Citation analysis for Stochastic Processes and their Applications / Elsevier

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

0.24

5 Years IF

0.25

Data available in this report

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

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1978			0		66	66	0		0
1979			0		39	105	0	2	0
1980			0		19	124	0	1	0
1981			0		31	155	0	2	0							1
1982			0		38	193	0		0
1983			0		39	232	0	1	0
1984			0		65	297	0	3	0
1985			0		54	351	0	4	0
1986			0		62	413	0	1	0
1987			0		84	497	0	5	0
1988			0		64	561	0	4	0
1989			0		66	627	0	13	0
1990	0.01	0.1	0.01	0.01	66	693	183	10	10	130	1	330	4		0		0	0.05
1991	0.01	0.1	0.01	0	66	759	270	8	18	132	1	342	1		0		0	0.05
1992	0	0.11	0.01	0	84	843	333	6	24	132		346	1		0		0	0.05
1993	0.01	0.13	0.01	0.01	103	946	321	12	36	150	1	346	3		0		0	0.06
1994	0	0.14	0.01	0	128	1074	430	7	44	187		385	1		0		0	0.06
1995	0.12	0.22	0.11	0.12	119	1193	499	126	170	231	27	447	53	78	61.9	3	0.03	0.1
1996	0.12	0.25	0.1	0.11	90	1283	352	127	297	247	29	500	54	52	40.9		0	0.12
1997	0.14	0.24	0.13	0.13	104	1387	343	176	473	209	30	524	67	71	40.3	6	0.06	0.11
1998	0.1	0.28	0.12	0.11	84	1471	467	171	645	194	19	544	62	63	36.8	5	0.06	0.13
1999	0.14	0.3	0.14	0.13	104	1575	512	213	858	188	26	525	66	75	35.2	2	0.02	0.15
2000	0.11	0.35	0.13	0.12	108	1683	527	212	1070	188	21	501	61	74	34.9	6	0.06	0.16
2001	0.16	0.38	0.15	0.14	94	1777	348	261	1332	212	33	490	71	80	30.7	5	0.05	0.17
2002	0.12	0.41	0.11	0.12	73	1850	477	205	1537	202	24	494	57	50	24.4	1	0.01	0.21
2003	0.14	0.44	0.14	0.13	79	1929	607	261	1800	167	23	463	60	47	18	6	0.08	0.22
2004	0.23	0.49	0.15	0.19	92	2021	635	310	2110	152	35	458	86	75	24.2	7	0.08	0.22
2005	0.18	0.5	0.13	0.16	90	2111	456	275	2385	171	30	446	70	61	22.2	2	0.02	0.23
2006	0.21	0.5	0.15	0.21	95	2206	569	322	2707	182	39	428	92	82	25.5	9	0.09	0.23
2007	0.21	0.46	0.16	0.22	95	2301	508	375	3082	185	38	429	95	89	23.7	1	0.01	0.2
2008	0.31	0.49	0.21	0.28	103	2404	599	509	3593	190	58	451	127	92	18.1	16	0.16	0.23
2009	0.25	0.47	0.22	0.28	178	2582	1010	580	4173	198	50	475	135	174	30	17	0.1	0.23
2010	0.27	0.48	0.21	0.31	110	2692	525	573	4746	281	76	561	172	127	22.2	11	0.1	0.21
2011	0.25	0.52	0.19	0.27	127	2819	604	547	5294	288	73	581	155	135	24.7	7	0.06	0.24
2012	0.22	0.51	0.21	0.26	119	2938	282	609	5903	237	51	613	159	130	21.3	5	0.04	0.22
2013	0.3	0.56	0.26	0.3	146	3084	591	808	6714	246	73	637	193	157	19.4	9	0.06	0.24
2014	0.28	0.55	0.26	0.35	127	3211	429	847	7561	265	74	680	240	186	22	20	0.16	0.23
2015	0.35	0.55	0.31	0.35	168	3379	346	1060	8622	273	95	629	220	228	21.5	8	0.05	0.23
2016	0.26	0.53	0.27	0.28	147	3526	313	949	9574	295	77	687	195	152	16	18	0.12	0.21
2017	0.3	0.55	0.3	0.33	145	3671	266	1115	10691	315	93	707	230	225	20.2	16	0.11	0.21
2018	0.29	0.57	0.29	0.28	147	3818	166	1103	11794	292	85	733	208	250	22.7	11	0.07	0.24
2019	0.32	0.6	0.31	0.32	187	4005	194	1254	13049	292	92	734	234	275	21.9	9	0.05	0.24
2020	0.28	0.73	0.31	0.29	252	4257	133	1323	14373	334	95	794	231	347	26.2	12	0.05	0.34
2021	0.24	1.02	0.28	0.25	137	4394	38	1222	15596	439	106	878	217	235	19.2	6	0.04	0.38

