Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!
Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Stochastic Processes and their Applications / Elsevier

0.2

Impact Factor

0.23

5-Years IF

22

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.010.090.02666690.14821301330528 (34.1%)0.03
19910.096613220.0212313234227 (22%)0.04
19920.0908421650.02151132346153 (35.1%)0.04
19930.010.10.01103319100.031821501346368 (37.4%)0.05
19940.11012844750.01213187385178 (36.6%)0.05
19950.090.190.1119566930.16246231214474590 (36.6%)10.010.07
19960.110.230.11906561120.17160247265005640 (25%)0.09
19970.10.270.091047601230.16160209205244971 (44.4%)50.050.09
19980.050.270.09848441090.13186194105444970 (37.6%)20.020.1
19990.10.310.11049481500.16212188185255279 (37.3%)10.010.13
20000.090.390.1110810561470.14221188175015382 (37.1%)20.020.15
20010.120.410.119411501920.17171212264905685 (49.7%)50.050.16
20020.080.430.097312231380.11168202174944367 (39.9%)0.19
20030.080.450.097913021700.13235167144634297 (41.3%)60.080.19
20040.190.510.179213942210.16199152294587860 (30.2%)50.050.21
20050.10.540.119014841650.11159171174464956 (35.2%)20.020.22
20060.120.520.179515792010.13193182224287173 (37.8%)70.070.21
20070.130.450.199516742620.16173185244298056 (32.4%)10.010.18
20080.170.480.1910317773340.19186190324518457 (30.6%)110.110.2
20090.190.480.2217819553620.1927219837475103106 (39%)80.040.19
20100.190.440.2211020653610.171082815456112546 (42.6%)60.050.16
20110.160.530.212721923120.141182884758111552 (44.1%)20.020.21
20120.140.580.1711923113480.15602373261310428 (46.7%)30.030.22
20130.190.710.2314624574910.2912464663714638 (41.8%)60.040.25
20140.20.810.2312725844780.1841265526801597 (17.1%)150.120.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

[Click on heading to sort table]

YearTitleCited
1981Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260.

Full description at Econpapers || Download paper

296
2008Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559.

Full description at Econpapers || Download paper

52
2009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Podolskij, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

52
1999A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342.

Full description at Econpapers || Download paper

45
1983A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316.

Full description at Econpapers || Download paper

44
2000Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120.

Full description at Econpapers || Download paper

42
1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes. (1989). de Vries, Casper G. ; Resnick, Sidney I. ; de Haan, Laurens ; Rootzen, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224.

Full description at Econpapers || Download paper

40
2002Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115.

Full description at Econpapers || Download paper

38
1985Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303.

Full description at Econpapers || Download paper

36
2006Limit theorems for multipower variation in the presence of jumps. (2006). Winkel, Matthias ; Barndorff-Nielsen, Ole E. ; Shephard, Neil . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806.

Full description at Econpapers || Download paper

35
1991Option hedging for semimartingales. (1991). Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363.

Full description at Econpapers || Download paper

35
2004Dynamic coherent risk measures. (2004). . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

35
1994Subexponentiality of the product of independent random variables. (1994). Cline, D. B. H., ; Samorodnitsky, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:1:p:75-98.

Full description at Econpapers || Download paper

34
2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325.

Full description at Econpapers || Download paper

34
1996Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101.

Full description at Econpapers || Download paper

33
2003On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212.

Full description at Econpapers || Download paper

33
1998Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172.

Full description at Econpapers || Download paper

33
1993Risk theory in a stochastic economic environment. (1993). Paulsen, Jostein . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361.

Full description at Econpapers || Download paper

33
1990Nonparametric regression with long-range dependence. (1990). HART, Jeffrey D. ; Hall, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351.

Full description at Econpapers || Download paper

31
2004Russian and American put options under exponential phase-type Lévy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111.

Full description at Econpapers || Download paper

29
1998Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97.

Full description at Econpapers || Download paper

27
2002Power tailed ruin probabilities in the presence of risky investments. (2002). Norberg, Ragnar ; Kalashnikov, Vladimir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:98:y:2002:i:2:p:211-228.

Full description at Econpapers || Download paper

23
1994Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms. (1994). Roberts, G. O. ; Smith, A. F. M., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216.

