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Stochastic Processes and their Applications / Elsevier


0.26

Impact Factor

0.26

5-Years IF

26

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.010.10.026666100.151021301330535 (34.3%)0.04
19910.010.0906613260.051421321342131 (21.8%)0.04
19920.0908421660.03191132346167 (35.1%)0.04
19930.010.110.01103319100.032201501346377 (35%)0.05
19940.12012844760.01250187385187 (34.8%)0.05
19950.10.20.111195661040.182982312344751105 (35.2%)20.020.07
19960.110.240.12906561180.18203247285005953 (26.1%)0.09
19970.120.280.111047601480.19201209255246085 (42.3%)50.050.1
19980.070.290.1848441260.15231194145445681 (35.1%)40.050.1
19990.110.330.111049481660.18259188205255694 (36.3%)10.010.14
20000.10.40.1210810561720.162811881950160104 (37%)50.050.15
20010.150.410.149411502200.192092123249067102 (48.8%)50.050.15
20020.10.420.17312231540.13221202204944779 (35.7%)0.18
20030.10.450.17913021840.143051671646345116 (38%)60.080.19
20040.20.50.189213942350.17268152304588178 (29.1%)60.070.2
20050.130.530.149014842010.14216171224466272 (33.3%)20.020.21
20060.150.520.29515792370.15250182274288496 (38.4%)80.080.2
20070.170.460.229516742890.17223185324299365 (29.1%)10.010.18
20080.210.490.2410317773910.222591903945110684 (32.4%)120.120.2
20090.220.480.2417819554040.2139119844475115142 (36.3%)100.060.19
20100.230.460.2611020654130.21732816456114569 (39.9%)60.050.17
20110.190.530.2312721923650.172002885658113479 (39.5%)50.040.2
20120.140.560.1811923113840.171062373361311147 (44.3%)40.030.2
20130.210.630.2514624575270.211912465163715764 (33.5%)60.040.22
20140.210.670.2712725845430.211192655668018533 (27.7%)150.120.22
20150.290.740.3216827526970.25582738062920022 (37.9%)70.040.23
20160.260.980.2614728996510.2223295766871814 (17.4%)90.060.3
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:


#YearTitleCited
11981Martingales 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

338
22009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

83
32008Asymptotic 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

61
41999A 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

54
52004Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

51
61983A 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.

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48
72002Regular 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.

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47
81985Some 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.

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45
92000Weak 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.

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45
102003On 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.

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42
112006Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806.

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41
121989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes. (1989). de Vries, Casper ; 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.

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41
131998Selecting 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.

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41
142004Russian 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.

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40
151991Option hedging for semimartingales. (1991). Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363.

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40
162003Precise 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.

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40
171994Subexponentiality 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.

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39
181993Risk 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.

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37
191998Optimal 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.

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35
201996Multivariate 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.

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35
211990Nonparametric 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.

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34
221996On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168.

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33
232005Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177.

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30
241992M-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.

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29
251992Maximum-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.

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28
262003Lp 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.

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27
272008Multi-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.

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26
281995Utility 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

26
292007Stability 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.

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26
301986On 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.

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26
312007A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812.

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25
322002Power 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.

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25
332004Discrete-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

24
341998Additional 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.

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24
351986Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). Härdle, Wolfgang ; Collomb, Gerard ; Hardle, Wolfgang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89.

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24
362000Optimal 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.

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23
371982On 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.

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23
381994Simple 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.

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23
391995Fractional 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.

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23
402001Finite 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.

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22
411986Estimation 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.

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22
421993Smoothed 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.

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22
432006Backward 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.

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22
441975Sufficient 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.

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21
452003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (2003). Skiadas, Costis ; Schroder, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202.

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21
461995On 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.

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21
471997On polynomial mixing bounds for stochastic differential equations. (1997). Veretennikov, Alexander ; Veretennikov, A. Yu., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127.

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21
481999On 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.

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20
491999Ruin 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.

