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Stochastic Processes and their Applications / Elsevier

0.28

Impact Factor

0.3

5-Years IF

25

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.010.10.026666100.15931301330531 (33.3%)0.04
19910.010.0906613260.051331321342128 (21.1%)0.04
19920.108421660.03167132346156 (33.5%)0.04
19930.010.110.01103319100.031981501346371 (35.9%)0.05
19940.12012844750.01233187385181 (34.8%)0.05
19950.090.190.1119566940.17271231214474596 (35.4%)10.010.07
19960.110.220.11906561130.17178247275005741 (23%)0.09
19970.10.270.11047601270.17180209215245076 (42.2%)50.050.09
19980.050.270.09848441110.13214194105444977 (36%)30.040.1
19990.10.310.11049481560.16235188195255387 (37%)10.010.13
20000.090.40.1110810561540.15246188175015495 (38.6%)20.020.15
20010.120.40.119411501950.17187212264905693 (49.7%)50.050.15
20020.080.420.097312231420.12195202174944473 (37.4%)0.18
20030.090.440.097913021720.132661671546343107 (40.2%)60.080.18
20040.190.490.179213942270.16234152294587970 (29.9%)50.050.2
20050.120.530.139014841830.12190171214465762 (32.6%)20.020.21
20060.130.510.189515792240.14226182234287590 (39.8%)80.080.2
20070.140.440.199516742690.16205185264298364 (31.2%)10.010.18
20080.190.470.2210317773640.2234190364519778 (33.3%)110.110.2
20090.20.470.2317819553750.1934619840475107132 (38.2%)80.040.19
20100.220.440.2511020653870.191532816156113862 (40.5%)60.050.16
20110.170.510.2112721923340.151692884958112373 (43.2%)30.020.2
20120.140.560.1811923113750.16812373361310939 (48.1%)40.030.21
20130.210.660.2414624575200.211542465163715655 (35.7%)60.040.23
20140.220.670.2712725845270.2822655868018222 (26.8%)150.120.22
20150.280.820.316827526620.24312737762918714 (45.2%)80.050.27
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in 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: 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

328
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

74
32008Asymptotic 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

58
41999A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342.

Full description at Econpapers || Download paper

50
51983A 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

48
62004Dynamic 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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44
72000Weak 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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44
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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42
91989Extremal 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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41
101985Some 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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40
111998Selecting 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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39
121991Option 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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39
132006Limit 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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38
142003Precise 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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36
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.

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36
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.

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35
171994Subexponentiality 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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35
181993Risk 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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35
191996Multivariate 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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34
201990Nonparametric 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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33
211998Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97.

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33
221996On 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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30
232005Nonparametric 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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25
241995Utility 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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25
252002Power tailed ruin probabilities in the presence of risky investments. (2002). Norberg, Ragnar ; Kalashnikov, Vladimir . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:98:y:2002:i:2:p:211-228.

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25
262007Stability 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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24
272007A 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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24
281992Maximum-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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24
292003Lp 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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23
301992M-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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23
311998Additional 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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23
321994Simple 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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23
331986Estimation in nonlinear time series models. (1986). Tjostheim, Dag . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:251-273.

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22
341986Strong 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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22
351986On 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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22
361995Fractional 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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21
371993Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence. (1993). Heyde, C. C. ; Gay, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:45:y:1993:i:1:p:169-182.

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21
382006Backward 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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21
391982On convolution tails. (1982). Goldie, Charles M. ; Embrechts, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:13:y:1982:i:3:p:263-278.

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21
401997On polynomial mixing bounds for stochastic differential equations. (1997). Veretennikov, Alexander ; Veretennikov, A. Yu., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127.

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20
412001Finite and infinite time ruin probabilities in a stochastic economic environment. (2001). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:92:y:2001:i:2:p:265-285.

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20
422000Optimal 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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20
432008Multi-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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20
441975Sufficient 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.

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19
451984Optimum 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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19
462004Discrete-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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19
471995On 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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19
481999On 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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18
492003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (2003). Skiadas, Costis ; Schroder, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202.

