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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1973 | 0 | 24 | 24 | 0 | 0 | |||||||||||||
1974 | 0 | 24 | 48 | 0 | 0 | |||||||||||||
1975 | 0 | 24 | 72 | 0 | 0 | |||||||||||||
1976 | 0 | 24 | 96 | 0 | 0 | |||||||||||||
1977 | 0 | 35 | 131 | 0 | 1 | 0 | ||||||||||||
1978 | 0 | 66 | 197 | 0 | 0 | |||||||||||||
1979 | 0 | 39 | 236 | 0 | 2 | 0 | ||||||||||||
1980 | 0 | 19 | 255 | 0 | 1 | 0 | ||||||||||||
1981 | 0 | 31 | 286 | 0 | 2 | 0 | 1 | |||||||||||
1982 | 0 | 38 | 324 | 0 | 0 | |||||||||||||
1983 | 0 | 39 | 363 | 0 | 1 | 0 | ||||||||||||
1984 | 0 | 65 | 428 | 0 | 3 | 0 | ||||||||||||
1985 | 0 | 54 | 482 | 0 | 4 | 0 | ||||||||||||
1986 | 0 | 62 | 544 | 0 | 1 | 0 | ||||||||||||
1987 | 0 | 84 | 628 | 0 | 5 | 0 | ||||||||||||
1988 | 0 | 64 | 692 | 0 | 4 | 0 | ||||||||||||
1989 | 0 | 66 | 758 | 0 | 13 | 0 | ||||||||||||
1990 | 0.01 | 0.11 | 0.01 | 0.01 | 66 | 824 | 189 | 10 | 10 | 130 | 1 | 330 | 4 | 0 | 0 | 0.05 | ||
1991 | 0.01 | 0.1 | 0.01 | 0 | 66 | 890 | 276 | 8 | 18 | 132 | 1 | 342 | 1 | 0 | 0 | 0.05 | ||
1992 | 0 | 0.11 | 0.01 | 0 | 84 | 974 | 354 | 7 | 25 | 132 | 346 | 1 | 0 | 0 | 0.05 | |||
1993 | 0.01 | 0.13 | 0.01 | 0.01 | 103 | 1077 | 335 | 12 | 37 | 150 | 1 | 346 | 3 | 0 | 0 | 0.06 | ||
1994 | 0 | 0.14 | 0.01 | 0 | 128 | 1205 | 454 | 7 | 45 | 187 | 385 | 1 | 0 | 0 | 0.07 | |||
1995 | 0.12 | 0.22 | 0.1 | 0.12 | 119 | 1324 | 531 | 128 | 173 | 231 | 27 | 447 | 52 | 78 | 60.9 | 3 | 0.03 | 0.1 |
1996 | 0.12 | 0.25 | 0.09 | 0.11 | 90 | 1414 | 374 | 128 | 301 | 247 | 30 | 500 | 54 | 53 | 41.4 | 0 | 0.12 | |
1997 | 0.14 | 0.24 | 0.12 | 0.13 | 104 | 1518 | 363 | 176 | 477 | 209 | 30 | 524 | 67 | 71 | 40.3 | 6 | 0.06 | 0.11 |
1998 | 0.1 | 0.28 | 0.11 | 0.11 | 84 | 1602 | 486 | 171 | 649 | 194 | 19 | 544 | 62 | 63 | 36.8 | 5 | 0.06 | 0.13 |
1999 | 0.14 | 0.3 | 0.13 | 0.13 | 104 | 1706 | 544 | 216 | 865 | 188 | 27 | 525 | 68 | 76 | 35.2 | 3 | 0.03 | 0.15 |
2000 | 0.11 | 0.36 | 0.12 | 0.12 | 108 | 1814 | 549 | 217 | 1082 | 188 | 21 | 501 | 62 | 74 | 34.1 | 6 | 0.06 | 0.16 |
2001 | 0.16 | 0.38 | 0.14 | 0.15 | 94 | 1908 | 374 | 265 | 1348 | 212 | 33 | 490 | 73 | 80 | 30.2 | 5 | 0.05 | 0.17 |
2002 | 0.12 | 0.41 | 0.1 | 0.12 | 73 | 1981 | 515 | 206 | 1554 | 202 | 24 | 494 | 58 | 50 | 24.3 | 1 | 0.01 | 0.21 |
2003 | 0.14 | 0.44 | 0.13 | 0.13 | 79 | 2060 | 644 | 267 | 1823 | 167 | 24 | 463 | 61 | 47 | 17.6 | 6 | 0.08 | 0.22 |
2004 | 0.23 | 0.49 | 0.14 | 0.19 | 92 | 2152 | 676 | 312 | 2135 | 152 | 35 | 458 | 87 | 75 | 24 | 7 | 0.08 | 0.22 |
2005 | 0.19 | 0.5 | 0.12 | 0.16 | 90 | 2242 | 492 | 277 | 2412 | 171 | 32 | 446 | 71 | 61 | 22 | 2 | 0.02 | 0.23 |
2006 | 0.21 | 0.5 | 0.14 | 0.21 | 95 | 2337 | 619 | 325 | 2737 | 182 | 39 | 428 | 92 | 82 | 25.2 | 9 | 0.09 | 0.22 |
2007 | 0.21 | 0.46 | 0.16 | 0.22 | 95 | 2432 | 535 | 383 | 3120 | 185 | 38 | 429 | 96 | 89 | 23.2 | 1 | 0.01 | 0.2 |
2008 | 0.31 | 0.49 | 0.2 | 0.28 | 103 | 2535 | 675 | 513 | 3635 | 190 | 58 | 451 | 128 | 92 | 17.9 | 17 | 0.17 | 0.23 |
2009 | 0.25 | 0.47 | 0.22 | 0.29 | 178 | 2713 | 1083 | 584 | 4219 | 198 | 50 | 475 | 136 | 175 | 30 | 17 | 0.1 | 0.24 |
2010 | 0.28 | 0.48 | 0.21 | 0.31 | 110 | 2823 | 580 | 583 | 4802 | 281 | 78 | 561 | 173 | 127 | 21.8 | 11 | 0.1 | 0.21 |
2011 | 0.26 | 0.52 | 0.19 | 0.28 | 127 | 2950 | 649 | 563 | 5366 | 288 | 76 | 581 | 161 | 136 | 24.2 | 7 | 0.06 | 0.24 |
2012 | 0.22 | 0.52 | 0.2 | 0.27 | 116 | 3066 | 316 | 618 | 5984 | 237 | 53 | 613 | 163 | 129 | 20.9 | 6 | 0.05 | 0.22 |
2013 | 0.3 | 0.56 | 0.25 | 0.3 | 140 | 3206 | 610 | 813 | 6800 | 243 | 73 | 634 | 193 | 148 | 18.2 | 8 | 0.06 | 0.24 |
2014 | 0.29 | 0.55 | 0.25 | 0.36 | 121 | 3327 | 457 | 845 | 7645 | 256 | 73 | 671 | 242 | 174 | 20.6 | 19 | 0.16 | 0.23 |
2015 | 0.35 | 0.55 | 0.3 | 0.35 | 162 | 3489 | 391 | 1053 | 8699 | 261 | 91 | 614 | 217 | 218 | 20.7 | 8 | 0.05 | 0.23 |
2016 | 0.27 | 0.53 | 0.26 | 0.29 | 143 | 3632 | 357 | 944 | 9646 | 283 | 76 | 666 | 195 | 147 | 15.6 | 19 | 0.13 | 0.21 |
2017 | 0.3 | 0.54 | 0.3 | 0.34 | 140 | 3772 | 300 | 1127 | 10775 | 305 | 90 | 682 | 229 | 223 | 19.8 | 17 | 0.12 | 0.22 |
2018 | 0.3 | 0.56 | 0.29 | 0.29 | 146 | 3918 | 204 | 1117 | 11892 | 283 | 84 | 706 | 205 | 245 | 21.9 | 11 | 0.08 | 0.24 |
2019 | 0.31 | 0.58 | 0.3 | 0.32 | 181 | 4099 | 260 | 1239 | 13132 | 286 | 90 | 712 | 228 | 264 | 21.3 | 8 | 0.04 | 0.23 |
2020 | 0.29 | 0.7 | 0.3 | 0.29 | 249 | 4348 | 197 | 1314 | 14447 | 327 | 95 | 772 | 226 | 335 | 25.5 | 12 | 0.05 | 0.33 |
