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Stochastic Processes and their Applications / Elsevier


0.26

Impact Factor

0.32

5-Years IF

28

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.010.10.026666100.15921301330535 (38%)0.04
19910.010.0906613260.051471321342131 (21.1%)0.04
19920.0908421660.03192132346167 (34.9%)0.04
19930.010.10.01103319100.032251501346379 (35.1%)0.05
19940.11012844760.01256187385190 (35.2%)0.05
19950.10.20.111195661040.183082312344751108 (35.1%)20.020.07
19960.110.230.12906561180.18210247285005954 (25.7%)0.09
19970.120.270.111047601480.19206209255246087 (42.2%)50.050.09
19980.070.280.1848441250.15241194145445684 (34.9%)40.050.1
19990.110.320.111049481620.17273188205255697 (35.5%)10.010.13
20000.10.40.1210810561700.162961881950160109 (36.8%)50.050.15
20010.150.40.149411502190.192202123249067106 (48.2%)50.050.15
20020.10.410.17312231510.12245202204944884 (34.3%)0.18
20030.10.440.17913021840.143401671646345122 (35.9%)60.080.19
20040.20.480.189213942360.17280152304588181 (28.9%)60.070.2
20050.130.530.149014842010.14235171224466277 (32.8%)20.020.21
20060.150.510.29515792400.15274182274288599 (36.1%)80.080.2
20070.170.450.229516742880.17237185324299368 (28.7%)10.010.18
20080.20.470.2410317773920.222671903845110684 (31.5%)120.120.19
20090.220.470.2417819554130.2141819844475115152 (36.4%)100.060.19
20100.230.450.2611020654180.22022816456114677 (38.1%)70.060.16
20110.190.510.2412721923770.172262885658113888 (38.9%)50.040.2
20120.140.540.1811923113860.171232373361311154 (43.9%)40.030.2
20130.210.620.2514624575370.222152465163715968 (31.6%)60.040.22
20140.210.630.2812725845480.211412655668018744 (31.2%)150.120.21
20150.30.660.3316827527400.27772738162920631 (40.3%)60.040.21
20160.250.80.2614728996490.22462957368717814 (30.4%)80.050.24
20170.261.10.3214530448160.2719315817072252 (10.5%)150.10.31
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

343
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

90
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.

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63
42004Dynamic 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

54
51999A 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.

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53
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
72003On 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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48
82000Weak 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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47
92002Regular 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
101985Some 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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46
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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43
122004Russian 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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43
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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43
141989Extremal 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
152003Precise 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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41
161994Subexponentiality 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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40
171991Option 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
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
211996On 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
222002Environmental 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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32
232003Lp 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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31
242005Nonparametric 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
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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29
261992M-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
271975Importance of system components and fault tree events. (1975). Proschan, Frank ; Barlow, Richard E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:2:p:153-173.

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28
282007Stability 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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28
291998Additional 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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27
302004Discrete-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.

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26
311986On 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
321995Utility 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.

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26
332002Power 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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26
342008Multi-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
352007A 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
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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24
371986Strong 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
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
392006Backward 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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23
401982On 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
411990Nonparametric 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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23
422001Finite 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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23
431995On 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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23
441995Fractional 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
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.

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22
461986Estimation 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
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.

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21
481997On 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
491975Sufficient 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
502003Optimal 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

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

27
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

21
32002Environmental 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

19
42004Dynamic 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

16
52003On 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

15
62015Martingale 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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13
72005Nonparametric 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

12
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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11
92004Russian 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

11
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.

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10
112003Lp 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

10
121998Additional 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

10
132011Occupation 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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9
142013Tempered 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
152006Backward 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

9
161995On 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

9
172000Martingale 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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8
182014Occupation 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
192014Splitting 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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8
202006Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition. (2006). Gozzi, Fausto ; Russo, Francesco . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:11:p:1530-1562.

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8
212014A 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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8
222016Solutions of BSDE’s with jumps and quadratic/locally Lipschitz generator. (2016). Antonelli, Fabio ; Mancini, Carlo . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:10:p:3124-3144.

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7
232007Stability 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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7
242011Nonsynchronous 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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7
252009Time consistent dynamic risk processes. (2009). Bion-Nadal, Jocelyne . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:633-654.