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18
502008Solvability 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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17

50 most relevant documents in this series (papers most cited in the last two years)

#YearTitleCited
12009Microstructure 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

39
21981Martingales 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

39
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

22
42007A 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

15
51995On 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

14
62004Russian 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

14
72008Asymptotic 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

13
81998Optimal 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

13
92006Backward 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

12
102008Multi-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

12
112008BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces. (2008). Confortola, Fulvia ; Briand, Philippe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:5:p:818-838.

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12
122013Some 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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11
132013Constructing 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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11
142008Solvability 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
151999A 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

11
162005Nonparametric 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

11
172004Discrete-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

10
182011Martingale 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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10
192014Splitting multidimensional BSDEs and finding local equilibria. (2014). Frei, Christoph . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2654-2671.

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10
201985Some 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

10
211994Dynamic spanning without probabilities. (1994). Bick, Avi ; Willinger, Walter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:50:y:1994:i:2:p:349-374.

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10
222011Locally 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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10
231998Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286.

Full description at Econpapers || Download paper

9
242011Occupation times of spectrally negative Lévy processes with applications. (2011). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2629-2641.

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9
251998Selecting 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

9
262007Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662.

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9
272000Martingale representation theorems for initially enlarged filtrations. (2000). Amendinger, Jurgen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:101-116.

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9
282008Discrete-time approximation of decoupled Forward-Backward SDE with jumps. (2008). Bouchard, Bruno ; Elie, Romuald . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:1:p:53-75.

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9
291995Utility 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

9
302010Stochastic 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
312013Tempered stable distributions and processes. (2013). Tappe, Stefan ; Kuchler, Uwe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:12:p:4256-4293.

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8
322013BSDEs with jumps, optimization and applications to dynamic risk measures. (2013). Sulem, Agnes ; Quenez, Marie-Claire . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3328-3357.

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8
332010A general theory of finite state Backward Stochastic Difference Equations. (2010). Elliott, Robert J. ; Cohen, Samuel N.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:4:p:442-466.

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342011Nonsynchronous covariation process and limit theorems. (2011). Yoshida, Nakahiro ; Hayashi, Takaki . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:10:p:2416-2454.

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351983A 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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362003Lp 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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372003On 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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8
381996On 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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392011Asymptotic results for time-changed Lévy processes sampled at hitting times. (2011). TANKOV, PETER ; Rosenbaum, Mathieu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:7:p:1607-1632.

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402009Bipower-type estimation in a noisy diffusion setting. (2009). Podolskij, Mark ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:9:p:2803-2831.

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412013A simple constructive approach to quadratic BSDEs with or without delay. (2013). Briand, Philippe ; Elie, Romuald . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:2921-2939.

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7
421991Option 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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431997On polynomial mixing bounds for stochastic differential equations. (1997). Veretennikov, Alexander ; Veretennikov, A. Yu., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127.

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442010Analysis of continuous strict local martingales via h-transforms. (2010). Protter, Philip ; Pal, Soumik . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:8:p:1424-1443.

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452009Mean-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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462002Regular 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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472002Environmental 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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482011Optimal stopping for non-linear expectations--Part II. (2011). Bayraktar, Erhan ; Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:212-264.

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492010On Malliavins differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. (2010). Delong, Lukasz ; Imkeller, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:9:p:1748-1775.

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502002On 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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Citing documents used to compute impact factor 77:

YearTitle
2015Existence of an endogenously complete equilibrium driven by a diffusion. (2015). Kramkov, Dmitry . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:1-22.

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2015Market Completion with Derivative Securities. (2015). Schwarz, Daniel C.. In: Papers. RePEc:arx:papers:1506.00188.

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2015Complete and incomplete financial markets in multi-good economies. (2015). Ehling, Paul ; Heyerdahl-Larsen, Christian . In: Journal of Economic Theory. RePEc:eee:jetheo:v:160:y:2015:i:c:p:438-462.

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2015Quantile estimation for Lévy measures. (2015). Trabs, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:9:p:3484-3521.