Full description at Econpapers || Download paper

22
1986Estimation in nonlinear time series models. (1986). Tjostheim, Dag . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:251-273.

Full description at Econpapers || Download paper

22
2007Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662.

Full description at Econpapers || Download paper

21
1992Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143.

Full description at Econpapers || Download paper

21
1995Fractional ARIMA with stable innovations. (1995). Taqqu, Murad S. ; Kokoszka, Piotr S.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:60:y:1995:i:1:p:19-47.

Full description at Econpapers || Download paper

20
2007A forward scheme for backward SDEs. (2007). Bender, Christian ; Denk, Robert . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812.

Full description at Econpapers || Download paper

20
1982On convolution tails. (1982). Goldie, Charles M. ; Embrechts, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:13:y:1982:i:3:p:263-278.

Full description at Econpapers || Download paper

20
1996On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168.

Full description at Econpapers || Download paper

20
1993Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence. (1993). Heyde, C. C. ; Gay, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:45:y:1993:i:1:p:169-182.

Full description at Econpapers || Download paper

20
1986Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). Collomb, Gerard ; Hardle, Wolfgang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89.

Full description at Econpapers || Download paper

20
1986On smoothed probability density estimation for stationary processes. (1986). Castellana, J. V. ; Leadbetter, M. R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:179-193.

Full description at Econpapers || Download paper

20
1992M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180.

Full description at Econpapers || Download paper

20
2003Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129.

Full description at Econpapers || Download paper

19
1984Optimum portfolio diversification in a general continuous-time model. (1984). Aase, Knut Kristian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:18:y:1984:i:1:p:81-98.

Full description at Econpapers || Download paper

18
1998Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286.

Full description at Econpapers || Download paper

18
2001Finite and infinite time ruin probabilities in a stochastic economic environment. (2001). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:92:y:2001:i:2:p:265-285.

Full description at Econpapers || Download paper

18
2000Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48.

Full description at Econpapers || Download paper

18
1975Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. (1975). Tweedie, Richard L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403.

Full description at Econpapers || Download paper

18
1999On the ruin probabilities in a general economic environment. (1999). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:83:y:1999:i:2:p:319-330.

Full description at Econpapers || Download paper

17
1995Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273.

Full description at Econpapers || Download paper

17
1991Time-dependent coefficients in a Cox-type regression model. (1991). Sen, P. K. ; Murphy, S. A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180.

Full description at Econpapers || Download paper

16
1977Estimation of a time series model from unequally spaced data. (1977). Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24.

Full description at Econpapers || Download paper

16
1977Asymptotic behaviour of Wiener-Hopf factors of a random walk. (1977). VERAVERBEKE, N.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:5:y:1977:i:1:p:27-37.

Full description at Econpapers || Download paper

16
1999Ruin problems with assets and liabilities of diffusion type. (1999). Norberg, Ragnar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:81:y:1999:i:2:p:255-269.

Full description at Econpapers || Download paper

15
2008A note on the central limit theorem for bipower variation of general functions. (2008). Podolskij, Mark ; Kinnebrock, Silja . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:6:p:1056-1070.

Full description at Econpapers || Download paper

15
2003A new covariance inequality and applications. (2003). Dedecker, Jerome ; Doukhan, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:106:y:2003:i:1:p:63-80.

Full description at Econpapers || Download paper

15
2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206.

Full description at Econpapers || Download paper

14
1977Ruin problems with compounding assets. (1977). Harrison, Michael J.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:5:y:1977:i:1:p:67-79.

Full description at Econpapers || Download paper

14

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
1981Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260.

Full description at Econpapers || Download paper

34
2009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Podolskij, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

26
2008Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559.

Full description at Econpapers || Download paper

24
2004Russian and American put options under exponential phase-type Lévy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111.

Full description at Econpapers || Download paper

15
2004Dynamic coherent risk measures. (2004). . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

15
2007A forward scheme for backward SDEs. (2007). Bender, Christian ; Denk, Robert . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812.

Full description at Econpapers || Download paper

13
1994Subexponentiality of the product of independent random variables. (1994). Cline, D. B. H., ; Samorodnitsky, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:1:p:75-98.

Full description at Econpapers || Download paper

13
1998Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97.

Full description at Econpapers || Download paper

12
2002Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115.

