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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0.01 | 0.09 | 0.15 | 0.01 | 66 | 66 | 134 | 10 | 10 | 130 | 1 | 330 | 4 | 0 | 0 | 0.04 | ||
1991 | 0.01 | 0.08 | 0.05 | 0 | 66 | 132 | 197 | 7 | 17 | 132 | 1 | 342 | 1 | 0 | 0 | 0.04 | ||
1992 | 0 | 0.09 | 0.03 | 0 | 84 | 216 | 241 | 6 | 23 | 132 | 346 | 1 | 0 | 0 | 0.04 | |||
1993 | 0.01 | 0.11 | 0.03 | 0.01 | 103 | 319 | 269 | 9 | 32 | 150 | 1 | 346 | 2 | 0 | 0 | 0.05 | ||
1994 | 0 | 0.12 | 0.01 | 0 | 128 | 447 | 302 | 5 | 38 | 187 | 385 | 1 | 0 | 0 | 0.06 | |||
1995 | 0.1 | 0.19 | 0.2 | 0.11 | 119 | 566 | 367 | 112 | 150 | 231 | 24 | 447 | 48 | 70 | 62.5 | 2 | 0.02 | 0.08 |
1996 | 0.11 | 0.22 | 0.18 | 0.1 | 90 | 656 | 286 | 119 | 269 | 247 | 27 | 500 | 51 | 52 | 43.7 | 0 | 0.1 | |
1997 | 0.13 | 0.22 | 0.2 | 0.11 | 104 | 760 | 258 | 153 | 422 | 209 | 28 | 524 | 60 | 69 | 45.1 | 5 | 0.05 | 0.1 |
1998 | 0.08 | 0.26 | 0.16 | 0.1 | 84 | 844 | 313 | 131 | 554 | 194 | 15 | 544 | 53 | 60 | 45.8 | 4 | 0.05 | 0.12 |
1999 | 0.1 | 0.27 | 0.18 | 0.1 | 104 | 948 | 386 | 174 | 728 | 188 | 18 | 525 | 50 | 71 | 40.8 | 1 | 0.01 | 0.13 |
2000 | 0.1 | 0.32 | 0.17 | 0.1 | 108 | 1056 | 385 | 182 | 910 | 188 | 18 | 501 | 52 | 73 | 40.1 | 6 | 0.06 | 0.14 |
2001 | 0.14 | 0.35 | 0.2 | 0.11 | 94 | 1150 | 267 | 225 | 1135 | 212 | 29 | 490 | 56 | 79 | 35.1 | 5 | 0.05 | 0.15 |
2002 | 0.1 | 0.38 | 0.14 | 0.1 | 73 | 1223 | 365 | 166 | 1301 | 202 | 21 | 494 | 48 | 49 | 29.5 | 1 | 0.01 | 0.19 |
2003 | 0.09 | 0.4 | 0.15 | 0.09 | 79 | 1302 | 445 | 197 | 1500 | 167 | 15 | 463 | 42 | 46 | 23.4 | 6 | 0.08 | 0.19 |
2004 | 0.2 | 0.44 | 0.19 | 0.17 | 92 | 1394 | 378 | 259 | 1759 | 152 | 31 | 458 | 76 | 73 | 28.2 | 7 | 0.08 | 0.2 |
2005 | 0.15 | 0.46 | 0.15 | 0.14 | 90 | 1484 | 329 | 227 | 1986 | 171 | 26 | 446 | 62 | 60 | 26.4 | 2 | 0.02 | 0.21 |
2006 | 0.17 | 0.46 | 0.17 | 0.19 | 95 | 1579 | 389 | 264 | 2250 | 182 | 31 | 428 | 80 | 81 | 30.7 | 8 | 0.08 | 0.21 |
2007 | 0.18 | 0.42 | 0.19 | 0.19 | 95 | 1674 | 353 | 319 | 2569 | 185 | 33 | 429 | 81 | 87 | 27.3 | 1 | 0.01 | 0.18 |
2008 | 0.23 | 0.44 | 0.24 | 0.24 | 103 | 1777 | 387 | 429 | 3001 | 190 | 43 | 451 | 106 | 89 | 20.7 | 12 | 0.12 | 0.2 |
2009 | 0.23 | 0.43 | 0.24 | 0.24 | 178 | 1955 | 652 | 469 | 3470 | 198 | 46 | 475 | 114 | 169 | 36 | 10 | 0.06 | 0.21 |
2010 | 0.23 | 0.43 | 0.23 | 0.25 | 110 | 2065 | 325 | 466 | 3936 | 281 | 65 | 561 | 138 | 126 | 27 | 9 | 0.08 | 0.18 |
2011 | 0.18 | 0.45 | 0.18 | 0.2 | 127 | 2192 | 373 | 401 | 4338 | 288 | 53 | 581 | 116 | 132 | 32.9 | 5 | 0.04 | 0.2 |
2012 | 0.14 | 0.45 | 0.18 | 0.16 | 119 | 2311 | 199 | 411 | 4749 | 237 | 32 | 613 | 99 | 127 | 30.9 | 4 | 0.03 | 0.19 |
2013 | 0.22 | 0.51 | 0.24 | 0.22 | 146 | 2457 | 395 | 590 | 5341 | 246 | 53 | 637 | 141 | 155 | 26.3 | 7 | 0.05 | 0.21 |
2014 | 0.22 | 0.53 | 0.24 | 0.25 | 127 | 2584 | 268 | 616 | 5957 | 265 | 57 | 680 | 173 | 177 | 28.7 | 16 | 0.13 | 0.2 |
2015 | 0.32 | 0.53 | 0.29 | 0.29 | 168 | 2752 | 213 | 791 | 6749 | 273 | 87 | 629 | 185 | 225 | 28.4 | 7 | 0.04 | 0.2 |
2016 | 0.23 | 0.52 | 0.24 | 0.23 | 147 | 2899 | 172 | 696 | 7448 | 295 | 69 | 687 | 159 | 153 | 22 | 9 | 0.06 | 0.19 |
2017 | 0.24 | 0.53 | 0.28 | 0.26 | 145 | 3044 | 152 | 839 | 8289 | 315 | 75 | 707 | 186 | 221 | 26.3 | 14 | 0.1 | 0.19 |
2018 | 0.21 | 0.59 | 0.25 | 0.21 | 147 | 3191 | 71 | 797 | 9086 | 292 | 61 | 733 | 152 | 246 | 30.9 | 6 | 0.04 | 0.23 |
2019 | 0.24 | 0.67 | 0.27 | 0.25 | 187 | 3378 | 54 | 916 | 10002 | 292 | 71 | 734 | 180 | 271 | 29.6 | 3 | 0.02 | 0.25 |
2020 | 0.21 | 1.01 | 0.26 | 0.22 | 252 | 3630 | 16 | 959 | 10961 | 334 | 70 | 794 | 176 | 343 | 35.8 | 9 | 0.04 | 0.4 |
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 |
# | Year | Title | Cited |
---|---|---|---|
1 | 1981 | Martingales 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 | 405 |
2 | 2009 | Microstructure 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 | 128 |
3 | 2004 | Dynamic 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 | 92 |
4 | 2008 | Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers || Download paper | 81 |
5 | 1999 | A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342. Full description at Econpapers || Download paper | 75 |
6 | 2002 | Environmental 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 | 71 |
7 | 2003 | On 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 | 68 |
8 | 2002 | Regular 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. Full description at Econpapers || Download paper | 63 |
9 | 1983 | A 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. Full description at Econpapers || Download paper | 60 |
10 | 2006 | Limit 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. Full description at Econpapers || Download paper | 58 |
