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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
32
Impact Factor
0.22
5 Years IF
0.21
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0.01 0.1 0.15 0.01 66 66 109 10 10 130 1 330 4 0 0 0.04
1991 0.01 0.1 0.05 0 66 132 180 6 16 132 1 342 1 0 0 0.04
1992 0 0.09 0.03 0 84 216 221 6 22 132 346 1 0 0 0.04
1993 0.01 0.11 0.03 0.01 103 319 252 9 31 150 1 346 2 0 0 0.05
1994 0 0.11 0.01 0 128 447 285 5 37 187 385 1 0 0 0.04
1995 0.1 0.19 0.19 0.1 119 566 346 108 145 231 24 447 46 70 64.8 2 0.02 0.07
1996 0.11 0.22 0.18 0.1 90 656 246 116 261 247 26 500 50 52 44.8 0 0.09
1997 0.12 0.26 0.19 0.11 104 760 228 148 409 209 25 524 56 69 46.6 5 0.05 0.09
1998 0.08 0.27 0.16 0.1 84 844 278 131 541 194 15 544 53 60 45.8 4 0.05 0.1
1999 0.1 0.31 0.18 0.09 104 948 349 166 707 188 18 525 49 71 42.8 1 0.01 0.13
2000 0.1 0.38 0.17 0.1 108 1056 345 176 883 188 18 501 52 73 41.5 5 0.05 0.15
2001 0.14 0.39 0.2 0.11 94 1150 244 225 1108 212 29 490 56 79 35.1 5 0.05 0.14
2002 0.1 0.4 0.13 0.1 73 1223 305 159 1267 202 21 494 48 49 30.8 1 0.01 0.17
2003 0.09 0.42 0.15 0.09 79 1302 402 190 1459 167 15 463 41 46 24.2 6 0.08 0.18
2004 0.2 0.47 0.18 0.16 92 1394 339 251 1710 152 31 458 73 73 29.1 7 0.08 0.19
2005 0.15 0.51 0.15 0.13 90 1484 282 219 1929 171 26 446 59 60 27.4 2 0.02 0.2
2006 0.17 0.5 0.16 0.18 95 1579 336 255 2184 182 31 428 79 81 31.8 8 0.08 0.2
2007 0.17 0.44 0.18 0.19 95 1674 299 306 2490 185 32 429 81 87 28.4 1 0.01 0.17
2008 0.22 0.47 0.24 0.23 103 1777 325 423 2916 190 41 451 103 89 21 12 0.12 0.19
2009 0.23 0.49 0.23 0.24 178 1955 532 454 3370 198 46 475 113 169 37.2 10 0.06 0.19
2010 0.23 0.46 0.22 0.24 110 2065 261 463 3833 281 65 561 137 126 27.2 9 0.08 0.16
2011 0.18 0.48 0.18 0.2 127 2192 305 394 4228 288 52 581 114 132 33.5 5 0.04 0.19
2012 0.14 0.51 0.17 0.16 119 2311 163 403 4631 237 32 613 97 127 31.5 4 0.03 0.19
2013 0.21 0.58 0.24 0.22 146 2457 306 576 5209 246 52 637 139 155 26.9 6 0.04 0.2
2014 0.22 0.58 0.24 0.26 127 2584 193 608 5817 265 57 680 174 177 29.1 16 0.13 0.19
2015 0.32 0.59 0.29 0.29 168 2752 137 789 6607 273 86 629 184 225 28.5 7 0.04 0.19
2016 0.23 0.64 0.24 0.23 147 2899 106 690 7300 295 69 687 158 153 22.2 9 0.06 0.19
2017 0.23 0.66 0.27 0.26 145 3044 70 822 8122 315 73 707 181 222 27 14 0.1 0.2
2018 0.22 0.89 0.25 0.21 147 3191 21 782 8904 292 63 733 154 246 31.5 6 0.04 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%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.

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365
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.

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112
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.

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78
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.

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73
52008Asymptotic 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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71
62003On 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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62
72002Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115.

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56
81985Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303.

