated additive functionals. Zbl 1394.60025
Gheryani, Soumaya; Hiroshima, Fumio; Lorinczi, József; Majid, Achref; Ouerdiane, Habib
2017
Bak-Sneppen backwards. Zbl 1394.60077
Alberts, Tom; Lee, Ga Yeong; Simper, Mackenzie
2017
On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030
Gapeev, Pavel V.; Stoev, Yavor I.
2017
Some contributions to the study of stochastic processes of the classes $$\Sigma (H)$$ and $$(\Sigma)$$. Zbl 1394.60056
Eyi-Obiang, Fulgence; Ouknine, Youssef; Moutsinga, Octave; Trutnau, Gerald
2017
A BSDE arising in an exponential utility maximization problem in a pure jump market model. Zbl 1411.91575
Mereu, Carla; Stelzer, Robert
2017
Penalty method for reflected diffusions on the half-line. Zbl 1379.60091
Bruggeman, Cameron; Sarantsev, Andrey
2017
A new sufficient condition for uniform integrability of stochastic exponentials. Zbl 1379.60047
Chikvinidze, B.
2017
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Zbl 1337.60123
Kruse, T.; Popier, A.
2016
Dynamic assessment indices. Zbl 1414.91420
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin
2016
Complete moment convergence for arrays of rowwise NSD random variables. Zbl 1337.60038
Shen, Aiting; Xue, Mingxiang; Volodin, Andrei
2016
Asymptotics for randomly weighted and stopped dependent sums. Zbl 1338.62065
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
On the practical global uniform asymptotic stability of stochastic differential equations. Zbl 1337.60117
Caraballo, Tomás; Hammami, Mohamed Ali; Mchiri, Lassaad
2016
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
2016
Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach. Zbl 1337.60153
2016
Optimal impulsive control of piecewise deterministic Markov processes. Zbl 1356.90158
Dufour, F.; Horiguchi, M.; Piunovskiy, A. B.
2016
On a fractional impulsive partial stochastic integro-differential equation with state-dependent delay and optimal controls. Zbl 1354.34133
Yan, Zuomao; Jia, Xiumei
2016
$$L^p$$ solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions. Zbl 1337.60122
Hu, Feng; Chen, Zengjing
2016
The Bahadur representation of sample quantiles for weakly dependent sequences. Zbl 1341.62085
Wang, Yiwei; Yang, Wenzhi; Hu, Shuhe
2016
General financial market model defined by a liquidation value process. Zbl 1338.91166
Lepinette, Emmanuel; Tran, Tuan
2016
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes. Zbl 1352.60058
Lee, Chihoon; Song, Jian
2016
Analysis of the density of the solution to a semilinear SPDE with fractional noise. Zbl 1352.60089
Liu, Junfeng; Tudor, Ciprian A.
2016
A new existence result for second-order BSDEs with quadratic growth and their applications. Zbl 1337.60126
Lin, Yiqing
2016
Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation. Zbl 1337.60115
Baños, David; Nilssen, Torstein
2016
First crossing time, overshoot and Appell-Hessenberg type functions. Zbl 1352.60069
Ignatov, Zvetan G.; Kaishev, Vladimir K.
2016
Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications. Zbl 1337.60091
Ivanov, Roman V.; Ano, Katsunori
2016
Reduction of Markov chains with two-time-scale state transitions. Zbl 1337.60182
Jia, Chen
2016
Fundamental equations with higher order Malliavin operators. Zbl 1337.60113
Levajković, Tijana; Pilipović, Stevan; Seleši, Dora
2016
Volume growth and escape rate of symmetric diffusion processes. Zbl 1361.58016
Ouyang, Shunxiang
2016
The $$\beta$$-mixing rate of STIT tessellations. Zbl 1344.60016
Martínez, S.; Nagel, W.
