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Stochastic Processes and their Applications / Elsevier

0.25

Impact Factor

0.3

5-Years IF

31

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.010.10.026666100.151021301330535 (34.3%)0.04
19910.010.106613260.051701321342132 (18.8%)0.04
19920.0908421660.03213132346167 (31.5%)0.04
19930.010.110.0110331990.032491501346280 (32.1%)0.05
19940.12012844760.01279187385191 (32.6%)0.04
19950.110.190.121195661080.193382312544753112 (33.1%)20.020.07
19960.120.230.12906561160.18239247295006057 (23.8%)0.09
19970.120.260.111047601480.19225209255246090 (40%)50.050.09
19980.080.280.1848441300.15270194155445786 (31.9%)40.050.1
19990.110.320.111049481650.17328188205255698 (29.9%)10.010.13
20000.110.390.1210810561730.163301882050162113 (34.2%)50.050.15
20010.150.390.149411502250.22342123249067111 (47.4%)50.050.14
20020.10.40.17312231510.12282202214944990 (31.9%)0.17
20030.10.430.17913021890.153741671646347126 (33.7%)60.080.18
20040.20.480.189213942440.18321152314588385 (26.5%)60.070.19
20050.130.520.149014842070.14271171224466281 (29.9%)20.020.2
20060.160.510.219515792500.163201822942888108 (33.8%)80.080.2
20070.180.450.229516743040.18285185334299676 (26.7%)10.010.18
20080.210.480.2510317774270.243001904045111391 (30.3%)120.120.2
20090.240.490.2717819554520.2349019847475126167 (34.1%)100.060.19
20100.250.460.2911020654650.232362816956116183 (35.2%)80.070.17
20110.20.490.2412721923910.182692885758114194 (34.9%)50.040.19
20120.140.520.1811923114010.171452373461311360 (41.4%)40.030.19
20130.220.580.2614624575750.232762465363716880 (29%)60.040.2
20140.220.60.312725846040.231632655968020354 (33.1%)150.120.2
20150.330.610.3416827527880.291112739062921544 (39.6%)70.040.19
20160.240.680.2714728996910.24802957268718723 (28.8%)80.050.2
20170.250.730.314530448330.2739315807072159 (23.1%)170.120.22
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

356
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

102
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

71
42008Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559.

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68
51999A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342.

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66
62003On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212.

Full description at Econpapers || Download paper

59
71983A 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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54
82000Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120.

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53
91985Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303.

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52
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.

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51
112004Russian 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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50
122006Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806.

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49
131998Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172.

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46
141996Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101.

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45
152003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325.

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44
161989Extremal 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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43
172002Environmental 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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42
181998Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97.

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42
191994Subexponentiality 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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41
201991Option 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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40
211993Risk 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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38
221992Maximum-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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36
231992M-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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36
242005Nonparametric 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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35
251996On 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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35
261998Additional 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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35
272004Discrete-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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34
282007A 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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32
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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32
301995Utility 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

31
311991Time-dependent coefficients in a Cox-type regression model. (1991). Sen, P. K. ; Murphy, S. A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180.

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31
322007Stability 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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31
331975Importance of system components and fault tree events. (1975). Proschan, Frank ; Barlow, Richard E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:2:p:153-173.

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29
342006Backward 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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29
352000Optimal 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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29
361999Stability of stochastic differential equations with Markovian switching. (1999). Mao, Xuerong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:79:y:1999:i:1:p:45-67.

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28
371995Fractional 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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27
382008Multi-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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27
391986Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). Härdle, Wolfgang ; Collomb, Gerard ; Hardle, Wolfgang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89.

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26
402002Power 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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26
411986On smoothed probability density estimation for stationary processes. (1986). Castellana, J. V. ; Leadbetter, M. R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:179-193.

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26
421990Nonparametric 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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25
431995On 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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25
442001Finite 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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25
451993Smoothed 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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24
461994Simple 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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24
471982On 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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24
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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24
491984Optimum 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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23
502003Optimal 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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23

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

37
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

31
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

29
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

23
52003On 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

17
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

17
72013Some 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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15
82004Russian 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

15
92005Nonparametric 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

14
102015Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931.

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14
111999A 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

14
122004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206.

Full description at Econpapers || Download paper

13
131999Stability 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

13
142011Locally 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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13
152007A 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

12
162008BSDEs 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
172003Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129.

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11
182000Martingale 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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11
192013Constructing 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
202014Occupation times of intervals until first passage times for spectrally negative Lévy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435.

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10
212006Backward 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

10
221995On 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

10
232011Occupation 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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10
242013Tempered 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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10
252009Time consistent dynamic risk processes. (2009). Bion-Nadal, Jocelyne . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:633-654.

