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Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
46
Impact Factor (IF)
0.28
5 Years IF
0.27
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
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
50 most cited documents in this series
#YearTitleCited
11981Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260.

Full description at Econpapers || Download paper

687
22009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

280
32004Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

167
42008Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559.

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122
52004Discrete-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
62002Environmental 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
71999A 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
82004Russian and American put options under exponential phase-type Lévy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111.

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106
91983A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316.

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104
102006Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806.

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103
112002Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115.

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99
122003On 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
131991Option 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
142008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253.

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83
151998Additional 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
161998Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97.

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76
172000Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120.

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76
182003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325.

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74
191985Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303.

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72
201996On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168.

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68
211992Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143.

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66
221996Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101.

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65
231998Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172.

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65
241989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes. (1989). de Vries, Casper ; Resnick, Sidney I. ; de Haan, Laurens ; Rootzen, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224.

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61
252011Martingale representation theorem for the G-expectation. (2011). Zhang, Jianfeng ; Touzi, Nizar ; Soner, Mete H.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:265-287.

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61
261975Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. (1975). Tweedie, Richard L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403.

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60
271992M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180.

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60
282011Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844.

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60
291994Subexponentiality of the product of independent random variables. (1994). Cline, D. B. H., ; Samorodnitsky, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:1:p:75-98.

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59
301995Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273.

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59
312011Stationarity 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.

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59
321975Importance of system components and fault tree events. (1975). Proschan, Frank ; Barlow, Richard E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:2:p:153-173.

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58
332003Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129.

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58
342005Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177.

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57
351990Nonparametric regression with long-range dependence. (1990). HART, Jeffrey D. ; Hall, Peter. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351.

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55
362008Solvability of backward stochastic differential equations with quadratic growth. (2008). Tevzadze, Revaz . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:3:p:503-515.

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54
371995On pathwise stochastic integration. (1995). Karandikar, Rajeeva L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:57:y:1995:i:1:p:11-18.

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53
381994Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms. (1994). Roberts, G. O. ; Smith, A. F. M., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216.

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52
391993Risk theory in a stochastic economic environment. (1993). Paulsen, Jostein . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361.

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51
402014Occupation times of intervals until first passage times for spectrally negative Lévy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435.

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48
412000Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48.

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48
422002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286.

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48
432013Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499.

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48
442007Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662.

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47
452007A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812.

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46
462010What 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.

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46
472013Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121.

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46
482006Backward stochastic differential equations with jumps and related non-linear expectations. (2006). Royer, Manuela . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:10:p:1358-1376.

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45
492009Time consistent dynamic risk processes. (2009). Bion-Nadal, Jocelyne . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:2:p:633-654.

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44
502011Occupation times of spectrally negative Lévy processes with applications. (2011). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2629-2641.

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44
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11981Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260.

Full description at Econpapers || Download paper

68
22009Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

Full description at Econpapers || Download paper

47
32002Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110.

Full description at Econpapers || Download paper

37
42004Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200.

Full description at Econpapers || Download paper

27
52008Multi-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
62011Stationarity 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
72019Affine 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
81998Additional 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
91996On 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
102004Discrete-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
112008Solvability 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
122016Multi-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.

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16
132013Some 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
141999A 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
152002Regular 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

14
162014Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion. (2014). Hu, Mingshang ; Song, Yongsheng ; Peng, Shige ; Ji, Shaolin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:2:p:1170-1195.

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14
172003On 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

14
182009Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion. (2009). Gao, Fuqing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3356-3382.

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14
192003Precise 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

13
202013Constructing 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

13
212004Russian 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

12
221998Optimal 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

12
231991Option hedging for semimartingales. (1991). Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363.

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12
242008Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559.

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252017Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839.

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262009Regularly varying multivariate time series. (2009). Basrak, Bojan ; Segers, Johan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:4:p:1055-1080.

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272006Portfolio selection under incomplete information. (2006). Brendle, Simon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:701-723.

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281983A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316.

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292006Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. (2006). Peng, Shige ; Zhu, Xuehong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:3:p:370-380.

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302003Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129.

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312014Backward stochastic differential equations driven by G-Brownian motion. (2014). Hu, Mingshang ; Song, Yongsheng ; Peng, Shige ; Ji, Shaolin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:759-784.

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10
322015Robust superhedging with jumps and diffusion. (2015). Nutz, Marcel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:12:p:4543-4555.

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332008Weakly dependent chains with infinite memory. (2008). Wintenberger, Olivier ; Doukhan, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:11:p:1997-2013.

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341992M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180.