2021 | 0.25 | 0.87 | 0.27 | 0.25 | 135 | 4483 | 81 | 1226 | 15674 | 430 | 107 | 859 | 215 | 233 | 19 | 6 | 0.04 | 0.32 |
2022 | 0.28 | 1 | 0.26 | 0.27 | 190 | 4673 | 43 | 1205 | 16879 | 384 | 108 | 851 | 230 | 283 | 23.5 | 12 | 0.06 | 0.31 |
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 |
# | 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 | 687 |
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 | 280 |
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 | 167 |
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 | 122 |
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 | 114 |
6 | 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 | 109 |
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 | 106 |
8 | 2004 | Russian and American put options under exponential phase-type Lévy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111. Full description at Econpapers || Download paper | 106 |
9 | 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 | 104 |
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 | 103 |
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 | 99 |
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 | 97 |
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 | 89 |
14 | 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 | 83 |
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 | 77 |
16 | 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 | 76 |
17 | 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 | 76 |
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 | 74 |
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 | 72 |
20 | 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 | 68 |
21 | 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 | 66 |
22 | 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 | 65 |
23 | 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 | 65 |
24 | 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 | 61 |
25 | 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 | 61 |
26 | 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 |
27 | 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 | 60 |
28 | 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 |
29 | 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 | 59 |
30 | 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 | 59 |
31 | 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 | 59 |
32 | 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 | 58 |
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 | 58 |
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 | 57 |
35 | 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 |
36 | 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 | 54 |
37 | 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 | 53 |
38 | 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 | 52 |
39 | 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 |
40 | 2014 | Occupation times of intervals until first passage times for spectrally negative Lévy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435. Full description at Econpapers || Download paper | 48 |
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 | 48 |
42 | 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 | 48 |
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 | 48 |
44 | 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 | 47 |
45 | 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 | 46 |
46 | 2010 | What happens after a default: The conditional density approach. (2010). Jeanblanc, Monique ; Jiao, Ying ; el Karoui, Nicole. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:7:p:1011-1032. Full description at Econpapers || Download paper | 46 |
47 | 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 | 46 |
48 | 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 | 45 |
49 | 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 | 44 |
50 | 2011 | Occupation times of spectrally negative Lévy processes with applications. (2011). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2629-2641. Full description at Econpapers || Download paper | 44 |
# | 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 | 68 |
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 | 47 |
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 | 37 |
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 | 27 |
5 | 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 | 23 |
6 | 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 | 21 |