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2015A generalised Itō formula for Lévy-driven Volterra processes. (2015). Bender, Christian ; Oberacker, Philip ; Knobloch, Robert . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:8:p:2989-3022.

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2015A weak limit theorem for numerical approximation of Brownian semi-stationary processes. (2015). Podolskij, Mark ; Thamrongrat, Nopporn . In: CREATES Research Papers. RePEc:aah:create:2015-53.

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2015Risk measures for processes and BSDEs. (2015). Reveillac, Anthony ; Penner, Irina . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:23-66.

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2015Convergence of long-memory discrete kth order Volterra processes. (2015). Taqqu, Murad S. ; Bai, Shuyang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:5:p:2026-2053.

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2015Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2015). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:47-60.

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2015Robust superhedging with jumps and diffusion. (2015). Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4543-4555.

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2015Moral Hazard in Dynamic Risk Management. (2015). Possamai, Dylan ; Touzi, Nizar ; Jakv{s}a Cvitani'c, . In: Papers. RePEc:arx:papers:1406.5852.

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2015Incomplete stochastic equilibria with exponential utilities close to Pareto optimality. (2015). Kardaras, Constantinos ; Gordan v{Z}itkovi'{c}, ; Xing, Hao . In: Papers. RePEc:arx:papers:1505.07224.

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2015Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2015). Kramkov, Dmitry ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01181147.

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2015A system of quadratic BSDEs arising in a price impact model. (2015). Kramkov, Dmitry ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01147411.

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2015Equilibrium pricing under relative performance concerns. (2015). Lionnet, Arnaud ; Reis, Gonalo Dos . In: Working Papers. RePEc:hal:wpaper:hal-01245812.

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2015Two-sided discounted potential measures for spectrally negative Lévy processes. (2015). Zhu, Na ; Li, Yingqiu ; Zhou, Xiaowen . In: Statistics & Probability Letters. RePEc:eee:stapro:v:100:y:2015:i:c:p:67-76.

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2015Occupation times in the MAP risk model. (2015). Landriault, David ; Shi, Tianxiang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:60:y:2015:i:c:p:75-82.

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2015Extremes of vector-valued Gaussian processes: Exact asymptotics. (2015). Debicki, Krzysztof ; Tabi, Kamil ; Ji, Lanpeng ; Hashorva, Enkelejd . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4039-4065.

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2015Scaling transition for long-range dependent Gaussian random fields. (2015). Puplinskait, Donata ; Surgailis, Donatas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:6:p:2256-2271.

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2015Dilatively semistable stochastic processes. (2015). Wedrich, Lina ; Kern, Peter . In: Statistics & Probability Letters. RePEc:eee:stapro:v:99:y:2015:i:c:p:101-108.

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2015Joint aggregation of random-coefficient AR(1) processes with common innovations. (2015). Surgailis, Donatas ; Pilipauskait, Vytaut . In: Statistics & Probability Letters. RePEc:eee:stapro:v:101:y:2015:i:c:p:73-82.

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2015Good and bad uncertainty: Macroeconomic and financial market implications. (2015). Segal, Gill ; Yaron, Amir ; Shaliastovich, Ivan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:117:y:2015:i:2:p:369-397.

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2015Portfolio selection with independent component analysis. (2015). Mercuri, Lorenzo ; Rroji, Edit ; Hitaj, Asmerilda . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:146-159.

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2015MRL order, log-concavity and an application to peacocks. (2015). Bogso, Antoine Marie . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:4:p:1282-1306.

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2015Infinite-dimensional stochastic differential equations related to Bessel random point fields. (2015). Honda, Ryuichi ; Osada, Hirofumi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3801-3822.

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2015On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion. (2015). Fotopoulos, Stergios ; Wang, Jun ; Jandhyala, Venkata . In: Statistics & Probability Letters. RePEc:eee:stapro:v:106:y:2015:i:c:p:149-156.

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2015Asymptotic expansions for SDE’s with small multiplicative noise. (2015). Smii, Boubaker ; Albeverio, Sergio . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:3:p:1009-1031.