2016
A representation theorem for smooth Brownian martingales. Zbl 1352.60062
Jin, Sixian; Peng, Qidi; Schellhorn, Henry
2016
Integration by parts formula and applications for SPDEs with jumps. Zbl 1352.60078
Wang, Feng-Yu
2016
Regularity of strong solutions of one-dimensional SDE’s with discontinuous and unbounded drift. Zbl 1366.60083
Nilssen, Torstein
2016
Stationary measures for stochastic differential equations with jumps. Zbl 1351.28027
Qiao, Huijie; Duan, Jinqiao
2016
Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value. Zbl 1367.91085
Cheng, Gongpin; Wang, Rongming; Fan, Kun
2016
Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift. Zbl 1335.62151
Jiang, Hui; Xie, Chen
2016
Maximum likelihood estimation for the drift parameter in diffusion processes. Zbl 1367.62247
Wei, Chao; Shu, Huisheng
2016
Joint distributions for stochastic functional differential equations. Zbl 1362.34120
Takeuchi, Atsushi
2016
On the convergence of the product of independent random operators. Zbl 1352.60095
Thang, Dang Hung; Son, Ta Cong
2016
Asymptotically almost automorphic solutions to stochastic differential equations driven by a Lévy process. Zbl 1366.60081
Chang, Yong-Kui; Tang, Chao
2016
On transience of Lévy-type processes. Zbl 1352.60068
Sandrić, Nikola
2016
Exact convergence rate of the Wong-Zakai approximation to RDEs driven by Gaussian rough paths. Zbl 1352.60100
Naganuma, Nobuaki
2016
Stratonovich-type integral with respect to a general stochastic measure. Zbl 1352.60075
2016
Stochastic recursive inclusion in two timescales with an application to the Lagrangian dual problem. Zbl 1366.62160
Ramaswamy, Arunselvan; Bhatnagar, Shalabh
2016
Large deviations for neutral functional SDEs with jumps. Zbl 1319.60124
Bao, Jianhai; Yuan, Chenggui
2015
Cheridito, Patrick; Nam, Kihun
2015
Existence and global attractiveness of a pseudo almost periodic solution in $$p$$-th mean sense for stochastic evolution equation driven by a fractional Brownian motion. Zbl 1337.60137
2015
Feynman-Kac formulas for regime-switching jump diffusions and their applications. Zbl 1337.60200
Zhu, Chao; Yin, George; Baran, Nicholas A.
2015
Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space. Zbl 1325.60094
Nguyen Tien Dung
2015
Worst-case portfolio optimization with proportional transaction costs. Zbl 1414.91329
Belak, Christoph; Menkens, Olaf; Sass, Jörn
2015
Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients. Zbl 1321.49064
2015
Derivative for self-intersection local time of multidimensional fractional Brownian motion. Zbl 1337.60068
Yan, Litan; Yu, Xianye
2015
Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities. Zbl 1317.90317
Dufour, François; Prieto-Rumeau, Tomás
2015
Boundary non-crossing probabilities for fractional Brownian motion with trend. Zbl 1337.60065
Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg
2015
Complete moment convergence of pairwise NQD random variables. Zbl 1320.60086
Yang, Wenzhi; Hu, Shuhe
2015
Integration with respect to Lévy colored noise, with applications to SPDEs. Zbl 1325.60080
Balan, Raluca M.
2015
Limiting behaviour for arrays of row-wise END random variables under conditions of $$h$$-integrability. Zbl 1325.60036
Wu, Yongfeng; Peng, Jiangyan; Hu, Tien-Chung
2015
On estimation of the extended Orey index for Gaussian processes. Zbl 1337.60053
Kubilius, K.
2015
On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process. Zbl 1408.60071
Vakeroudis, Stavros
2015
Complete convergence for weighted sums of LNQD random variables. Zbl 1319.60038
Shen, Aiting; Zhu, Huayan; Wu, Ranchao; Zhang, Ying
2015
On the rate of convergence in the strong law of large numbers for martingales. Zbl 1332.60045
Miao, Yu; Yang, Guangyu; Stoica, George
2015
Generalized grey Brownian motion local time: existence and weak approximation. Zbl 1321.60160
da Silva, José Luís; Erraoui, Mohamed
2015
A stochastic approach to a new type of parabolic variational inequalities. Zbl 1341.60071
Nie, Tianyang
2015
A full balance sheet two-mode optimal switching problem. Zbl 1343.60046
Djehiche, Boualem; Hamdi, Ali
2015
