Citation analysis for Stochastic Processes and their Applications / Elsevier

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.22

5 Years IF

0.21

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.01	0.08	0.15	0.01	66	66	123	10	10	130	1	330	4		0		0	0.04
1991	0.01	0.08	0.05	0	66	132	184	6	16	132	1	342	1		0		0	0.04
1992	0	0.08	0.03	0	84	216	222	6	22	132		346	1		0		0	0.04
1993	0.01	0.1	0.03	0.01	103	319	253	9	31	150	1	346	2		0		0	0.05
1994	0	0.11	0.01	0	128	447	287	5	37	187		385	1		0		0	0.05
1995	0.1	0.19	0.2	0.11	119	566	347	111	148	231	24	447	48	70	63.1	2	0.02	0.08
1996	0.11	0.22	0.18	0.1	90	656	254	116	264	247	26	500	50	52	44.8		0	0.1
1997	0.13	0.22	0.2	0.11	104	760	230	151	415	209	28	524	59	69	45.7	5	0.05	0.09
1998	0.08	0.26	0.16	0.1	84	844	282	131	547	194	15	544	53	60	45.8	4	0.05	0.12
1999	0.1	0.28	0.18	0.1	104	948	352	171	718	188	18	525	50	71	41.5	1	0.01	0.14
2000	0.1	0.33	0.17	0.1	108	1056	351	182	900	188	18	501	52	73	40.1	6	0.06	0.15
2001	0.14	0.36	0.19	0.11	94	1150	249	224	1124	212	29	490	56	79	35.3	5	0.05	0.15
2002	0.1	0.39	0.13	0.1	73	1223	311	163	1287	202	21	494	48	49	30.1	1	0.01	0.21
2003	0.09	0.4	0.15	0.09	79	1302	410	191	1480	167	15	463	41	46	24.1	6	0.08	0.2
2004	0.2	0.45	0.18	0.16	92	1394	344	251	1731	152	31	458	73	73	29.1	7	0.08	0.2
2005	0.15	0.46	0.15	0.14	90	1484	286	221	1952	171	26	446	61	60	27.1	2	0.02	0.22
2006	0.17	0.46	0.16	0.18	95	1579	346	255	2207	182	31	428	79	81	31.8	8	0.08	0.21
2007	0.18	0.42	0.19	0.19	95	1674	307	310	2517	185	33	429	81	87	28.1	1	0.01	0.18
2008	0.22	0.44	0.24	0.23	103	1777	332	424	2944	190	42	451	104	89	21	12	0.12	0.21
2009	0.23	0.44	0.23	0.24	178	1955	551	455	3399	198	46	475	113	169	37.1	10	0.06	0.21
2010	0.23	0.43	0.22	0.24	110	2065	271	463	3862	281	65	561	137	126	27.2	9	0.08	0.18
2011	0.18	0.46	0.18	0.2	127	2192	321	395	4258	288	52	581	114	132	33.4	5	0.04	0.21
2012	0.14	0.47	0.17	0.16	119	2311	168	403	4661	237	32	613	97	127	31.5	4	0.03	0.19
2013	0.21	0.53	0.24	0.22	146	2457	323	579	5242	246	52	637	139	155	26.8	6	0.04	0.22
2014	0.22	0.55	0.24	0.25	127	2584	204	608	5850	265	57	680	173	177	29.1	15	0.12	0.22
2015	0.32	0.56	0.29	0.29	168	2752	150	788	6639	273	86	629	184	225	28.6	7	0.04	0.21
2016	0.23	0.58	0.24	0.23	147	2899	117	690	7332	295	69	687	158	153	22.2	9	0.06	0.2
2017	0.23	0.6	0.27	0.26	145	3044	81	825	8157	315	73	707	182	222	26.9	14	0.1	0.22
2018	0.22	0.76	0.25	0.21	147	3191	29	784	8941	292	63	733	153	246	31.4	6	0.04	0.31

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	1981	Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260. Full description at Econpapers \|\| Download paper	377
2	2009	Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276. Full description at Econpapers \|\| Download paper	115
3	2004	Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200. Full description at Econpapers \|\| Download paper	80
4	1999	A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342. Full description at Econpapers \|\| Download paper	73
5	2008	Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers \|\| Download paper	72
6	2003	On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212. Full description at Econpapers \|\| Download paper	62
7	1983	A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316. Full description at Econpapers \|\| Download paper	56
8	2002	Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115. Full description at Econpapers \|\| Download paper	56
9	1985	Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303. Full description at Econpapers \|\| Download paper	55
10	2000	Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120. Full description at Econpapers \|\| Download paper	53
11	2004	Russian and American put options under exponential phase-type LÃ©vy 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	51
12	2006	Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806. Full description at Econpapers \|\| Download paper	50
13	2002	Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110. Full description at Econpapers \|\| Download paper	49
14	1996	Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101. Full description at Econpapers \|\| Download paper	49
15	2003	Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325. Full description at Econpapers \|\| Download paper	47
16	1991	Option hedging for semimartingales. (1991). Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363. Full description at Econpapers \|\| Download paper	46
17	1998	Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172. Full description at Econpapers \|\| Download paper	46
18	1989	Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes. (1989). de Vries, Casper ; Resnick, Sidney I. ; de Haan, Laurens ; Rootzen, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224. Full description at Econpapers \|\| Download paper	44
19	1994	Subexponentiality of the product of independent random variables. (1994). Cline, D. B. H., ; Samorodnitsky, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:1:p:75-98. Full description at Econpapers \|\| Download paper	42