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55
91983A 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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55
102000Weak 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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53
112004Russian 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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51
122006Limit 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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50
132002Environmental 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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48
141996Multivariate 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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48
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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46
161998Selecting 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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46
171989Extremal 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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44
181991Option 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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43
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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42
201994Subexponentiality 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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41
211993Risk 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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40
221992Maximum-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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39
231996On 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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37
242004Discrete-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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37
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.

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37
261998Additional 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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36
271992M-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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36
282003Lp 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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35
291991Time-dependent coefficients in a Cox-type regression model. (1991). Sen, P. K. ; Murphy, S. A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180.

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35
302007A 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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34
312007Stability 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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32
322008Multi-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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32
331995Utility 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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31
341999Stability 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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30
352000Optimal 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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30
361975Importance 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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29
372006Backward 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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29
381990Nonparametric 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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28
391995Fractional ARIMA with stable innovations. (1995). Taqqu, Murad S. ; Kokoszka, Piotr S.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:60:y:1995:i:1:p:19-47.

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28
402011Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844.

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27
412001Finite 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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27
421995On 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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27
432002Power 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
441999On 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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26
452002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286.

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26
461986Strong 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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26
471986On 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
481994Simple 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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25
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.

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25
501982On 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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24
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12002Environmental 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

29
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

28
31981Martingales 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

25
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

24
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.

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17
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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17
72011Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844.

Full description at Econpapers || Download paper

14
81998Additional 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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14
92003Long-time behaviour of a stochastic prey-predator model. (2003). Rudnicki, Ryszard . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:93-107.

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14
102004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206.

Full description at Econpapers || Download paper

13
112004Russian 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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12
122002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286.

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12
131999Stability 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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12
142014Occupation 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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11
152011Occupation 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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10
162003Lp 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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10
172008Solvability of backward stochastic differential equations with quadratic growth. (2008). Tevzadze, Revaz . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:3:p:503-515.

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10
182009Time 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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10
192008BSDEs 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
202013Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121.

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10
212013Some 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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9
222007Stability 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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9
231992Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143.

Full description at Econpapers || Download paper

9
241996Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101.

Full description at Econpapers || Download paper

9
252008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253.

Full description at Econpapers || Download paper

9
262007A 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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9
272008Weakly 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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8
282013A simple constructive approach to quadratic BSDEs with or without delay. (2013). Briand, Philippe ; Elie, Romuald. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:2921-2939.

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8
292010On Malliavins differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. (2010). Delong, Lukasz ; Imkeller, Peter. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:9:p:1748-1775.

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302008Asymptotic 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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311999A 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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322010Stochastic equations of non-negative processes with jumps. (2010). Li, Zenghu ; Fu, Zongfei . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:3:p:306-330.

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331995On 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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342006Limit 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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352009Mean-field backward stochastic differential equations and related partial differential equations. (2009). Li, Juan ; Peng, Shige ; Buckdahn, Rainer . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3133-3154.

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362009Bipower-type estimation in a noisy diffusion setting. (2009). Podolskij, Mark ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:9:p:2803-2831.

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372011Optimal 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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382016Solutions 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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392006Verification 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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402007Tempering 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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412010Exponentially 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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422013Factor models in high-dimensional time series—A time-domain approach. (2013). Lippi, Marco ; Hallin, Marc. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2678-2695.

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432011Nonsynchronous 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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442003Precise 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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452000Weak 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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462000Martingale 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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472011Optimal 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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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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492005Optimal 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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502011Martingale 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.

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Citing documents used to compute impact factor: 63
YearTitle
2018Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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2018A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

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2018Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. (2018). Heiny, Johannes ; Mikosch, Thomas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:8:p:2779-2815.

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2018Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:90:y:2018:i:1:d:10.1007_s11134-018-9570-5.

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2018Limit theorems for Markovian Hawkes processes with a large initial intensity. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3807-3839.

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2018Some asymptotic results for nonlinear Hawkes processes. (2018). Gao, Fuqing ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4051-4077.

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2018FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT. (2018). Saporito, Yuri F. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500243.

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2018Non parametric estimation for random walks in random environment. (2018). Diel, Roland ; Lerasle, Matthieu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:1:p:132-155.

