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Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
33
Impact Factor
0.22
5 Years IF
0.23
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 0.08 0.15 0.01 66 66 126 10 10 130 1 330 4 0 0 0.04
1991 0.01 0.08 0.05 0 66 132 187 6 16 132 1 342 1 0 0 0.04
1992 0 0.09 0.03 0 84 216 231 6 22 132 346 1 0 0 0.04
1993 0.01 0.1 0.03 0.01 103 319 263 9 31 150 1 346 2 0 0 0.05
1994 0 0.11 0.01 0 128 447 290 5 37 187 385 1 0 0 0.06
1995 0.1 0.2 0.2 0.11 119 566 353 111 148 231 24 447 48 70 63.1 2 0.02 0.08
1996 0.11 0.22 0.18 0.1 90 656 255 116 264 247 26 500 50 52 44.8 0 0.1
1997 0.13 0.23 0.2 0.11 104 760 238 151 415 209 28 524 59 69 45.7 5 0.05 0.1
1998 0.08 0.27 0.16 0.1 84 844 289 131 547 194 15 544 53 60 45.8 4 0.05 0.12
1999 0.1 0.29 0.18 0.1 104 948 361 171 718 188 18 525 50 71 41.5 1 0.01 0.14
2000 0.1 0.34 0.17 0.1 108 1056 357 182 900 188 18 501 52 73 40.1 6 0.06 0.15
2001 0.14 0.36 0.19 0.11 94 1150 255 224 1124 212 29 490 56 79 35.3 5 0.05 0.16
2002 0.1 0.4 0.13 0.1 73 1223 330 163 1287 202 21 494 48 49 30.1 1 0.01 0.21
2003 0.09 0.41 0.15 0.09 79 1302 425 191 1480 167 15 463 41 46 24.1 6 0.08 0.2
2004 0.2 0.46 0.18 0.16 92 1394 352 252 1732 152 31 458 73 73 29 7 0.08 0.21
2005 0.15 0.47 0.15 0.14 90 1484 293 221 1953 171 26 446 61 60 27.1 2 0.02 0.22
2006 0.17 0.47 0.16 0.18 95 1579 361 255 2208 182 31 428 79 81 31.8 8 0.08 0.21
2007 0.18 0.42 0.19 0.19 95 1674 318 310 2518 185 33 429 81 87 28.1 1 0.01 0.19
2008 0.22 0.45 0.24 0.23 103 1777 345 426 2947 190 42 451 104 89 20.9 12 0.12 0.21
2009 0.23 0.44 0.23 0.24 178 1955 573 458 3405 198 46 475 114 169 36.9 10 0.06 0.21
2010 0.23 0.44 0.23 0.25 110 2065 287 465 3870 281 65 561 138 126 27.1 9 0.08 0.18
2011 0.18 0.46 0.18 0.2 127 2192 336 396 4267 288 52 581 114 132 33.3 5 0.04 0.21
2012 0.14 0.47 0.17 0.16 119 2311 172 404 4671 237 32 613 98 127 31.4 4 0.03 0.19
2013 0.21 0.53 0.24 0.22 146 2457 346 579 5252 246 52 637 139 155 26.8 6 0.04 0.22
2014 0.22 0.55 0.24 0.25 127 2584 222 608 5860 265 57 680 173 177 29.1 15 0.12 0.21
2015 0.32 0.55 0.29 0.29 168 2752 168 788 6649 273 86 629 184 225 28.6 7 0.04 0.21
2016 0.23 0.56 0.24 0.23 147 2899 137 691 7343 295 69 687 158 153 22.1 9 0.06 0.2
2017 0.23 0.58 0.27 0.26 145 3044 100 825 8168 315 73 707 182 222 26.9 14 0.1 0.21
2018 0.21 0.7 0.24 0.2 147 3191 40 776 8944 292 62 733 149 246 31.7 6 0.04 0.28
2019 0.22 0.88 0.25 0.23 187 3378 7 858 9802 292 64 734 171 272 31.7 3 0.02 0.33
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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385
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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120
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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82
42008Asymptotic 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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73
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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73
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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67
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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58
81983A 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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57
91985Some 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
102002Environmental 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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55
112000Weak 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
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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52
132004Russian 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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52
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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50
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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48
161991Option 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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46
171998Selecting 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
181989Extremal 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
191993Risk 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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43
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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42
211998Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97.

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42
221990Nonparametric 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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42
231998Additional 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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41
242003Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129.

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40
252004Discrete-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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40
261992Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143.

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40
272005Nonparametric 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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38
281996On 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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38
291992M-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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38
301991Time-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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36
312007A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812.

