Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Citation Profile [Updated: 2022-11-01 10:22:50]
5 Years H Index
44
Impact Factor (IF)
0.24
5 Years IF
0.25
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
1978 0 66 66 0 0
1979 0 39 105 0 2 0
1980 0 19 124 0 1 0
1981 0 31 155 0 2 0 1
1982 0 38 193 0 0
1983 0 39 232 0 1 0
1984 0 65 297 0 3 0
1985 0 54 351 0 4 0
1986 0 62 413 0 1 0
1987 0 84 497 0 5 0
1988 0 64 561 0 4 0
1989 0 66 627 0 13 0
1990 0.01 0.1 0.01 0.01 66 693 182 10 10 130 1 330 4 0 0 0.05
1991 0.01 0.1 0.01 0 66 759 266 8 18 132 1 342 1 0 0 0.05
1992 0 0.11 0.01 0 84 843 331 6 24 132 346 1 0 0 0.05
1993 0.01 0.13 0.01 0.01 103 946 317 12 36 150 1 346 3 0 0 0.06
1994 0 0.14 0.01 0 128 1074 429 7 44 187 385 1 0 0 0.06
1995 0.12 0.22 0.11 0.12 119 1193 495 126 170 231 27 447 53 78 61.9 3 0.03 0.1
1996 0.12 0.25 0.1 0.11 90 1283 352 127 297 247 29 500 54 52 40.9 0 0.12
1997 0.14 0.24 0.13 0.13 104 1387 340 176 473 209 30 524 67 71 40.3 6 0.06 0.11
1998 0.1 0.28 0.12 0.11 84 1471 460 171 645 194 19 544 62 63 36.8 5 0.06 0.13
1999 0.14 0.3 0.14 0.13 104 1575 502 213 858 188 26 525 66 75 35.2 2 0.02 0.15
2000 0.11 0.35 0.13 0.12 108 1683 516 212 1070 188 21 501 61 74 34.9 6 0.06 0.16
2001 0.16 0.38 0.15 0.14 94 1777 342 261 1332 212 33 490 71 80 30.7 5 0.05 0.17
2002 0.12 0.41 0.11 0.12 73 1850 471 205 1537 202 24 494 57 50 24.4 1 0.01 0.21
2003 0.14 0.44 0.14 0.13 79 1929 601 261 1800 167 23 463 60 47 18 6 0.08 0.22
2004 0.23 0.49 0.15 0.19 92 2021 630 310 2110 152 35 458 86 75 24.2 7 0.08 0.22
2005 0.18 0.5 0.13 0.16 90 2111 448 275 2385 171 30 446 70 61 22.2 2 0.02 0.23
2006 0.21 0.5 0.15 0.21 95 2206 558 322 2707 182 39 428 92 82 25.5 9 0.09 0.23
2007 0.21 0.46 0.16 0.22 95 2301 503 375 3082 185 38 429 95 89 23.7 1 0.01 0.2
2008 0.31 0.49 0.21 0.28 103 2404 590 507 3591 190 58 451 127 92 18.1 16 0.16 0.23
2009 0.25 0.47 0.22 0.28 178 2582 998 580 4171 198 50 475 135 174 30 17 0.1 0.24
2010 0.27 0.48 0.21 0.31 110 2692 513 573 4744 281 76 561 172 127 22.2 11 0.1 0.21
2011 0.25 0.52 0.19 0.27 127 2819 591 547 5292 288 73 581 155 135 24.7 7 0.06 0.24
2012 0.22 0.51 0.21 0.26 119 2938 279 609 5901 237 51 613 159 130 21.3 5 0.04 0.22
2013 0.3 0.56 0.26 0.3 146 3084 583 808 6712 246 73 637 193 157 19.4 9 0.06 0.24
2014 0.28 0.55 0.26 0.35 127 3211 415 847 7559 265 74 680 240 186 22 20 0.16 0.23
2015 0.35 0.55 0.31 0.35 168 3379 333 1060 8620 273 95 629 220 228 21.5 8 0.05 0.23
2016 0.26 0.53 0.27 0.28 147 3526 304 948 9571 295 76 687 194 152 16 18 0.12 0.21
2017 0.29 0.55 0.3 0.32 145 3671 253 1114 10687 315 92 707 229 225 20.2 16 0.11 0.21
2018 0.29 0.57 0.29 0.28 147 3818 152 1104 11791 292 85 733 208 250 22.6 11 0.07 0.24
2019 0.32 0.6 0.31 0.32 187 4005 168 1253 13045 292 92 734 234 275 21.9 9 0.05 0.24
2020 0.28 0.73 0.31 0.29 252 4257 114 1326 14372 334 95 794 231 347 26.2 12 0.05 0.34
2021 0.24 1.02 0.28 0.25 137 4394 24 1226 15599 439 106 878 217 235 19.2 6 0.04 0.39
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

