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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0.01 | 0.11 | 0.15 | 0.01 | 66 | 66 | 195 | 10 | 10 | 130 | 1 | 330 | 4 | 0 | 0 | 0.05 | ||
1991 | 0.01 | 0.1 | 0.06 | 0 | 66 | 132 | 278 | 8 | 18 | 132 | 1 | 342 | 1 | 0 | 0 | 0.05 | ||
1992 | 0 | 0.11 | 0.03 | 0 | 84 | 216 | 362 | 7 | 25 | 132 | 346 | 1 | 0 | 0 | 0.06 | |||
1993 | 0.01 | 0.13 | 0.04 | 0.01 | 103 | 319 | 340 | 12 | 37 | 150 | 1 | 346 | 3 | 0 | 0 | 0.06 | ||
1994 | 0 | 0.14 | 0.02 | 0 | 128 | 447 | 463 | 6 | 44 | 187 | 385 | 1 | 0 | 0 | 0.07 | |||
1995 | 0.12 | 0.22 | 0.22 | 0.12 | 119 | 566 | 543 | 126 | 170 | 231 | 27 | 447 | 52 | 78 | 61.9 | 3 | 0.03 | 0.09 |
1996 | 0.12 | 0.25 | 0.2 | 0.11 | 90 | 656 | 385 | 128 | 298 | 247 | 30 | 500 | 54 | 53 | 41.4 | 0 | 0.12 | |
1997 | 0.14 | 0.25 | 0.23 | 0.13 | 104 | 760 | 372 | 176 | 474 | 209 | 30 | 524 | 67 | 71 | 40.3 | 6 | 0.06 | 0.11 |
1998 | 0.1 | 0.28 | 0.2 | 0.11 | 84 | 844 | 502 | 171 | 646 | 194 | 19 | 544 | 62 | 63 | 36.8 | 5 | 0.06 | 0.13 |
1999 | 0.14 | 0.31 | 0.23 | 0.13 | 104 | 948 | 554 | 215 | 861 | 188 | 27 | 525 | 68 | 76 | 35.3 | 3 | 0.03 | 0.15 |
2000 | 0.11 | 0.36 | 0.2 | 0.12 | 108 | 1056 | 566 | 216 | 1077 | 188 | 21 | 501 | 62 | 74 | 34.3 | 6 | 0.06 | 0.16 |
2001 | 0.16 | 0.39 | 0.23 | 0.15 | 94 | 1150 | 384 | 265 | 1343 | 212 | 33 | 490 | 73 | 80 | 30.2 | 5 | 0.05 | 0.17 |
2002 | 0.12 | 0.41 | 0.17 | 0.12 | 73 | 1223 | 532 | 206 | 1549 | 202 | 24 | 494 | 58 | 50 | 24.3 | 1 | 0.01 | 0.21 |
2003 | 0.14 | 0.44 | 0.21 | 0.13 | 79 | 1302 | 668 | 265 | 1816 | 167 | 24 | 463 | 60 | 47 | 17.7 | 6 | 0.08 | 0.22 |
2004 | 0.23 | 0.5 | 0.22 | 0.19 | 92 | 1394 | 690 | 310 | 2126 | 152 | 35 | 458 | 87 | 75 | 24.2 | 7 | 0.08 | 0.22 |
2005 | 0.19 | 0.51 | 0.19 | 0.16 | 90 | 1484 | 507 | 276 | 2402 | 171 | 33 | 446 | 72 | 61 | 22.1 | 2 | 0.02 | 0.24 |
2006 | 0.21 | 0.51 | 0.21 | 0.21 | 95 | 1579 | 638 | 325 | 2727 | 182 | 39 | 428 | 92 | 82 | 25.2 | 9 | 0.09 | 0.23 |
2007 | 0.21 | 0.46 | 0.23 | 0.22 | 95 | 1674 | 554 | 382 | 3109 | 185 | 38 | 429 | 96 | 89 | 23.3 | 1 | 0.01 | 0.2 |
2008 | 0.31 | 0.49 | 0.29 | 0.28 | 103 | 1777 | 705 | 507 | 3618 | 190 | 58 | 451 | 128 | 92 | 18.1 | 17 | 0.17 | 0.23 |
2009 | 0.24 | 0.48 | 0.29 | 0.27 | 178 | 1955 | 1118 | 566 | 4184 | 198 | 47 | 475 | 129 | 175 | 30.9 | 17 | 0.1 | 0.24 |
2010 | 0.28 | 0.49 | 0.28 | 0.31 | 110 | 2065 | 603 | 577 | 4761 | 281 | 79 | 561 | 172 | 127 | 22 | 11 | 0.1 | 0.21 |
2011 | 0.26 | 0.52 | 0.26 | 0.28 | 127 | 2192 | 670 | 565 | 5327 | 288 | 76 | 581 | 162 | 136 | 24.1 | 7 | 0.06 | 0.24 |
2012 | 0.22 | 0.52 | 0.27 | 0.27 | 116 | 2308 | 328 | 619 | 5946 | 237 | 53 | 613 | 163 | 129 | 20.8 | 6 | 0.05 | 0.22 |
2013 | 0.31 | 0.56 | 0.33 | 0.31 | 140 | 2448 | 637 | 813 | 6762 | 243 | 75 | 634 | 196 | 148 | 18.2 | 8 | 0.06 | 0.24 |
2014 | 0.29 | 0.55 | 0.33 | 0.36 | 121 | 2569 | 481 | 846 | 7608 | 256 | 73 | 671 | 242 | 174 | 20.6 | 19 | 0.16 | 0.23 |
2015 | 0.35 | 0.55 | 0.39 | 0.35 | 162 | 2731 | 415 | 1052 | 8661 | 261 | 91 | 614 | 217 | 218 | 20.7 | 8 | 0.05 | 0.23 |
2016 | 0.27 | 0.53 | 0.33 | 0.29 | 143 | 2874 | 379 | 944 | 9608 | 283 | 76 | 666 | 195 | 147 | 15.6 | 19 | 0.13 | 0.21 |
2017 | 0.3 | 0.54 | 0.37 | 0.34 | 140 | 3014 | 325 | 1126 | 10736 | 305 | 90 | 682 | 229 | 223 | 19.8 | 17 | 0.12 | 0.22 |
2018 | 0.3 | 0.55 | 0.35 | 0.29 | 146 | 3160 | 226 | 1114 | 11850 | 283 | 84 | 706 | 204 | 245 | 22 | 11 | 0.08 | 0.24 |
2019 | 0.31 | 0.57 | 0.37 | 0.32 | 181 | 3341 | 293 | 1237 | 13088 | 286 | 90 | 712 | 227 | 264 | 21.3 | 8 | 0.04 | 0.23 |
2020 | 0.28 | 0.68 | 0.36 | 0.29 | 249 | 3590 | 234 | 1301 | 14390 | 327 | 93 | 772 | 224 | 335 | 25.7 | 11 | 0.04 | 0.32 |
2021 | 0.24 | 0.81 | 0.32 | 0.24 | 135 | 3725 | 109 | 1190 | 15581 | 430 | 102 | 859 | 209 | 233 | 19.6 | 5 | 0.04 | 0.3 |
2022 | 0.27 | 0.86 | 0.29 | 0.26 | 190 | 3915 | 69 | 1148 | 16729 | 384 | 103 | 851 | 218 | 283 | 24.7 | 9 | 0.05 | 0.26 |
2023 | 0.23 | 0.92 | 0.25 | 0.22 | 172 | 4087 | 20 | 1034 | 17763 | 325 | 76 | 901 | 197 | 299 | 28.9 | 8 | 0.05 | 0.27 |
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 | 293 |
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 | 172 |
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 | 128 |
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 | 118 |
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 | 115 |
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 | 108 |