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36
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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34
332007Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662.

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33
342000Optimal 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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32
352002On 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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32
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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31
371995Utility 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
381999Stability 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
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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30
401995On 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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29
411995Fractional 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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29
422011Locally 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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29
432001Finite 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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29
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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28
452002Power 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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27
461984Optimum 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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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
481986Strong 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
491994Simple 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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26
501993Smoothed 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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26
50 most relevant documents in this series (papers most cited in the last two years)
#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

28
22002Environmental 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

25
32009Microstructure 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

23
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

20
52002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286.

Full description at Econpapers || Download paper

17
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.

Full description at Econpapers || Download paper

15
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.

Full description at Econpapers || Download paper

14
92004Discrete-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
102003Long-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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12
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.

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11
122014Occupation 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
131996Multivariate 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

11
142007A 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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10
152015Martingale 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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10
162009Mean-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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10
172008Multi-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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10
182013Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121.

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9
192011On 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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8
202008Solvability 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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8
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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8
222013A 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
232011Martingale representation theorem for the G-expectation. (2011). Zhang, Jianfeng ; Touzi, Nizar ; Soner, Mete H.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:265-287.

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8
242011Occupation 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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8
252008BSDEs 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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7
262010A discussion on mean excess plots. (2010). Resnick, Sidney ; Ghosh, Souvik . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:8:p:1492-1517.

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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
282017Monotone 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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292009Time 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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301999Particle representations for a class of nonlinear SPDEs. (1999). Xiong, Jie ; Kurtz, Thomas G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:83:y:1999:i:1:p:103-126.

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311999On 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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322016Risk-consistent conditional systemic risk measures. (2016). Hoffmann, Hannes ; Svindland, Gregor ; Meyer-Brandis, Thilo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:7:p:2014-2037.

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332010A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem. (2010). Morlais, Marie-Amelie . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:10:p:1966-1995.

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342016Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings. (2016). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:12:p:3632-3651.

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352007Error expansion for the discretization of backward stochastic differential equations. (2007). Labart, Celine ; Gobet, Emmanuel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:7:p:803-829.

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362016An 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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372003Precise 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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382018Quadratic–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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392001Finite 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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401993Risk 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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412013A central limit theorem for stationary random fields. (2013). Voln, Dalibor ; Wu, Wei Biao ; El Machkouri, Mohamed ; ElMachkouri, Mohamed . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:1:p:1-14.

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422013Derivative formulas and gradient estimates for SDEs driven by α-stable processes. (2013). Zhang, Xicheng . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:4:p:1213-1228.

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432016Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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442007Stability of regime-switching diffusions. (2007). Zhu, C. ; Khasminskii, R. Z. ; Yin, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:8:p:1037-1051.

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451999Stability 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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462010Switching problem and related system of reflected backward SDEs. (2010). Zhang, Jianfeng ; Hamadene, Said . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:4:p:403-426.

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472009Bipower-type estimation in a noisy diffusion setting. (2009). Podolskij, Mark ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:9:p:2803-2831.

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481995On pathwise stochastic integration. (1995). Karandikar, Rajeeva L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:57:y:1995:i:1:p:11-18.

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492002Regular 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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502013BSDEs with jumps, optimization and applications to dynamic risk measures. (2013). Sulem, Agnes ; Quenez, Marie-Claire. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3328-3357.

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Citing documents used to compute impact factor: 64
YearTitle
2019Detecting periodicity from the trajectory of a random walk in random environment. (2019). Vaillancourt, Jean ; Remillard, Bruno N. In: Statistics & Probability Letters. RePEc:eee:stapro:v:155:y:2019:i:c:2.

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2019Ergodic aspects of some Ornstein–Uhlenbeck type processes related to Lévy processes. (2019). Bertoin, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:4:p:1443-1454.

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2019On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients. (2019). Taguchi, Dai ; Ngo, Hoang-Long. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:161:y:2019:i:c:p:102-112.

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2019Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels. (2019). Chevallier, J ; Ost, G ; Locherbach, E ; Duarte, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:1:p:1-27.

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2019Kyle equilibrium under random price pressure. (2019). Fajardo, Jose ; Nunno, Giulia ; Corcuera, Jose Manuel . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00231-4.

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2019Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises. (2019). Wang, Jian ; Luo, Dejun . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3129-3173.

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2019On probability of high extremes of Gaussian fields with a smooth random trend. (2019). Stamatovi, Sinia ; Popivoda, Goran . In: Statistics & Probability Letters. RePEc:eee:stapro:v:147:y:2019:i:c:p:29-35.