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7
262011Optimal stopping for non-linear expectations--Part I. (2011). Bayraktar, Erhan ; Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:185-211.

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7
272010Stochastic 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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7
282013Constructing 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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7
291999A 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

7
302011Optimal stopping for non-linear expectations--Part II. (2011). Bayraktar, Erhan ; Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:212-264.

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7
312015Robust superhedging with jumps and diffusion. (2015). Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4543-4555.

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6
322013Asymptotic 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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331997On 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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6
342007A 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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6
352007Tempering stable processes. (2007). Rosinski, Jan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:6:p:677-707.

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361999Stability of stochastic differential equations with Markovian switching. (1999). Mao, Xuerong . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:79:y:1999:i:1:p:45-67.

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372008Discrete-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.

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6
382014Measurability 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.

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392004Discrete-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.

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402011On 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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412003n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. (2003). Russo, Francesco ; Errami, Mohammed . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:104:y:2003:i:2:p:259-299.

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422005Optimal partially reversible investment with entry decision and general production function. (2005). Pham, Huyen ; Guo, Xin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:5:p:705-736.

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6
432008Weakly 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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441995Utility 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.

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451996On 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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462017Infinite dimensional weak Dirichlet processes and convolution type processes. (2017). Fabbri, Giorgio ; Russo, Francesco . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:1:p:325-357.

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5
472010A 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.

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482016An 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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492000Weak 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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502010Exponentially affine martingales, affine measure changes and exponential moments of affine processes. (2010). Kallsen, Jan ; Muhle-Karbe, Johannes . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:2:p:163-181.

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Citing documents used to compute impact factor 81:


YearTitle
2017Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. (2017). Alfonsi, Aur'elien ; Jourdain, Benjamin ; Corbetta, Jacopo . In: Papers. RePEc:arx:papers:1709.05287.

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2017Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar . In: Papers. RePEc:arx:papers:1701.06779.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan . In: Papers. RePEc:arx:papers:1710.07911.

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2017Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: Papers. RePEc:arx:papers:1705.02440.

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2017Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf409.

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2017Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2016cf1047.

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2017Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2017cf1047.

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2017Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395). (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf420.

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2017New methods of simulating Lévy processes. (2017). Ye, Rendao ; Tong, Changqing ; Lin, Zhengyan ; Zheng, Jing . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:461-466.

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2017A simple proof of heavy tail estimates for affine type Lipschitz recursions. (2017). Buraczewski, Dariusz ; Damek, Ewa . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:2:p:657-668.

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2017On beta distributed limits of iterated linear random functions. (2017). McKinlay, Shaun . In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:33-41.

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2017Exact convergence rate of the local limit theorem for branching random walks on the integer lattice. (2017). Gao, Zhiqiang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:4:p:1282-1296.

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2017Interacting generalized Friedman’s urn systems. (2017). Aletti, Giacomo ; Ghiglietti, Andrea . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2650-2678.

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2017A Unified Tree approach for options pricing under stochastic volatility models. (2017). Lo, C C ; Skindilias, K ; Nguyen, D. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:260-268.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin . In: Papers. RePEc:arx:papers:1611.03435.

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2017Optimal position targeting via decoupling fields. (2017). Ankirchner, Stefan ; Popier, Alexandre ; Kruse, Thomas ; Fromm, Alexander . In: Working Papers. RePEc:hal:wpaper:hal-01500311.

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2017Financial equilibrium with asymmetric information and random horizon. (2017). cCetin, Umut . In: Papers. RePEc:arx:papers:1603.08828.

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2017Hölder continuity for stochastic fractional heat equation with colored noise. (2017). Li, Kexue . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:34-41.

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2017Refined large deviations asymptotics for Markov-modulated infinite-server systems. (2017). Blom, Joke ; Mandjes, Michel ; de Turck, Koen . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1036-1044.

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2017Certain properties related to well posedness of switching diffusions. (2017). Nguyen, Dang Hai ; Zhu, Chao ; Yin, George . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3135-3158.

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2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus. (2017). Shimizu, Yasutaka ; Zhang, Zhimin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:84-98.

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2017Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2017). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1607.04214.