20	1998	Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97. Full description at Econpapers \|\| Download paper	42
21	1993	Risk theory in a stochastic economic environment. (1993). Paulsen, Jostein . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361. Full description at Econpapers \|\| Download paper	41
22	1990	Nonparametric regression with long-range dependence. (1990). HART, Jeffrey D. ; Hall, Peter. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351. Full description at Econpapers \|\| Download paper	41
23	1998	Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286. Full description at Econpapers \|\| Download paper	39
24	1992	Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143. Full description at Econpapers \|\| Download paper	39
25	2004	Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206. Full description at Econpapers \|\| Download paper	39
26	1996	On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168. Full description at Econpapers \|\| Download paper	38
27	2005	Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177. Full description at Econpapers \|\| Download paper	38
28	2003	Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers \|\| Download paper	37
29	2007	A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812. Full description at Econpapers \|\| Download paper	36
30	1992	M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180. Full description at Econpapers \|\| Download paper	36
31	1991	Time-dependent coefficients in a Cox-type regression model. (1991). Sen, P. K. ; Murphy, S. A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180. Full description at Econpapers \|\| Download paper	35
32	2000	Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48. Full description at Econpapers \|\| Download paper	32
33	2007	Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662. Full description at Econpapers \|\| Download paper	32
34	2008	Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253. Full description at Econpapers \|\| Download paper	32
35	1995	Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273. Full description at Econpapers \|\| Download paper	31
36	1999	Stability of stochastic differential equations with Markovian switching. (1999). Mao, Xuerong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:79:y:1999:i:1:p:45-67. Full description at Econpapers \|\| Download paper	30
37	1975	Importance of system components and fault tree events. (1975). Proschan, Frank ; Barlow, Richard E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:2:p:153-173. Full description at Econpapers \|\| Download paper	29
38	2006	Backward stochastic differential equations with jumps and related non-linear expectations. (2006). Royer, Manuela . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:10:p:1358-1376. Full description at Econpapers \|\| Download paper	29
39	2002	On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286. Full description at Econpapers \|\| Download paper	28
40	1995	Fractional ARIMA with stable innovations. (1995). Taqqu, Murad S. ; Kokoszka, Piotr S.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:60:y:1995:i:1:p:19-47. Full description at Econpapers \|\| Download paper	28
41	1995	On pathwise stochastic integration. (1995). Karandikar, Rajeeva L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:57:y:1995:i:1:p:11-18. Full description at Econpapers \|\| Download paper	27
42	2001	Finite and infinite time ruin probabilities in a stochastic economic environment. (2001). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:92:y:2001:i:2:p:265-285. Full description at Econpapers \|\| Download paper	27
43	2011	Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844. Full description at Econpapers \|\| Download paper	27
44	2002	Power 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. Full description at Econpapers \|\| Download paper	26
45	1986	Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). HÃÂ¤rdle, Wolfgang ; Collomb, Gerard ; Hardle, Wolfgang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89. Full description at Econpapers \|\| Download paper	26
46	1999	On the ruin probabilities in a general economic environment. (1999). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:83:y:1999:i:2:p:319-330. Full description at Econpapers \|\| Download paper	26
47	1984	Optimum portfolio diversification in a general continuous-time model. (1984). Aase, Knut. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:18:y:1984:i:1:p:81-98. Full description at Econpapers \|\| Download paper	26
48	1986	On smoothed probability density estimation for stationary processes. (1986). Castellana, J. V. ; Leadbetter, M. R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:179-193. Full description at Econpapers \|\| Download paper	26
