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Citation Profile [Updated: 2021-03-03 18:38:23]
5 Years H
34
Impact Factor
0.21
5 Years IF
0.22
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 0.09 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
50 most cited documents in this series
#YearTitleCited
11981Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260.

Full description at Econpapers || Download paper

405
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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128
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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92
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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81
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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75
62002Environmental 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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71
72003On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212.

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68
82002Regular 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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63
91983A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316.

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60
102006Limit 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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58
111985Some 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
122000Weak 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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55
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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53
141996On 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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53
151996Multivariate 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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53
162003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325.

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52
171991Option hedging for semimartingales. (1991). Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363.

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50
181998Selecting 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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47
191998Additional 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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47
202003Lp 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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45
212004Discrete-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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45
221989Extremal 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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45
231975Importance 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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44
241993Risk 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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44
251992Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143.

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42
261998Optimal 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
271990Nonparametric 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
282005Nonparametric 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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42
291994Subexponentiality 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
302008Multi-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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41
311992M-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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39
322007A 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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39
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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37
341991Time-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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37
352011Locally 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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34
362000Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48.

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34
372002On 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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33
382001Finite and infinite time ruin probabilities in a stochastic economic environment. (2001). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:92:y:2001:i:2:p:265-285.

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32
391995Utility 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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32
401999Stability 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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31
412006Backward 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
421999On 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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30
431995Fractional 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
441995On 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
452013Some 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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29
462013Constructing 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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28
471994Simple 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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28
481986On 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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28
491986Strong 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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27
501984Optimum 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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27
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

36
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

25
42004Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

17
52008Multi-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
62003Lp 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
71998Additional 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
82002On 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
92008Asymptotic 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
102004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206.

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11
112014Occupation 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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10
122018Quadratic–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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10
132003On 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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10
142013Constructing 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
151996On 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
162011Locally 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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9
172003Long-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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9
182015Martingale 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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9
192006Limit 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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9
202009Stochastic 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.

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9
212002Regular 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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8
222007Horizon-unbiased utility functions. (2007). Hobson, David ; Henderson, Vicky. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1621-1641.

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8
232009Mean-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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8
242003Precise 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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8
252010A 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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8
262010Stochastic 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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8
272002Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. (2002). Stuart, A. M. ; Mattingly, J. C. ; Higham, D. J.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:101:y:2002:i:2:p:185-232.

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282000Geometric ergodicity of Metropolis algorithms. (2000). Hansen, Ernst ; Jarner, Soren Fiig . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:85:y:2000:i:2:p:341-361.

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292013Some 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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302017Monotone 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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312017Multi-class oscillating systems of interacting neurons. (2017). Ditlevsen, Susanne ; Locherbach, Eva . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1840-1869.

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322011Occupation 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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332016Risk-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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342014On the solution of general impulse control problems using superharmonic functions. (2014). Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:709-729.

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351996Multivariate 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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362011Martingale 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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372010Switching 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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382016An 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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392005Nonparametric 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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402010Exponentially affine martingales, affine measure changes and exponential moments of affine processes. (2010). Kallsen, Jan ; Muhle-Karbe, Johannes. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:2:p:163-181.

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412014Measurability of semimartingale characteristics with respect to the probability law. (2014). Neufeld, Ariel ; Nutz, Marcel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:11:p:3819-3845.

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422007Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps. (2007). Masuda, Hiroki. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:1:p:35-56.

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432008Solvability 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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441992Maximum-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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452011On 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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462009Least squares estimator for Ornstein-Uhlenbeck processes driven by [alpha]-stable motions. (2009). Long, Hongwei ; Hu, Yaozhong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:8:p:2465-2480.

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472015Martingale representation property in progressively enlarged filtrations. (2015). Jeanblanc, Monique ; Song, Shiqi. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4242-4271.

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481993Risk 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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492013A 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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502007A 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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2020Continuous 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.

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2020Law 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.

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2020Extremes of standard multifractional Brownian motion. (2020). Bai, Long. In: Statistics & Probability Letters. RePEc:eee:stapro:v:159:y:2020:i:c:s0167715219303438.

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2020Asymptotic 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.

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2020Orders 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.

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2020Infinite 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.

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2020The 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.

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2020The Leland–Toft 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.

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2020Quenched 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.

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2020Fine Properties of the Optimal Skorokhod Embedding Problem. (2019). Stebegg, Florian ; Nutz, Marcel ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:1903.03887.

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2020Polynomial 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.

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2020Penalizing 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.

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2020Asymptotics 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.

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2020Existence 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.

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2020Probabilistic 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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2020A 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.

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2020A 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.

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2020A 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.

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2020Optimal 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.

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2020Term 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.

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2020Markov 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.

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2020The 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.

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2020Heat 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.

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2020Random 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.

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2020A 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.

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2020Contact 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.

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2020Vertical bifacial photovoltaics – 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.

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2020Generation 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.

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2020Smoothing 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.

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2020When to sell an asset amid anxiety about drawdowns. (2020). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Papers. RePEc:arx:papers:2006.00282.

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2020Relative Arbitrage: Sharp Time Horizons and Motion by Curvature. (2020). Ruf, Johannes ; Larsson, Martin. In: Papers. RePEc:arx:papers:2003.13601.

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2020About atomless random measures on δ-rings. (2020). Scheffler, H.-P., ; Kremer, D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301085.

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2020A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. (2020). Liang, Gechun. In: Papers. RePEc:arx:papers:2005.10660.

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2020On 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.

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2020Gradient 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.

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2020Continuous-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.

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2020Regular 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.

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2020Cusum 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.

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2020Optimality 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.

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2020SPDEs 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.

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2020Testing 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.

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2020Filtration 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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2020The 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.

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2020Filtration 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.

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2020Likelihood 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.

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2020Exit 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.

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2020Existence, 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.

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2020Well-posedness of Hamilton–Jacobi 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.

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2020On the Continuity of the Root Barrier. (2020). Bayraktar, Erhan ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.14695.

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2020A Note on Utility Indifference Pricing with Delayed Information. (2020). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:2011.05023.

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2020A 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.

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2020Pricing 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.

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2020Semigroup 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.

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2020Adapted 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.

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2020Optimal 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.

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Recent citations received in 2019

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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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