11 | 1985 | Some 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. Full description at Econpapers || Download paper | 55 |
12 | 2000 | Weak 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. Full description at Econpapers || Download paper | 55 |
13 | 2004 | Russian and American put options under exponential phase-type Lévy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111. Full description at Econpapers || Download paper | 53 |
14 | 1996 | On 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. Full description at Econpapers || Download paper | 53 |
15 | 1996 | Multivariate 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 | 53 |
16 | 2003 | Precise 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. Full description at Econpapers || Download paper | 52 |
17 | 1991 | Option hedging for semimartingales. (1991). Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363. Full description at Econpapers || Download paper | 50 |
18 | 1998 | Selecting 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. Full description at Econpapers || Download paper | 47 |
19 | 1998 | Additional 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 | 47 |
20 | 2003 | Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers || Download paper | 45 |
21 | 2004 | Discrete-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 | 45 |
22 | 1989 | Extremal 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. Full description at Econpapers || Download paper | 45 |
23 | 1975 | Importance 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. Full description at Econpapers || Download paper | 44 |
24 | 1993 | Risk 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. Full description at Econpapers || Download paper | 44 |
25 | 1992 | Maximum-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 | 42 |
26 | 1998 | Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97. Full description at Econpapers || Download paper | 42 |
27 | 1990 | Nonparametric 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. Full description at Econpapers || Download paper | 42 |
28 | 2005 | Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177. Full description at Econpapers || Download paper | 42 |
29 | 1994 | Subexponentiality 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. Full description at Econpapers || Download paper | 42 |
30 | 2008 | Multi-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 | 41 |
31 | 1992 | M-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. Full description at Econpapers || Download paper | 39 |
32 | 2007 | A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812. Full description at Econpapers || Download paper | 39 |
33 | 2007 | Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662. Full description at Econpapers || Download paper | 37 |
34 | 1991 | Time-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. Full description at Econpapers || Download paper | 37 |
35 | 2011 | Locally 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 | 34 |
36 | 2000 | Optimal 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. Full description at Econpapers || Download paper | 34 |
37 | 2002 | On 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 | 33 |
38 | 2001 | Finite 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. Full description at Econpapers || Download paper | 32 |
39 | 1995 | Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273. Full description at Econpapers || Download paper | 32 |
40 | 1999 | Stability 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. Full description at Econpapers || Download paper | 31 |
41 | 2006 | Backward stochastic differential equations with jumps and related non-linear expectations. (2006). Royer, Manuela . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:10:p:1358-1376. Full description at Econpapers || Download paper | 30 |
42 | 1999 | On 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. Full description at Econpapers || Download paper | 30 |
43 | 1995 | Fractional 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. Full description at Econpapers || Download paper | 29 |
44 | 1995 | On pathwise stochastic integration. (1995). Karandikar, Rajeeva L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:57:y:1995:i:1:p:11-18. Full description at Econpapers || Download paper | 29 |
45 | 2013 | Some 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. Full description at Econpapers || Download paper | 29 |
46 | 2013 | Constructing 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. Full description at Econpapers || Download paper | 28 |