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10
262010On 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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9
272007Stability 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
282016Solutions of BSDE’s with jumps and quadratic/locally Lipschitz generator. (2016). Antonelli, Fabio ; Mancini, Carlo . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:10:p:3124-3144.

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9
292011On the semimartingale property of discounted asset-price processes. (2011). Platen, Eckhard ; Kardaras, Constantinos. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2678-2691.

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9
302007Tempering stable processes. (2007). Rosinski, Jan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:6:p:677-707.

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9
311995Utility 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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9
322000Weak 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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8
332010Exponentially affine martingales, affine measure changes and exponential moments of affine processes. (2010). Kallsen, Jan ; Muhle-Karbe, Johannes. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:2:p:163-181.

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342006Limit 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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352008Weakly dependent chains with infinite memory. (2008). Wintenberger, Olivier ; Doukhan, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:11:p:1997-2013.

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362002On 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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372014Splitting 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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382006Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition. (2006). Gozzi, Fausto ; Russo, Francesco. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:11:p:1530-1562.

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391998Optimal 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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401992Maximum-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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412010Stochastic 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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422003Long-time behaviour of a stochastic prey-predator model. (2003). Rudnicki, Ryszard . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:93-107.

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432011Nonsynchronous 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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442012An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453.

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452011Optimal stopping for non-linear expectations--Part I. (2011). Bayraktar, Erhan ; Yao, Song. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:185-211.

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461983A 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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472008Solvability 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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481998Selecting 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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492009Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups. (2009). Vecer, Jan ; Hadjiliadis, Olympia ; Pospisil, Libor . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:8:p:2563-2578.

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502016Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2016). Acciaio, Beatrice ; Kardaras, Constantinos ; Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:6:p:1761-1784.

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Citing documents used to compute impact factor 80:

YearTitle
2017Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. (2017). Alfonsi, Aur'elien ; Jourdain, Benjamin ; Corbetta, Jacopo. In: Papers. RePEc:arx:papers:1709.05287.

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2017Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar. In: Papers. RePEc:arx:papers:1701.06779.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan. In: Papers. RePEc:arx:papers:1710.07911.

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2017Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf409.

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2017Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2016cf1047.

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2017Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers. (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2017cf1047.

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2017Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395). (2017). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf420.

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2017New methods of simulating Lévy processes. (2017). Ye, Rendao ; Tong, Changqing ; Lin, Zhengyan ; Zheng, Jing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:461-466.

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2017A simple proof of heavy tail estimates for affine type Lipschitz recursions. (2017). Buraczewski, Dariusz ; Damek, Ewa . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:2:p:657-668.

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2017On beta distributed limits of iterated linear random functions. (2017). McKinlay, Shaun . In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:33-41.

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2017Exact convergence rate of the local limit theorem for branching random walks on the integer lattice. (2017). Gao, Zhiqiang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:4:p:1282-1296.

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2017Interacting generalized Friedman’s urn systems. (2017). Aletti, Giacomo ; Ghiglietti, Andrea . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2650-2678.

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2017A Unified Tree approach for options pricing under stochastic volatility models. (2017). Lo, C C ; Skindilias, K ; Nguyen, D. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:260-268.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:46-62.

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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435.

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2017Financial equilibrium with asymmetric information and random horizon. (2017). cCetin, Umut . In: Papers. RePEc:arx:papers:1603.08828.

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2017Hölder continuity for stochastic fractional heat equation with colored noise. (2017). Li, Kexue . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:34-41.

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2017Refined large deviations asymptotics for Markov-modulated infinite-server systems. (2017). Blom, Joke ; Mandjes, Michel ; de Turck, Koen . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1036-1044.

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2017Certain properties related to well posedness of switching diffusions. (2017). Nguyen, Dang Hai ; Zhu, Chao ; Yin, George. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3135-3158.

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2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus. (2017). Shimizu, Yasutaka ; Zhang, Zhimin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:84-98.

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2017Estimator Selection: a New Method with Applications to Kernel Density Estimation. (2017). Lacour, Claire ; Rivoirard, Vincent ; Massart, Pascal. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:79:y:2017:i:2:d:10.1007_s13171-017-0107-5.

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2017Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes. (2017). Bandini, Elena ; Fuhrman, Marco . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1441-1474.

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2017Change of measure up to a random time: Details. (2017). Kreher, Dorte . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1565-1598.

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2017No-arbitrage up to random horizon for quasi-left-continuous models. (2017). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3.

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2017The value of foresight. (2017). Rogers, Leonard ; Rogers, L. C. G., ; Ernst, Philip A ; Zhou, Quan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:3913-3927.

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2017Heavy-tailed fractional Pearson diffusions. (2017). Leonenko, N N ; Papi, I ; Uvak, N ; Sikorskii, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3512-3535.