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19
502002Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110.

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19

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

37
21981Martingales 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

30
32004Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

19
42004Russian 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

16
52002Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110.

Full description at Econpapers || Download paper

14
62005Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177.

Full description at Econpapers || Download paper

13
72008Asymptotic 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

13
82013Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499.

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12
91995On 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
102015Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931.

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11
112003On 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

11
122011Occupation 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.

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11
132007A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812.

Full description at Econpapers || Download paper

10
142014Splitting 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.

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10
152008Multi-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
162008BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces. (2008). Confortola, Fulvia ; Briand, Philippe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:5:p:818-838.

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10
172006Backward 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

10
181998Additional 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

9
192013BSDEs with jumps, optimization and applications to dynamic risk measures. (2013). Sulem, Agnes ; Quenez, Marie-Claire . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3328-3357.

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9
202013Constructing 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.

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9
212003Lp 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

9
222004Discrete-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

9
232013Tempered stable distributions and processes. (2013). Tappe, Stefan ; Kuchler, Uwe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:12:p:4256-4293.

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9
242000Martingale representation theorems for initially enlarged filtrations. (2000). Amendinger, Jurgen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:101-116.

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9
251999A 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

8
261994Dynamic 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.

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8
272007Stability 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

8
281998Optimal 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

8
292011Martingale 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

8
301995Utility 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

8
312014Occupation times of intervals until first passage times for spectrally negative Lévy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435.

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8
322010Stochastic equations of non-negative processes with jumps. (2010). Li, Zenghu ; Fu, Zongfei . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:3:p:306-330.

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8
332011On the semimartingale property of discounted asset-price processes. (2011). Platen, Eckhard ; Kardaras, Constantinos . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2678-2691.

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342010On Malliavins differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. (2010). Delong, Lukasz ; Imkeller, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:9:p:1748-1775.

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352014A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. (2014). Ferrari, Giorgio ; de Angelis, Tiziano . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:12:p:4080-4119.

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361997On polynomial mixing bounds for stochastic differential equations. (1997). Veretennikov, Alexander ; Veretennikov, A. Yu., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127.

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372008Weakly dependent chains with infinite memory. (2008). Wintenberger, Olivier ; Doukhan, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:11:p:1997-2013.

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382003Precise 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.

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392010Analysis of continuous strict local martingales via h-transforms. (2010). Protter, Philip ; Pal, Soumik . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:8:p:1424-1443.

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402008Solvability 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.

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412002Regular 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.

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421996On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168.

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432003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (2003). Skiadas, Costis ; Schroder, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202.

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442011Nonsynchronous 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.

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451998Selecting 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.

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461985Some 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.

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472009Bipower-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.

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482011Locally 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.

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492013Asymptotic theory for Brownian semi-stationary processes with application to turbulence. (2013). Hedevang, Emil ; Pakkanen, Mikko S. ; Podolskij, Mark ; Corcuera, Jose Manuel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2552-2574.

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502006Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806.

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Citing documents used to compute impact factor 76:


YearTitle
2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834.

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2016An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x.

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2016On the empirical spectral distribution for matrices with long memory and independent rows. (2016). Merlevede, F ; Peligrad, M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2734-2760.

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2016Optimal Skorokhod embedding under finitely-many marginal constraints. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1506.04063.

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2016Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2016Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671.

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2016Constrained Optimal Transport. (2016). Soner, Mete H ; Ekren, Ibrahim . In: Papers. RePEc:arx:papers:1610.02940.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502.

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2016A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2016). Nutz, Marcel ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1612.09152.

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2016Change of numeraire in the two-marginals martingale transport problem. (2016). Laachir, Ismail ; Campi, Luciano ; Martini, Claude . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

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2016A multivariate model for financial indices and an algorithm for detection of jumps in the volatility. (2016). Bonino, Mario ; Pigato, Paolo ; Camelia, Matteo . In: Working Papers. RePEc:hal:wpaper:hal-01408495.