49	1994	Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms. (1994). Roberts, G. O. ; Smith, A. F. M., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216. Full description at Econpapers \|\| Download paper	25
50	2008	BSDEs 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. Full description at Econpapers \|\| Download paper	24

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

#	Year	Title	Cited
1	1981	Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260. Full description at Econpapers \|\| Download paper	31
2	2009	Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276. Full description at Econpapers \|\| Download paper	31
3	2002	Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110. Full description at Econpapers \|\| Download paper	30
4	2004	Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200. Full description at Econpapers \|\| Download paper	26
5	2015	Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931. Full description at Econpapers \|\| Download paper	17
6	2003	On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212. Full description at Econpapers \|\| Download paper	17
7	1998	Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286. Full description at Econpapers \|\| Download paper	17
8	2003	Long-time behaviour of a stochastic prey-predator model. (2003). Rudnicki, Ryszard . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:93-107. Full description at Econpapers \|\| Download paper	15
9	2004	Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206. Full description at Econpapers \|\| Download paper	15
10	2002	On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286. Full description at Econpapers \|\| Download paper	14
11	2011	Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844. Full description at Econpapers \|\| Download paper	14
12	2014	Occupation times of intervals until first passage times for spectrally negative LÃ©vy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435. Full description at Econpapers \|\| Download paper	14
13	2003	Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers \|\| Download paper	12
14	2004	Russian and American put options under exponential phase-type LÃ©vy 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	12
15	1999	Stability of stochastic differential equations with Markovian switching. (1999). Mao, Xuerong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:79:y:1999:i:1:p:45-67. Full description at Econpapers \|\| Download paper	12
16	2011	Occupation times of spectrally negative LÃ©vy 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. Full description at Econpapers \|\| Download paper	12
17	2008	BSDEs 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. Full description at Econpapers \|\| Download paper	11
18	2010	Stochastic 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. Full description at Econpapers \|\| Download paper	11
19	2009	Time consistent dynamic risk processes. (2009). Bion-Nadal, Jocelyne . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:633-654. Full description at Econpapers \|\| Download paper	11
20	2013	Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121. Full description at Econpapers \|\| Download paper	10
21	2013	Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499. Full description at Econpapers \|\| Download paper	10
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24	2008	Solvability 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	10
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27	2009	Bipower-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. Full description at Econpapers \|\| Download paper	9
28	2008	Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers \|\| Download paper	9
29	2008	Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253. Full description at Econpapers \|\| Download paper	9
30	2007	Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662. Full description at Econpapers \|\| Download paper	9
31	2003	Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325. Full description at Econpapers \|\| Download paper	8
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33	2013	A simple constructive approach to quadratic BSDEs with or without delay. (2013). Briand, Philippe ; Elie, Romuald. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:2921-2939. Full description at Econpapers \|\| Download paper	8
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35	2011	Martingale representation theorem for the G-expectation. (2011). Zhang, Jianfeng ; Touzi, Nizar ; Soner, Mete H.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:265-287. Full description at Econpapers \|\| Download paper	8
36	2010	On 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. Full description at Econpapers \|\| Download paper	8
37	1999	A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342. Full description at Econpapers \|\| Download paper	8
38	2016	An explicit martingale version of the one-dimensional Brenierâs Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834. Full description at Econpapers \|\| Download paper	8