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2017Estimator Selection: a New Method with Applications to Kernel Density Estimation. (2017). Lacour, Claire ; Rivoirard, Vincent ; Massart, Pascal. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:79:y:2017:i:2:d:10.1007_s13171-017-0107-5.

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2017Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes. (2017). Bandini, Elena ; Fuhrman, Marco . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1441-1474.

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2017Change of measure up to a random time: Details. (2017). Kreher, Dorte . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1565-1598.

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2017No-arbitrage up to random horizon for quasi-left-continuous models. (2017). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3.

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2017The value of foresight. (2017). Rogers, Leonard ; Rogers, L. C. G., ; Ernst, Philip A ; Zhou, Quan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:3913-3927.

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2017Heavy-tailed fractional Pearson diffusions. (2017). Leonenko, N N ; Papi, I ; Uvak, N ; Sikorskii, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3512-3535.

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2017Lp solutions of backward stochastic differential equations with jumps. (2017). Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3465-3511.

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2017Strong-majority bootstrap percolation on regular graphs with low dissemination threshold. (2017). Mitsche, Dieter ; Praat, Pawe ; Perez-Gimenez, Xavier . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3110-3134.

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2017Local times of stochastic differential equations driven by fractional Brownian motions. (2017). Lou, Shuwen ; Ouyang, Cheng . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3643-3660.

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2017Mean-field limit of generalized Hawkes processes. (2017). Chevallier, Julien . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:3870-3912.

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2017Tightness and duality of martingale transport on the Skorokhod space. (2017). Touzi, Nizar ; Tan, Xiaolu ; Guo, Gaoyue . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:927-956.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Integral equations for Rost’s reversed barriers: Existence and uniqueness results. (2017). de Angelis, Tiziano ; Kitapbayev, Yerkin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3447-3464.

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2017Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2017Constrained Optimal Transport. (2017). Soner, Mete H ; Ekren, Ibrahim . In: Papers. RePEc:arx:papers:1610.02940.

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2017Change 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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2017A stability result on optimal Skorokhod embedding. (2017). Guo, Gaoyue . In: Papers. RePEc:arx:papers:1701.08204.

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2017Robust Hedging of Options on a Leveraged Exchange Traded Fund. (2017). Kinsley, Sam M ; Alexander, . In: Papers. RePEc:arx:papers:1702.07169.

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2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

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2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael . In: Papers. RePEc:arx:papers:1705.02933.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan . In: Papers. RePEc:arx:papers:1710.07911.

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2017Optimal Brownian Stopping between radially symmetric marginals in general dimensions. (2017). Ghoussoub, Nassif ; Lim, Tongseok ; Kim, Young-Heon . In: Papers. RePEc:arx:papers:1711.02784.

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2017Weak decreasing stochastic order. (2017). Bogso, Antoine-Marie ; Soh, Patrice Takam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:49-58.

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2017On the expected diameter of planar Brownian motion. (2017). McRedmond, James ; Xu, Chang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:130:y:2017:i:c:p:1-4.

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2017An Itô calculus for a class of limit processes arising from random walks on the complex plane. (2017). Bonaccorsi, Stefano ; Mazzucchi, Sonia ; Calcaterra, Craig . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:2816-2840.

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2017The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2017). Fontana, Claudio . In: Papers. RePEc:arx:papers:1508.03282.

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2017Change of measure up to a random time: Details. (2017). Kreher, Dorte . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1565-1598.

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2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Fabbri, Giorgio ; Swiech, Andrzej ; Gozzi, Fausto . In: Post-Print. RePEc:hal:journl:hal-01505767.

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2017Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise. (2017). Lee, Wooyong ; Wefelmeyer, Wolfgang ; Heckman, Nancy ; Greenwood, Priscilla E. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9141-5.

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2017On the conditional small ball property of multivariate Lévy-driven moving average processes. (2017). Sottinen, Tommi ; Pakkanen, Mikko S ; Yazigi, Adil . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:749-782.

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2017Invariance times. (2017). Song, Shiqi ; Cr, St'Ephane . In: Papers. RePEc:arx:papers:1702.01045.