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years 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	659
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	268
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	157
4	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	110
5	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	105
6	2004	Russian and American put options under exponential phase-type LÃÂ©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	104
7	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	103
8	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	99
9	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	95
10	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	94
11	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	94
12	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	90
13	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	87
14	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	74
15	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	74
16	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	72
17	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	70
18	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	68
19	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	67
20	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	64
21	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	64
22	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	63
23	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	61
24	1975	Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. (1975). Tweedie, Richard L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403. Full description at Econpapers \|\| Download paper	60
25	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	60
26	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	60
27	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	59
28	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	55
29	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	55
30	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	55
31	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	54
32	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	54
33	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	53
34	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	53
35	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	51
36	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	51
37	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	51
38	2011	Stationarity and geometric ergodicity of BEKK multivariate GARCH models. (2011). Boussama, Farid ; Stelzer, Robert ; Fuchs, Florian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:10:p:2331-2360. Full description at Econpapers \|\| Download paper	48
39	2014	Occupation times of intervals until first passage times for spectrally negative LÃÂ©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	46
40	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	46
41	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	46
42	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	46
43	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	46
44	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	45
45	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	43
46	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	43
47	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	43
48	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	41
49	2007	Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero. (2007). Zakoian, Jean-Michel ; Francq, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284. Full description at Econpapers \|\| Download paper	41
50	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	40