39	2009	Mean-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. Full description at Econpapers \|\| Download paper	8
40	2006	Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806. Full description at Econpapers \|\| Download paper	8
41	2011	Optimal 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. Full description at Econpapers \|\| Download paper	7
42	2000	Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120. Full description at Econpapers \|\| Download paper	7
43	2011	Optimal 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. Full description at Econpapers \|\| Download paper	7
44	2013	Factor models in high-dimensional time seriesâA time-domain approach. (2013). Lippi, Marco ; Hallin, Marc. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2678-2695. Full description at Econpapers \|\| Download paper	7
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49	2016	Arbitrage 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. Full description at Econpapers \|\| Download paper	7
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Citing documents used to compute impact factor: 63

Year	Title
2018	Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:69-79. Full description at Econpapers \|\| Download paper
2018	A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257. Full description at Econpapers \|\| Download paper
2018	Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078. Full description at Econpapers \|\| Download paper
2018	Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:90:y:2018:i:1:d:10.1007_s11134-018-9570-5. Full description at Econpapers \|\| Download paper
2018	Limit theorems for Markovian Hawkes processes with a large initial intensity. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3807-3839. Full description at Econpapers \|\| Download paper
2018	Some asymptotic results for nonlinear Hawkes processes. (2018). Gao, Fuqing ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4051-4077. Full description at Econpapers \|\| Download paper
2018	FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT. (2018). Saporito, Yuri F. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500243. Full description at Econpapers \|\| Download paper
2018	Non parametric estimation for random walks in random environment. (2018). Diel, Roland ; Lerasle, Matthieu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:1:p:132-155. Full description at Econpapers \|\| Download paper
2018	Financial equilibrium with asymmetric information and random horizon. (2018). Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0348-0. Full description at Econpapers \|\| Download paper
2018	Denseness of volatile and nonvolatile sequences of functions. (2018). Forsstrom, Malin Palo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3880-3896. Full description at Econpapers \|\| Download paper
2018	Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543. Full description at Econpapers \|\| Download paper
2018	Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. (2018). Heiny, Johannes ; Mikosch, Thomas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:8:p:2779-2815. Full description at Econpapers \|\| Download paper
2018	Pointwise estimates for first passage times of perpetuity sequences. (2018). Buraczewski, D ; Zienkiewicz, J ; Damek, E. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:2923-2951. Full description at Econpapers \|\| Download paper
2018	Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2018). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1607.04214. Full description at Econpapers \|\| Download paper
2018	Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. (2018). Pages, Gilles ; Sagna, Abass . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:847-883. Full description at Econpapers \|\| Download paper
2018	A class of globally solvable Markovian quadratic BSDE systems and applications. (2018). Itkovi, Gordan ; Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:73440. Full description at Econpapers \|\| Download paper
2018	Branching random walks, stable point processes and regular variation. (2018). Bhattacharya, Ayan ; Roy, Parthanil ; Hazra, Rajat Subhra. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:1:p:182-210. Full description at Econpapers \|\| Download paper
2018	Large deviations of time-averaged statistics for Gaussian processes. (2018). Gajda, J ; Sikora, G ; Chechkin, A V ; Kantz, H ; Wyomaska, A. In: Statistics & Probability Letters. RePEc:eee:stapro:v:143:y:2018:i:c:p:47-55. Full description at Econpapers \|\| Download paper
2018	Concentration for Poisson U-statistics: Subgraph counts in random geometric graphs. (2018). Bachmann, Sascha ; Reitzner, Matthias. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3327-3352. Full description at Econpapers \|\| Download paper
