Citation analysis for Stochastic Processes and their Applications / Elsevier

Citation Profile [Updated: 2024-12-09 13:41:37]

5 Years H Index

Impact Factor (IF)

0.24

5 Years IF

0.22

Data available in this report

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

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.01	0.11	0.15	0.01	66	66	196	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	342	12	37	150	1	346	3		0		0	0.06
1994	0	0.14	0.02	0	128	447	464	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	386	128	298	247	30	500	54	53	41.4		0	0.12
1997	0.14	0.25	0.23	0.13	104	760	373	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	559	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	386	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	539	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	672	266	1817	167	24	463	60	47	17.7	6	0.08	0.22
2004	0.23	0.5	0.22	0.19	92	1394	692	310	2127	152	35	458	87	75	24.2	7	0.08	0.22
2005	0.19	0.51	0.19	0.16	90	1484	511	276	2403	171	33	446	72	61	22.1	2	0.02	0.24
2006	0.21	0.51	0.21	0.21	95	1579	643	325	2728	182	39	428	92	82	25.2	9	0.09	0.23
2007	0.21	0.47	0.23	0.22	95	1674	559	382	3110	185	38	429	96	89	23.3	1	0.01	0.2
2008	0.31	0.49	0.29	0.28	103	1777	708	509	3621	190	58	451	128	92	18.1	17	0.17	0.23
2009	0.24	0.48	0.29	0.27	178	1955	1122	565	4186	198	47	475	129	175	31	17	0.1	0.24
2010	0.28	0.49	0.28	0.31	110	2065	605	578	4764	281	79	561	172	127	22	11	0.1	0.21
2011	0.26	0.52	0.26	0.28	127	2192	674	565	5330	288	76	581	162	136	24.1	7	0.06	0.24
2012	0.22	0.52	0.27	0.27	117	2309	334	620	5950	237	53	613	163	130	21	6	0.05	0.22
2013	0.31	0.56	0.34	0.31	143	2452	645	819	6772	244	75	635	196	151	18.4	8	0.06	0.24
2014	0.28	0.55	0.33	0.36	122	2574	487	849	7621	260	73	675	243	177	20.8	20	0.16	0.23
2015	0.35	0.55	0.39	0.35	164	2738	426	1056	8678	265	93	619	218	220	20.8	8	0.05	0.23
2016	0.27	0.53	0.33	0.29	143	2881	381	944	9625	286	76	673	195	147	15.6	19	0.13	0.21
2017	0.29	0.54	0.37	0.33	141	3022	330	1126	10753	307	90	689	229	223	19.8	17	0.12	0.22
2018	0.3	0.55	0.35	0.29	147	3169	230	1115	11868	284	84	713	204	246	22.1	11	0.07	0.23
2019	0.32	0.57	0.37	0.32	184	3353	300	1243	13112	288	91	717	229	270	21.7	8	0.04	0.23
2020	0.28	0.68	0.36	0.29	249	3602	245	1306	14419	331	93	779	225	338	25.9	11	0.04	0.32
2021	0.24	0.8	0.32	0.24	135	3737	113	1196	15616	433	103	864	210	234	19.6	5	0.04	0.29
2022	0.27	0.84	0.29	0.25	191	3928	74	1155	16771	384	102	856	218	286	24.8	9	0.05	0.25
2023	0.24	0.86	0.25	0.22	176	4104	20	1043	17814	326	77	906	201	310	29.7	7	0.04	0.25

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

50 most cited documents in this series

#	Year	Title	Cited
1	1981	Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260. Full description at Econpapers \|\| Download paper	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	119
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	116
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	109
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	108
9	2004	Russian and American put options under exponential phase-type LÃÂ©vy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111. Full description at Econpapers \|\| Download paper	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	106
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	101
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	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	90
14	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
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	75
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	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
25	2011	Martingale representation theorem for the G-expectation. (2011). Zhang, Jianfeng ; Touzi, Nizar ; Soner, Mete H.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:2:p:265-287. Full description at Econpapers \|\| Download paper	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	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	61
29	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
30	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
31	1992	M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180. Full description at Econpapers \|\| Download paper	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	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
34	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
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	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	54
38	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
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	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
41	2014	Occupation times of intervals until first passage times for spectrally negative LÃÂ©vy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435. Full description at Econpapers \|\| Download paper	49
42	2002	On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286. Full description at Econpapers \|\| Download paper	49
43	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	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	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
46	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	47
47	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
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 LÃÂ©vy processes with applications. (2011). Landriault, David ; Zhou, Xiaowen ; Renaud, Jean-Franois. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:11:p:2629-2641. Full description at Econpapers \|\| Download paper	44

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

#	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	39
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	30
4	2004	Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200. Full description at Econpapers \|\| Download paper	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	19
6	2004	Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206. Full description at Econpapers \|\| Download paper	18
7	2019	Affine representations of fractional processes with applications in mathematical finance. (2019). Stefanovits, David ; Harms, Philipp. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:4:p:1185-1228. Full description at Econpapers \|\| Download paper	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	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	13
10	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
11	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
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	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
14	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
15	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
16	1998	Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97. Full description at Econpapers \|\| Download paper	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	2009	Mean-field backward stochastic differential equations and related partial differential equations. (2009). Li, Juan ; Peng, Shige ; Buckdahn, Rainer . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3133-3154. Full description at Econpapers \|\| Download paper	11
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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	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
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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-LÃ©vy 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
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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

Recent citations

Recent citations received in 2023

Year	Citing document
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
2023
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

Recent citations received in 2022

Year	Citing document
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

Recent citations received in 2021

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

Recent citations received in 2020

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

10 most frequent citing series

#	Series	H	Cites
1	Stochastic Processes and their Applications / Elsevier	47	1596
2	Papers / arXiv.org	90	1154
3			466
4	Statistics & Probability Letters / Elsevier	35	396
5			252
6	Finance and Stochastics / Springer	55	169
7	Journal of Econometrics / Elsevier	231	165
8	Methodology and Computing in Applied Probability / Springer	15	132
9	Statistical Inference for Stochastic Processes / Springer	15	124
10	Chaos, Solitons & Fractals / Elsevier	41	104
11	Applied Mathematics and Computation / Elsevier	30	101