Stochastic Lagrangian flows on the group of volume-preserving homeomorphisms of the spheres. Zbl 1338.58024
Luo, Dejun
2015
...and 315 more Documents
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#### Cited by 2,425 Authors

 26 Wang, Xuejun 22 Yan, Litan 14 Hu, Shuhe 14 Mishura, Yuliya Stepanivna 14 Yamazaki, Kazutoshi 13 Ouknine, Youssef 13 Shen, Aiting 13 Shen, Guangjun 13 Wu, Yi 12 Ceci, Claudia 12 Leonenko, Nikolai N. 12 Rodkina, Alexandra 12 Siu, Tak Kuen 10 Christensen, Soren 10 Øksendal, Bernt Karsten 10 Peskir, Goran 9 Bayraktar, Erhan 9 Ji, Shaolin 9 Orsingher, Enzo 9 Possamaï, Dylan 9 Reisinger, Christoph 9 Ren, Yong 9 Röckner, Michael 9 Shen, Yang 9 Shevchenko, Georgiy M. 9 Xi, Fubao 9 Yuan, Chenggui 8 Benth, Fred Espen 8 Cui, Jing 8 De Gregorio, Alessandro 8 Diop, Mamadou Abdoul 8 Dolinsky, Yan 8 Gapeev, Pavel V. 8 Hu, Mingshang 8 Hu, Yaozhong 8 Jacquier, Antoine 8 Jentzen, Arnulf 8 Kifer, Yuri 8 Klimsiak, Tomasz 8 Li, Xun 8 Mao, Xuerong 8 Mohammed, Wael W. 8 Neuenkirch, Andreas 8 Pérez Garmendia, Jose Luis 8 Pham, Huyên 8 Popier, Alexandre 8 Tudor, Ciprian A. 8 Xiong, Jie 7 Buonaguidi, Bruno 7 Crepey, Stephane 7 Es-Sebaiy, Khalifa 7 Fuhrman, Marco 7 Grothaus, Martin 7 Hu, Ying 7 Ke, Jauchuan 7 Liu, Junfeng 7 Menoukeu Pamen, Olivier 7 Muhle-Karbe, Johannes 7 Proske, Frank Norbert 7 Salminen, Paavo H. 7 Sulem, Agnès 7 Sun, Xichao 7 Thäle, Christoph 7 Viens, Frederi G. 7 Volodin, Andrei I. 7 Zhang, Yi 6 Albeverio, Sergio A. 6 Blömker, Dirk 6 Braverman, Elena 6 Caraballo Garrido, Tomás 6 Di Nunno, Giulia 6 Escobar, Marcos 6 Fan, Shengjun 6 Guo, Yongjiang 6 Hamadene, Saïd 6 Khedher, Asma 6 Kruse, Thomas 6 Lang, Annika 6 Liu, Wei 6 Meng, Qingxin 6 Meyer-Brandis, Thilo 6 Milošević, Marija 6 Nagel, Werner 6 Piunovskiĭ, Alekseĭ Borisovich 6 Rodríguez-Dagnino, Ramón Martín 6 Takemura, Akimichi 6 Tappe, Stefan 6 Yan, Zuomao 6 Yang, Wenzhi 6 Yao, Song 6 Zagst, Rudi 6 Zhitlukhin, Mikhail V. 6 Zhu, Chao 5 Barth, Andrea 5 Bielecki, Tomasz R. 5 Carrillo de la Plata, José Antonio 5 Cretarola, Alessandra 5 Dalang, Robert C. 5 Dufour, François 5 Fakhouri, Imade ...and 2,325 more Authors
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#### Cited in 319 Journals

 125 Stochastic Processes and their Applications 63 Statistics & Probability Letters 54 Journal of Mathematical Analysis and Applications 47 SIAM Journal on Control and Optimization 42 Journal of Computational and Applied Mathematics 39 Journal of Theoretical Probability 38 Applied Mathematics and Optimization 36 Journal of Applied Probability 36 Insurance Mathematics & Economics 34 Finance and Stochastics 33 Advances in Applied Probability 33 The Annals of Applied Probability 33 Stochastics 29 International Journal of Theoretical and Applied Finance 27 Bernoulli 26 SIAM Journal on Financial Mathematics 25 Stochastic Analysis and Applications 24 Advances in Difference Equations 23 Stochastics and Dynamics 21 Journal of Statistical Physics 21 The Annals of Probability 21 Applied Mathematics and Computation 21 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 21 Abstract and Applied Analysis 19 Mathematical Methods of Operations Research 16 Applied Mathematical Finance 16 Electronic Journal of Probability 16 Mathematical Finance 16 Methodology and Computing in Applied Probability 14 Journal of Optimization Theory and Applications 14 Potential Analysis 14 Discrete and Continuous Dynamical Systems. Series B 14 Mathematics and Financial Economics 13 Computers & Mathematics with Applications 13 Mathematics of Operations Research 13 Probability Theory and Related Fields 13 Journal of Inequalities and Applications 12 Mathematical Problems in Engineering 12 Acta Mathematica Sinica. English Series 12 Modern Stochastics. Theory and Applications 11 Theory of Probability and its Applications 11 Journal of Differential Equations 11 Random Operators and Stochastic Equations 11 Journal of the Korean Statistical Society 11 Frontiers of Mathematics in China 11 International Journal of Stochastic Analysis 11 Afrika Matematika 11 Mathematical Control and Related Fields 10 Journal of Mathematical Physics 10 Automatica 10 Theory of