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352016Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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361978Strong approximation theorems for density dependent Markov chains. (1978). Kurtz, Thomas G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:6:y:1978:i:3:p:223-240.

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372013A simple constructive approach to quadratic BSDEs with or without delay. (2013). Briand, Philippe ; Elie, Romuald. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:2921-2939.

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382011Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844.

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392019Polynomial processes in stochastic portfolio theory. (2019). Cuchiero, Christa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1829-1872.

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401995Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273.

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412007Quasi-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.

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422014Occupation times of intervals until first passage times for spectrally negative Lévy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435.

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432018Smooth solutions to portfolio liquidation problems under price-sensitive market impact. (2018). Graewe, Paulwin ; Sere, Eric ; Horst, Ulrich. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:979-1006.

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442008Local times of ranked continuous semimartingales. (2008). Banner, Adrian D. ; Ghomrasni, Raouf . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:7:p:1244-1253.

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452016Averaging along irregular curves and regularisation of ODEs. (2016). Gubinelli, M ; Catellier, R. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:8:p:2323-2366.

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462009Mean-field backward stochastic differential equations and related partial differential equations. (2009). Li, Juan ; Peng, Shige ; Buckdahn, Rainer . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3133-3154.

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472000Martingale representation theorems for initially enlarged filtrations. (2000). Amendinger, Jurgen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:101-116.

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482011Martingale representation theorem for the G-expectation. (2011). Zhang, Jianfeng ; Touzi, Nizar ; Soner, Mete H.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:265-287.

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492005Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177.

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502016Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings. (2016). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:12:p:3632-3651.

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2022Some 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.

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2022Uniform 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.

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2022The 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.

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2022On 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.

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2022From 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.

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2022Numerical 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.

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2022Harvesting 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.

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2022Skorohod 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.

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2022On 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.

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2022A 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.

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2022Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

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2022Dynamics 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.

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2022Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Dammann, Felix ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2202.10414.

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2022Optimal 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.

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2022Stochastic 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.

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2022Parameter 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.

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2022A 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.

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2022The truncated Euler–Maruyama 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.

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2022Path 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.

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2022Fair 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.

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2022Existence of optimal controls for stochastic Volterra equations. (2022). Serrano, Rafael ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2207.05169.

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2022Existence of optimal controls for stochastic Volterra equations. (2022). Serrano, Rafael ; Pulido, Sergio ; Cardenas, Andres. In: Working Papers. RePEc:hal:wpaper:hal-03720342.

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2022Volterra square-root process: Stationarity and regularity of the law. (2022). Friesen, Martin ; Jin, Peng. In: Papers. RePEc:arx:papers:2203.08677.

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2022Variance 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.

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2022Reflected 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.

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2022A 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.

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2022Vulnerable European and American Options in a Market Model with Optional Hazard Process. (2022). Rutkowski, Marek ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2212.12860.

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2022Stationarity 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.

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Recent citations received in 2022

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2022Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103.

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2022Approximate 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.

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2022Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

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2022Robustness of Hilbert space-valued stochastic volatility models. (2022). Eyjolfsson, Heidar ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2211.16071.

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2022Reconstructing Volatility: Pricing of Index Options under Rough Volatility. (2022). Wagenhofer, Thomas ; Friz, Peter K. In: Papers. RePEc:arx:papers:2212.07817.

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2022Long 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.

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2022Vulnerable European and American Options in a Market Model with Optional Hazard Process. (2022). Rutkowski, Marek ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2212.12860.

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2022Distribution 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.

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2022On 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.

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2022Harvesting 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.

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2022A 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.

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2021Callable convertible bonds under liquidity constraints. (2021). Sun, Haodong ; Liang, Gechun ; Hobson, David. In: Papers. RePEc:arx:papers:2111.02554.

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2021Large 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.

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2021Transportation 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.

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2021SPHARMA 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.

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2020Stability of the indirect utility process. (2020). Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:2002.09445.

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2020Large 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.

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2020Quasi?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.

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2020A 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.

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2020Pricing 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.

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2020Semigroup 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.

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2020Adapted 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.

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2020Optimal 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.

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2020Optimal 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.

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2020Optimal 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.

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Recent citations received in 2019

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2019A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty. (2019). Christensen, Soren ; Luis , . In: Papers. RePEc:arx:papers:1907.04046.

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2019Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972.

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2019Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Covers 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.

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2019A 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.

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2019Modeling financial interval time series. (2019). Sun, Li-Hsien ; Lin, Liang-Ching. In: PLOS ONE. RePEc:plo:pone00:0211709.

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