Full description at Econpapers || Download paper

11
1995On pathwise stochastic integration. (1995). Karandikar, Rajeeva L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:57:y:1995:i:1:p:11-18.

Full description at Econpapers || Download paper

11
2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253.

Full description at Econpapers || Download paper

10
2007Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. (2007). Kramkov, D. ; Sirbu, M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1606-1620.

Full description at Econpapers || Download paper

10
2011Martingale representation theorem for the G-expectation. (2011). Zhang, Jianfeng ; Touzi, Nizar ; Soner, Mete H.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:265-287.

Full description at Econpapers || Download paper

10
1999A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342.

Full description at Econpapers || Download paper

10
2007Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662.

Full description at Econpapers || Download paper

9
2008Solvability of backward stochastic differential equations with quadratic growth. (2008). Tevzadze, Revaz . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:3:p:503-515.

Full description at Econpapers || Download paper

9
2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325.

Full description at Econpapers || Download paper

9
2003On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212.

Full description at Econpapers || Download paper

9
1985Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303.

Full description at Econpapers || Download paper

8
2011Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844.

Full description at Econpapers || Download paper

8
1992M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180.

Full description at Econpapers || Download paper

8
2011Nonsynchronous covariation process and limit theorems. (2011). Yoshida, Nakahiro ; Hayashi, Takaki . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:10:p:2416-2454.

Full description at Econpapers || Download paper

8
2003Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129.

Full description at Econpapers || Download paper

8
1983A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316.

Full description at Econpapers || Download paper

8
1991Option hedging for semimartingales. (1991). Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363.

Full description at Econpapers || Download paper

8
1998Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172.

Full description at Econpapers || Download paper

7
1994Dynamic spanning without probabilities. (1994). Bick, Avi ; Willinger, Walter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:50:y:1994:i:2:p:349-374.

Full description at Econpapers || Download paper

7
2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206.

Full description at Econpapers || Download paper

7
2013Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121.

Full description at Econpapers || Download paper

7
2009Power variation for Gaussian processes with stationary increments. (2009). Corcuera, Jose Manuel ; Barndorff-Nielsen, Ole E. ; Podolskij, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:6:p:1845-1865.

Full description at Econpapers || Download paper

7
2014Splitting multidimensional BSDEs and finding local equilibria. (2014). Frei, Christoph . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2654-2671.

Full description at Econpapers || Download paper

6
2009Asymptotic analysis of hedging errors in models with jumps. (2009). Voltchkova, Ekaterina ; Tankov, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:6:p:2004-2027.

Full description at Econpapers || Download paper

6
1977Estimation of a time series model from unequally spaced data. (1977). Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24.

Full description at Econpapers || Download paper

6
1998Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286.

Full description at Econpapers || Download paper

6
2006Backward stochastic differential equations with jumps and related non-linear expectations. (2006). Royer, Manuela . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:10:p:1358-1376.

Full description at Econpapers || Download paper

6
2011Occupation times of spectrally negative Lévy processes with applications. (2011). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2629-2641.

Full description at Econpapers || Download paper

6
2009Bipower-type estimation in a noisy diffusion setting. (2009). Podolskij, Mark ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:9:p:2803-2831.

Full description at Econpapers || Download paper

6
2009Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups. (2009). Vecer, Jan ; Hadjiliadis, Olympia ; Pospisil, Libor . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:8:p:2563-2578.

Full description at Econpapers || Download paper

6
1975Importance of system components and fault tree events. (1975). Proschan, Frank ; Barlow, Richard E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:2:p:153-173.

Full description at Econpapers || Download paper

6
2009Mean-field backward stochastic differential equations and related partial differential equations. (2009). Li, Juan ; Peng, Shige ; Buckdahn, Rainer . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3133-3154.

Full description at Econpapers || Download paper

6
2000Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120.

Full description at Econpapers || Download paper

6
2009Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion. (2009). Saussereau, Bruno ; Nualart, David . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:391-409.

Full description at Econpapers || Download paper

6
2009Time consistent dynamic risk processes. (2009). Bion-Nadal, Jocelyne . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:633-654.

Full description at Econpapers || Download paper

6
2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286.

Full description at Econpapers || Download paper

6
2013A simple constructive approach to quadratic BSDEs with or without delay. (2013). Briand, Philippe ; Elie, Romuald . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:2921-2939.

