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Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
46
Impact Factor (IF)
0.23
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 66 195 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
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.

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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.

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293
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.

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172
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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128
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.

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118
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.

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115
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.

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108
81983A 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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107
92004Russian 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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107
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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105
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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100
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.

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100
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.

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90
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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89
151998Optimal 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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80
162000Weak 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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79
171998Additional 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.

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77
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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73
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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72
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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67
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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66
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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66
242011Martingale 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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63
251995Utility 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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63
261989Extremal 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
271975Sufficient 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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61
281992M-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
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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60
302011Locally 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
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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60
322003Lp 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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59
331975Importance 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
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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58
352008Solvability 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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56
361990Nonparametric 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
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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54
381993Risk 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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53
391994Simple 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
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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49
412013Some 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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49
422000Optimal 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
432002On 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
442007A 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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48
452007Stability 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
462006Backward 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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47
471999Stability 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.

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46
482010What 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
492013Constructing 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
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
12009Microstructure 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
21981Martingales 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
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

29
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

20
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

18
62019Affine 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.

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17
72004Discrete-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
82008Solvability 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
91998Additional 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
102003On 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
112008Asymptotic 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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12
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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12
132011Stationarity 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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12
141996On 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
151998Optimal 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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12
162006Necessary 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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12
172018Distribution 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.

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11
181991Option 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
191995Utility 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

10
202000Martingale 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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10
212008Weakly 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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10
222016Empirical 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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10
232009Mean-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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10
242005Nonparametric 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

9
251983A 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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9
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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272009Pathwise 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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282004Russian 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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292015Mean field games via controlled martingale problems: Existence of Markovian equilibria. (2015). Lacker, Daniel . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2856-2894.

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302016Averaging 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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312002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (2002). KOHLMANN, MICHAEL ; Tang, Shanjian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:2:p:255-288.

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322002Regular 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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332014Comparison 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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342008Local 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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352008Bilateral gamma distributions and processes in financial mathematics. (2008). Tappe, Stefan ; Kuchler, Uwe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:2:p:261-283.

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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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372002Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. (2002). Stuart, A. M. ; Mattingly, J. C. ; Higham, D. J.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:101:y:2002:i:2:p:185-232.

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382013A 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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392003Lp 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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401999Stability 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.

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412003Precise 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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422010What 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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432011Martingale 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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442013Constructing 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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451995Stochastic Volterra equations with singular kernels. (1995). Cochran, George W. ; Potthoff, Jurgen ; Lee, Jung-Soon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:337-349.

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462002Regularization of differential equations by fractional noise. (2002). Nualart, David ; Ouknine, Youssef. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:102:y:2002:i:1:p:103-116.

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472013Tempered stable distributions and processes. (2013). Tappe, Stefan ; Kuchler, Uwe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:12:p:4256-4293.

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481992M-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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492013Some 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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7
502000Weak approximation of killed diffusion using Euler schemes. (2000). Gobet, Emmanuel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:87:y:2000:i:2:p:167-197.

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Citing documents used to compute impact factor: 76
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2023Well-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.

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2023On the optimality of the refraction–reflection 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.

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2023Subcritical 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.

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2023The LAN property for McKean–Vlasov 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.

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2023A 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.

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2023Solvability 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.

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2023On 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.

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2023Asymptotics 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.

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2023Large deviation principles for renewal–reward processes. (2023). Zamparo, Marco. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:156:y:2023:i:c:p:226-245.

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2023Asymptotic 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.

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2023Nonlinear 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.

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2023Pathwise 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.

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2023Rough volatility, path-dependent PDEs and weak rates of convergence. (2023). Pannier, Alexandre ; Jacquier, Antoine ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2304.03042.

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2023From 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.

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2023Stable 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.

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2023Stationary distribution and extinction of a Lotka–Volterra 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.

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2023Cubature Method for Stochastic Volterra Integral Equations. (2021). Zhang, Jianfeng ; Feng, QI. In: Papers. RePEc:arx:papers:2110.12853.

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2023Parameter 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.

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2023Random 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.

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2023Maximum 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.

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2023Fluctuations 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.

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2023Wasserstein 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.

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2023Perturbations 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.

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2023Asymptotic 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.

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2023Separating Times for One-Dimensional Diffusions. (2022). Urusov, Mikhail ; Criens, David. In: Papers. RePEc:arx:papers:2211.06042.

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2023Global-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.

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2023Statistical 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.

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2023Large 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.

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2023Dirichlet 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.

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2023Short-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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2023Reconstructing 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.

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2023An 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.

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2023Strong 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.

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2023Ergodic 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.

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2023A 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.

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2023A 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.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023Approximate 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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2023A 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.

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2023Transportation-cost inequalities for non-linear Gaussian functionals. (2023). Jacquier, Antoine ; Gasteratos, Ioannis. In: Papers. RePEc:arx:papers:2310.05750.

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2023Hydrodynamics 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.

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2023Gradient-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.

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2023Large 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.

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2023Convergence 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.

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2023On 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.

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2023Global 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.

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2023Ruin 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.

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2023Local 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.

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2023Asymptotics 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.

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2023Convergence 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.

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2023Singular 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.

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2023CLT 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.

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2023SPDE 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.

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2023Optimal 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.

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2023HJB 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.

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2023Graphon 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.

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2023Nonparametric 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.

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2023Nonparametric 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.

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2023Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2023Bias 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.

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2023Nash equilibria for dividend distribution with competition. (2023). Gensbittel, Fabien ; de Angelis, Tiziano ; Villeneuve, St'Ephane. In: Papers. RePEc:arx:papers:2312.07703.

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2023Driven 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.

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2023Global Ashkin–Teller phase diagrams in two and three dimensions: Multicritical bifurcation versus double tricriticality—endpoint. (2023). Berker, Nihat A ; Keolu, Ibrahim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008038.

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2023Parameter 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.

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2023Asymptotic 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.

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2023Uniqueness 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.

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2023Nash equilibria for dividend distribution with competition. (2023). Villeneuve, Stephane ; Gensbittel, Fabien ; de Angelis, Tiziano. In: TSE Working Papers. RePEc:tse:wpaper:128772.

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Recent citations received in 2022

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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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Recent citations received in 2021

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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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2021.

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2021.

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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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Recent citations received in 2020

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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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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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