7 | 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 | 21 |
8 | 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 | 19 |
9 | 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 | 18 |
10 | 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 | 18 |
11 | 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 | 17 |
12 | 2016 | Multi-dimensional backward stochastic differential equations of diagonally quadratic generators. (2016). Hu, Ying ; Tang, Shanjian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1066-1086. Full description at Econpapers || Download paper | 16 |
13 | 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 | 15 |
14 | 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 | 14 |
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2022 | The SmoluchowskiâKramers limits of stochastic differential equations with irregular coefficients. (2022). Xie, Longjie ; Yang, LI. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:91-115. Full description at Econpapers || Download paper | |
2022 | Efficient Volatility Estimation for L\evy Processes with Jumps of Unbounded Variation. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2202.00877. Full description at Econpapers || Download paper | |
2022 | Extensions of Bougerolâs identity in law and the associated anticipative path transformations. (2022). Hariya, Yuu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:146:y:2022:i:c:p:311-334. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Pricing discounted American capped options. (2022). Zaevski, Tsvetelin S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000443. Full description at Econpapers || Download paper | |
2022 | Optimal Stopping Methods for Investment Decisions: A Literature Review. (2022). Mu, Yuhao ; Liu, Zhenya. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:4:p:96-:d:941528. Full description at Econpapers || Download paper | |
2022 | Model Uncertainty: A Reverse Approach. (2022). Liebrich, Felix-Benedikt ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:2004.06636. Full description at Econpapers || Download paper | |
2022 | An infinite?dimensional affine stochastic volatility model. (2022). Khedher, Asma ; Karbach, Sven ; Cox, Sonja. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:878-906. Full description at Econpapers || Download paper | |
2022 | Affine pure-jump processes on positive HilbertâSchmidt operators. (2022). Khedher, Asma ; Karbach, Sven ; Cox, Sonja. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:191-229. Full description at Econpapers || Download paper | |
2022 | Markov-modulated affine processes. (2022). Kurt, Kevin ; Frey, Rudiger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:391-422. Full description at Econpapers || Download paper | |
2022 | Convergence of densities of spatial averages of stochastic heat equation. (2022). Nualart, David ; Kuzgun, Sefika. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:68-100. Full description at Econpapers || Download paper | |
2022 | Spatial integral of the solution to hyperbolic Anderson model with time-independent noise. (2022). Yuan, Wangjun ; Balan, Raluca M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:152:y:2022:i:c:p:177-207. Full description at Econpapers || Download paper | |
2022 | Large deviations for Markov jump processes with uniformly diminishing rates. (2022). , Robert ; Andreis, Luisa ; Agazzi, Andrea ; Michiel, D R. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:152:y:2022:i:c:p:533-559. Full description at Econpapers || Download paper | |
2022 | Quadratic G-BSDEs with convex generators and unbounded terminal conditions. (2022). Tang, Shanjian ; Wang, Falei ; Hu, Ying. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:363-390. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | On the transition times in a loss model of wireless networks. (2022). Thiran, Patrick ; Dousse, Olivier ; Durvy, Mathilde. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:100:y:2022:i:3:d:10.1007_s11134-022-09826-y. Full description at Econpapers || Download paper | |
2022 | Strong solutions of forwardâbackward stochastic differential equations with measurable coefficients. (2022). Tangpi, Ludovic ; Menoukeu-Pamen, Olivier ; Luo, Peng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:1-22. Full description at Econpapers || Download paper | |