Full description at Econpapers || Download paper

6
2000Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48.

Full description at Econpapers || Download paper

6
2005Super-replication and utility maximization in large financial markets. (2005). De Donno, M. ; Guasoni, P. ; Pratelli, M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:12:p:2006-2022.

Full description at Econpapers || Download paper

5
2011Asymptotic results for time-changed Lévy processes sampled at hitting times. (2011). Rosenbaum, Mathieu ; Tankov, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:7:p:1607-1632.

Full description at Econpapers || Download paper

5
2010Realized volatility with stochastic sampling. (2010). Fukasawa, Masaaki . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:6:p:829-852.

Full description at Econpapers || Download paper

5
2007Horizon-unbiased utility functions. (2007). Hobson, David ; Henderson, Vicky . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1621-1641.

Full description at Econpapers || Download paper

5

Citing documents used to compute impact factor 52:

[Click on heading to sort table]

YearTitleSee
2014Limit theorems for strongly and intermediately supercritical branching processes in random environment with linear fractional offspring distributions. (2014). Boinghoff, Christian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3553-3577.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Exponential stock models driven by tempered stable processes. (2014). Tappe, Stefan ; Kuchler, Uwe . In: Journal of Econometrics. RePEc:eee:econom:v:181:y:2014:i:1:p:53-63.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Determinantal martingales and noncolliding diffusion processes. (2014). Katori, Makoto . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3724-3768.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Limit theorems for power variations of ambit fields driven by white noise. (2014). Pakkanen, Mikko S.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:5:p:1942-1973.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Discretization of Lévy semistationary processes with application to estimation. (2014). Lunde, Asger ; Pakkanen, Mikko S. ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2014-21.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Stability of the exponential utility maximization problem with respect to preferences. (2014). Xing, Hao . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:57213.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Multi-dimensional smoothing transformations: Existence, regularity and stability of fixed points. (2014). Matthes, Daniel ; Bassetti, Federico . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:154-198.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the hedging of options on exploding exchange rates. (2014). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:115-144.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Stochastic equations of super-Lévy processes with general branching mechanism. (2014). He, Hui ; Li, Zenghu ; Yang, Xu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:4:p:1519-1565.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations. (2014). Uchida, Masayuki ; Yoshida, Nakahiro . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:17:y:2014:i:2:p:181-219.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the independence of the value function for stochastic differential games of the probability space. (2014). Krylov, N. V.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:4224-4243.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Comparing the $G$-Normal Distribution to its Classical Counterpart. (2014). Munk, Alexander ; Bayraktar, Erhan . In: Papers. RePEc:arx:papers:1407.5139.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On a class of diverse market models. (2014). Sarantsev, Andrey . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:291-314.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Reversible jump MCMC for nonparametric drift estimation for diffusion processes. (2014). van der Meulen, Frank ; Schauer, Moritz ; van Zanten, Harry . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:71:y:2014:i:c:p:615-632.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process. (2014). Scalas, Enrico ; Viles, Noelia . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:385-410.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Relative Liquidity and Future Volatility. (2014). Zer, Ilknur ; Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2014-45.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Local existence and non-explosion of solutions for stochastic fractional partial differential equations driven by multiplicative noise. (2014). Rockner, Michael ; Zhu, Xiangchan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:5:p:1974-2002.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Global uniform boundary Harnack principle with explicit decay rate and its application. (2014). Kim, Panki ; Vondraek, Zoran ; Song, Renming . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:235-267.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures. (2014). Zitkovic, Gordan . In: Papers. RePEc:arx:papers:1307.5163.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Consistent Price Systems under Model Uncertainty. (2014). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1408.5510.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Measurability of semimartingale characteristics with respect to the probability law. (2014). Neufeld, Ariel ; Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3819-3845.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the asymptotic normality of kernel density estimators for causal linear random fields. (2014). Woodroofe, Michael ; Wang, Yizao . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:123:y:2014:i:c:p:201-213.

Full description at Econpapers || Download paper

[Citation Analysis]
2014An invariance principle for stationary random fields under Hannan’s condition. (2014). Voln, Dalibor ; Wang, Yizao . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:4012-4029.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A stable manifold MCMC method for high dimensions. (2014). Beskos, Alexandros . In: Statistics & Probability Letters. RePEc:eee:stapro:v:90:y:2014:i:c:p:46-52.