8 | 1983 | A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316. Full description at Econpapers || Download paper | 107 |
9 | 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 | 107 |
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 | 105 |
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 | 100 |
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 | 100 |
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 | 90 |
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 | 89 |
15 | 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 | 80 |
16 | 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 | 79 |
17 | 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 |
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 | 73 |
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 | 72 |
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 | 67 |
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 | 66 |
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 | 66 |
24 | 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 | 63 |
25 | 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 | 63 |
26 | 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 |
27 | 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 | 61 |
28 | 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 |
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 | 60 |
30 | 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 |
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 | 60 |
32 | 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 | 59 |
33 | 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 |
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 | 58 |
35 | 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 | 56 |
36 | 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 |
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 | 54 |
38 | 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 | 53 |
39 | 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 |
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 | 49 |
41 | 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 | 49 |
42 | 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 |
43 | 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 |
44 | 2007 | A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812. Full description at Econpapers || Download paper | 48 |
45 | 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 |
46 | 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 | 47 |
47 | 1999 | Stability of stochastic differential equations with Markovian switching. (1999). Mao, Xuerong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:79:y:1999:i:1:p:45-67. Full description at Econpapers || Download paper | 46 |
48 | 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 |
49 | 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 |
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 | 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 | 38 |
2 | 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 | 34 |
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 | 29 |
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 | 20 |
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 | 18 |
6 | 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 | 17 |
7 | 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 | 17 |
8 | 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 | 16 |
9 | 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 | 13 |
10 | 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 | 12 |
11 | 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 | 12 |
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 | 12 |
13 | 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 | 12 |
14 | 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 | 12 |
15 | 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 | 12 |
16 | 2006 | Necessary 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. Full description at Econpapers || Download paper | 12 |
17 | 2018 | Distribution dependent SDEs for Landau type equations. (2018). Wang, Feng-Yu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:2:p:595-621. Full description at Econpapers || Download paper | 11 |
18 | 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 | 10 |
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2023 | Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs. (2023). Tang, Shanjian ; Hu, Ying ; Fan, Sheng Jun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:157:y:2023:i:c:p:335-375. Full description at Econpapers || Download paper | |