655
22009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

267
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.

Full description at Econpapers || Download paper

157
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.

Full description at Econpapers || Download paper

110
52004Discrete-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

105
61999A 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

103
72004Russian 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

102
81983A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316.

Full description at Econpapers || Download paper

99
92006Limit 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

94
102002Regular 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

93
112002Environmental 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

93
122003On 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

90
131991Option 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

87
142000Weak 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

72
151998Additional 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

72
162008Multi-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

71
171998Optimal 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

70
181985Some 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

67
192003Precise 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

66
201992Maximum-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

64
211989Extremal 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

63
221998Selecting 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

62
231996On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168.

Full description at Econpapers || Download paper

61
241996Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101.

Full description at Econpapers || Download paper

60
251975Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. (1975). Tweedie, Richard L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403.

Full description at Econpapers || Download paper

60
262011Martingale 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.

Full description at Econpapers || Download paper

58
272011Locally 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

57
281994Subexponentiality 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

55
291990Nonparametric 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

55
301975Importance 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

55
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.

Full description at Econpapers || Download paper

54
321995Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273.

Full description at Econpapers || Download paper

54
332003Lp 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

53
342005Nonparametric 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

52
351994Simple 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

51
361995On 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

51
371993Risk 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

50
382011Stationarity and geometric ergodicity of BEKK multivariate GARCH models. (2011). Boussama, Farid ; Stelzer, Robert ; Fuchs, Florian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:10:p:2331-2360.

Full description at Econpapers || Download paper

47
392014Occupation 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

46
402000Optimal 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

46
412013Some 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

45
422007Stability 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

45
432007A 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

44
442008Solvability 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.

Full description at Econpapers || Download paper

44
452013Constructing 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

43
462002On 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

42
472009Time consistent dynamic risk processes. (2009). Bion-Nadal, Jocelyne . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:633-654.

Full description at Econpapers || Download paper

42
482007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. (2007). Zakoian, Jean-Michel ; Francq, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284.

Full description at Econpapers || Download paper

41
492006Backward 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

40
501999Stability 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

39
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

76
22009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

55
32002Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110.

Full description at Econpapers || Download paper

36
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

34
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

21
61998Additional 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

20
72014Occupation 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

20
82013Constructing 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

19
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

19
102013Some 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

18
112011Stationarity and geometric ergodicity of BEKK multivariate GARCH models. (2011). Boussama, Farid ; Stelzer, Robert ; Fuchs, Florian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:10:p:2331-2360.

Full description at Econpapers || Download paper

17
121996On 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

16
132004Discrete-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

16
142019Affine representations of fractional processes with applications in mathematical finance. (2019). Stefanovits, David ; Harms, Philipp. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:4:p:1185-1228.

Full description at Econpapers || Download paper

16
152004Russian 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

16
162003On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212.

Full description at Econpapers || Download paper

15
172002Regular 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

14
182011Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844.

Full description at Econpapers || Download paper

14
191983A 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

14
202014Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion. (2014). Hu, Mingshang ; Song, Yongsheng ; Peng, Shige ; Ji, Shaolin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:2:p:1170-1195.

Full description at Econpapers || Download paper

14
211999A 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

13
222006Limit 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

12
232006Portfolio selection under incomplete information. (2006). Brendle, Simon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:701-723.