Full description at Econpapers || Download paper

[Citation Analysis]
2014The coalescent point process of multi-type branching trees. (2014). Popovic, Lea ; Rivas, Mariolys . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:4120-4148.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Testing stationarity of functional time series. (2014). Rice, Gregory ; Kokoszka, Piotr . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:66-82.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the solution of general impulse control problems using superharmonic functions. (2014). Christensen, Soren . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:709-729.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Optimal stopping in infinite horizon: An eigenfunction expansion approach. (2014). Li, Lingfei ; Linetsky, Vadim . In: Statistics & Probability Letters. RePEc:eee:stapro:v:85:y:2014:i:c:p:122-128.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Irreversible Investment under L\evy Uncertainty: an Equation for the Optimal Boundary. (2014). Ferrari, Giorgio ; Salminen, Paavo . In: Papers. RePEc:arx:papers:1411.2395.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Irreversible Investment Under Lévy Uncertainty: An Equation for the Optimal Boundary. (2014). Ferrari, Giorgio ; Salminen, Paavo . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:530.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Some results on general quadratic reflected BSDEs driven by a continuous martingale. (2014). Lionnet, Arnaud . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1275-1302.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Pseudo Linear Pricing Rule for Utility Indifference Valuation. (2014). Henderson, Vicky . In: Papers. RePEc:arx:papers:1403.7830.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Splitting multidimensional BSDEs and finding local equilibria. (2014). Frei, Christoph . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2654-2671.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Pseudo linear pricing rule for utility indifference valuation. (2014). Liang, Gechun ; Henderson, Vicky . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:593-615.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Probabilistic approach for semi-linear stochastic fractal equations. (2014). Zhang, QI ; Xie, Yingchao . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:3948-3964.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Capital distribution and portfolio performance in the mean-field Atlas model. (2014). Jourdain, Benjamin ; Reygner, Julien . In: Papers. RePEc:arx:papers:1312.5660.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Itô formula for one-dimensional continuous-time quantum random walk. (2014). Wang, Caishi ; Kang, Yuanbao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:414:y:2014:i:c:p:154-162.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling. (2014). Koike, Yuta . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2699-2753.

Full description at Econpapers || Download paper

[Citation Analysis]
2014LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2014). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud . In: Working Papers. RePEc:hal:wpaper:hal-01082903.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Riemann-integration and a new proof of the Bichteler–Dellacherie theorem. (2014). Beiglbock, M. ; Siorpaes, P.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1226-1235.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Measurability of semimartingale characteristics with respect to the probability law. (2014). Neufeld, Ariel ; Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3819-3845.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Unavoidable collections of balls for isotropic Lévy processes. (2014). Mimica, Ante ; Vondraek, Zoran . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1303-1334.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Some results on general quadratic reflected BSDEs driven by a continuous martingale. (2014). Lionnet, Arnaud . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1275-1302.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the hitting times of continuous-state branching processes with immigration. (2014). Ma, Chunhua ; Duhalde, Xan ; Foucart, Clement . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:4182-4201.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Large and moderate deviations of realized covolatility. (2014). Djellout, Hacene ; Samoura, Yacouba . In: Statistics & Probability Letters. RePEc:eee:stapro:v:86:y:2014:i:c:p:30-37.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Asian options and meromorphic Lévy processes. (2014). Kuznetsov, A. ; Hackmann, D.. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:825-844.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Stochastic variational inequalities with jumps. (2014). Zlinescu, Adrian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:785-811.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the central limit theorem for modulus trimmed sums. (2014). Bazarova, Alina ; Horvath, Lajos ; Berkes, Istvan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:86:y:2014:i:c:p:61-67.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Rejoinder on: Extensions of some classical methods in change point analysis. (2014). Rice, Gregory ; Horvath, Lajos . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:23:y:2014:i:2:p:287-290.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Chaos expansion and asymptotic behavior of the Pareto distribution. (2014). Tudor, Ciprian A.. In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:62-68.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Qualitative robustness of von Mises statistics based on strongly mixing data. (2014). Zahle, Henryk . In: Statistical Papers. RePEc:spr:stpapr:v:55:y:2014:i:1:p:157-167.