47 | 1994 | Simple 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. Full description at Econpapers || Download paper | 28 |
48 | 1986 | On 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. Full description at Econpapers || Download paper | 28 |
49 | 1986 | Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). HÃÆÃ¤rdle, Wolfgang ; Collomb, Gerard ; Hardle, Wolfgang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89. Full description at Econpapers || Download paper | 27 |
50 | 1984 | Optimum 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. Full description at Econpapers || Download paper | 27 |
# | Year | Title | Cited |
---|---|---|---|
1 | 1981 | Martingales 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 | 36 |
2 | 2002 | Environmental 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 |
3 | 2009 | Microstructure 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 | 25 |
4 | 2004 | Dynamic 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 | 17 |
5 | 2008 | Multi-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 | 14 |
6 | 2003 | Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers || Download paper | 13 |
7 | 1998 | Additional 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 | 13 |
8 | 2002 | On 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 | 12 |
9 | 2008 | Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers || Download paper | 12 |
10 | 2004 | Discrete-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 | 11 |
11 | 2014 | Occupation 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. Full description at Econpapers || Download paper | 10 |
12 | 2018 | Quadraticââ¬âexponential growth BSDEs with jumps and their Malliavinââ¬â¢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. Full description at Econpapers || Download paper | 10 |
13 | 2003 | On 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 | 10 |
14 | 2013 | Constructing 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. Full description at Econpapers || Download paper | 10 |
15 | 1996 | On 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. Full description at Econpapers || Download paper | 9 |
16 | 2011 | Locally 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 | 9 |
17 | 2003 | Long-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. Full description at Econpapers || Download paper | 9 |
18 | 2015 | Martingale 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. Full description at Econpapers || Download paper | 9 |
19 | 2006 | Limit 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. Full description at Econpapers || Download paper | 9 |
20 | 2009 | Stochastic representation of subdiffusion processes with time-dependent drift. (2009). Magdziarz, Marcin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3238-3252. Full description at Econpapers || Download paper | 9 |
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2020 | On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021. Full description at Econpapers || Download paper | |
2020 | Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. (2019). Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1809.01972. Full description at Econpapers || Download paper | |
2020 | Law of large numbers for supercritical superprocesses with non-local branching. (2020). Palau, Sandra ; Yang, Ting. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:2:p:1074-1102. Full description at Econpapers || Download paper | |
2020 | Extremes of standard multifractional Brownian motion. (2020). Bai, Long. In: Statistics & Probability Letters. RePEc:eee:stapro:v:159:y:2020:i:c:s0167715219303438. Full description at Econpapers || Download paper | |
2020 | Asymptotic log-Harnack inequality and applications for SPDE with degenerate multiplicative noise. (2020). Liu, Wei ; Hong, Wei. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301139. Full description at Econpapers || Download paper | |
2020 | Orders of convergence in the averaging principle for SPDEs: The case of a stochastically forced slow component. (2020). Brehier, Charles-Edouard. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:6:p:3325-3368. Full description at Econpapers || Download paper | |
2020 | Infinite dimensional affine processes. (2020). Tappe, Stefan ; Schmidt, Thorsten ; Yu, Weijun . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7131-7169. Full description at Econpapers || Download paper | |
2020 | The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356. Full description at Econpapers || Download paper | |
2020 | The Lelandââ¬âToft optimal capital structure model under Poisson observations. (2020). Surya, Budhi Arta ; Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00431-6. Full description at Econpapers || Download paper | |