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2015Games of singular control and stopping driven by spectrally one-sided Lévy processes. (2015). Hernandez-Hernandez, Daniel ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:1:p:1-38.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J. ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2727-2751.

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2015An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07705.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J ; Yamazaki, Kazutoshi . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61617.

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2015Extremal behavior of squared Bessel processes attracted by the Brown–Resnick process. (2015). Das, Bikramjit ; Hashorva, Enkelejd . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:780-796.

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2015Extremes of order statistics of stationary processes. (2015). Ling, Chengxiu ; Dbicki, Krzysztof ; Hashorva, Enkelejd ; Ji, Lanpeng . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:24:y:2015:i:2:p:229-248.

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2015Sample quantile analysis for long-memory stochastic volatility models. (2015). Ho, Hwai-Chung . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:360-370.

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2015Time homogeneous diffusion with drift and killing to meet a given marginal. (2015). Noble, John M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:4:p:1500-1540.

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2015On non-standard limits of Brownian semi-stationary processes. (2015). Gartner, Kerstin ; Podolskij, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:653-677.

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2015A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition. (2015). Horst, Ulrich ; Qiu, Jinniao ; Zhang, QI. In: Papers. RePEc:arx:papers:1407.0108.

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2015Stability of Utility Maximization in Nonequivalent Markets. (2015). Weston, Kim . In: Papers. RePEc:arx:papers:1410.0915.

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2015Maximums on trees. (2015). Olvera-Cravioto, Mariana ; Jelenkovi, Predrag R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:1:p:217-232.

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2015An invariance principle under the total variation distance. (2015). Poly, Guillaume ; Nourdin, Ivan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:6:p:2190-2205.

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2015Hybrid multi-step estimators for stochastic differential equations based on sampled data. (2015). Uchida, Masayuki ; Kamatani, Kengo . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:18:y:2015:i:2:p:177-204.

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2015Approximating the value functions for stochastic differential games with the ones having bounded second derivatives. (2015). Krylov, N. V.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:1:p:254-271.

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2015Capital distribution and portfolio performance in the mean-field Atlas model. (2015). Reygner, Julien . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:151-198.

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2015Functional regression with repeated eigenvalues. (2015). Reimherr, Matthew . In: Statistics & Probability Letters. RePEc:eee:stapro:v:107:y:2015:i:c:p:62-70.

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2015Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. (2015). Cosso, Andrea ; Choukroun, Sebastien ; Pham, Huyen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:597-633.

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2015Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2015). Popier, A. ; Kruse, T.. In: Papers. RePEc:arx:papers:1504.01150.

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2015Optimal control of predictive mean-field equations and applications to finance. (2015). Oksendal, Bernt ; Sulem, Agnes . In: Papers. RePEc:arx:papers:1505.04921.

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2015Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2015). Kruse, T ; Popier, A. In: Working Papers. RePEc:hal:wpaper:hal-01139364.

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2015Quantile estimation for Lévy measures. (2015). Trabs, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:9:p:3484-3521.

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2015Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Valenzuela, Marcela ; Zer, Ilknur ; Fryzlewicz, Piotr . In: Journal of Financial Markets. RePEc:eee:finmar:v:24:y:2015:i:c:p:25-48.

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2015Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Zer, Ilknur ; Valenzuela, Marcela . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:62181.

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2015The fine structure of equity-index option dynamics. (2015). Andersen, Torben ; Tauchen, George ; Todorov, Viktor ; Bondarenko, Oleg . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:532-546.

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2015Two-sided bounds for Lp-norms of combinations of products of independent random variables. (2015). Damek, Ewa ; Tkocz, Tomasz ; Lataa, Rafa ; Nayar, Piotr . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:4:p:1688-1713.

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2015LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS. (2015). Djellout, Hacene ; Jiang, Hui . In: Working Papers. RePEc:hal:wpaper:hal-01147189.

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2015Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648.

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2015Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592.

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2015Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100.

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2015Robust superhedging with jumps and diffusion. (2015). Nutz, Marcel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4543-4555.

