## Stochastic Processes and their Applications

### An Official Journal of the Bernoulli Society for Mathematical Statistics and Probability

 Short Title: Stochastic Processes Appl. Publisher: Elsevier (North-Holland), Amsterdam ISSN: 0304-4149 Online: http://www.sciencedirect.com/science/journal/03044149 Comments: Indexed cover-to-cover
 Documents Indexed: 4,880 Publications (since 1973) References Indexed: 4,764 Publications with 103,240 References.
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### Authors

 37 Nualart, David 25 Mikosch, Thomas 24 Samorodnitsky, Gennady Pinkhosovich 23 Taqqu, Murad S. 21 Resnick, Sidney Ira 21 Zhang, Tusheng S. 20 Kim, Panki 19 Durrett, Richard Timothy 19 Horváth, Lajos 17 Kyprianou, Andreas E. 16 Csörgő, Miklós 16 Maller, Ross Arthur 16 Tindel, Samy 16 Yor, Marc 15 Davis, Richard A. 15 Hu, Ying 15 Imkeller, Peter 15 Révész, Pál 15 Shi, Zhan 15 Słomiński, Leszek 15 Song, Renming 14 Asmussen, Søren 14 Csáki, Endre 14 Ferrari, Pablo Augusto 14 Hüsler, Jürg 14 Liu, Quansheng 14 Surgailis, Donatas 14 Wang, Feng-Yu 13 Alsmeyer, Gerold 13 Bayraktar, Erhan 13 Chen, Zhen-Qing 13 Iksanov, Aleksander M. 13 Khoshnevisan, Davar 13 Peligrad, Magda 13 Shao, Qi-Man 13 Vallois, Pierre 13 Vares, Maria Eulalia 12 Albeverio, Sergio A. 12 Budhiraja, Amarjit S. 12 Jeanblanc, Monique 12 Klüppelberg, Claudia 12 Merlevède, Florence 12 Orsingher, Enzo 12 Volný, Dalibor 12 Wang, Jian 12 Xiao, Yimin 12 Yoshida, Nakahiro 12 Zhang, Xicheng 11 Dawson, Donald Andrew 11 Hall, Peter Gavin 11 Hambly, Ben M. 11 Heyde, Christopher Charles 11 Krylov, Nicolaĭ Vladimirovich 11 Meerschaert, Mark Marvin 11 Pakes, Anthony G. 11 Peng, Shige 11 Roberts, Gareth O. 10 Adler, Robert Joseph 10 Berkes, István 10 Bouchard, Bruno 10 de Haan, Laurens 10 Hsing, Tailen 10 Jacod, Jean 10 Kabluchko, Zakhar A. 10 Podolskij, Mark 10 Rosen, Jay S. 10 Russo, Francesco 9 Albin, J. M. P. 9 Bass, Richard F. 9 Bojdecki, Tomasz 9 Braverman, Michael Sh. 9 Brown, Timothy C. 9 Bryc, Włodzimierz 9 Dai Pra, Paolo 9 Dedecker, Jérôme 9 den Hollander, Frank 9 Doukhan, Paul 9 Khas’minskiĭ, Rafail Zalmanovich 9 Kim, KyeongHun 9 Landim, Claudio 9 Last, Günter 9 Ma, Jin 9 Mao, Xuerong 9 Pardoux, Etienne 9 Pham, Huyên 9 Piterbarg, Vladimir Il’ich 9 Röckner, Michael 9 Sidoravicius, Vladas 9 Thorisson, Hermann 9 Touzi, Nizar 9 Wang, Yizao 9 Wu, Wei Biao 9 Xiong, Jie 9 Zeitouni, Ofer 8 Barbour, Andrew David 8 Bertoin, Jean 8 Bruss, Franz Thomas 8 Cambanis, Stamatis 8 Daley, Daryl John 8 Damek, Ewa ...and 4,290 more Authors
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### Fields