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	78
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	56
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	38
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	34
5	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	22
6	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	22
7	2014	Occupation times of intervals until first passage times for spectrally negative LÃÂ©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	20
8	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	19
9	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	19
10	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	19
11	2011	Stationarity and geometric ergodicity of BEKK multivariate GARCH models. (2011). Boussama, Farid ; Stelzer, Robert ; Fuchs, Florian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:10:p:2331-2360. Full description at Econpapers \|\| Download paper	18
12	2004	Russian and American put options under exponential phase-type LÃÂ©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	18
13	2019	Affine representations of fractional processes with applications in mathematical finance. (2019). Stefanovits, David ; Harms, Philipp. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:4:p:1185-1228. Full description at Econpapers \|\| Download paper	18
14	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	17
15	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	16
16	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	16
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2021	CÃ dlÃ g rough differential equations with reflecting barriers. (2021). Promel, David J ; Liu, Chong ; Allan, Andrew L. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:79-104. Full description at Econpapers \|\| Download paper
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2021	Cluster based inference for extremes of time series. (2021). Neblung, Sebastian ; Janssen, Anja ; Drees, Holger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:1-33. Full description at Econpapers \|\| Download paper
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2021	Derivatives of local times for some Gaussian fields II. (2021). Xu, Fangjun ; Hong, Minhao. In: Statistics & Probability Letters. RePEc:eee:stapro:v:172:y:2021:i:c:s0167715221000250. Full description at Econpapers \|\| Download paper
2021	On the center of mass of the elephant random walk. (2021). Laulin, Lucile ; Bercu, Bernard. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:133:y:2021:i:c:p:111-128. Full description at Econpapers \|\| Download paper
2021	Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409. Full description at Econpapers \|\| Download paper
2021	Asymptotic analysis of model selection criteria for general hidden Markov models. (2021). Singh, Sumeetpal S ; Beskos, Alexandros ; Yonekura, Shouto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:164-191. Full description at Econpapers \|\| Download paper
2021	Martingale representation in the enlargement of the filtration generated by a point process. (2021). Jeanblanc, Monique ; di Tella, Paolo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:103-121. Full description at Econpapers \|\| Download paper
2021	Optimal stopping of an Ornstein-Uhlenbeck bridge. (2021). D'Auria, Bernardo ; Azze, Abel Guada ; Portugues, Eduardo Garcia. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:33508. Full description at Econpapers \|\| Download paper
2021	A Note on Utility Indifference Pricing with Delayed Information. (2020). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:2011.05023. Full description at Econpapers \|\| Download paper
2021	On the Continuity of the Root Barrier. (2020). Bayraktar, Erhan ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.14695. Full description at Econpapers \|\| Download paper
2021	Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. (2021). Frey, Rudiger ; Colaneri, Katia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:498-507. Full description at Econpapers \|\| Download paper
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2021	Locally interacting diffusions as Markov random fields on path space. (2021). Wu, Ruoyu ; Ramanan, Kavita ; Lacker, Daniel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:140:y:2021:i:c:p:81-114. Full description at Econpapers \|\| Download paper
2021	A note on the reduction principle for the nodal length of planar random waves. (2021). Vidotto, Anna. In: Statistics & Probability Letters. RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000523. Full description at Econpapers \|\| Download paper
2021	Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems. (2021). Lemburg, Julian Peter ; Irle, Albrecht ; Christensen, Soren. In: Papers. RePEc:arx:papers:2111.13443. Full description at Econpapers \|\| Download paper
2021	Optimal stopping under model ambiguity: A time?consistent equilibrium approach. (2021). Yu, Xiang ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012. Full description at Econpapers \|\| Download paper
2021	Metastability in a continuous mean-field model at low temperature and strong interaction. (2021). Menz, G ; Bashiri, K. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:132-173. Full description at Econpapers \|\| Download paper
2021	Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kestenâs regularity. (2021). Szewczak, Zbigniew S ; Jakubowski, Adam. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:151-171. Full description at Econpapers \|\| Download paper
2021	Generalized BSDEs with random time horizon in a progressively enlarged filtration. (2021). Aksamit, Anna ; Rutkowski, Marek ; Li, Libo. In: Papers. RePEc:arx:papers:2105.06654. Full description at Econpapers \|\| Download paper