2023 | ||
2023 | Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients. (2023). Zhao, Weidong ; Cui, Fengfeng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002310. Full description at Econpapers || Download paper | |
2023 | On the optimality of the refractionâreflection strategies for Lévy processes. (2023). Noba, Kei. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:174-217. Full description at Econpapers || Download paper | |
2023 | Subcritical superprocesses conditioned on non-extinction. (2023). Sun, Zhenyao ; Song, Renming ; Ren, Yan-Xia ; Liu, Rongli. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:498-534. Full description at Econpapers || Download paper | |
2023 | The LAN property for McKeanâVlasov models in a mean-field regime. (2023). Hoffmann, Marc ; della Maestra, Laetitia. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:109-146. Full description at Econpapers || Download paper | |
2023 | A stochastic maximum principle for partially observed general mean-field control problems with only weak solution. (2023). Mi, Chao ; Liang, Hao. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:165:y:2023:i:c:p:397-439. Full description at Econpapers || Download paper | |
2023 | Solvability and trajectory controllability of impulsive stochastic MHD equations with Rosenblatt process. (2023). Chalishajar, D N ; Djemai, Mohamed ; Durga, N. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:175:y:2023:i:p1:s0960077923009141. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Poisson distributions in stochastic dynamics of gene expression: What events do they count?. (2023). Lee, Julian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123007562. Full description at Econpapers || Download paper | |
2023 | On the meeting of random walks on random DFA. (2023). Sau, Federico ; Quattropani, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:166:y:2023:i:c:s0304414923001898. Full description at Econpapers || Download paper | |
2023 | Asymptotics for pull on the complete graph. (2023). Reisser, Simon ; Panagiotou, Konstantinos. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:541-563. Full description at Econpapers || Download paper | |
2023 | Large deviation principles for renewalâreward processes. (2023). Zamparo, Marco. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:156:y:2023:i:c:p:226-245. Full description at Econpapers || Download paper | |
2023 | Asymptotic deviation bounds for cumulative processes. (2023). Costa, Manon ; Colombani, Laetitia ; Cattiaux, Patrick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:85-105. Full description at Econpapers || Download paper | |
2023 | Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model. (2023). Bianchi, Sergio ; Angelini, Daniele. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004514. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Moderate deviations of hitting times of a family of density-dependent Markov chains. (2023). Xue, Xiaofeng ; He, Yuheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s0167715223000044. Full description at Econpapers || Download paper | |
2023 | Pathwise regularisation of singular interacting particle systems and their mean field limits. (2023). Mayorcas, Avi ; Harang, Fabian A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:499-540. Full description at Econpapers || Download paper | |
2023 | Rough volatility, path-dependent PDEs and weak rates of convergence. (2023). Pannier, Alexandre ; Jacquier, Antoine ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2304.03042. Full description at Econpapers || Download paper | |
2023 | From elephant to goldfish (and back): memory in stochastic Volterra processes. (2023). Pages, Gilles ; Grasselli, Martino ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2306.02708. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Stable sums to infer high return levels of multivariate rainfall time series. (2023). Naveau, Philippe ; Buritica, Gloria. In: Environmetrics. RePEc:wly:envmet:v:34:y:2023:i:4:n:e2782. Full description at Econpapers || Download paper | |
2023 | Stationary distribution and extinction of a LotkaâVolterra model with distribute delay and nonlinear stochastic perturbations. (2023). Fu, Xianlong ; Cao, Nan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:169:y:2023:i:c:s0960077923001479. Full description at Econpapers || Download paper | |