Full description at Econpapers || Download paper

12
241991Option 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

12
252007Horizon-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.

Full description at Econpapers || Download paper

12
262011Martingale 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.

Full description at Econpapers || Download paper

12
272003Precise 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

11
281978Strong approximation theorems for density dependent Markov chains. (1978). Kurtz, Thomas G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:6:y:1978:i:3:p:223-240.

Full description at Econpapers || Download paper

11
292019Polynomial processes in stochastic portfolio theory. (2019). Cuchiero, Christa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1829-1872.

Full description at Econpapers || Download paper

11
302017Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839.

Full description at Econpapers || Download paper

11
312014Backward stochastic differential equations driven by G-Brownian motion. (2014). Hu, Mingshang ; Song, Yongsheng ; Peng, Shige ; Ji, Shaolin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:759-784.

Full description at Econpapers || Download paper

11
322008Solvability 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.

Full description at Econpapers || Download paper

11
332003Lp 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

11
342016Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings. (2016). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:12:p:3632-3651.

Full description at Econpapers || Download paper

10
352018Smooth solutions to portfolio liquidation problems under price-sensitive market impact. (2018). Graewe, Paulwin ; Sere, Eric ; Horst, Ulrich. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:979-1006.

Full description at Econpapers || Download paper

10
362009Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion. (2009). Gao, Fuqing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3356-3382.

Full description at Econpapers || Download paper

10
372013A simple constructive approach to quadratic BSDEs with or without delay. (2013). Briand, Philippe ; Elie, Romuald. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:2921-2939.

Full description at Econpapers || Download paper

10
382006Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. (2006). Peng, Shige ; Zhu, Xuehong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:3:p:370-380.

Full description at Econpapers || Download paper

10
392014Measurability 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.

Full description at Econpapers || Download paper

10
402015Fourier transform methods for pathwise covariance estimation in the presence of jumps. (2015). Cuchiero, Christa ; Teichmann, Josef. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:1:p:116-160.

Full description at Econpapers || Download paper

10
411992M-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

10
422005Nonparametric 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

10
432002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (2002). KOHLMANN, MICHAEL ; Tang, Shanjian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:2:p:255-288.

Full description at Econpapers || Download paper

10
442016Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

Full description at Econpapers || Download paper

9
451998Optimal 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

9
462000Geometric 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.

Full description at Econpapers || Download paper

9
472007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. (2007). Zakoian, Jean-Michel ; Francq, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284.

Full description at Econpapers || Download paper

9
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.

Full description at Econpapers || Download paper

9
492017Multi-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.

Full description at Econpapers || Download paper

9
501975Importance 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

9
Citing documents used to compute impact factor: 106
YearTitle
2021On estimation of quadratic variation for multivariate pure jump semimartingales. (2021). Podolskij, Mark ; Heiny, Johannes. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:138:y:2021:i:c:p:234-254.

Full description at Econpapers || Download paper

2021SPHARMA approximations for stationary functional time series on the sphere. (2021). Caponera, Alessia. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09244-6.

Full description at Econpapers || Download paper

2021Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs. (2021). Wang, Falei ; Hu, Mingshang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:141:y:2021:i:c:p:139-171.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Optimal stopping under model ambiguity: A time?consistent equilibrium approach. (2021). Yu, Xiang ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012.

Full description at Econpapers || Download paper

2021Dynamics of a stochastic Markovian switching predator–prey model with infinite memory and general Lévy jumps. (2021). Lu, Chun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:181:y:2021:i:c:p:316-332.

Full description at Econpapers || Download paper

2021On partially homogeneous nearest-neighbour random walks in the quarter plane and their application in the analysis of two-dimensional queues with limited state-dependency. (2021). Dimitriou, Ioannis. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:98:y:2021:i:1:d:10.1007_s11134-021-09705-y.

Full description at Econpapers || Download paper

2021A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver. (2021). Takahashi, Akihiko ; Tsuchida, Yoshifumi ; Yamada, Toshihiro. In: Papers. RePEc:arx:papers:2101.09890.