2018	Financial asset bubbles in banking networks. (2018). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1806.01728. Full description at Econpapers \|\| Download paper
2018	Systemic Risk and the Dependence Structures. (2018). Chang, Yu-Sin. In: Papers. RePEc:arx:papers:1809.03425. Full description at Econpapers \|\| Download paper
2018	No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3. Full description at Econpapers \|\| Download paper
2018	The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442. Full description at Econpapers \|\| Download paper
2018	The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2018). Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1007-1033. Full description at Econpapers \|\| Download paper
2018	Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation. (2018). Hu, Ying ; Hima, Abdoulaye Soumana ; Lin, Yiqing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3724-3750. Full description at Econpapers \|\| Download paper
2018	Likelihood based inference for the multivariate renewal Hawkes process. (2018). Stindl, Tom ; Chen, Feng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:123:y:2018:i:c:p:131-145. Full description at Econpapers \|\| Download paper
2018	Robust pricingâhedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers \|\| Download paper
2018	Some Results on Skorokhod Embedding and Robust Hedging with Local Time. (2018). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1201-5. Full description at Econpapers \|\| Download paper
2018	Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers. (2018). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:1705.02440. Full description at Econpapers \|\| Download paper
2018	Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409). (2018). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf431. Full description at Econpapers \|\| Download paper
2018	Quadraticâexponential growth BSDEs with jumps and their Malliavinâs differentiability. (2018). Fujii, Masaaki ; Takahashi, Akihiko. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:2083-2130. Full description at Econpapers \|\| Download paper
2018	A second order asymptotic expansion in the local limit theorem for a simple branching random walk in Zd. (2018). Gao, Zhi-Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4000-4017. Full description at Econpapers \|\| Download paper
2018	Forbidden zones for the expectation. New mathematical results for behavioral and social sciences. (2018). Harin, Alexander. In: MPRA Paper. RePEc:pra:mprapa:86650. Full description at Econpapers \|\| Download paper
2018	Subsampling based inference for U statistics under thick tails using self-normalization. (2018). Chen, Willa W ; Deo, Rohit S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:95-103. Full description at Econpapers \|\| Download paper
2018	Estimation error for occupation time functionals of stationary Markov processes. (2018). Altmeyer, Randolf ; Chorowski, Jakub. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1830-1848. Full description at Econpapers \|\| Download paper
2018	An enlargement of filtration formula with applications to multiple non-ordered default times. (2018). Jeanblanc, Monique ; Song, Shiqi ; Li, Libo. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0349-z. Full description at Econpapers \|\| Download paper
2018	Latent voter model on locally tree-like random graphs. (2018). Huo, Ran ; Durrett, Rick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:5:p:1590-1614. Full description at Econpapers \|\| Download paper
2018	Optimal position targeting via decoupling fields. (2018). Popier, Alexandre ; Kruse, Thomas ; Fromm, Alexander ; Ankirchner, Stefan. In: Working Papers. RePEc:hal:wpaper:hal-01500311. Full description at Econpapers \|\| Download paper
2018	Representations of max-stable processes via exponential tilting. (2018). Hashorva, Enkelejd . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:2952-2978. Full description at Econpapers \|\| Download paper
2018	Strong local nondeterminism of spherical fractional Brownian motion. (2018). Lan, Xiaohong ; Xiao, Yimin. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:44-50. Full description at Econpapers \|\| Download paper
2018	Extremes of q-OrnsteinâUhlenbeck processes. (2018). Wang, Yizao. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:2979-3005. Full description at Econpapers \|\| Download paper
2018	Systems of ergodic BSDE arising in regime switching forward performance processes. (2018). Tang, Shanjian ; Liang, Gechun ; Hu, Ying. In: Papers. RePEc:arx:papers:1807.01816. Full description at Econpapers \|\| Download paper
2018	Spectrally negative LÃ©vy processes with Parisian reflection below and classical reflection above. (2018). Avram, Florin ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:1:p:255-290. Full description at Econpapers \|\| Download paper
2018	Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes. (2018). Hoffmann, Michael ; Dette, Holger ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3679-3723. Full description at Econpapers \|\| Download paper