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2018Financial equilibrium with asymmetric information and random horizon. (2018). Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0348-0.

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2018Denseness of volatile and nonvolatile sequences of functions. (2018). Forsstrom, Malin Palo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3880-3896.

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2018Pointwise estimates for first passage times of perpetuity sequences. (2018). Buraczewski, D ; Zienkiewicz, J ; Damek, E. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:2923-2951.

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2018Network and Panel Quantile Effects Via Distribution Regression. (2018). Chernozhukov, Victor ; Weidner, Martin ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1803.08154.

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2018Network and panel quantile effects via distribution regression. (2018). Chernozhukov, Victor ; Weidner, Martin ; Fernandez-Val, Ivan. In: CeMMAP working papers. RePEc:ifs:cemmap:21/18.

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2018Uniform confidence bands in deconvolution with unknown error distribution. (2018). Kato, Kengo ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:129-161.

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2018
2018Branching random walks, stable point processes and regular variation. (2018). Bhattacharya, Ayan ; Roy, Parthanil ; Hazra, Rajat Subhra. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:1:p:182-210.

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2018Large deviations of time-averaged statistics for Gaussian processes. (2018). Gajda, J ; Sikora, G ; Chechkin, A V ; Kantz, H ; Wyomaska, A. In: Statistics & Probability Letters. RePEc:eee:stapro:v:143:y:2018:i:c:p:47-55.

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2018Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2018). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1607.04214.

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2018Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. (2018). Pages, Gilles ; Sagna, Abass . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:847-883.

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2018A class of globally solvable Markovian quadratic BSDE systems and applications. (2018). Itkovi, Gordan ; Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:73440.

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2018Concentration for Poisson U-statistics: Subgraph counts in random geometric graphs. (2018). Bachmann, Sascha ; Reitzner, Matthias. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3327-3352.

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2018Financial asset bubbles in banking networks. (2018). Biagini, Francesca ; Meyer-Brandis, Thilo ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:1806.01728.

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2018Systemic Risk and the Dependence Structures. (2018). Chang, Yu-Sin. In: Papers. RePEc:arx:papers:1809.03425.

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2018No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3.

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2018The value of informational arbitrage. (2018). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea. In: Papers. RePEc:arx:papers:1804.00442.

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2018The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2018). Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1007-1033.

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2018Likelihood based inference for the multivariate renewal Hawkes process. (2018). Stindl, Tom ; Chen, Feng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:123:y:2018:i:c:p:131-145.

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2018Robust pricing–hedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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2018Some Results on Skorokhod Embedding and Robust Hedging with Local Time. (2018). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1201-5.

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2018Perturbation analysis of sub/super hedging problems. (2018). Badikov, Sergey ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1806.03543.

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2018Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers. (2018). Fujii, Masaaki ; Takahashi, Akihiko. In: Papers. RePEc:arx:papers:1705.02440.

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2018Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409). (2018). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf431.

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2018Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability. (2018). Fujii, Masaaki ; Takahashi, Akihiko. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:2083-2130.

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2018Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078.

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2018Forbidden zones for the expectation. New mathematical results for behavioral and social sciences. (2018). Harin, Alexander. In: MPRA Paper. RePEc:pra:mprapa:86650.

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2018Subsampling based inference for U statistics under thick tails using self-normalization. (2018). Chen, Willa W ; Deo, Rohit S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:95-103.

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2018Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation. (2018). Hu, Ying ; Hima, Abdoulaye Soumana ; Lin, Yiqing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3724-3750.

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2018Estimation error for occupation time functionals of stationary Markov processes. (2018). Altmeyer, Randolf ; Chorowski, Jakub. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1830-1848.

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2018An enlargement of filtration formula with applications to multiple non-ordered default times. (2018). Jeanblanc, Monique ; Song, Shiqi ; Li, Libo. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0349-z.

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2018Latent voter model on locally tree-like random graphs. (2018). Huo, Ran ; Durrett, Rick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:5:p:1590-1614.