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2019Tail asymptotic behavior of the supremum of a class of chi-square processes. (2019). Robert, Stephan ; Liu, Peng ; Ji, Lanpeng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:6.

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2019Portfolio liquidation under factor uncertainty. (2019). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1909.00748.

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2019Malliavin and Dirichlet structures for independent random variables. (2019). Halconruy, Helene ; Decreusefond, Laurent. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:8:p:2611-2653.

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2019Risk-Sensitive Average Equilibria for Discrete-Time Stochastic Games. (2019). Chen, Xian ; Wei, Qingda. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:9:y:2019:i:2:d:10.1007_s13235-018-0267-5.

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2019Forward-backward stochastic differential equations driven by G-Brownian motion. (2019). Yuan, Mingxia ; Wang, Bingjun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:349:y:2019:i:c:p:39-47.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2019Stochastic invariance of closed sets with non-Lipschitz coefficients. (2019). Illand, Camille ; Bouchard, Bruno ; Jaber, Eduardo Abi. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1726-1748.

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2019Duality for pathwise superhedging in continuous time. (2019). Tangpi, Ludovic ; Promel, David J ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1705.02933.

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2019Computational Methods for Martingale Optimal Transport problems. (2019). Obloj, Jan ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:1710.07911.

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2019Pathwise superhedging for time-dependent barrier options on càdlàg paths—Finite or infinite tradeable European, One-Touch, lookback or forward starting options. (2019). Forde, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:3:p:799-821.

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2019No arbitrage and lead–lag relationships. (2019). Koike, Yuta ; Hayashi, Takaki. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:1.

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2019Averaging principle for the heat equation driven by a general stochastic measure. (2019). Radchenko, Vadym . In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:224-230.

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2019Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. (2019). Zhang, Z ; Yam, S. C. P., ; Privault, N. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3376-3405.

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2019Nonparametric estimation of the trend for stochastic differential equations driven by small α-stable noises. (2019). Shu, Huisheng ; Yi, Haoran ; Zhang, Xuekang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:151:y:2019:i:c:p:8-16.

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2019Estimating functions for jump–diffusions. (2019). Sørensen, Michael ; Sorensen, Michael ; Jakobsen, Nina Munkholt . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3282-3318.

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2019Exact convergence rate in the local central limit theorem for a lattice branching random walk on Zd. (2019). Gao, Zhi-Qiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:151:y:2019:i:c:p:58-66.

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2019Conditioned real self-similar Markov processes. (2019). Satitkanitkul, Weerapat ; Rivero, Victor M ; Kyprianou, Andreas E. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:3:p:954-977.

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2019Large deviations of Markov chains with multiple time-scales. (2019). Popovic, Lea . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3319-3359.

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2019Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. (2019). Bandini, Elena ; Pham, Huyen ; Fuhrman, Marco ; Cosso, Andrea. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:2:p:674-711.

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2019Climb on the Bandwagon: Consensus and Periodicity in a Lifetime Utility Model with Strategic Interactions. (2019). Tolotti, Marco ; Sartori, Elena ; Pra, Paolo Dai. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:9:y:2019:i:4:d:10.1007_s13235-019-00299-y.

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2019Spectral tail processes and max-stable approximations of multivariate regularly varying time series. (2019). Janssen, Anja. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:6:p:1993-2009.

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2019Chordal Komatu–Loewner equation for a family of continuously growing hulls. (2019). Murayama, Takuya. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:8:p:2968-2990.

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2019Generalized refracted Lévy process and its application to exit problem. (2019). Yano, Kouji ; Noba, Kei . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1697-1725.

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2019On a spectrally negative Lévy risk process with periodic dividends and capital injections. (2019). Zhou, Xiaowen ; Dong, Hua. In: Statistics & Probability Letters. RePEc:eee:stapro:v:155:y:2019:i:c:16.

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2019Rough differential equations with power type nonlinearities. (2019). Tindel, Samy ; Chakraborty, Prakash. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1533-1555.

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2019Asymptotically stable random walks of index 1<α<2 killed on a finite set. (2019). Uchiyama, Kohei . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:12:p:5151-5199.

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2019Poissonian occupation times of spectrally negative L\evy processes with applications. (2019). Lkabous, Mohamed Amine. In: Papers. RePEc:arx:papers:1907.09990.

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2019On occupation times in the red of L\evy risk models. (2019). Lkabous, Mohamed Amine ; Li, Bin ; Landriault, David. In: Papers. RePEc:arx:papers:1903.03721.