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2016Drift operator in a viable expansion of information flow. (2016). Song, Shiqi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:8:p:2297-2322.

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2016Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani. (2016). Xiao, Shuang ; Ma, Shihua . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:67-74.

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2016Algebraic ergodicity for SDEs driven by Lévy processes. (2016). Song, Yan-Hong . In: Statistics & Probability Letters. RePEc:eee:stapro:v:119:y:2016:i:c:p:108-115.

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2016Optimality of two-parameter strategies in stochastic control. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1605.04995.

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2016Counterparty risk and funding: immersion and beyond. (2016). Crepey, Stephane ; Song, Shiqi . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0305-3.

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2016Reciprocity in directed networks. (2016). Yin, Mei ; Zhu, Lingjiong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:447:y:2016:i:c:p:71-84.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients. (2016). Zhang, Jianfeng ; Keller, Christian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:3:p:735-766.

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2016Stochastic Newton equation in strong potential limit. (2016). Liang, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:10:p:2913-2955.

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2016Robust Financial Bubbles. (2016). Mancin, Jacopo ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1602.05471.

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2016Statistical inference for critical continuous state and continuous time branching processes with immigration. (2016). Barczy, Matyas ; Kormendi, Kristof ; Pap, Gyula . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:79:y:2016:i:7:d:10.1007_s00184-016-0578-8.

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2016An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. (2016). David, Dereudre ; Sylvie, Roelly ; Sara, Mazzonetto . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:1:p:1-23:n:1.

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2016On the continuity of the probabilistic representation of a semilinear Neumann–Dirichlet problem. (2016). Maticiuc, Lucian ; Rcanu, Aurel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:2:p:572-607.

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2016Technical viability of mobile solar photovoltaic systems for indigenous nomadic communities in northern latitudes. (2016). Pearce, Joshua ; Obydenkova, Svetlana V. In: Renewable Energy. RePEc:eee:renene:v:89:y:2016:i:c:p:253-267.

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2016The distribution of the quasispecies for a Moran model on the sharp peak landscape. (2016). Cerf, Raphael ; Dalmau, Joseba . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:6:p:1681-1709.

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2016Almost sure convergence of maxima for chaotic dynamical systems. (2016). Torok, A ; Nicol, M ; Holland, M P. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:10:p:3145-3170.

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2016Rare events for the Manneville–Pomeau map. (2016). Freitas, Jorge Milhazes ; Todd, Mike ; Vaienti, Sandro ; Moreira, Ana Cristina . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3463-3479.

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2016On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples. (2016). Buttner, Martin ; Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.06644.

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2016Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion. (2016). Wei, Qingda . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:84:y:2016:i:3:d:10.1007_s00186-016-0550-4.

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2016Assessing Gamma kernels and BSS/LSS processes. (2016). Barndorff-Nielsen, Ole E. In: CREATES Research Papers. RePEc:aah:create:2016-09.

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2016An $\alpha$-stable limit theorem under sublinear expectation. (2016). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1409.7960.

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2016Quasi-continuous random variables and processes under the G-expectation framework. (2016). Hu, Mingshang ; Zheng, Guoqiang ; Wang, Falei . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:8:p:2367-2387.

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2016Algebraic ergodicity for SDEs driven by Lévy processes. (2016). Song, Yan-Hong . In: Statistics & Probability Letters. RePEc:eee:stapro:v:119:y:2016:i:c:p:108-115.

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2016Limit theorems for weighted Bernoulli random fields under Hannan’s condition. (2016). Klicnarova, Jana ; Wang, Yizao ; Voln, Dalibor . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:6:p:1819-1838.

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2016Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point. (2016). Janke, Oliver . In: Papers. RePEc:arx:papers:1610.08644.

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2016Short Maturity Asian Options in Local Volatility Models. (2016). Pirjol, Dan ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1609.07559.

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2016Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. (2016). Mikosch, Thomas ; Davis, Richard A ; Pfaffel, Oliver . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:3:p:767-799.