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2015Robust Superhedging with Jumps and Diffusion. (2015). Nutz, Marcel . In: Papers. RePEc:arx:papers:1407.1674.

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2015Testing for independence between functional time series. (2015). Horvath, Lajos ; Rice, Gregory . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:371-382.

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2015Edgeworth expansion for the pre-averaging estimator. (2015). Veliyev, Bezirgen ; Podolskij, Mark ; Yoshida, Nakahiro . In: CREATES Research Papers. RePEc:aah:create:2015-60.

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2015Validity of Edgeworth expansions for realized volatility estimators. (2015). Veliyev, Bezirgen ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2015-21.

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2015Edgeworth expansion for the pre-averaging estimator. (2015). Veliyev, Bezirgen ; Podolskij, Mark ; Yoshida, Nakahiro . In: Papers. RePEc:arx:papers:1512.04716.

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2015Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4556-4600.

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2015Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method. (2015). Jacod, Jean ; Mykland, Per A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:8:p:2910-2936.

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2015Quadratic g-convexity, C-convexity and their relationships. (2015). Jia, Guangyan ; Zhang, NA. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:6:p:2272-2294.

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2015Incomplete stochastic equilibria with exponential utilities close to Pareto optimality. (2015). Kardaras, Constantinos ; Gordan v{Z}itkovi'{c}, ; Xing, Hao . In: Papers. RePEc:arx:papers:1505.07224.

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2015Derivative formulae for SDEs driven by multiplicative α-stable-like processes. (2015). Wang, Linlin ; Zhang, Xicheng ; Xie, Longjie . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:3:p:867-885.

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2015On the supremum of the spectrally negative stable process with drift. (2015). Coqueret, Guillaume . In: Statistics & Probability Letters. RePEc:eee:stapro:v:107:y:2015:i:c:p:333-340.

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2015On the multi-dimensional skew Brownian motion. (2015). Budhiraja, Amarjit ; Atar, Rami . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:5:p:1911-1925.

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2015The integrated periodogram of a dependent extremal event sequence. (2015). Mikosch, Thomas ; Zhao, Yuwei . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:8:p:3126-3169.

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2015Influence diagnostics in log-linear integer-valued GARCH models. (2015). Zhu, Fukang ; Liu, Shuangzhe ; Shi, Lei . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:99:y:2015:i:3:p:311-335.

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2015Generalized ARMA models with martingale difference errors. (2015). Zheng, Tingguo ; Chen, Rong ; Xiao, Han . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:492-506.

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2015On degenerate linear stochastic evolution equations driven by jump processes. (2015). Leahy, James-Michael ; Mikuleviius, Remigijus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3748-3784.

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2015Energy of taut strings accompanying Wiener process. (2015). Setterqvist, Eric ; Lifshits, Mikhail . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:401-427.

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2015Semi-parametric inference for the absorption features of a growth-fragmentation model. (2015). Genadot, Alexandre ; Azais, Romain . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:24:y:2015:i:2:p:341-360.

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2015Delivering education : a pragmatic framework for improving education in low-income countries. (2015). Andrabi, Tahir ; Khwaja, Asim Ijaz ; Das, Jishnu . In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:7277.

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Recent citations (cites in year: CiY)

Recent citations received in 2015
YearCiting document
2015Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218.

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2015The strong predictable representation property in initially enlarged filtrations. (2015). Fontana, Claudio . In: Papers. RePEc:arx:papers:1508.03282.

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2015Markov chain approximations to scale functions of Lévy processes. (2015). Mijatovi, Aleksandar ; Jacka, Saul ; Vidmar, Matija . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3932-3957.

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2015Simple examples of pure-jump strict local martingales. (2015). Keller-Ressel, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4142-4153.

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2015Max-stable processes and stationary systems of Lévy particles. (2015). Kabluchko, Zakhar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4272-4299.

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2015Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4556-4600.

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2015Optimality of doubly reflected Lévy processes in singular control. (2015). Baurdoux, Erik J. ; Yamazaki, Kazutoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2727-2751.