Probability and Mathematical Statistics 10 Statistical Papers 10 Scandinavian Actuarial Journal 9 International Journal of Control 9 Journal of Functional Analysis 9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 9 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 9 Quantitative Finance 8 Communications in Mathematical Physics 8 Lithuanian Mathematical Journal 8 Systems & Control Letters 8 Operations Research Letters 8 European Journal of Operational Research 8 SIAM Journal on Mathematical Analysis 8 Bulletin des Sciences Mathématiques 8 Electronic Communications in Probability 8 Discrete and Continuous Dynamical Systems 8 Infinite Dimensional Analysis, Quantum Probability and Related Topics 8 Extremes 8 Annals of Finance 8 Stochastic and Partial Differential Equations. Analysis and Computations 7 BIT 7 Applied Numerical Mathematics 7 Acta Mathematicae Applicatae Sinica. English Series 7 Sequential Analysis 7 Journal of Economic Dynamics & Control 7 Applied Mathematics Letters 7 Communications in Statistics. Theory and Methods 7 Communications in Nonlinear Science and Numerical Simulation 7 Decisions in Economics and Finance 7 Journal of Industrial and Management Optimization 7 Journal of Mathematical Inequalities 7 Probability, Uncertainty and Quantitative Risk 6 Journal of Statistical Planning and Inference 6 SIAM Journal on Numerical Analysis 6 Bulletin of the Korean Mathematical Society 6 Probability and Mathematical Statistics 6 Acta Applicandae Mathematicae 6 Applied Mathematics. Series B (English Edition) 6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 6 Fractional Calculus & Applied Analysis 6 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 6 Journal of Function Spaces 5 Chaos, Solitons and Fractals 5 Mathematics and Computers in Simulation 5 Statistics 5 Optimization 5 Annals of Operations Research 5 Applied Mathematical Modelling 5 NoDEA. Nonlinear Differential Equations and Applications ...and 219 more Journals
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#### Cited in 52 Fields

 1,575 Probability theory and stochastic processes (60-XX) 567 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 358 Systems theory; control (93-XX) 247 Partial differential equations (35-XX) 201 Numerical analysis (65-XX) 200 Statistics (62-XX) 182 Calculus of variations and optimal control; optimization (49-XX) 120 Ordinary differential equations (34-XX) 116 Operations research, mathematical programming (90-XX) 45 Dynamical systems and ergodic theory (37-XX) 44 Statistical mechanics, structure of matter (82-XX) 41 Operator theory (47-XX) 33 Biology and other natural sciences (92-XX) 31 Functional analysis (46-XX) 28 Integral equations (45-XX) 23 Fluid mechanics (76-XX) 22 Real functions (26-XX) 21 Difference and functional equations (39-XX) 18 Measure and integration (28-XX) 18 Special functions (33-XX) 17 Quantum theory (81-XX) 15 Computer science (68-XX) 11 Differential geometry (53-XX) 11 Information and communication theory, circuits (94-XX) 10 Combinatorics (05-XX) 10 Linear and multilinear algebra; matrix theory (15-XX) 10 Global analysis, analysis on manifolds (58-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 7 Abstract harmonic analysis (43-XX) 6 Mathematical logic and foundations (03-XX) 5 Number theory (11-XX) 5 Convex and discrete geometry (52-XX) 4 Topological groups, Lie groups (22-XX) 4 Functions of a complex variable (30-XX) 4 Potential theory (31-XX) 4 Approximations and expansions (41-XX) 3 Field theory and polynomials (12-XX) 3 Sequences, series, summability (40-XX) 3 Integral transforms, operational calculus (44-XX) 3 General topology (54-XX) 3 Mechanics of particles and systems (70-XX) 3 Classical thermodynamics, heat transfer (80-XX) 3 Geophysics (86-XX) 2 History and biography (01-XX) 2 Nonassociative rings and algebras (17-XX) 2 Group theory and generalizations (20-XX) 2 Geometry (51-XX) 2 Optics, electromagnetic theory (78-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Associative rings and algebras (16-XX) 1 Category theory; homological algebra (18-XX) 1 Mathematics education (97-XX)