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2017Lp solutions of backward stochastic differential equations with jumps. (2017). Yao, Song. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3465-3511.

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2017Robust machine learning by median-of-means : theory and practice. (2017). Lecue, Guillaume ; Lerasle, Mathieu. In: Working Papers. RePEc:crs:wpaper:2017-32.

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2017Strong-majority bootstrap percolation on regular graphs with low dissemination threshold. (2017). Mitsche, Dieter ; Praat, Pawe ; Perez-Gimenez, Xavier . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3110-3134.

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2017Local times of stochastic differential equations driven by fractional Brownian motions. (2017). Lou, Shuwen ; Ouyang, Cheng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3643-3660.

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2017Mean-field limit of generalized Hawkes processes. (2017). Chevallier, Julien. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:3870-3912.

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2017Tightness and duality of martingale transport on the Skorokhod space. (2017). Touzi, Nizar ; Tan, Xiaolu ; Guo, Gaoyue. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:927-956.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Integral equations for Rost’s reversed barriers: Existence and uniqueness results. (2017). de Angelis, Tiziano ; Kitapbayev, Yerkin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3447-3464.

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2017Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2017Constrained Optimal Transport. (2017). Soner, Mete H ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1610.02940.

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2017Change of numeraire in the two-marginals martingale transport problem. (2017). Laachir, Ismail ; Campi, Luciano ; Martini, Claude. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

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2017A stability result on optimal Skorokhod embedding. (2017). Guo, Gaoyue. In: Papers. RePEc:arx:papers:1701.08204.

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2017Robust Hedging of Options on a Leveraged Exchange Traded Fund. (2017). Kinsley, Sam M ; Alexander, . In: Papers. RePEc:arx:papers:1702.07169.

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2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

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2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan. In: Papers. RePEc:arx:papers:1710.07911.

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2017Optimal Brownian Stopping between radially symmetric marginals in general dimensions. (2017). Ghoussoub, Nassif ; Lim, Tongseok ; Kim, Young-Heon . In: Papers. RePEc:arx:papers:1711.02784.

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2017Weak decreasing stochastic order. (2017). Bogso, Antoine-Marie ; Soh, Patrice Takam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:49-58.

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2017On the expected diameter of planar Brownian motion. (2017). McRedmond, James ; Xu, Chang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:130:y:2017:i:c:p:1-4.

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2017An Itô calculus for a class of limit processes arising from random walks on the complex plane. (2017). Bonaccorsi, Stefano ; Mazzucchi, Sonia ; Calcaterra, Craig . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:2816-2840.

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2017The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2017). Fontana, Claudio. In: Papers. RePEc:arx:papers:1508.03282.

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2017Change of measure up to a random time: Details. (2017). Kreher, Dorte . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1565-1598.

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2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767.

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2017Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise. (2017). Lee, Wooyong ; Wefelmeyer, Wolfgang ; Heckman, Nancy ; Greenwood, Priscilla E. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9141-5.

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2017Inventory Control for Spectrally Positive Lévy Demand Processes. (2017). Yamazaki, Kazutoshi. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:42:y:2017:i:1:p:212-237.

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2017Continuous spin models on annealed generalized random graphs. (2017). Schriever, P ; Dommers, S ; Kulske, C. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3719-3753.

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2017Lp solutions of backward stochastic differential equations with jumps. (2017). Yao, Song. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3465-3511.

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2017Scaling transition for nonlinear random fields with long-range dependence. (2017). Pilipauskait, Vytaut ; Surgailis, Donatas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2751-2779.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Geodesic forests in last-passage percolation. (2017). Lopez, Sergio I. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:1:p:304-324.

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2017SDEs with constraints driven by semimartingales and processes with bounded p-variation. (2017). Falkowski, Adrian ; Somiski, Leszek . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3536-3557.

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2017Autoregressive functions estimation in nonlinear bifurcating autoregressive models. (2017). Bitseki, Valere S ; Olivier, Adelaide. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9140-6.

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2017Mean Field Games with Singular Controls. (2017). Horst, Ulrich ; Fu, Guanxing . In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:22.

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2017Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises. (2017). Yang, XU. In: Statistics & Probability Letters. RePEc:eee:stapro:v:120:y:2017:i:c:p:18-27.

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2017Least squares estimators for stochastic differential equations driven by small Lévy noises. (2017). Long, Hongwei ; Shimizu, Yasutaka ; Ma, Chunhua . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1475-1495.

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2017Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7.

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2017On future drawdowns of Lévy processes. (2017). Baurdoux, E J ; Pistorius, M R ; Palmowski, Z. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2679-2698.

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2017On future drawdowns of Lévy processes. (2017). Baurdoux, Erik J ; Pistorius, Martijn R ; Palmowski, Z. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84342.