2020 | Quenched asymptotics for interacting diffusions on inhomogeneous random graphs. (2020). Luon, Eric. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6783-6842. Full description at Econpapers || Download paper | |
2020 | Fine Properties of the Optimal Skorokhod Embedding Problem. (2019). Stebegg, Florian ; Nutz, Marcel ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:1903.03887. Full description at Econpapers || Download paper | |
2020 | Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix. (2020). Di Nardo, Elvira . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:179:y:2020:i:c:s0047259x20302104. Full description at Econpapers || Download paper | |
2020 | Penalizing fractional Brownian motion for being negative. (2020). Buck, Micha ; Aurzada, Frank ; Kilian, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6625-6637. Full description at Econpapers || Download paper | |
2020 | Asymptotics of stochastic Burgers equation with jumps. (2020). Wang, Ran ; Hu, Shulan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:162:y:2020:i:c:s0167715220300730. Full description at Econpapers || Download paper | |
2020 | Existence of infinite Viterbi path for pairwise Markov models. (2020). Sova, Joonas ; Lember, Juri. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:3:p:1388-1425. Full description at Econpapers || Download paper | |
2020 | Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2019). Fujii, Masaaki. In: Papers. RePEc:arx:papers:1911.11501. Full description at Econpapers || Download paper | |
2020 | A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2010.09186. Full description at Econpapers || Download paper | |
2020 | A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1156. Full description at Econpapers || Download paper | |
2020 | A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf495. Full description at Econpapers || Download paper | |
2020 | Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2020). Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf497. Full description at Econpapers || Download paper | |
2020 | Edgeworth corrections for spot volatility estimator. (2020). Liu, Zhi ; He, Lidan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301127. Full description at Econpapers || Download paper | |
2020 | Optimal scaling of random-walk metropolis algorithms on general target distributions. (2020). Rosenthal, Jeffrey S ; Roberts, Gareth O ; Yang, Jun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:10:p:6094-6132. Full description at Econpapers || Download paper | |
2020 | Lévy-driven causal CARMA random fields. (2020). Pham, Viet Son. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7547-7574. Full description at Econpapers || Download paper | |
2020 | Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5. Full description at Econpapers || Download paper | |
2020 | Asymptotic theory for near integrated processes driven by tempered linear processes. (2020). Phillips, Peter ; Sabzikar, Farzad ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:192-202. Full description at Econpapers || Download paper | |
2020 | On the empirical process of tempered moving averages. (2020). Sabzikar, Farzad ; Beran, Jan ; Telkmann, Klaus ; Surgailis, Donatas. In: Statistics & Probability Letters. RePEc:eee:stapro:v:167:y:2020:i:c:s0167715220302054. Full description at Econpapers || Download paper | |
2020 | Extremes of vector-valued Gaussian processes. (2020). Wang, Longmin ; Hashorva, Enkelejd ; Debicki, Krzysztof. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:9:p:5802-5837. Full description at Econpapers || Download paper | |
2020 | An efficient explicit full-discrete scheme for strong approximation of stochastic Allenââ¬âCahn equation. (2020). Wang, Xiaojie. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:10:p:6271-6299. Full description at Econpapers || Download paper | |
2020 | Trimmed Lévy processes and their extremal components. (2020). Resnick, Sidney ; Maller, Ross ; Ipsen, Yuguang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:2228-2249. Full description at Econpapers || Download paper | |
2020 | Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis. (2020). Pang, Guodong ; Arapostathis, Ari ; Zheng, YI. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6733-6756. Full description at Econpapers || Download paper | |
2020 | Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs. (2020). Morlais, Marie-Amelie ; Fuhrman, Marco. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:3120-3153. Full description at Econpapers || Download paper | |
