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### Stochastic Processes and their Applications / Elsevier

0.26

Impact Factor

0.27

5-Years IF

26

5-Years H index

#### Raw data

 IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII 1990 0.01 0.1 0.02 66 66 10 0.15 100 130 1 330 5 34 (34%) 0.04 1991 0.01 0.1 0 66 132 6 0.05 136 132 1 342 1 31 (22.8%) 0.04 1992 0.1 0 84 216 6 0.03 187 132 346 1 67 (35.8%) 0.04 1993 0.01 0.11 0.01 103 319 10 0.03 215 150 1 346 3 77 (35.8%) 0.06 1994 0.12 0 128 447 5 0.01 243 187 385 1 87 (35.8%) 0.05 1995 0.1 0.2 0.11 119 566 104 0.18 291 231 23 447 51 104 (35.7%) 2 0.02 0.07 1996 0.11 0.24 0.12 90 656 118 0.18 197 247 28 500 59 52 (26.4%) 0.09 1997 0.12 0.28 0.11 104 760 148 0.19 194 209 25 524 60 83 (42.8%) 5 0.05 0.1 1998 0.08 0.29 0.1 84 844 126 0.15 227 194 15 544 57 81 (35.7%) 4 0.05 0.11 1999 0.11 0.33 0.11 104 948 165 0.17 254 188 20 525 56 94 (37%) 1 0.01 0.14 2000 0.1 0.41 0.12 108 1056 166 0.16 272 188 19 501 58 102 (37.5%) 5 0.05 0.15 2001 0.14 0.41 0.13 94 1150 216 0.19 203 212 30 490 65 99 (48.8%) 5 0.05 0.15 2002 0.09 0.43 0.09 73 1223 150 0.12 218 202 19 494 46 79 (36.2%) 0.18 2003 0.1 0.45 0.1 79 1302 180 0.14 295 167 16 463 45 115 (39%) 6 0.08 0.19 2004 0.2 0.5 0.17 92 1394 232 0.17 258 152 30 458 80 75 (29.1%) 6 0.07 0.2 2005 0.13 0.53 0.14 90 1484 198 0.13 207 171 22 446 62 70 (33.8%) 2 0.02 0.21 2006 0.15 0.52 0.2 95 1579 237 0.15 243 182 27 428 84 96 (39.5%) 8 0.08 0.21 2007 0.17 0.46 0.22 95 1674 288 0.17 214 185 32 429 93 65 (30.4%) 1 0.01 0.18 2008 0.21 0.49 0.24 103 1777 389 0.22 251 190 39 451 106 82 (32.7%) 12 0.12 0.2 2009 0.22 0.49 0.24 178 1955 404 0.21 376 198 44 475 115 140 (37.2%) 10 0.06 0.19 2010 0.23 0.47 0.26 110 2065 413 0.2 162 281 64 561 145 65 (40.1%) 6 0.05 0.17 2011 0.19 0.54 0.23 127 2192 365 0.17 183 288 56 581 134 76 (41.5%) 5 0.04 0.21 2012 0.14 0.57 0.18 119 2311 384 0.17 93 237 33 613 111 41 (44.1%) 4 0.03 0.21 2013 0.21 0.64 0.24 146 2457 524 0.21 170 246 51 637 156 60 (35.3%) 6 0.04 0.23 2014 0.21 0.7 0.27 127 2584 543 0.21 105 265 56 680 185 29 (27.6%) 15 0.12 0.23 2015 0.3 0.79 0.32 168 2752 699 0.25 42 273 82 629 202 18 (42.9%) 7 0.04 0.25 2016 0.26 1.11 0.27 147 2899 658 0.23 15 295 77 687 184 1 (6.7%) 11 0.07 0.34
 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.

332
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.

78
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.

60
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.

53
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.

49
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.

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.

46
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.

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.

44
101998Selecting 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.

41
111989Extremal 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.

41
122003On 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.

39
132004Russian and American put options under exponential phase-type LÃ©vy 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.

39
141991Option hedging for semimartingales. (1991). Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363.

39
152006Limit 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.

38
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.

38
171993Risk 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.

37
181994Subexponentiality 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.

36
191996Multivariate 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.

35
201990Nonparametric 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.

34
211998Optimal 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.

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.

30
231992M-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.

27
242003Lp 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.