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2015The Czech Extreme Right: Alternative Europeanism. (2015). Haka, Antonin . In: European Journal of Economic Policy. RePEc:prg:jnlsev:v:2015:y:2015:i:2:id:127:p:145-163.

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Recent citations received in 2014
YearCiting document
2014Ambit fields: survey and new challenges. (2014). Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2014-51.

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2014Indirect inference with time series observed with error. (2014). Rossi, Eduardo. In: CREATES Research Papers. RePEc:aah:create:2014-57.

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2014Arbitrage Pricing of Multi-person Game Contingent Claims. (2014). Guo, Ivan ; Rutkowski, Marek . In: Papers. RePEc:arx:papers:1405.2718.

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2014Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902.

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2014Comparing the $G$-Normal Distribution to its Classical Counterpart. (2014). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1407.5139.

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2014Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Xing, Hao ; Robertson, Scott . In: Papers. RePEc:arx:papers:1408.7010.

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2014Randomisation and recursion methods for mixed-exponential Levy models, with financial applications. (2014). Mijatovic, Aleksandar ; Pistorius, Martijn ; Stolte, Johannes . In: Papers. RePEc:arx:papers:1410.7316.

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2014A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs. (2014). Moriarty, John ; de Angelis, Tiziano . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:531.

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2014Unavoidable collections of balls for isotropic Lévy processes. (2014). Mimica, Ante ; Vondraek, Zoran . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1303-1334.

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2014Ergodicity for time-changed symmetric stable processes. (2014). Wang, Jian ; Chen, Zhen-Qing . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:9:p:2799-2823.

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2014Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in C1,η open sets. (2014). Kim, Kyung-Youn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:9:p:3055-3083.

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2014Structure of the third moment of the generalized Rosenblatt distribution. (2014). Taqqu, Murad S. ; Bai, Shuyang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:94:y:2014:i:c:p:144-152.

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2014On integration with respect to the q-Brownian motion. (2014). Bryc, Wodek . In: Statistics & Probability Letters. RePEc:eee:stapro:v:94:y:2014:i:c:p:257-266.

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2014On pre-exit joint occupation times for spectrally negative Lévy processes. (2014). Zhou, Xiaowen ; Li, Yingqiu . In: Statistics & Probability Letters. RePEc:eee:stapro:v:94:y:2014:i:c:p:48-55.

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2014On arbitrages arising with honest times. (2014). Fontana, Claudio ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

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Recent citations received in 2013
YearCiting document
2013Assessing Relative Volatility/Intermittency/Energy Dissipation. (2013). Schmiegel, Jurgen ; Barndorff-Nielsen, Ole E. ; Pakkanen, Mikko S.. In: CREATES Research Papers. RePEc:aah:create:2013-15.

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2013Stability of the exponential utility maximization problem with respect to preferences. (2013). Xing, Hao . In: Papers. RePEc:arx:papers:1205.6160.

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2013Utility Maximization under Model Uncertainty in Discrete Time. (2013). Nutz, Marcel . In: Papers. RePEc:arx:papers:1307.3597.

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2013Test of independence for functional data. (2013). Horvath, Lajos ; Rice, Gregory ; Hukova, Marie . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:117:y:2013:i:c:p:100-119.

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2013Coupling and strong Feller for jump processes on Banach spaces. (2013). Wang, Feng-Yu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:5:p:1588-1615.

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2013Power variation from second order differences for pure jump semimartingales. (2013). Todorov, Viktor . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2829-2850.

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Recent citations received in 2012
YearCiting document
2012Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. (2012). Mostovyi, Oleksii . In: Papers. RePEc:arx:papers:1107.5852.

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2012Moments of MGOU processes and positive semidefinite matrix processes. (2012). Behme, Anita . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:111:y:2012:i:c:p:183-197.

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2012The point process approach for fractionally differentiated random walks under heavy traffic. (2012). Barbe, Ph., ; McCormick, W. P.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:4028-4053.

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2012On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps. (2012). Kuznetsov, A. ; Peng, X.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:7:p:2610-2638.

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