2020 | On the closed loop Nash equilibrium strategy for a class of sampled data stochastic linear quadratic differential games. (2020). Popa, Ioan-Lucian ; Ivanov, Ivan G ; Drgan, Vasile. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302770. Full description at Econpapers || Download paper | |
2020 | Efficient willow tree method for variable annuities valuation and risk managementâËâ . (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149. Full description at Econpapers || Download paper | |
2020 | Radner equilibrium and systems of quadratic BSDEs with discontinuous generators. (2020). Xing, Hao ; Schwarz, Daniel C ; Escauriaza, Luis. In: Papers. RePEc:arx:papers:2008.03500. Full description at Econpapers || Download paper | |
2020 | Drift estimation for a Lévy-driven Ornsteinââ¬âUhlenbeck process with heavy tails. (2020). Gushchin, Alexander ; Ritsch, Marian ; Pavlyukevich, Ilya. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09210-8. Full description at Econpapers || Download paper | |
2020 | Path-space moderate deviations for a class of Curieââ¬âWeiss models with dissipation. (2020). Kraaij, Richard C ; Collet, Francesca . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4028-4061. Full description at Econpapers || Download paper | |
2020 | Optimal stopping with f-expectations: The irregular case. (2020). Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter ; Grigorova, Miryana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:3:p:1258-1288. Full description at Econpapers || Download paper | |
2020 | Backward stochastic differential equations with two barriers and generalized reflection. (2020). Somiski, Leszek ; Falkowski, Adrian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:4746-4765. Full description at Econpapers || Download paper | |
2020 | A note on optional Snell envelopes and reflected backward SDEs. (2020). Marzougue, Mohamed. In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s016771522030136x. Full description at Econpapers || Download paper | |
2020 | Non-equilibrium and stationary fluctuations for the SSEP with slow boundary. (2020). Neumann, A ; Menezes, O ; Jara, M ; Gonalves, P. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4326-4357. Full description at Econpapers || Download paper | |
2020 | Weak error rates for option pricing under the rough Bergomi model. (2020). Tempone, Ra'Ul ; Hall, Eric Joseph ; Bayer, Christian. In: Papers. RePEc:arx:papers:2009.01219. Full description at Econpapers || Download paper | |
2020 | Markov cubature rules for polynomial processes. (2020). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1947-1971. Full description at Econpapers || Download paper | |
2020 | The monotone case approach for the solution of certain multidimensional optimal stopping problems. (2020). Irle, Albrecht ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1972-1993. Full description at Econpapers || Download paper | |
2020 | Heat kernel for non-local operators with variable order. (2020). Wang, Jian ; Chen, Zhen-Qing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:6:p:3574-3647. Full description at Econpapers || Download paper | |
2020 | Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics. (2020). Ricciuti, Costantino ; Macci, Claudio ; Beghin, Luisa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:10:p:6364-6387. Full description at Econpapers || Download paper | |
2020 | On the entrance at infinity of Feller processes with no negative jumps. (2020). Zhou, Xiaowen ; Li, Pei-Sen ; Foucart, Clement . In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301620. Full description at Econpapers || Download paper | |
2020 | A stochastic comparison result for the multitype contact process with unequal death rates. (2020). Stover, Joseph P. In: Statistics & Probability Letters. RePEc:eee:stapro:v:162:y:2020:i:c:s0167715220300663. Full description at Econpapers || Download paper | |
2020 | Contact process under renewals II. (2020). Fontes, Luiz Renato ; Vares, Maria Eulalia ; Mountford, Thomas S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:2:p:1103-1118. Full description at Econpapers || Download paper | |
2020 | Vertical bifacial photovoltaics ââ¬â A complementary technology for the European electricity supply?. (2020). Eltrop, Ludger ; Gusewell, Joshua ; Nagel, Sylvio ; Chudinzow, Dimitrij. In: Applied Energy. RePEc:eee:appene:v:264:y:2020:i:c:s0306261920302944. Full description at Econpapers || Download paper | |
2020 | Generation expansion planning with renewable energy credit markets: A bilevel programming approach. (2020). Felder, Frank A ; Nguyen, Hieu T. In: Applied Energy. RePEc:eee:appene:v:276:y:2020:i:c:s0306261920309843. Full description at Econpapers || Download paper | |