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2016On the empirical spectral distribution for matrices with long memory and independent rows. (2016). Merlevede, F ; Peligrad, M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2734-2760.

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2016A unified approach to self-normalized block sampling. (2016). Zhang, Ting ; Bai, Shuyang ; Taqqu, Murad S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:8:p:2465-2493.

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2016Pricing Derivatives in Hermite Markets. (2016). Rachev, Svetlozar T ; Fabozzi, Frank J ; Mittnik, Stefan . In: Papers. RePEc:arx:papers:1612.07016.

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2016Discrete time stochastic multi-player competitive games with affine payoffs. (2016). Rutkowski, Marek ; GUO, IVAN . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:1:p:1-32.

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2016Superprocesses with interaction and immigration. (2016). Xiong, Jie ; Yang, XU. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3377-3401.

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2016Estimating integrated co-volatility with partially miss-ordered high frequency data. (2016). Liu, Zhi . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:2:d:10.1007_s11203-015-9124-y.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016The F\ollmer-Schweizer decomposition under incomplete information. (2016). Cretarola, Alessandra ; Ceci, Claudia ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1511.05465.

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2016Unit-linked life insurance policies: optimal hedging in partially observable market models. (2016). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1608.07226.

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2016A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. (2016). Ferrari, Giorgio ; de Angelis, Tiziano ; Moriarty, John . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:531.

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2016Solving finite time horizon Dynkin games by optimal switching. (2016). Martyr, Randall . In: Papers. RePEc:arx:papers:1411.4438.

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2016Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. (2016). de Angelis, Tiziano ; Ferrari, Giorgio . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:565.

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2016Optimal entry to an irreversible investment plan with non convex costs. (2016). Martyr, Randall ; Ferrari, Giorgio ; de Angelis, Tiziano ; Moriarty, John . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:566.

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2016Robust Utility Maximization with L\evy Processes. (2016). Neufeld, Ariel ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1502.05920.

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2016Tightness and duality of martingale transport on the Skorokhod space. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1507.01125.

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2016Viscosity solutions of path-dependent integro-differential equations. (2016). Keller, Christian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2665-2718.

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2016A system of quadratic BSDEs arising in a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1408.0916.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1410.6144.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01181147.

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2016A system of quadratic BSDEs arising in a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Post-Print. RePEc:hal:journl:hal-01147411.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Post-Print. RePEc:hal:journl:hal-01181147.

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2016A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes. (2016). Czarna, Irmina ; Renaud, Jean-Franois . In: Statistics & Probability Letters. RePEc:eee:stapro:v:113:y:2016:i:c:p:54-61.

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2016Omega diffusion risk model with surplus-dependent tax and capital injections. (2016). Cui, Zhenyu ; Nguyen, Duy . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:150-161.

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2016On the occupation times in a delayed Sparre Andersen risk model with exponential claims. (2016). Jin, Can ; Wu, Xueyuan ; Li, Shuanming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:304-316.

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2016On the dual problem of utility maximization in incomplete markets. (2016). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1019-1035.

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2016Dynamic Convex Duality in Constrained Utility Maximization. (2016). Li, Yusong ; Zheng, Harry . In: Papers. RePEc:arx:papers:1612.04407.

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2016A computable bound of the essential spectral radius of finite range Metropolis–Hastings kernels. (2016). Herve, Loic ; Ledoux, James . In: Statistics & Probability Letters. RePEc:eee:stapro:v:117:y:2016:i:c:p:72-79.

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2016Minimal thinness with respect to subordinate killed Brownian motions. (2016). Kim, Panki ; Vondraek, Zoran ; Song, Renming . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1226-1263.

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2016Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes. (2016). Nedenyi, Fanni ; Pap, Gyula . In: Statistics & Probability Letters. RePEc:eee:stapro:v:118:y:2016:i:c:p:16-23.

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2016Estimation of the global regularity of a multifractional Brownian motion. (2016). Lebovits, Joachim ; Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2016-33.