2022 | A numerical scheme for stochastic differential equations with distributional drift. (2022). Issoglio, Elena ; Germain, Maximilien ; de Angelis, Tiziano. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:154:y:2022:i:c:p:55-90. Full description at Econpapers || Download paper | |
2022 | Well-posedness and propagation of chaos for McKeanâVlasov equations with jumps and locally Lipschitz coefficients. (2022). Erny, Xavier. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:192-214. Full description at Econpapers || Download paper | |
2022 | A Unifying Framework for Submodular Mean Field Games. (2022). Nendel, Max ; Fischer, Markus ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:661. Full description at Econpapers || Download paper | |
2022 | Statistics for Gaussian random fields with unknown location and scale using Lipschitz?Killing curvatures. (2022). Duval, Celine ; di Bernardino, Elena. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:143-184. Full description at Econpapers || Download paper | |
2022 | On Some Distributional Properties of Subordinated Gaussian Random Fields. (2022). Barth, Andrea ; Merkle, Robin. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09958-x. Full description at Econpapers || Download paper | |
2022 | Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Salmeron, Jose Antonio. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:35411. Full description at Econpapers || Download paper | |
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2022 | Markov risk mappings and risk-averse optimal stopping under ambiguity. (2020). Moriarty, John ; Martyr, Randall. In: Papers. RePEc:arx:papers:2001.06895. Full description at Econpapers || Download paper | |
2022 | An analytical study of participating policies with minimum rate guarantee and surrender option. (2022). Stabile, Gabriele ; Angelis, Tiziano ; Chiarolla, Maria B. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-022-00471-0. Full description at Econpapers || Download paper | |
2022 | Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach. (2022). Glover, Kristoffer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:919-937. Full description at Econpapers || Download paper | |
2022 | Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835. Full description at Econpapers || Download paper | |
2022 | Directed hybrid random networks mixing preferential attachment with uniform attachment mechanisms. (2022). Zhang, Panpan ; Wang, Tiandong. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:74:y:2022:i:5:d:10.1007_s10463-022-00827-5. Full description at Econpapers || Download paper | |
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2022 | Time reversal of Markov processes with jumps under a finite entropy condition. (2022). Leonard, Christian ; Conforti, Giovanni . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:85-124. Full description at Econpapers || Download paper | |
2022 | Heavy range of the randomly biased walk on GaltonâWatson trees in the slow movement regime. (2022). Chen, Xinxin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:446-509. Full description at Econpapers || Download paper | |
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2022 | Supermartingale Breniers Theorem with full-marginals constraint. (2022). Bayraktar, Erhan ; Norgilas, Dominykas ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2212.14174. Full description at Econpapers || Download paper | |
2022 | Reinforcement learning and stochastic optimisation. (2022). Jaimungal, Sebastian. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00467-2. Full description at Econpapers || Download paper | |
2022 | FokkerâPlanck equation for FeynmanâKac transform of anomalous processes. (2022). Chen, Zhen-Qing ; Zhang, Shuaiqi. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:147:y:2022:i:c:p:300-326. Full description at Econpapers || Download paper | |
2022 | A Monte-Carlo based 3-D ballistics model for guiding bat carcass surveys using environmental and turbine operational data. (2022). Markfort, Corey D ; Prakash, Shivendra. In: Ecological Modelling. RePEc:eee:ecomod:v:470:y:2022:i:c:s0304380022001399. Full description at Econpapers || Download paper | |
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2022 | Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise. (2022). Wang, Yizao ; Durieu, Olivier. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:143:y:2022:i:c:p:55-88. Full description at Econpapers || Download paper | |