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2017INVARIANCE TIMES *. (2017). Crepey, Stephane ; Song, Shiqi . In: Working Papers. RePEc:hal:wpaper:hal-01455414.

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2017Continuous spin models on annealed generalized random graphs. (2017). Schriever, P ; Dommers, S ; Kulske, C. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3719-3753.

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2017Lp solutions of backward stochastic differential equations with jumps. (2017). Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3465-3511.

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2017Scaling transition for nonlinear random fields with long-range dependence. (2017). Pilipauskait, Vytaut ; Surgailis, Donatas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2751-2779.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Geodesic forests in last-passage percolation. (2017). Lopez, Sergio I. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:1:p:304-324.

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2017Reduced-form framework and superhedging for payment streams under model uncertainty. (2017). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1707.04475.

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2017SDEs with constraints driven by semimartingales and processes with bounded p-variation. (2017). Falkowski, Adrian ; Somiski, Leszek . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3536-3557.

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2017Autoregressive functions estimation in nonlinear bifurcating autoregressive models. (2017). Bitseki, Valere S ; Olivier, Adelaide . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9140-6.

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2017Mean Field Games with Singular Controls. (2017). Horst, Ulrich ; Fu, Guanxing . In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:22.

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2017Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises. (2017). Yang, XU. In: Statistics & Probability Letters. RePEc:eee:stapro:v:120:y:2017:i:c:p:18-27.

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2017Least squares estimators for stochastic differential equations driven by small Lévy noises. (2017). Long, Hongwei ; Shimizu, Yasutaka ; Ma, Chunhua . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1475-1495.

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2017Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7.

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2017On future drawdowns of Lévy processes. (2017). Baurdoux, E J ; Pistorius, M R ; Palmowski, Z. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2679-2698.

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2017Strict local martingales: Examples. (2017). Li, Xue-Mei . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:65-68.

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2017Intermittency fronts for space-time fractional stochastic partial differential equations in (d+1) dimensions. (2017). Asogwa, Sunday A ; Nane, Erkan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:4:p:1354-1374.

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2017Optimal Investment and Pricing in the Presence of Defaults. (2017). Ishikawa, Tetsuya ; Robertson, Scott . In: Papers. RePEc:arx:papers:1703.00062.

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2017Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Li, Jia ; Tauchen, George ; Todorov, Viktor . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Chen, Rui ; Li, Jia ; Todorov, Viktor ; Tauchen, George . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2017Existence and estimates of moments for Lévy-type processes. (2017). Kuhn, Franziska . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:1018-1041.

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2017Multidimensional Lévy white noise in weighted Besov spaces. (2017). Fageot, Julien ; Unser, Michael ; Fallah, Alireza . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1599-1621.

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2017The interplay of two mutations in a population of varying size: A stochastic eco-evolutionary model for clonal interference. (2017). Billiard, Sylvain ; Smadi, Charline . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:701-748.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael . In: Papers. RePEc:arx:papers:1705.02933.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642.

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2017Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan . In: Papers. RePEc:arx:papers:1710.07911.

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2017
2017HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, Francesco . In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2017003.

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2017Parisian ruin for a refracted Lévy process. (2017). Lkabous, Mohamed Amine ; Renaud, Jean-Franois ; Czarna, Irmina . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163.

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2017Weak Dirichlet processes with jumps. (2017). Russo, Francesco ; Bandini, Elena . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:4139-4189.

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2017A law of the iterated logarithm for the number of occupied boxes in the Bernoulli sieve. (2017). Iksanov, Alexander ; Bouzeffour, Fethi ; Jedidi, Wissem . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:244-252.

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2017On the concept of subcriticality and criticality and a ratio theorem for a branching process in a random environment. (2017). Wang, Yuejiao ; Liu, Quansheng . In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:97-103.

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2017Hölder continuity for stochastic fractional heat equation with colored noise. (2017). Li, Kexue . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:34-41.

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2017
2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Fabbri, Giorgio ; Swiech, Andrzej ; Gozzi, Fausto . In: Post-Print. RePEc:hal:journl:hal-01505767.

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2017Tukey’s transformational ladder for portfolio management. (2017). Ernst, Philip A ; Miao, Yinsen ; Thompson, James R. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0292-1.

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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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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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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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