Full description at Econpapers || Download paper

2021Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility. (2021). Tsuchida, Yoshifumi ; Takahashi, Akihiko ; Yamada, Toshihiro. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1159.

Full description at Econpapers || Download paper

2021Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients. (2021). Sun, Liying ; Hong, Jialin ; Cui, Jianbo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:55-93.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems. (2021). Lemburg, Julian Peter ; Irle, Albrecht ; Christensen, Soren. In: Papers. RePEc:arx:papers:2111.13443.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Radner 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

2021Equilibrium asset pricing with transaction costs. (2021). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00449-4.

Full description at Econpapers || Download paper

2021A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric. (2021). Ye, Wenjie ; Chen, Xin. In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001279.

Full description at Econpapers || Download paper

2021Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach. (2021). Nam, Kihun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:141:y:2021:i:c:p:376-411.

Full description at Econpapers || Download paper

2021Regularized bridge-type estimation with multiple penalties. (2021). Iafrate, Francesco ; Gregorio, Alessandro. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:5:d:10.1007_s10463-020-00769-w.

Full description at Econpapers || Download paper

2021A uniform result for the dimension of fractional Brownian motion level sets. (2021). Daw, Lara. In: Statistics & Probability Letters. RePEc:eee:stapro:v:169:y:2021:i:c:s016771522030287x.

Full description at Econpapers || Download paper

2021Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games. (2021). Klimsiak, Tomasz. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:208-239.

Full description at Econpapers || Download paper

2021Monotonic limit theorem for BSDEs with regulated trajectories. (2021). Marzougue, Mohamed. In: Statistics & Probability Letters. RePEc:eee:stapro:v:176:y:2021:i:c:s0167715221001139.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Weak 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

2021.

Full description at Econpapers || Download paper

2021American options in the Volterra Heston model. (2021). Zuiga, Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-03178306.

Full description at Econpapers || Download paper

2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2020). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Working Papers. RePEc:hal:wpaper:hal-02910724.

Full description at Econpapers || Download paper

2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724.

Full description at Econpapers || Download paper

2021Transportation cost inequality for backward stochastic differential equations with mean reflection. (2021). Li, Ruinan ; Dai, Yin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001292.

Full description at Econpapers || Download paper

2021Open Markets and Hybrid Jacobi Processes. (2021). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2110.14046.

Full description at Econpapers || Download paper

2021Infinite-dimensional polynomial processes. (2021). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00450-x.

Full description at Econpapers || Download paper

2021Correlators of Polynomial Processes. (2019). Lavagnini, Silvia ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1906.11320.

Full description at Econpapers || Download paper

2021Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints. (2020). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2009.08533.

Full description at Econpapers || Download paper

2021Embedding of Walsh Brownian motion. (2021). Bayraktar, Erhan ; Zhang, Xin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:1-28.

Full description at Econpapers || Download paper

2021Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations. (2021). Pimentel, Rita ; Oliveira, Carlos ; Nunes, Claudia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921000890.

Full description at Econpapers || Download paper

2021On an Irreversible Investment Problem with Two-Factor Uncertainty. (2021). Ferrari, Giorgio ; Dammann, Felix. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:646.

Full description at Econpapers || Download paper

2021On an Irreversible Investment Problem with Two-Factor Uncertainty. (2021). Ferrari, Giorgio ; Dammann, Felix. In: Papers. RePEc:arx:papers:2103.08258.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Mean field interaction on random graphs with dynamically changing multi-color edges. (2021). Bayraktar, Erhan ; Wu, Ruoyu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:141:y:2021:i:c:p:197-244.

Full description at Econpapers || Download paper

2021The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Herdegen, Martin ; Hobson, David. In: Papers. RePEc:arx:papers:2107.06593.

Full description at Econpapers || Download paper

2021Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708.

Full description at Econpapers || Download paper

2021Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders. (2021). Kim, Panki ; Cho, Soobin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:229-279.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model. (2021). Es, Mohammed ; Es-Sebaiy, Khalifa. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00528-4.