2020 | Smoothing control of solar photovoltaic generation using building thermal loads. (2020). Moses, Paul S ; Cai, Jie ; Jiang, Zhimin. In: Applied Energy. RePEc:eee:appene:v:277:y:2020:i:c:s0306261920310357. Full description at Econpapers || Download paper | |
2020 | When to sell an asset amid anxiety about drawdowns. (2020). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Papers. RePEc:arx:papers:2006.00282. Full description at Econpapers || Download paper | |
2020 | Relative Arbitrage: Sharp Time Horizons and Motion by Curvature. (2020). Ruf, Johannes ; Larsson, Martin. In: Papers. RePEc:arx:papers:2003.13601. Full description at Econpapers || Download paper | |
2020 | About atomless random measures on ô-rings. (2020). Scheffler, H.-P., ; Kremer, D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301085. Full description at Econpapers || Download paper | |
2020 | A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. (2020). Liang, Gechun. In: Papers. RePEc:arx:papers:2005.10660. Full description at Econpapers || Download paper | |
2020 | On non-stationary solutions to MSDDEs: Representations and the cointegration space. (2020). Nielsen, Mikkel Slot. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:3154-3173. Full description at Econpapers || Download paper | |
2020 | Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling. (2020). Wang, Jian ; Liang, Mingjie. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:3053-3094. Full description at Econpapers || Download paper | |
2020 | Continuous-Time Mean Field Games with Finite StateSpace and Common Noise. (2020). Hoffmann, Daniel ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:202005. Full description at Econpapers || Download paper | |
2020 | Regular variation of fixed points of the smoothing transform. (2020). Liu, Quansheng ; Liang, Xingang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4104-4140. Full description at Econpapers || Download paper | |
2020 | Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion. (2020). Bibinger, Markus. In: Statistics & Probability Letters. RePEc:eee:stapro:v:161:y:2020:i:c:s0167715220300286. Full description at Econpapers || Download paper | |
2020 | Optimality of Impulse Control Problem in Refracted Lévy Model with Parisian Ruin and Transaction Costs. (2020). Czarna, Irmina ; Kaszubowski, Adam. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:185:y:2020:i:3:d:10.1007_s10957-020-01682-1. Full description at Econpapers || Download paper | |
2020 | SPDEs with linear multiplicative fractional noise: Continuity in law with respect to the Hurst index. (2020). Jolis, Maria ; Giordano, Luca M ; Quer-Sardanyons, Lluis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7396-7430. Full description at Econpapers || Download paper | |
2020 | Testing and estimating change-points in the covariance matrix of a high-dimensional time series. (2020). Steland, Ansgar. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:177:y:2020:i:c:s0047259x18305104. Full description at Econpapers || Download paper | |
2020 | Filtration shrinkage, the structure of deflators, and failure of market completeness. (2019). Ruf, Johannes ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1912.04652. Full description at Econpapers || Download paper | |
2020 | The value of informational arbitrage. (2020). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00418-3. Full description at Econpapers || Download paper | |
2020 | Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2. Full description at Econpapers || Download paper | |
2020 | Likelihood ratio tests for many groups in high dimensions. (2020). Dornemann, Nina ; Dette, Holger. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x1930346x. Full description at Econpapers || Download paper | |
2020 | Exit times for semimartingales under nonlinear expectation. (2020). Liu, Guomin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7338-7362. Full description at Econpapers || Download paper | |
2020 | Existence, uniqueness and continuous dependence of solutions to conformable stochastic differential equations. (2020). Oregan, Donal ; Wang, Jinrong ; Xiao, Guanli. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306652. Full description at Econpapers || Download paper | |
2020 | Well-posedness of Hamiltonââ¬âJacobi equations in population dynamics and applications to large deviations. (2020). Mahe, Louis ; Kraaij, Richard C. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:9:p:5453-5491. Full description at Econpapers || Download paper |