2022 | Small counts in nested Karlinâs occupancy scheme generated by discrete Weibull-like distributions. (2022). Kotelnikova, Valeriya ; Iksanov, Alexander. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:283-320. Full description at Econpapers || Download paper | |
2022 | Interacting Hawkes processes with multiplicative inhibition. (2022). Pouzat, Christophe ; Luon, Eric ; Duval, Celine. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:148:y:2022:i:c:p:180-226. Full description at Econpapers || Download paper | |
2022 | Multivariate Hawkes processes on inhomogeneous random graphs. (2022). Agathe-Nerine, Zoe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:152:y:2022:i:c:p:86-148. Full description at Econpapers || Download paper | |
2022 | Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes. (2022). Bayraktar, Erhan ; Wang, Zhenhua ; Zhou, Zhou. In: Papers. RePEc:arx:papers:2201.07659. Full description at Econpapers || Download paper | |
2022 | A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. (2022). Zhou, Zhou ; Huang, Yu-Jui. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-021-00468-1. Full description at Econpapers || Download paper | |
2022 | Optimal Stopping Time on Semi-Markov Processes with Finite Horizon. (2022). Liao, Zhong-Wei ; Guo, Xianping ; Chen, Fang. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:194:y:2022:i:2:d:10.1007_s10957-022-02026-x. Full description at Econpapers || Download paper | |
2022 | A unified approach to informed trading via Monge-Kantorovich duality. (2022). Vy, LU ; Noh, Eunjung ; Ekren, Ibrahim ; Chhaibi, Reda. In: Papers. RePEc:arx:papers:2210.17384. Full description at Econpapers || Download paper | |
2022 | Coupling approach for exponential ergodicity of stochastic Hamiltonian systems with Lévy noises. (2022). Wang, Jian ; Bao, Jianhai. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:146:y:2022:i:c:p:114-142. Full description at Econpapers || Download paper | |
2022 | Strict Kantorovich contractions for Markov chains and Euler schemes with general noise. (2022). Wang, Jian ; Majka, Mateusz B ; Huang, Lu-Jing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:307-341. Full description at Econpapers || Download paper | |
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2022 | Multivariate Stochastic Volatility Models and Large Deviation Principles. (2022). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2203.09015. Full description at Econpapers || Download paper | |
2022 | Local volatility under rough volatility. (2022). Pigato, Paolo ; Friz, Peter K ; de Marco, Stefano ; Bourgey, Florian. In: Papers. RePEc:arx:papers:2204.02376. Full description at Econpapers || Download paper | |
2022 | Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103. Full description at Econpapers || Download paper | |
2022 | Long-time behavior of SSEP with slow boundary. (2022). Zhao, Linjie. In: Statistics & Probability Letters. RePEc:eee:stapro:v:185:y:2022:i:c:s0167715222000530. Full description at Econpapers || Download paper | |
2022 | Moving average Multifractional Processes with Random Exponent: Lower bounds for local oscillations. (2022). Bouly, Florent ; Ayache, Antoine. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:146:y:2022:i:c:p:143-163. Full description at Econpapers || Download paper | |
2022 | Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2218. Full description at Econpapers || Download paper | |
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2022 | Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967. Full description at Econpapers || Download paper | |
2022 | Transportation cost inequalities for SDEs with irregular drifts. (2022). Zhang, Shao-Qin ; Yuan, Chenggui ; Suo, Yongqiang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:288-311. Full description at Econpapers || Download paper | |
2022 | Weakly constrained-degree percolation on the hypercubic lattice. (2022). , Bernardo ; Hartarsky, Ivailo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:128-144. Full description at Econpapers || Download paper | |
2022 | Mean-field limits for non-linear Hawkes processes with excitation and inhibition. (2022). Pfaffelhuber, P ; Stiefel, J ; Rotter, S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:57-78. Full description at Econpapers || Download paper | |
2022 | Stability of the Weak Martingale Optimal Transport Problem. (2021). Pammer, Gudmund ; Margheriti, William ; Jourdain, Benjamin ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:2109.06322. Full description at Econpapers || Download paper | |