Full description at Econpapers || Download paper

2021Relative 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

2021Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options. (2021). Todorov, Viktor. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:671-705.

Full description at Econpapers || Download paper

2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

Full description at Econpapers || Download paper

2021Rough nonlocal diffusions. (2021). Nilssen, Torstein ; Coghi, Michele. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:141:y:2021:i:c:p:1-56.

Full description at Econpapers || Download paper

2021Càdlàg rough differential equations with reflecting barriers. (2021). Promel, David J ; Liu, Chong ; Allan, Andrew L. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:79-104.

Full description at Econpapers || Download paper

2021Identifying Unwanted Conditions through Chaotic Area Determination in the Context of Indonesia’s Economic Resilience at the City Level. (2021). , Sukono ; Purwandari, Titi ; Hidayat, Yuyun. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:9:p:5183-:d:549457.

Full description at Econpapers || Download paper

2021A 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

2021Schwartz?type model selection for ergodic stochastic differential equation models. (2021). Uehara, Yuma ; Eguchi, Shoichi. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:3:p:950-968.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs. (2021). Li, Libo ; Frikha, Noufel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:76-107.

Full description at Econpapers || Download paper

2021Martingale driven BSDEs, PDEs and other related deterministic problems. (2021). Russo, Francesco ; Barrasso, Adrien. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:133:y:2021:i:c:p:193-228.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Cluster based inference for extremes of time series. (2021). Neblung, Sebastian ; Janssen, Anja ; Drees, Holger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:1-33.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Derivatives of local times for some Gaussian fields II. (2021). Xu, Fangjun ; Hong, Minhao. In: Statistics & Probability Letters. RePEc:eee:stapro:v:172:y:2021:i:c:s0167715221000250.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021On the center of mass of the elephant random walk. (2021). Laulin, Lucile ; Bercu, Bernard. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:133:y:2021:i:c:p:111-128.

Full description at Econpapers || Download paper

2021Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409.

Full description at Econpapers || Download paper

2021Asymptotic analysis of model selection criteria for general hidden Markov models. (2021). Singh, Sumeetpal S ; Beskos, Alexandros ; Yonekura, Shouto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:164-191.

Full description at Econpapers || Download paper

2021Martingale representation in the enlargement of the filtration generated by a point process. (2021). Jeanblanc, Monique ; di Tella, Paolo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:103-121.

Full description at Econpapers || Download paper

2021A 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

2021On the Continuity of the Root Barrier. (2020). Bayraktar, Erhan ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.14695.

Full description at Econpapers || Download paper

2021Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. (2021). Frey, Rudiger ; Colaneri, Katia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:498-507.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Locally interacting diffusions as Markov random fields on path space. (2021). Wu, Ruoyu ; Ramanan, Kavita ; Lacker, Daniel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:140:y:2021:i:c:p:81-114.

Full description at Econpapers || Download paper

2021A note on the reduction principle for the nodal length of planar random waves. (2021). Vidotto, Anna. In: Statistics & Probability Letters. RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000523.

Full description at Econpapers || Download paper

2021Metastability in a continuous mean-field model at low temperature and strong interaction. (2021). Menz, G ; Bashiri, K. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:132-173.

Full description at Econpapers || Download paper

2021Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kesten’s regularity. (2021). Szewczak, Zbigniew S ; Jakubowski, Adam. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:151-171.

Full description at Econpapers || Download paper

2021Generalized BSDEs with random time horizon in a progressively enlarged filtration. (2021). Aksamit, Anna ; Rutkowski, Marek ; Li, Libo. In: Papers. RePEc:arx:papers:2105.06654.

Full description at Econpapers || Download paper

2021American options in a non-linear incomplete market model with default. (2021). Sulem, Agnes ; Quenez, Marie-Claire ; Grigorova, Miryana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:479-512.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Limits 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

2021Wasserstein Perturbations of Markovian Transition Semigroups. (2021). Nendel, Max ; Kupper, Michael ; Fuhrmann, Sven. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:649.

Full description at Econpapers || Download paper

2021Markov chains under nonlinear expectation. (2021). Nendel, Max. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:474-507.