2023 | Cubature Method for Stochastic Volterra Integral Equations. (2021). Zhang, Jianfeng ; Feng, QI. In: Papers. RePEc:arx:papers:2110.12853. Full description at Econpapers || Download paper | |
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2023 | Parameter estimation of discretely observed interacting particle systems. (2023). Podolskij, Mark ; Pilipauskait, Vytaut ; Heidari, Akram ; Amorino, Chiara. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:350-386. Full description at Econpapers || Download paper | |
2023 | Random motions in R3 with orthogonal directions. (2023). Orsingher, Enzo ; Cinque, Fabrizio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:173-200. Full description at Econpapers || Download paper | |
2023 | Maximum Principle for Stochastic Control of SDEs with Measurable Drifts. (2023). Tangpi, Ludovic ; Menoukeu-Pamen, Olivier. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:197:y:2023:i:3:d:10.1007_s10957-023-02209-0. Full description at Econpapers || Download paper | |
2023 | Fluctuations and precise deviations of cumulative INAR time series. (2023). Torrisi, Giovanni Luca ; Kirchner, Matthias. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:1-32. Full description at Econpapers || Download paper | |
2023 | Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus. (2023). Trevisan, Dario ; Mattesini, Francesco ; Huesmann, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:1-26. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
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2023 | Perturbations of singular fractional SDEs. (2023). Mdry, Ukasz ; Gassiat, Paul. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:137-172. Full description at Econpapers || Download paper | |
2023 | Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions. (2023). Yuan, Chenggui ; Fan, Xiliang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:383-415. Full description at Econpapers || Download paper | |
2023 | Separating Times for One-Dimensional Diffusions. (2022). Urusov, Mikhail ; Criens, David. In: Papers. RePEc:arx:papers:2211.06042. Full description at Econpapers || Download paper | |
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2023 | Global-in-time probabilistically strong solutions to stochastic power-law equations: Existence and non-uniqueness. (2023). Zhu, Xiangchan ; Lu, Huaxiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:62-98. Full description at Econpapers || Download paper | |
2023 | Statistical test for an urn model with random multidrawing and random addition. (2023). Minelli, Ida G ; Louis, Pierre-Yves ; Crimaldi, Irene. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:158:y:2023:i:c:p:342-360. Full description at Econpapers || Download paper | |
2023 | Large population limits of Markov processes on random networks. (2023). Koltai, Peter ; Heitzig, Jobst ; Lucke, Marvin ; Winkelmann, Stefanie ; Molkenthin, Nora. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:166:y:2023:i:c:s0304414923001849. Full description at Econpapers || Download paper | |
2023 | Dirichlet eigenvalues and exit time moments for symmetric Markov processes. (2023). Wang, Tao ; Huang, Lu-Jing. In: Statistics & Probability Letters. RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002176. Full description at Econpapers || Download paper | |
2023 | 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 | |
2023 | Reconstructing volatility: Pricing of index options under rough volatility. (2023). Wagenhofer, Thomas ; Friz, Peter K. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:19-40. Full description at Econpapers || Download paper | |
2023 | An optimal sequential procedure for determining the drift of a Brownian motion among three values. (2023). Buonaguidi, B. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:320-349. Full description at Econpapers || Download paper | |
2023 | Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises. (2023). Wang, XU ; Huang, Chuying. In: Statistics & Probability Letters. RePEc:eee:stapro:v:194:y:2023:i:c:s0167715222002553. Full description at Econpapers || Download paper | |
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2023 | Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). (2023). Tzouanas, Ioannis ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:681. Full description at Econpapers || Download paper | |