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2018Optimal position targeting via decoupling fields. (2018). Ankirchner, Stefan ; Popier, Alexandre ; Kruse, Thomas ; Fromm, Alexander . In: Working Papers. RePEc:hal:wpaper:hal-01500311.

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2018Representations of max-stable processes via exponential tilting. (2018). Hashorva, Enkelejd . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:2952-2978.

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2018Strong local nondeterminism of spherical fractional Brownian motion. (2018). Lan, Xiaohong ; Xiao, Yimin. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:44-50.

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2018Extremes of q-Ornstein–Uhlenbeck processes. (2018). Wang, Yizao. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:2979-3005.

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2018First order Feynman–Kac formula. (2018). Li, Xue-Mei ; Thompson, James. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:3006-3029.

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2018Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. (2018). Avram, Florin ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:1:p:255-290.

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2018A second order asymptotic expansion in the local limit theorem for a simple branching random walk in Zd. (2018). Gao, Zhi-Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4000-4017.

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2018Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes. (2018). Hoffmann, Michael ; Dette, Holger ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3679-3723.

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2018Multilevel rejection sampling for approximate Bayesian computation. (2018). Warne, David J ; Simpson, Matthew J ; Baker, Ruth E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:71-86.

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2018Functional limit theorems for a new class of non-stationary shot noise processes. (2018). Pang, Guodong ; Zhou, Yuhang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:2:p:505-544.

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2018Two-parameter process limits for infinite-server queues with dependent service times via chaining bounds. (2018). Pang, Guodong ; Zhou, Yuhang. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:88:y:2018:i:1:d:10.1007_s11134-017-9550-1.

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2018Moral Hazard Under Ambiguity. (2018). Mastrolia, Thibaut ; Possamai, Dylan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1230-8.

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2018Stochastic Komatu–Loewner evolutions and BMD domain constant. (2018). Chen, Zhen-Qing ; Fukushima, Masatoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:2:p:545-594.

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2018Markov processes with darning and their approximations. (2018). Chen, Zhen-Qing ; Peng, Jun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:3030-3053.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1809.08060.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2018Mutual intersection for rough differential systems driven by fractional Brownian motions. (2018). Ouyang, Cheng ; Wu, Dongsheng ; Shi, Yinghui. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:83-91.

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2018Systems of ergodic BSDE arising in regime switching forward performance processes. (2018). Hu, Ying ; Tang, Shanjian ; Liang, Gechun. In: Papers. RePEc:arx:papers:1807.01816.

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2018OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP. (2018). Ivanov, Roman V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500188.

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2018Volterra-type Ornstein–Uhlenbeck processes in space and time. (2018). Pham, Viet Son ; Chong, Carsten . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:3082-3117.

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2018MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292.

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2018Monotonicity preserving transformations of MOT and SEP. (2018). Huesmann, Martin ; Stebegg, Florian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1114-1134.

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Recent citations
Recent citations received in 2018

YearCiting document
2018The value of informational arbitrage. (2018). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea. In: Papers. RePEc:arx:papers:1804.00442.

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2018On optimal periodic dividend strategies for Lévy risk processes. (2018). Noba, Kei ; Yano, Kouji ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:29-44.

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2018Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

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2018American options under periodic exercise opportunities. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:92-101.

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2018Singular integrals of stable subordinator. (2018). Xu, Lihu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:115-118.

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2018On the Bail-Out Optimal Dividend Problem. (2018). Perez, Jose-Luis ; Yu, Xiang ; Yamazaki, Kazutoshi. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1340-3.

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Recent citations received in 2017

YearCiting document
2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831.

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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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2017No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854.

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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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2017HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, F. In: Working Papers. RePEc:gbl:wpaper:2017-07.

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2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. 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

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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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2016Risk in a Large Claims Insurance Market with Bipartite Graph Structure. (2016). Kluppelberg, Claudia ; Kley, Oliver ; Reinert, Gesine . In: Operations Research. RePEc:inm:oropre:v:64:y:2016:i:5:p:1159-1176.

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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

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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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2015LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises. (2015). Zhu, Ke ; Ling, Shiqing. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:110:y:2015:i:510:p:784-794.

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