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2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Scotti, Simone ; Jiao, Ying ; Ma, Chunhua . In: Papers. RePEc:arx:papers:1602.05541.

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2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Working Papers. RePEc:hal:wpaper:hal-01275397.

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2016A BSDE arising in an exponential utility maximization problem in a pure jump market model. (2016). Mereu, Carla ; Stelzer, Robert . In: Papers. RePEc:arx:papers:1508.07561.

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2016On moment non-explosions for Wishart-based stochastic volatility models. (2016). DA FONSECA, José. In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894.

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2016Strong Markov property of determinantal processes with extended kernels. (2016). Tanemura, Hideki ; Osada, Hirofumi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:1:p:186-208.

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2016An Lp-theory for stochastic partial differential equations driven by Lévy processes with pseudo-differential operators of arbitrary order. (2016). Kim, Kyeong-Hun . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2761-2786.

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2016Maximum likelihood estimator consistency for recurrent random walk in a parametric random environment with finite support. (2016). Loukianov, Oleg ; Loukianova, Dasha ; Falconnet, Mikael ; Comets, Francis . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3578-3604.

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2016Optimal importance sampling for L\evy Processes. (2016). Genin, Adrien ; Tankov, Peter . In: Papers. RePEc:arx:papers:1608.04621.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples. (2016). Buttner, Martin ; Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.06644.

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2016Arbitrage and utility maximization in market models with an insider. (2016). Chau, Ngoc Huy ; Tankov, Peter ; Runggaldier, Wolfgang . In: Papers. RePEc:arx:papers:1608.02068.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1609.02108.

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2016Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2016). Graewe, Paulwin ; Horst, Ulrich . In: Papers. RePEc:arx:papers:1611.03435.

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2016Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376). (2016). Fujii, Masaaki ; Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf395.

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2016Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio . In: Post-Print. RePEc:hal:journl:hal-01181147.

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2016Consumption optimization for recursive utility in a jump-diffusion model. (2016). Antonelli, Fabio ; Mancini, Carlo . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:2:d:10.1007_s10203-016-0177-1.

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2016Nonparametric estimation in a mixed-effect Ornstein–Uhlenbeck model. (2016). Dion, Charlotte . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:79:y:2016:i:8:d:10.1007_s00184-016-0583-y.

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Recent citations received in 2015

YearCiting document
2015Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218.

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2015The strong predictable representation property in initially enlarged filtrations. (2015). Fontana, Claudio . In: Papers. RePEc:arx:papers:1508.03282.

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2015Simple examples of pure-jump strict local martingales. (2015). Keller-Ressel, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4142-4153.

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2015Max-stable processes and stationary systems of Lévy particles. (2015). Kabluchko, Zakhar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4272-4299.

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2015Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4556-4600.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J. ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2727-2751.

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2015The Czech Extreme Right: Alternative Europeanism. (2015). Haka, Antonin . In: Současná Evropa. RePEc:prg:jnlsev:v:2015:y:2015:i:2:id:127:p:145-163.

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Recent citations received in 2014

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

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2014Indirect inference with time series observed with error. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: CREATES Research Papers. RePEc:aah:create:2014-57.

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2014Arbitrage Pricing of Multi-person Game Contingent Claims. (2014). GUO, IVAN ; Rutkowski, Marek . In: Papers. RePEc:arx:papers:1405.2718.

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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.

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

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

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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.

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2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. (2014). Yang, Hailiang ; Zhang, Zhimin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:59:y:2014:i:c:p:168-177.

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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.

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2014Ergodicity for time-changed symmetric stable processes. (2014). Wang, Jian ; Chen, Zhen-Qing . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:9:p:2799-2823.

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2014Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in C1,η open sets. (2014). Kim, Kyung-Youn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:9:p:3055-3083.

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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.

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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.

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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.

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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.

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Recent citations received in 2013

YearCiting document
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.

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

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

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

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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.

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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.

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