2021	American options in a non-linear incomplete market model with default. (2021). Sulem, Agnes ; Quenez, Marie-Claire ; Grigorova, Miryana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:479-512. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	Limits of random walks with distributionally robust transition probabilities. (2020). Eckstein, Stephan ; Bartl, Daniel ; Kupper, Michael. In: Papers. RePEc:arx:papers:2007.08815. Full description at Econpapers \|\| Download paper
2021	Wasserstein Perturbations of Markovian Transition Semigroups. (2021). Nendel, Max ; Kupper, Michael ; Fuhrmann, Sven. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:649. Full description at Econpapers \|\| Download paper
2021	Markov chains under nonlinear expectation. (2021). Nendel, Max. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:474-507. Full description at Econpapers \|\| Download paper
2021	Distributionally Robust Martingale Optimal Transport. (2021). Glynn, Peter W ; Blanchet, Jose ; Zhou, Zhengqing. In: Papers. RePEc:arx:papers:2106.07191. Full description at Econpapers \|\| Download paper
2021	Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814. Full description at Econpapers \|\| Download paper
2021	Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79. Full description at Econpapers \|\| Download paper
2021	Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600. Full description at Econpapers \|\| Download paper
2021	Multivariate max-stable processes and homogeneous functionals. (2021). Kume, Alfred ; Hashorva, Enkelejd. In: Statistics & Probability Letters. RePEc:eee:stapro:v:173:y:2021:i:c:s0167715221000286. Full description at Econpapers \|\| Download paper
2021	Quasi-stationary distributions for subcritical superprocesses. (2021). Sun, Zhenyao ; Song, Renming ; Ren, Yan-Xia ; Liu, Rongli. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:108-134. Full description at Econpapers \|\| Download paper
2021	The interplay of dormancy and transfer in bacterial populations: Invasion, fixation and coexistence regimes. (2021). Tbis, Andrs ; Blath, Jochen. In: Theoretical Population Biology. RePEc:eee:thpobi:v:139:y:2021:i:c:p:18-49. Full description at Econpapers \|\| Download paper
2021	Stochastic functional Kolmogorov equations, I: Persistence. (2021). Yin, George ; Nguyen, Nhu N. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:319-364. Full description at Econpapers \|\| Download paper
2021	A survey of parameter and state estimation in queues. (2021). Taylor, Peter ; Nazarathy, Yoni ; Asanjarani, Azam. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:97:y:2021:i:1:d:10.1007_s11134-021-09688-w. Full description at Econpapers \|\| Download paper
2021	A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398. Full description at Econpapers \|\| Download paper
2021	Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. (2021). Gloter, Arnaud ; Amorino, Chiara. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:1:d:10.1007_s11203-020-09227-z. Full description at Econpapers \|\| Download paper
2021	Lyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processes. (2021). Villemonais, Denis ; Champagnat, Nicolas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:135:y:2021:i:c:p:51-74. Full description at Econpapers \|\| Download paper
2021	Regularity and approximation of Gaussian random fields evolving temporally over compact two-point homogeneous spaces. (2021). White, Philip ; Porcu, Emilio ; Cleanthous, Galatia. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:30:y:2021:i:4:d:10.1007_s11749-021-00755-1. Full description at Econpapers \|\| Download paper
2021	Multidimensional Kyle-Back model with a risk averse informed trader. (2021). Ekren, Ibrahim ; Bose, Shreya. In: Papers. RePEc:arx:papers:2111.01957. Full description at Econpapers \|\| Download paper
2021	The domain of definition of the LÃ©vy white noise. (2021). Humeau, Thomas ; Fageot, Julien . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:135:y:2021:i:c:p:75-102. Full description at Econpapers \|\| Download paper
2021	A unified framework for robust modelling of financial markets in discrete time. (2021). Wiesel, Johannes ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00454-7. Full description at Econpapers \|\| Download paper
2021	Convergence of utility indifference prices to the superreplication price in a multiple?priors framework. (2021). Carassus, Laurence ; Blanchard, Romain. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:366-398. Full description at Econpapers \|\| Download paper
2021	Quasi-sure essential supremum and applications to finance. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12862. Full description at Econpapers \|\| Download paper
2021	Non-equilibrium fluctuations of the weakly asymmetric normalized binary contact path process. (2021). Zhao, Linjie ; Xue, Xiaofeng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:135:y:2021:i:c:p:227-253. Full description at Econpapers \|\| Download paper
2021	Polynomials under OrnsteinâUhlenbeck noise and an application to inference in stochastic HodgkinâHuxley systems. (2021). Hopfner, Reinhard. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:1:d:10.1007_s11203-020-09226-0. Full description at Econpapers \|\| Download paper
2021	An almost sure central limit theorem for the stochastic heat equation. (2021). Zhang, Yong ; Li, Jingyu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001115. Full description at Econpapers \|\| Download paper
2021	Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129. Full description at Econpapers \|\| Download paper
2021	Mild to classical solutions for XVA equations under stochastic volatility. (2021). Kalinin, Alexander ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2112.11808. Full description at Econpapers \|\| Download paper
2021	On inference for modes under long memory. (2021). Telkmann, Klaus ; Beran, Jan. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:429-455. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	Callable convertible bonds under liquidity constraints. (2021). Sun, Haodong ; Liang, Gechun ; Hobson, David. In: Papers. RePEc:arx:papers:2111.02554. Full description at Econpapers \|\| Download paper