2018	Multilevel rejection sampling for approximate Bayesian computation. (2018). Warne, David J ; Simpson, Matthew J ; Baker, Ruth E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:71-86. Full description at Econpapers \|\| Download paper
2018	Functional limit theorems for a new class of non-stationary shot noise processes. (2018). Pang, Guodong ; Zhou, Yuhang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:2:p:505-544. Full description at Econpapers \|\| Download paper
2018	Two-parameter process limits for infinite-server queues with dependent service times via chaining bounds. (2018). Pang, Guodong ; Zhou, Yuhang. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:88:y:2018:i:1:d:10.1007_s11134-017-9550-1. Full description at Econpapers \|\| Download paper
2018	Moral Hazard Under Ambiguity. (2018). Mastrolia, Thibaut ; Possamai, Dylan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1230-8. Full description at Econpapers \|\| Download paper
2018	Stochastic KomatuâLoewner evolutions and BMD domain constant. (2018). Chen, Zhen-Qing ; Fukushima, Masatoshi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:2:p:545-594. Full description at Econpapers \|\| Download paper
2018	Markov processes with darning and their approximations. (2018). Chen, Zhen-Qing ; Peng, Jun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:3030-3053. Full description at Econpapers \|\| Download paper
2018	Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers \|\| Download paper
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers \|\| Download paper
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26. Full description at Econpapers \|\| Download paper
2018	OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP. (2018). Ivanov, Roman V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500188. Full description at Econpapers \|\| Download paper
2018	Volterra-type OrnsteinâUhlenbeck processes in space and time. (2018). Pham, Viet Son ; Chong, Carsten . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:3082-3117. Full description at Econpapers \|\| Download paper
2018	MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292. Full description at Econpapers \|\| Download paper
2018	First order FeynmanâKac formula. (2018). Li, Xue-Mei ; Thompson, James. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:9:p:3006-3029. Full description at Econpapers \|\| Download paper
2018	Monotonicity preserving transformations of MOT and SEP. (2018). Huesmann, Martin ; Stebegg, Florian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1114-1134. Full description at Econpapers \|\| Download paper
2018	Mutual intersection for rough differential systems driven by fractional Brownian motions. (2018). Ouyang, Cheng ; Wu, Dongsheng ; Shi, Yinghui. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:83-91. Full description at Econpapers \|\| Download paper
2018	Network and Panel Quantile Effects Via Distribution Regression. (2018). Weidner, Martin ; Chernozhukov, Victor ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1803.08154. Full description at Econpapers \|\| Download paper
2018	Network and panel quantile effects via distribution regression. (2018). Weidner, Martin ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:21/18. Full description at Econpapers \|\| Download paper
2018	Uniform confidence bands in deconvolution with unknown error distribution. (2018). Kato, Kengo ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:129-161. Full description at Econpapers \|\| Download paper
2018	Network and panel quantile effects via distribution regression. (2018). Weidner, Martin ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:70/18. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442. Full description at Econpapers \|\| Download paper
2018	On optimal periodic dividend strategies for LÃ©vy risk processes. (2018). Noba, Kei ; Yano, Kouji ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:29-44. Full description at Econpapers \|\| Download paper
2018	Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104. Full description at Econpapers \|\| Download paper
2018	American options under periodic exercise opportunities. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:92-101. Full description at Econpapers \|\| Download paper
2018	Singular integrals of stable subordinator. (2018). Xu, Lihu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:115-118. Full description at Econpapers \|\| Download paper
2018	On the Bail-Out Optimal Dividend Problem. (2018). Perez, Jose-Luis ; Yu, Xiang ; Yamazaki, Kazutoshi. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1340-3. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831. Full description at Econpapers \|\| Download paper
2017	The geometry of multi-marginal Skorokhod Embedding. (2017). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers \|\| Download paper