Full description at Econpapers || Download paper

2021Distributionally Robust Martingale Optimal Transport. (2021). Glynn, Peter W ; Blanchet, Jose ; Zhou, Zhengqing. In: Papers. RePEc:arx:papers:2106.07191.

Full description at Econpapers || Download paper

2021Short 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

2021Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79.

Full description at Econpapers || Download paper

2021Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600.

Full description at Econpapers || Download paper

2021Multivariate max-stable processes and homogeneous functionals. (2021). Kume, Alfred ; Hashorva, Enkelejd. In: Statistics & Probability Letters. RePEc:eee:stapro:v:173:y:2021:i:c:s0167715221000286.

Full description at Econpapers || Download paper

2021Quasi-stationary distributions for subcritical superprocesses. (2021). Sun, Zhenyao ; Song, Renming ; Ren, Yan-Xia ; Liu, Rongli. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:108-134.

Full description at Econpapers || Download paper

2021The interplay of dormancy and transfer in bacterial populations: Invasion, fixation and coexistence regimes. (2021). Tbis, Andrs ; Blath, Jochen. In: Theoretical Population Biology. RePEc:eee:thpobi:v:139:y:2021:i:c:p:18-49.

Full description at Econpapers || Download paper

2021Local times and sample path properties of the Rosenblatt process. (2021). Viitasaari, Lauri ; Saksman, Eero ; Nourdin, Ivan ; Kerchev, George. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:498-522.

Full description at Econpapers || Download paper

2021Stochastic functional Kolmogorov equations, I: Persistence. (2021). Yin, George ; Nguyen, Nhu N. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:319-364.

Full description at Econpapers || Download paper

2021A survey of parameter and state estimation in queues. (2021). Taylor, Peter ; Nazarathy, Yoni ; Asanjarani, Azam. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:97:y:2021:i:1:d:10.1007_s11134-021-09688-w.

Full description at Econpapers || Download paper

2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

Full description at Econpapers || Download paper

2021Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. (2021). Gloter, Arnaud ; Amorino, Chiara. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:1:d:10.1007_s11203-020-09227-z.

Full description at Econpapers || Download paper

2021Lyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processes. (2021). Villemonais, Denis ; Champagnat, Nicolas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:135:y:2021:i:c:p:51-74.

Full description at Econpapers || Download paper

2021Regularity and approximation of Gaussian random fields evolving temporally over compact two-point homogeneous spaces. (2021). White, Philip ; Porcu, Emilio ; Cleanthous, Galatia. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:30:y:2021:i:4:d:10.1007_s11749-021-00755-1.

Full description at Econpapers || Download paper

2021Berry–Esseen bounds and moderate deviations for random walks on GLd(R). (2021). Liu, Quansheng ; Grama, Ion ; Xiao, Hui. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:293-318.

Full description at Econpapers || Download paper

2021Multidimensional Kyle-Back model with a risk averse informed trader. (2021). Ekren, Ibrahim ; Bose, Shreya. In: Papers. RePEc:arx:papers:2111.01957.

Full description at Econpapers || Download paper

2021The domain of definition of the Lévy white noise. (2021). Humeau, Thomas ; Fageot, Julien . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:135:y:2021:i:c:p:75-102.

Full description at Econpapers || Download paper

2021A unified framework for robust modelling of financial markets in discrete time. (2021). Wiesel, Johannes ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00454-7.

Full description at Econpapers || Download paper

2021Convergence of utility indifference prices to the superreplication price in a multiple?priors framework. (2021). Carassus, Laurence ; Blanchard, Romain. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:366-398.

Full description at Econpapers || Download paper

2021Quasi-sure essential supremum and applications to finance. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12862.

Full description at Econpapers || Download paper

2021Non-equilibrium fluctuations of the weakly asymmetric normalized binary contact path process. (2021). Zhao, Linjie ; Xue, Xiaofeng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:135:y:2021:i:c:p:227-253.