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2020 | Limits of random walks with distributionally robust transition probabilities. (2020). Eckstein, Stephan ; Bartl, Daniel ; Kupper, Michael. In: Papers. RePEc:arx:papers:2007.08815. Full description at Econpapers || Download paper | |
2020 | Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814. Full description at Econpapers || Download paper | |
2020 | On the Continuity of the Root Barrier. (2020). Bayraktar, Erhan ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.14695. Full description at Econpapers || Download paper | |
2020 | A Note on Utility Indifference Pricing with Delayed Information. (2020). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:2011.05023. Full description at Econpapers || Download paper | |
2020 | A non-homogeneous Markov early epidemic growth dynamics model. Application to the SARS-CoV-2 pandemic. (2020). Moreno, Veronica ; Pena, Gabriel ; Barraza, Nestor Ruben. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306937. Full description at Econpapers || Download paper | |
2020 | Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043. Full description at Econpapers || Download paper | |
2020 | Semigroup properties of solutions of SDEs driven by Lévy processes with independent coordinates. (2020). Ryznar, Micha ; Kulczycki, Tadeusz. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7185-7217. Full description at Econpapers || Download paper | |
2020 | Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers || Download paper | |
2020 | Optimal dividends and capital injection under dividend restrictions. (2020). Lindskog, Filip ; Lindensjo, Kristoffer. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:92:y:2020:i:3:d:10.1007_s00186-020-00720-y. Full description at Econpapers || Download paper |
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2019 | A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty. (2019). Christensen, Soren ; Luis , . In: Papers. RePEc:arx:papers:1907.04046. Full description at Econpapers || Download paper | |
2019 | The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969. Full description at Econpapers || Download paper | |
2019 | What 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. Full description at Econpapers || Download paper |
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2018 | The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442. Full description at Econpapers || Download paper | |
2018 | On 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. Full description at Econpapers || Download paper | |
2018 | Wavelet 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. Full description at Econpapers || Download paper | |
2018 | American 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. Full description at Econpapers || Download paper | |
2018 | Singular integrals of stable subordinator. (2018). Xu, Lihu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:115-118. Full description at Econpapers || Download paper | |
2018 | On 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. Full description at Econpapers || Download paper |
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2017 | Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831. Full description at Econpapers || Download paper | |
2017 | The geometry of multi-marginal Skorokhod Embedding. (2017). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers || Download paper | |
2017 | Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642. Full description at Econpapers || Download paper | |
2017 | No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854. Full description at Econpapers || Download paper | |
2017 | HJB 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. Full description at Econpapers || Download paper | |
2017 | Parisian 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. Full description at Econpapers || Download paper | |
2017 | Weak 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. Full description at Econpapers || Download paper | |
2017 | A 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. Full description at Econpapers || Download paper | |
2017 | On 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. Full description at Econpapers || Download paper | |
2017 | Hölder 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. Full description at Econpapers || Download paper | |
2017 | HJB 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. Full description at Econpapers || Download paper | |
2017 | Stochastic 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. Full description at Econpapers || Download paper | |
2017 | Tukeyââ¬â¢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. Full description at Econpapers || Download paper |