2023 | A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. (2023). Ferrari, Giorgio ; Basei, Matteo ; Ren'e Aid, . In: Papers. RePEc:arx:papers:2305.00541. Full description at Econpapers || Download paper | |
2023 | A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. (2023). Ferrari, Giorgio ; Basei, Matteo ; Aid, Rene. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:679. Full description at Econpapers || Download paper | |
2023 | Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047. Full description at Econpapers || Download paper | |
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2023 | . Full description at Econpapers || Download paper | |
2023 | 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 | |
2023 | A central limit theorem, loss aversion and multi-armed bandits. (2023). Epstein, Larry ; Zhang, Guodong ; Chen, Zengjing. In: Journal of Economic Theory. RePEc:eee:jetheo:v:209:y:2023:i:c:s0022053123000418. Full description at Econpapers || Download paper | |
2023 | Transportation-cost inequalities for non-linear Gaussian functionals. (2023). Jacquier, Antoine ; Gasteratos, Ioannis. In: Papers. RePEc:arx:papers:2310.05750. Full description at Econpapers || Download paper | |
2023 | Hydrodynamics of a class of N-urn linear systems. (2023). Xue, Xiaofeng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:156:y:2023:i:c:p:69-100. Full description at Econpapers || Download paper | |
2023 | Gradient-Based Simulation Optimization Algorithms via Multi-Resolution System Approximations. (2023). Zheng, Zeyu ; Xu, Jingxu. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:35:y:2023:i:3:p:633-651. Full description at Econpapers || Download paper | |
2023 | Large deviations for interacting multiscale particle systems. (2023). Spiliopoulos, K ; Bezemek, Z W. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:27-108. Full description at Econpapers || Download paper | |
2023 | Convergence of Infintesimal Generators and Stability of Convex Montone Semigroups. (2023). Nendel, Max ; Kupper, Michael ; Blessing, Jonas. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:680. Full description at Econpapers || Download paper | |
2023 | On the averaging principle for stochastic differential equations driven by G-Lévy process. (2023). Yang, Zhiyan ; Wang, Bingjun ; Yuan, Mingxia. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s0167715223000135. Full description at Econpapers || Download paper | |
2023 | Global linear convergence of evolution strategies with recombination on scaling-invariant functions. (2023). Hansen, Nikolaus ; Auger, Anne ; Toure, Cheikh. In: Journal of Global Optimization. RePEc:spr:jglopt:v:86:y:2023:i:1:d:10.1007_s10898-022-01249-6. Full description at Econpapers || Download paper | |
2023 | Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments. (2023). Promyslov, Platon ; Kabanov, Yuri. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00513-1. Full description at Econpapers || Download paper | |
2023 | Local repulsion of planar Gaussian critical points. (2023). Lachieze-Rey, Raphael ; Ladgham, Safa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:166:y:2023:i:c:s0304414923001850. Full description at Econpapers || Download paper | |
2023 | Asymptotics for exponential functionals of random walks. (2023). Xu, Wei. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:165:y:2023:i:c:p:1-42. Full description at Econpapers || Download paper | |
2023 | Convergence of the temporal averages of a metastable system of spiking neurons. (2023). Andre, Morgan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:157:y:2023:i:c:p:42-68. Full description at Econpapers || Download paper | |
2023 | Singular value distribution of dense random matrices with block Markovian dependence. (2023). van Werde, Alexander ; Sanders, Jaron. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:158:y:2023:i:c:p:453-504. Full description at Econpapers || Download paper | |
2023 | CLT for approximating ergodic limit of SPDEs via a full discretization. (2023). Zhou, Tau ; Hong, Jialin ; Dang, Tonghe ; Chen, Chuchu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:157:y:2023:i:c:p:1-41. Full description at Econpapers || Download paper | |
2023 | SPDE bridges with observation noise and their spatial approximation. (2023). Petersson, Andreas ; Ortizlatorre, Salvador ; di Nunno, Giulia. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:158:y:2023:i:c:p:170-207. Full description at Econpapers || Download paper | |