2021	Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600. Full description at Econpapers \|\| Download paper
2021	Transportation cost inequality for backward stochastic differential equations with mean reflection. (2021). Li, Ruinan ; Dai, Yin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001292. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	SPHARMA approximations for stationary functional time series on the sphere. (2021). Caponera, Alessia. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09244-6. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Stability of the indirect utility process. (2020). Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:2002.09445. Full description at Econpapers \|\| Download paper
2020	Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model. (2020). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2006.15431. Full description at Econpapers \|\| Download paper
2020	Quasi?stationary Monte Carlo and the ScaLE algorithm. (2020). Johansen, Adam ; Fearnhead, Paul ; Pollock, Murray ; Roberts, Gareth O. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:82:y:2020:i:5:p:1167-1221. Full description at Econpapers \|\| Download paper
2020	A non-homogeneous Markov early epidemic growth dynamics model. Application to the SARS-CoV-2 pandemic. (2020). Moreno, Veronica ; Pena, Gabriel ; Barraza, Nestor Ruben. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306937. Full description at Econpapers \|\| Download paper
2020	Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043. Full description at Econpapers \|\| Download paper
2020	Semigroup properties of solutions of SDEs driven by LÃ©vy processes with independent coordinates. (2020). Ryznar, Micha ; Kulczycki, Tadeusz. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7185-7217. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers \|\| Download paper
2020	Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00438-z. Full description at Econpapers \|\| Download paper
2020	Optimal dividends and capital injection under dividend restrictions. (2020). Lindskog, Filip ; Lindensjo, Kristoffer. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:92:y:2020:i:3:d:10.1007_s00186-020-00720-y. Full description at Econpapers \|\| Download paper
2020	Optimal iterative threshold-kernel estimation of jump diffusion processes. (2020). Nisen, Jeffrey ; Li, Cheng ; Figueroa-Lopez, Jose E. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09211-7. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty. (2019). Christensen, Soren ; Luis , . In: Papers. RePEc:arx:papers:1907.04046. Full description at Econpapers \|\| Download paper
2019	Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972. Full description at Econpapers \|\| Download paper
2019	Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614. Full description at Econpapers \|\| Download paper
2019	The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969. Full description at Econpapers \|\| Download paper
2019	Covers universal portfolio, stochastic portfolio theory, and the numÃÂ©raire portfolio. (2019). Wong, Tingkam Leonard ; Schachermayer, Walter ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:3:p:773-803. Full description at Econpapers \|\| Download paper
2019	A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus. (2019). Toshihiro, Yamada ; Riu, Naito. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:25:y:2019:i:4:p:341-361:n:6. Full description at Econpapers \|\| Download paper
2019	What fuels the adoption of alternative fuels? Examining preferences of German car drivers for fuel innovations. (2019). Arning, Katrin ; Linzenich, Anika ; Ziefle, Martina ; Mitsos, Alexander ; Bongartz, Dominik. In: Applied Energy. RePEc:eee:appene:v:249:y:2019:i:c:p:222-236. Full description at Econpapers \|\| Download paper
2019	. Full description at Econpapers \|\| Download paper
2019	Modeling financial interval time series. (2019). Sun, Li-Hsien ; Lin, Liang-Ching. In: PLOS ONE. RePEc:plo:pone00:0211709. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Approximation of Some Multivariate Risk Measures for Gaussian Risks. (2018). Hashorva, E. In: Papers. RePEc:arx:papers:1803.06922. 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	Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. (2018). Ocejo, Adriana. In: Papers. RePEc:arx:papers:1804.08442. Full description at Econpapers \|\| Download paper
2018	Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:1809.04401. Full description at Econpapers \|\| Download paper
2018	Strong rate of convergence for the EulerâMaruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero. (2018). Kamal, Hiderah ; Mohsine, Benabdallah . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:4:p:249-262:n:2. Full description at Econpapers \|\| Download paper
2018	On optimal periodic dividend strategies for LÃÂ©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	Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Horst, Ulrich ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:129. Full description at Econpapers \|\| Download paper
2018	On the Bail-Out Optimal Dividend Problem. (2018). Yu, Xiang ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1340-3. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Stochastic Processes and their Applications / Elsevier	44	1582
2	Papers / arXiv.org	80	1230
3	Statistics & Probability Letters / Elsevier	33	454
4			371
5	Finance and Stochastics / Springer	51	205
6	Journal of Econometrics / Elsevier	220	172
7			158
8	Statistical Inference for Stochastic Processes / Springer	14	142
9	Physica A: Statistical Mechanics and its Applications / Elsevier	70	128
10	Methodology and Computing in Applied Probability / Springer	15	111
11	Insurance: Mathematics and Economics / Elsevier	52	109