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2017Strict local martingales: Examples. (2017). Li, Xue-Mei. In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:65-68.

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2017Intermittency fronts for space-time fractional stochastic partial differential equations in (d+1) dimensions. (2017). Asogwa, Sunday A ; Nane, Erkan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:4:p:1354-1374.

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2017Optimal Investment and Pricing in the Presence of Defaults. (2017). Ishikawa, Tetsuya ; Robertson, Scott. In: Papers. RePEc:arx:papers:1703.00062.

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2017Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Tauchen, George ; Todorov, Viktor ; Li, Jia. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Tauchen, George ; Li, Jia ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2017Existence and estimates of moments for Lévy-type processes. (2017). Kuhn, Franziska . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:1018-1041.

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2017Multidimensional Lévy white noise in weighted Besov spaces. (2017). Fageot, Julien ; Unser, Michael ; Fallah, Alireza . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1599-1621.

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2017The interplay of two mutations in a population of varying size: A stochastic eco-evolutionary model for clonal interference. (2017). Billiard, Sylvain ; Smadi, Charline . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:701-748.

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2017On the conditional small ball property of multivariate Lévy-driven moving average processes. (2017). Sottinen, Tommi ; Yazigi, Adil ; Pakkanen, Mikko S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:749-782.

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2017Invariance times. (2017). Song, Shiqi ; Cr, St'Ephane . In: Papers. RePEc:arx:papers:1702.01045.

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2017INVARIANCE TIMES *. (2017). Crepey, Stephane ; Song, Shiqi. In: Working Papers. RePEc:hal:wpaper:hal-01455414.

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Recent citations (cites in year: CiY)

Recent citations received in 2017
YearCiting document
2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831.

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2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

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2017Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642.

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2017Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545.

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2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan. In: Papers. RePEc:arx:papers:1710.07911.

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2017Polynomial Jump-Diffusion Models. (2017). Filipovi, Damir ; Larsson, Martin. In: Papers. RePEc:arx:papers:1711.08043.

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2017No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854.

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2017HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, Francesco. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2017003.

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2017Parisian ruin for a refracted Lévy process. (2017). Lkabous, Mohamed Amine ; Renaud, Jean-Franois ; Czarna, Irmina . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163.

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2017Weak Dirichlet processes with jumps. (2017). Russo, Francesco ; Bandini, Elena . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:4139-4189.

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2017A law of the iterated logarithm for the number of occupied boxes in the Bernoulli sieve. (2017). Iksanov, Alexander ; Bouzeffour, Fethi ; Jedidi, Wissem . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:244-252.

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2017On the concept of subcriticality and criticality and a ratio theorem for a branching process in a random environment. (2017). Wang, Yuejiao ; Liu, Quansheng . In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:97-103.

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2017Hölder continuity for stochastic fractional heat equation with colored noise. (2017). Li, Kexue . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:34-41.

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2017HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, F. In: Working Papers. RePEc:gbl:wpaper:2017-07.

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2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767.

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2017Tukey’s transformational ladder for portfolio management. (2017). Ernst, Philip A ; Miao, Yinsen ; Thompson, James R. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0292-1.

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Recent citations received in 2016
YearCiting document
2016Arbitrage and utility maximization in market models with an insider. (2016). Chau, Ngoc Huy ; Tankov, Peter ; Runggaldier, Wolfgang . In: Papers. RePEc:arx:papers:1608.02068.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1609.02108.

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2016Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376). (2016). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf395.

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2016Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio. In: Post-Print. RePEc:hal:journl:hal-01181147.

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2016Risk in a Large Claims Insurance Market with Bipartite Graph Structure. (2016). Kluppelberg, Claudia ; Kley, Oliver ; Reinert, Gesine . In: Operations Research. RePEc:inm:oropre:v:64:y:2016:i:5:p:1159-1176.

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2016Consumption optimization for recursive utility in a jump-diffusion model. (2016). Antonelli, Fabio ; Mancini, Carlo . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:2:d:10.1007_s10203-016-0177-1.

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2016Nonparametric estimation in a mixed-effect Ornstein–Uhlenbeck model. (2016). Dion, Charlotte . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:79:y:2016:i:8:d:10.1007_s00184-016-0583-y.

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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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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: Současná Evropa. RePEc:prg:jnlsev:v:2015:y:2015:i:2:id:127:p:145-163.

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2015LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises. (2015). Zhu, Ke ; Ling, Shiqing. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:110:y:2015:i:510:p:784-794.

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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). Santucci de Magistris, Paolo ; 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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2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. (2014). Yang, Hailiang ; Zhang, Zhimin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:59:y:2014:i:c:p:168-177.

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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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