2017	Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642. Full description at Econpapers \|\| Download paper
2017	No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854. Full description at Econpapers \|\| Download paper
2017	HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, Francesco. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2017003. Full description at Econpapers \|\| Download paper
2017	Parisian ruin for a refracted LÃ©vy process. (2017). Lkabous, Mohamed Amine ; Renaud, Jean-Franois ; Czarna, Irmina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163. Full description at Econpapers \|\| Download paper
2017	Weak Dirichlet processes with jumps. (2017). Russo, Francesco ; Bandini, Elena. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:4139-4189. Full description at Econpapers \|\| Download paper
2017	A law of the iterated logarithm for the number of occupied boxes in the Bernoulli sieve. (2017). Iksanov, Alexander ; Bouzeffour, Fethi ; Jedidi, Wissem . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:244-252. Full description at Econpapers \|\| Download paper
2017	On the concept of subcriticality and criticality and a ratio theorem for a branching process in a random environment. (2017). Wang, Yuejiao ; Liu, Quansheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:97-103. Full description at Econpapers \|\| Download paper
2017	HÃ¶lder continuity for stochastic fractional heat equation with colored noise. (2017). Li, Kexue . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:34-41. Full description at Econpapers \|\| Download paper
2017	HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, F. In: Working Papers. RePEc:gbl:wpaper:2017-07. Full description at Econpapers \|\| Download paper
2017	Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767. Full description at Econpapers \|\| Download paper
2017	Tukeyâs transformational ladder for portfolio management. (2017). Ernst, Philip A ; Miao, Yinsen ; Thompson, James R. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0292-1. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Arbitrage and utility maximization in market models with an insider. (2016). Chau, Ngoc Huy ; Tankov, Peter ; Runggaldier, Wolfgang . In: Papers. RePEc:arx:papers:1608.02068. Full description at Econpapers \|\| Download paper
2016	The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1609.02108. Full description at Econpapers \|\| Download paper
2016	Quadratic-exponential growth BSDEs with Jumps and their MalliavinÃ¢â¬â¢s Differentiability (revised version of CARF-F-376). (2016). Fujii, Masaaki ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf395. Full description at Econpapers \|\| Download paper
2016	Sparse PCA-based on high-dimensional ItÃ´ 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. Full description at Econpapers \|\| Download paper
2016	Stability 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. Full description at Econpapers \|\| Download paper
2016	Risk 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. Full description at Econpapers \|\| Download paper
2016	Consumption 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. Full description at Econpapers \|\| Download paper
2016	Nonparametric estimation in a mixed-effect OrnsteinâUhlenbeck 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers \|\| Download paper
2015	Simple 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. Full description at Econpapers \|\| Download paper
2015	Max-stable processes and stationary systems of LÃ©vy particles. (2015). Kabluchko, Zakhar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:11:p:4272-4299. Full description at Econpapers \|\| Download paper
2015	Functional 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. Full description at Econpapers \|\| Download paper
2015	Optimality of doubly reflected LÃ©vy 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. Full description at Econpapers \|\| Download paper
2015	The Czech Extreme Right: Alternative Europeanism. (2015). Haka, Antonin . In: SouÄasnÃ¡ Evropa. RePEc:prg:jnlsev:v:2015:y:2015:i:2:id:127:p:145-163. Full description at Econpapers \|\| Download paper
2015	LADE-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. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Stochastic Processes and their Applications / Elsevier	32	1241
2	Papers / arXiv.org	51	611
3	Statistics & Probability Letters / Elsevier	25	436
4	Journal of Econometrics / Elsevier	188	171
5	Finance and Stochastics / Springer	44	139
6	Physica A: Statistical Mechanics and its Applications / Elsevier	52	124
7	Insurance: Mathematics and Economics / Elsevier	43	114
8	Journal of Multivariate Analysis / Elsevier	39	112
9	Applied Mathematics and Computation / Elsevier	13	105
10	Statistical Inference for Stochastic Processes / Springer	9	73
11	European Journal of Operational Research / Elsevier	87	62