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2022 | Cooling down stochastic differential equations: Almost sure convergence. (2022). Kassing, Sebastian ; Dereich, Steffen. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:152:y:2022:i:c:p:289-311. Full description at Econpapers || Download paper | |
2022 | Estimating the interaction graph of stochastic neuronal dynamics by observing only pairs of neurons. (2022). Piccioni, M ; Nappo, G ; Galves, A ; de Santis, E. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:149:y:2022:i:c:p:224-247. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | What if we knew what the future brings?. (2021). , Mikl'Os ; Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:2108.04291. Full description at Econpapers || Download paper | |
2022 | Dividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes. (2022). Wu, Xueyuan ; Chen, Ping ; Wang, Yuebao. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:194:y:2022:i:3:d:10.1007_s10957-022-02057-4. Full description at Econpapers || Download paper | |
2022 | Convergence rate for a class of supercritical superprocesses. (2022). Song, Renming ; Ren, Yan-Xia ; Liu, Rongli. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:154:y:2022:i:c:p:286-327. Full description at Econpapers || Download paper | |
2022 | Constrained optimal stopping under a regime-switching model. (2022). Takenaka, Masahiko ; Arai, Takuji. In: Papers. RePEc:arx:papers:2204.07914. Full description at Econpapers || Download paper | |
2022 | Queue input estimation from discrete workload observations. (2022). Ravner, Liron. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:100:y:2022:i:3:d:10.1007_s11134-022-09778-3. Full description at Econpapers || Download paper | |
2022 | Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime. (2022). Pang, Guodong ; Li, BO. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:143:y:2022:i:c:p:285-339. Full description at Econpapers || Download paper | |
2022 | Limit theorems for a discrete-time marked Hawkes process. (2022). Wang, Haixu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000037. Full description at Econpapers || Download paper | |
2022 | Linear competition processes and generalized Pólya urns with removals. (2022). Volkov, Stanislav ; Shcherbakov, Vadim ; Popov, Serguei. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:125-152. Full description at Econpapers || Download paper | |
2022 | Unique quasi-stationary distribution, with a possibly stabilizing extinction. (2022). Velleret, Aurelien. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:148:y:2022:i:c:p:98-138. Full description at Econpapers || Download paper | |
2022 | Survival probability for super-Brownian motion with absorption. (2022). Zhu, Yaping ; Li, Zenghu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:186:y:2022:i:c:s0167715222000566. Full description at Econpapers || Download paper | |
2022 | On the stability of the stochastic gradient Langevin algorithm with dependent data stream. (2022). Tikosi, Kinga ; Rasonyi, Miklos. In: Statistics & Probability Letters. RePEc:eee:stapro:v:182:y:2022:i:c:s0167715221002789. Full description at Econpapers || Download paper | |
2022 | Some properties of solutions of Itô equations with drift in Ld+1. (2022). Krylov, N V. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:147:y:2022:i:c:p:363-387. Full description at Econpapers || Download paper | |
2022 | Uniform in time propagation of chaos for a Moran model. (2022). Corujo, Josue ; Cloez, Bertrand. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:154:y:2022:i:c:p:251-285. Full description at Econpapers || Download paper | |
2022 | The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432. Full description at Econpapers || Download paper | |
2022 | On ruin probabilities with investments in a risky asset with a regime-switching price. (2022). Pergamenshchikov, Sergey ; Kabanov, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00483-w. Full description at Econpapers || Download paper | |
2022 | From PH/MAP to ME/RAP. (2022). Bladt, Mogens ; Asmussen, Soren. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:100:y:2022:i:3:d:10.1007_s11134-022-09755-w. Full description at Econpapers || Download paper | |
2022 | Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps. (2022). Yin, George ; Wen, Zhexin ; Qian, Hongjiang. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:25:y:2022:i:1:d:10.1007_s11203-021-09267-z. Full description at Econpapers || Download paper | |