Full description at Econpapers || Download paper

2021An almost sure central limit theorem for the stochastic heat equation. (2021). Zhang, Yong ; Li, Jingyu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001115.

Full description at Econpapers || Download paper

2021Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129.

Full description at Econpapers || Download paper

2021Mild to classical solutions for XVA equations under stochastic volatility. (2021). Kalinin, Alexander ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2112.11808.

Full description at Econpapers || Download paper

2021On inference for modes under long memory. (2021). Telkmann, Klaus ; Beran, Jan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:429-455.

Full description at Econpapers || Download paper

2021Polynomials under Ornstein–Uhlenbeck noise and an application to inference in stochastic Hodgkin–Huxley systems. (2021). Hopfner, Reinhard. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:1:d:10.1007_s11203-020-09226-0.

Full description at Econpapers || Download paper

2021Optimal stopping of an Ornstein-Uhlenbeck bridge. (2021). D'Auria, Bernardo ; Azze, Abel Guada ; Portugues, Eduardo Garcia. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:33508.

Full description at Econpapers || Download paper

2021Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. (2021). Ferrari, Giorgio ; Calvia, Alessandro. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:651.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2021

YearCiting document
2021Callable convertible bonds under liquidity constraints. (2021). Sun, Haodong ; Liang, Gechun ; Hobson, David. In: Papers. RePEc:arx:papers:2111.02554.

Full description at Econpapers || Download paper

2021Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600.

Full description at Econpapers || Download paper

2021Transportation cost inequality for backward stochastic differential equations with mean reflection. (2021). Li, Ruinan ; Dai, Yin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001292.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021SPHARMA approximations for stationary functional time series on the sphere. (2021). Caponera, Alessia. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09244-6.

Full description at Econpapers || Download paper

Recent citations received in 2020

YearCiting document
2020Stability of the indirect utility process. (2020). Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:2002.09445.

Full description at Econpapers || Download paper

2020Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model. (2020). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2006.15431.

Full description at Econpapers || Download paper

2020Quasi?stationary Monte Carlo and the ScaLE algorithm. (2020). Johansen, Adam ; Fearnhead, Paul ; Pollock, Murray ; Roberts, Gareth O. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:82:y:2020:i:5:p:1167-1221.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00438-z.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Optimal iterative threshold-kernel estimation of jump diffusion processes. (2020). Nisen, Jeffrey ; Li, Cheng ; Figueroa-Lopez, Jose E. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09211-7.

Full description at Econpapers || Download paper

Recent citations received in 2019

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

Full description at Econpapers || Download paper

2019Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972.

Full description at Econpapers || Download paper

2019Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614.

Full description at Econpapers || Download paper

2019The 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

2019Covers universal portfolio, stochastic portfolio theory, and the numéraire portfolio. (2019). Wong, Tingkam Leonard ; Schachermayer, Walter ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:3:p:773-803.

Full description at Econpapers || Download paper

2019A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus. (2019). Toshihiro, Yamada ; Riu, Naito. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:25:y:2019:i:4:p:341-361:n:6.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019.

Full description at Econpapers || Download paper

2019Modeling financial interval time series. (2019). Sun, Li-Hsien ; Lin, Liang-Ching. In: PLOS ONE. RePEc:plo:pone00:0211709.

Full description at Econpapers || Download paper

Recent citations received in 2018

YearCiting document
2018Approximation of Some Multivariate Risk Measures for Gaussian Risks. (2018). Hashorva, E. In: Papers. RePEc:arx:papers:1803.06922.

Full description at Econpapers || Download paper

2018The 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

2018Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. (2018). Ocejo, Adriana. In: Papers. RePEc:arx:papers:1804.08442.

Full description at Econpapers || Download paper

2018Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:1809.04401.

Full description at Econpapers || Download paper

2018Strong rate of convergence for the Euler–Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero. (2018). Kamal, Hiderah ; Mohsine, Benabdallah . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:4:p:249-262:n:2.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Singular 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

2018Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Horst, Ulrich ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:129.

Full description at Econpapers || Download paper

2018On the Bail-Out Optimal Dividend Problem. (2018). Yu, Xiang ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. 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