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2019Persistence of sums of correlated increments and clustering in cellular automata. (2019). Sivakoff, David ; Lyu, Hanbaek. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:4:p:1132-1152.

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2019Synchronization and functional central limit theorems for interacting reinforced random walks. (2019). Crimaldi, Irene ; Minelli, Ida G ; Louis, Pierre-Yves ; Pra, Paolo Dai . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:1:p:70-101.

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2019Filtration shrinkage, the structure of deflators, and failure of market completeness. (2019). Ruf, Johannes ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1912.04652.

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2019Large rank-based models with common noise. (2019). Sarantsev, Andrey ; Kolli, Praveen . In: Statistics & Probability Letters. RePEc:eee:stapro:v:151:y:2019:i:c:p:29-35.

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2019Classical large deviation theorems on complete Riemannian manifolds. (2019). Versendaal, Rik ; Redig, Frank ; Kraaij, Richard C. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:11:p:4294-4334.

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2019Robust Pricing and Hedging around the Globe. (2019). Stebegg, Florian ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1707.08545.

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2019Robust bounds for the American put. (2019). Hobson, David ; Norgilas, Dominykas. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00385-4.

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2019Approximation of Optimal Transport problems with marginal moments constraints. (2019). Lombardi, Damiano ; Ehrlacher, Virginie ; Coyaud, Rafael ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1905.05663.

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2019Martingale optimal transport in the discrete case via simple linear programming techniques. (2019). Schmithals, Daniel ; Bauerle, Nicole. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:90:y:2019:i:3:d:10.1007_s00186-019-00684-8.

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2019Reflected backward stochastic partial differential equations with jumps in a convex domain. (2019). Yang, Xue. In: Statistics & Probability Letters. RePEc:eee:stapro:v:152:y:2019:i:c:p:126-136.

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2019Global martingale solutions for a stochastic population cross-diffusion system. (2019). Zamponi, Nicola ; Jungel, Ansgar ; Dhariwal, Gaurav. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:10:p:3792-3820.

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2019On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients. (2019). Taguchi, Dai ; Li, Libo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:15-26.

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2019Distribution dependent SDEs with singular coefficients. (2019). Wang, Feng-Yu ; Huang, Xing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:11:p:4747-4770.

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2019Critical first-passage percolation starting on the boundary. (2019). Yao, Chang-Long ; JIANG, Jianping . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:6:p:2049-2065.

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2019Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes. (2019). Xu, Fangjun ; Nualart, David. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:10:p:3981-4008.

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2019Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets). (2019). Takahashi, Masayuki ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf456.

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2019Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. (2019). Takahashi, Akihiko ; Fujii, Masaaki. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1492-1532.

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2019Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs. (2019). Takahashi, Masayuki ; Fujii, Masaaki. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:3:d:10.1007_s10690-019-09271-7.

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2019Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2019). Fujii, Masaaki. In: Papers. RePEc:arx:papers:1911.11501.

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2019Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2019). Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf467.

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2019Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2019). Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2019cf1133.

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2019). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1810.09882.

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2019Approximation of some multivariate risk measures for Gaussian risks. (2019). Hashorva, Enkelejd . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:330-340.

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2019Asymptotics of multivariate conditional risk measures for Gaussian risks. (2019). Ling, Chengxiu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:205-215.

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2019Large deviations of bivariate Gaussian extrema. (2019). Honnappa, Harsha ; Hofstad, Remco . In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:93:y:2019:i:3:d:10.1007_s11134-019-09632-z.

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2019Limit theorems for an inverse Markovian Hawkes process. (2019). Seol, Youngsoo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:155:y:2019:i:c:7.

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2019On SDEs with Lipschitz coefficients, driven by continuous, model-free price paths. (2019). Mhlanga, Farai J ; Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1807.05692.

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2019On pathwise Riemann–Stieltjes integrals. (2019). Yaskov, Pavel. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:101-107.

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Recent citations
Recent citations received in 2019

YearCiting document
2019A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty. (2019). Christensen, Soren ; Luis , . In: Papers. RePEc:arx:papers:1907.04046.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019What fuels the adoption of alternative fuels? Examining preferences of German car drivers for fuel innovations. (2019). Arning, Katrin ; Linzenich, Anika ; Ziefle, Martina ; Mitsos, Alexander ; Bongartz, Dominik. In: Applied Energy. RePEc:eee:appene:v:249:y:2019:i:c:p:222-236.

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Recent citations received in 2018

YearCiting document
2018The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. 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). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . 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). Koike, Yuta ; Hayashi, Takaki. 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

YearCiting document
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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