27
252005Nonparametric 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.

27
261992Maximum-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.

26
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.

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.

26
292002Power 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.

25
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.

25
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.

25
321998Additional 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.

24
332007Stability 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.

24
341986Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). HÃÂ¤rdle, Wolfgang ; Collomb, Gerard ; Hardle, Wolfgang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89.

23
352004Discrete-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.

23
361982On 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.

23
371994Simple 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.

23
382001Finite 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.

22
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.

22
401986Estimation 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.

22
411975Sufficient 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.

21
422003Optimal 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.

21
431997On 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.

21
442006Backward 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.

21
451993Smoothed 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.

21
462000Optimal 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.

21
471999On 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.

20
481995On 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.

20
491984Optimum portfolio diversification in a general continuous-time model. (1984). Aase, Knut. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:18:y:1984:i:1:p:81-98.

19
502003A 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.

18

#### 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.

33
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.

29
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.

17
42004Russian and American put options under exponential phase-type LÃ©vy 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.

15
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.

12
62008Asymptotic 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.

12
72013Some 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.

11
82007A 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.

10
92014Splitting 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.

10
102008BSDEs 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.

10
111995On 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.

10
122008Multi-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.

10
132005Nonparametric 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.

10
142006Backward 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.

9
152011Occupation times of spectrally negative LÃ©vy 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.

9
161998Additional 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.

9
172003Lp 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.

9
182000Martingale 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.

8
191995Utility 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.

8
202003On 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.

8
212013Constructing 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.

8
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.

8
232011Martingale 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.

8
241994Dynamic 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.

8
252015Martingale 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.

8
262013BSDEs 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.

8
271998Optimal 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.

7
281985Some 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.

7
291997On 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.

7
302003Optimal 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.

7
311998Selecting 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.

7
321999A 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.

7
332013Tempered 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.

7
342008Solvability 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.

7
352010Analysis 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.

7
362014Measurability 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.

6
372011Locally 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.

6
382010A general theory of finite state Backward Stochastic Difference Equations. (2010). Elliott, Robert J. ; Cohen, Samuel N.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:4:p:442-466.

6
392000Forward-backward stochastic differential equations with nonsmooth coefficients. (2000). Yong, Jiongmin ; Hu, Ying . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:87:y:2000:i:1:p:93-106.

6
402002Regular 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.

6
412008Discrete-time approximation of decoupled Forward-Backward SDE with jumps. (2008). Bouchard, Bruno ; Elie, Romuald . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:1:p:53-75.

6
422010Stochastic 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.

6
432007Stability 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.

6
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#### Citing documents used to compute impact factor 77:

YearTitle
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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.

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.

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

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

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

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

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.

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

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.

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

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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.

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

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.

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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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.

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

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.

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.

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.

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

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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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.

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.

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

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.

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.

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

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.

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.

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

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

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.

2016Equilibrium pricing under relative performance concerns. (2016). Lionnet, Arnaud ; Reis, Goncalo dos . In: Papers. RePEc:arx:papers:1511.04218.

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

2016Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2016). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1607.04214.

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.

2016Parisian ruin for a refracted L\evy process. (2016). Lkabous, Mohamed Amine ; Renaud, Jean-Franccois ; Czarna, Irmina . In: Papers. RePEc:arx:papers:1603.09324.

2016A note on Parisian ruin with an ultimate bankruptcy level for LÃ©vy 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.

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

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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.

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.

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

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.

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.

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.

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

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2016An Lp-theory for stochastic partial differential equations driven by LÃ©vy 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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2016Optimal importance sampling for L\evy Processes. (2016). Genin, Adrien ; Tankov, Peter . In: Papers. RePEc:arx:papers:1608.04621.

#### Recent citations (cites in year: CiY)

##### Recent citations received in 2016

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2016Financial equilibrium with asymmetric information and random horizon. (2016). cCetin, Umut . In: Papers. RePEc:arx:papers:1603.08828.

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

2016Quadratic-exponential growth BSDEs with Jumps and their MalliavinÃ¢â¬â¢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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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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2016Nonparametric estimation in a mixed-effect Ornsteinâ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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2013Utility Maximization under Model Uncertainty in Discrete Time. (2013). Nutz, Marcel . In: Papers. RePEc:arx:papers:1307.3597.

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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