2023 | Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models. (2023). , Andrzej ; Federico, Salvatore ; de Feo, Filippo. In: Papers. RePEc:arx:papers:2302.08809. Full description at Econpapers || Download paper | |
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2023 | HJB Equations and Stochastic Control on Half-Spaces of Hilbert Spaces. (2023). Priola, Enrico ; Gozzi, Fausto ; Cappa, Gianluca ; Calvia, Alessandro. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:2:d:10.1007_s10957-023-02208-1. Full description at Econpapers || Download paper | |
2023 | Graphon particle system: Uniform-in-time concentration bounds. (2023). Bayraktar, Erhan ; Wu, Ruoyu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:156:y:2023:i:c:p:196-225. Full description at Econpapers || Download paper | |
2023 | Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models. (2023). Marie, Nicolas. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00493-8. Full description at Econpapers || Download paper | |
2023 | Nonparametric drift estimation from diffusions with correlated Brownian motions. (2023). Marie, Nicolas ; Comte, Fabienne. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:198:y:2023:i:c:s0047259x23000684. Full description at Econpapers || Download paper | |
2023 | Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers || Download paper | |
2023 | Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81. Full description at Econpapers || Download paper |
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2023 | Nash equilibria for dividend distribution with competition. (2023). Gensbittel, Fabien ; de Angelis, Tiziano ; Villeneuve, St'Ephane. In: Papers. RePEc:arx:papers:2312.07703. Full description at Econpapers || Download paper | |
2023 | Driven and non-driven surface chaos in spin-glass sponges. (2023). Artun, Can E ; Pekta, Yiit Erta ; Berker, Nihat A. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:176:y:2023:i:c:s0960077923010615. Full description at Econpapers || Download paper | |
2023 | Global AshkinâTeller phase diagrams in two and three dimensions: Multicritical bifurcation versus double tricriticalityâendpoint. (2023). Berker, Nihat A ; Keolu, Ibrahim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008038. Full description at Econpapers || Download paper | |
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2023 | Parameter estimation of discretely observed interacting particle systems. (2023). Podolskij, Mark ; Pilipauskait, Vytaut ; Heidari, Akram ; Amorino, Chiara. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:350-386. Full description at Econpapers || Download paper | |
2023 | Asymptotic deviation bounds for cumulative processes. (2023). Costa, Manon ; Colombani, Laetitia ; Cattiaux, Patrick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:85-105. Full description at Econpapers || Download paper | |
2023 | Uniqueness of first passage time distributions via Fredholm integral equations. (2023). Hallmann, Oskar ; Fischer, Simon ; Christensen, Soren. In: Statistics & Probability Letters. RePEc:eee:stapro:v:203:y:2023:i:c:s0167715223001360. Full description at Econpapers || Download paper | |
2023 | Nash equilibria for dividend distribution with competition. (2023). Villeneuve, Stephane ; Gensbittel, Fabien ; de Angelis, Tiziano. In: TSE Working Papers. RePEc:tse:wpaper:128772. Full description at Econpapers || Download paper |
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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 | Large deviations for fractional volatility models with non-Gaussian volatility driver. (2021). Gulisashvili, Archil ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:580-600. Full description at Econpapers || Download paper | |
2021 | Transportation cost inequality for backward stochastic differential equations with mean reflection. (2021). Li, Ruinan ; Dai, Yin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001292. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | SPHARMA approximations for stationary functional time series on the sphere. (2021). Caponera, Alessia. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09244-6. Full description at Econpapers || Download paper |
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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 | 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 |