2022 | Harvesting of a Stochastic Population Under a Mixed Regular-Singular Control Formulation. (2022). Yin, George ; Tran, Ky Q. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:3:d:10.1007_s10957-022-02127-7. Full description at Econpapers || Download paper | |
2022 | Skorohod and Stratonovich integrals for controlled processes. (2022). Song, Jian ; Tindel, Samy. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:569-595. Full description at Econpapers || Download paper | |
2022 | On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. (2022). Asmussen, Soren. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00482-x. Full description at Econpapers || Download paper | |
2022 | A note on the conditional probabilities of the telegraph process. (2022). Cinque, Fabrizio. In: Statistics & Probability Letters. RePEc:eee:stapro:v:185:y:2022:i:c:s0167715222000384. Full description at Econpapers || Download paper | |
2022 | Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830. Full description at Econpapers || Download paper | |
2022 | Dynamics of a reaction-diffusion rumor propagation model with non-smooth control. (2022). Shi, Lei ; Wu, Peng ; Zhu, Linhe ; Ke, Yue. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:435:y:2022:i:c:s0096300322005525. Full description at Econpapers || Download paper | |
2022 | Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Dammann, Felix ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2202.10414. Full description at Econpapers || Download paper | |
2022 | Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Ferrari, Giorgio ; Dammann, Felix. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:663. Full description at Econpapers || Download paper | |
2022 | Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics. (2022). Colaneri, Katia ; Calvia, Alessandro ; Bandini, Elena. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:396-435. Full description at Econpapers || Download paper | |
2022 | Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise. (2022). Kim, Hyun-Jung ; Cialenco, Igor. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:143:y:2022:i:c:p:1-30. Full description at Econpapers || Download paper | |
2022 | A weak law of large numbers for realised covariation in a Hilbert space setting. (2022). , Almut ; Schroers, Dennis ; Benth, Fred Espen. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:145:y:2022:i:c:p:241-268. Full description at Econpapers || Download paper | |
2022 | The truncated EulerâMaruyama method for CIR model driven by fractional Brownian motion. (2022). Yang, Hongfu ; Wang, Yanxia ; Gao, Xiangyu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:189:y:2022:i:c:s0167715222001262. Full description at Econpapers || Download paper | |
2022 | Path decomposition of a reflected Lévy process on first passage over high levels. (2022). Griffin, Philip S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:145:y:2022:i:c:p:29-47. Full description at Econpapers || Download paper | |
2022 | Fair pricing and hedging under small perturbations of the num\eraire on a finite probability space. (2022). Pozdnyakov, Alexey ; Mostovyi, Oleksii ; Hintz, Delphine ; Busching, William. In: Papers. RePEc:arx:papers:2208.09898. Full description at Econpapers || Download paper | |
2022 | Existence of optimal controls for stochastic Volterra equations. (2022). Serrano, Rafael ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2207.05169. Full description at Econpapers || Download paper | |
2022 | Existence of optimal controls for stochastic Volterra equations. (2022). Serrano, Rafael ; Pulido, Sergio ; Cardenas, Andres. In: Working Papers. RePEc:hal:wpaper:hal-03720342. Full description at Econpapers || Download paper | |
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2022 | Volterra square-root process: Stationarity and regularity of the law. (2022). Friesen, Martin ; Jin, Peng. In: Papers. RePEc:arx:papers:2203.08677. Full description at Econpapers || Download paper | |
2022 | Variance Bounding of Delayed-Acceptance Kernels. (2022). Lee, Anthony ; Sherlock, Chris. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09914-1. Full description at Econpapers || Download paper | |
2022 | Reflected Brownian motion in the quarter plane: An equivalence based on time reversal. (2022). Harrison, Michael J. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:1189-1203. Full description at Econpapers || Download paper | |