Full description at Econpapers || Download paper

[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

[Click on heading to sort table]

YearTitleSee
2014Ambit fields: survey and new challenges. (2014). Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2014-51.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Indirect inference with time series observed with error. (2014). de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2014-57.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Arbitrage Pricing of Multi-person Game Contingent Claims. (2014). Guo, Ivan ; Rutkowski, Marek . In: Papers. RePEc:arx:papers:1405.2718.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Comparing the $G$-Normal Distribution to its Classical Counterpart. (2014). Munk, Alexander ; Bayraktar, Erhan . In: Papers. RePEc:arx:papers:1407.5139.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A system of quadratic BSDEs arising in a price impact model. (2014). Kramkov, Dmitry ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1408.0916.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Xing, Hao ; Robertson, Scott . In: Papers. RePEc:arx:papers:1408.7010.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Randomisation and recursion methods for mixed-exponential Levy models, with financial applications. (2014). Mijatovic, Aleksandar ; Pistorius, Martijn ; Stolte, Johannes . In: Papers. RePEc:arx:papers:1410.7316.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Solving finite time horizon Dynkin games by optimal switching. (2014). Martyr, Randall . In: Papers. RePEc:arx:papers:1411.4438.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs. (2014). Ferrari, Giorgio ; De Angelis, Tiziano ; Moriarty, John . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:531.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Unavoidable collections of balls for isotropic Lévy processes. (2014). Mimica, Ante ; Vondraek, Zoran . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1303-1334.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Structure of the third moment of the generalized Rosenblatt distribution. (2014). Taqqu, Murad S. ; Bai, Shuyang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:94:y:2014:i:c:p:144-152.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On integration with respect to the q-Brownian motion. (2014). Bryc, Wodek . In: Statistics & Probability Letters. RePEc:eee:stapro:v:94:y:2014:i:c:p:257-266.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On pre-exit joint occupation times for spectrally negative Lévy processes. (2014). Zhou, Xiaowen ; Li, Yingqiu . In: Statistics & Probability Letters. RePEc:eee:stapro:v:94:y:2014:i:c:p:48-55.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On arbitrages arising with honest times. (2014). FONTANA, CLAUDIO ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2013

[Click on heading to sort table]

YearTitleSee
2013Assessing Relative Volatility/Intermittency/Energy Dissipation. (2013). Schmiegel, Jurgen ; Barndorff-Nielsen, Ole E. ; Pakkanen, Mikko S.. In: CREATES Research Papers. RePEc:aah:create:2013-15.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Stability of the exponential utility maximization problem with respect to preferences. (2013). Xing, Hao . In: Papers. RePEc:arx:papers:1205.6160.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Utility Maximization under Model Uncertainty in Discrete Time. (2013). Nutz, Marcel . In: Papers. RePEc:arx:papers:1307.3597.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Test of independence for functional data. (2013). Rice, Gregory ; Hukova, Marie ; Horvath, Lajos . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:117:y:2013:i:c:p:100-119.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Coupling and strong Feller for jump processes on Banach spaces. (2013). Wang, Feng-Yu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:5:p:1588-1615.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Power variation from second order differences for pure jump semimartingales. (2013). Todorov, Viktor . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2829-2850.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2012

[Click on heading to sort table]

YearTitleSee
2012Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. (2012). Mostovyi, Oleksii . In: Papers. RePEc:arx:papers:1107.5852.

Full description at Econpapers || Download paper

[Citation Analysis]
2012The point process approach for fractionally differentiated random walks under heavy traffic. (2012). Barbe, Ph., ; McCormick, W. P.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:4028-4053.

Full description at Econpapers || Download paper

[Citation Analysis]
2012On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps. (2012). Kuznetsov, A. ; Peng, X.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:7:p:2610-2638.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee
2011Fluctuation limits of site-dependent branching systems in critical and large dimensions. (2011). Li, Yuqiang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:81:y:2011:i:11:p:1604-1611.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Harnack inequalities for Ornstein-Uhlenbeck processes driven by Lévy processes. (2011). Wang, Jian . In: Statistics & Probability Letters. RePEc:eee:stapro:v:81:y:2011:i:9:p:1436-1444.

Full description at Econpapers || Download paper

[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.