2022 | A dual skew symmetry for transient reflected Brownian motion in an orthant. (2022). Raschel, Kilian ; Franceschi, Sandro. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:102:y:2022:i:1:d:10.1007_s11134-022-09853-9. Full description at Econpapers || Download paper | |
2022 | Vulnerable European and American Options in a Market Model with Optional Hazard Process. (2022). Rutkowski, Marek ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2212.12860. Full description at Econpapers || Download paper | |
2022 | Stationarity and uniform in time convergence for the graphon particle system. (2022). Bayraktar, Erhan ; Wu, Ruoyu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:532-568. Full description at Econpapers || Download paper | |
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2022 | Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103. Full description at Econpapers || Download paper | |
2022 | Approximate optimality and the risk/reward tradeoff in a class of bandit problems. (2022). Zhang, Guodong ; Epstein, Larry G ; Chen, Zengjing. In: Papers. RePEc:arx:papers:2210.08077. Full description at Econpapers || Download paper | |
2022 | Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835. Full description at Econpapers || Download paper | |
2022 | Robustness of Hilbert space-valued stochastic volatility models. (2022). Eyjolfsson, Heidar ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2211.16071. Full description at Econpapers || Download paper | |
2022 | Reconstructing Volatility: Pricing of Index Options under Rough Volatility. (2022). Wagenhofer, Thomas ; Friz, Peter K. In: Papers. RePEc:arx:papers:2212.07817. Full description at Econpapers || Download paper | |
2022 | Long bet will lose: demystifying seemingly fair gambling via two-armed Futurity bandit. (2022). Yan, Xiaodong ; Wang, Wei ; Liang, Huaijin ; Chen, Zengjing. In: Papers. RePEc:arx:papers:2212.11766. Full description at Econpapers || Download paper | |
2022 | Vulnerable European and American Options in a Market Model with Optional Hazard Process. (2022). Rutkowski, Marek ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2212.12860. Full description at Econpapers || Download paper | |
2022 | Distribution dependent SDEs driven by fractional Brownian motions. (2022). Yuan, Chenggui ; Suo, Yongqiang ; Huang, Xing ; Fan, Xiliang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:23-67. Full description at Econpapers || Download paper | |
2022 | On ruin probabilities with investments in a risky asset with a regime-switching price. (2022). Pergamenshchikov, Sergey ; Kabanov, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00483-w. Full description at Econpapers || Download paper | |
2022 | Harvesting of a Stochastic Population Under a Mixed Regular-Singular Control Formulation. (2022). Yin, George ; Tran, Ky Q. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:3:d:10.1007_s10957-022-02127-7. Full description at Econpapers || Download paper | |
2022 | A dual skew symmetry for transient reflected Brownian motion in an orthant. (2022). Raschel, Kilian ; Franceschi, Sandro. In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:102:y:2022:i:1:d:10.1007_s11134-022-09853-9. Full description at Econpapers || Download paper |
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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 | |
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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 |
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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 Lévy processes with independent coordinates. (2020). Ryznar, Micha ; Kulczycki, Tadeusz. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7185-7217. Full description at Econpapers || Download paper | |
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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 |
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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 numéraire portfolio. (2019). Wong, Tingkam Leonard ; Schachermayer, Walter ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:3:p:773-803. Full description at Econpapers || Download paper | |
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 | |
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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 |