 4,558 Probability theory and stochastic processes (60-XX) 768 Statistics (62-XX) 345 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 295 Partial differential equations (35-XX) 270 Statistical mechanics, structure of matter (82-XX) 213 Systems theory; control (93-XX) 170 Numerical analysis (65-XX) 143 Biology and other natural sciences (92-XX) 132 Operations research, mathematical programming (90-XX) 99 Dynamical systems and ergodic theory (37-XX) 83 Calculus of variations and optimal control; optimization (49-XX) 82 Combinatorics (05-XX) 72 Operator theory (47-XX) 69 Measure and integration (28-XX) 57 Ordinary differential equations (34-XX) 43 Global analysis, analysis on manifolds (58-XX) 39 Fluid mechanics (76-XX) 37 Computer science (68-XX) 36 Potential theory (31-XX) 31 Linear and multilinear algebra; matrix theory (15-XX) 25 Functional analysis (46-XX) 24 Harmonic analysis on Euclidean spaces (42-XX) 21 Real functions (26-XX) 20 Integral equations (45-XX) 20 Information and communication theory, circuits (94-XX) 16 Special functions (33-XX) 15 Number theory (11-XX) 13 History and biography (01-XX) 12 Approximations and expansions (41-XX) 12 Integral transforms, operational calculus (44-XX) 12 Convex and discrete geometry (52-XX) 12 Quantum theory (81-XX) 10 Differential geometry (53-XX) 7 Functions of a complex variable (30-XX) 7 Mechanics of particles and systems (70-XX) 5 Difference and functional equations (39-XX) 4 Mathematical logic and foundations (03-XX) 4 Topological groups, Lie groups (22-XX) 4 Sequences, series, summability (40-XX) 3 General and overarching topics; collections (00-XX) 3 Group theory and generalizations (20-XX) 3 Several complex variables and analytic spaces (32-XX) 3 Algebraic topology (55-XX) 3 Mechanics of deformable solids (74-XX) 3 Classical thermodynamics, heat transfer (80-XX) 2 Field theory and polynomials (12-XX) 2 General topology (54-XX) 2 Manifolds and cell complexes (57-XX) 2 Geophysics (86-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Associative rings and algebras (16-XX) 1 Abstract harmonic analysis (43-XX) 1 Geometry (51-XX) 1 Optics, electromagnetic theory (78-XX)

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Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
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Functional limit theorems for multitype branching processes and generalized Pólya urns. Zbl 1075.60109
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Long-time behaviour of a stochastic prey–predator model. Zbl 1075.60539
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2003
Chaotic and predictable representations for Lévy processes. Zbl 1047.60088
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Nonparametric regression estimation for dependent functional data: asymptotic normality. Zbl 1101.62031
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2005
A stochastic calculus model of continuous trading: Complete markets. Zbl 0511.60094
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1983
Maximum-likelihood estimation for hidden Markov models. Zbl 0738.62081
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Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise. Zbl 1117.60064
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2006
On the optimal stopping problem for one-dimensional diffusions. Zbl 1075.60524
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Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients. Zbl 0835.60049
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1995
On convolution tails. Zbl 0487.60016
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1982
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. Zbl 1058.60042
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M-estimation for autoregression with infinite variance. Zbl 0801.62081
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1992
A universal result in almost sure central limit theory. Zbl 1053.60022
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2001
Triangular array limits for continuous time random walks. Zbl 1153.60023
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2008
Razumikhin-type theorems on exponential stability of stochastic functional differential equations. Zbl 0889.60062
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1996
Asymptotic behaviour of Wiener-Hopf factors of a random walk. Zbl 0353.60073
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1977
Martingale representation theorem for the $$G$$-expectation. Zbl 1228.60070
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2011
Backward stochastic differential equations with jumps and related nonlinear expectations. Zbl 1110.60062
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2006
Stability of regime-switching diffusions. Zbl 1119.60065
Khasminskii, R. Z.; Zhu, C.; Yin, G.
2007
Pathwise properties and homeomorphic flows for stochastic differential equations driven by $$G$$-Brownian motion. Zbl 1176.60043
Gao, Fuqing
2009
Selecting the optimal sample fraction in univariate extreme value estimation. Zbl 0926.62013
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1998
A random walk on $$p$$-adics – the generator and its spectrum. Zbl 0810.60065
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1994
Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. Zbl 1096.60026
Peng, Shige; Zhu, Xuehong
2006
Regularly varying multivariate time series. Zbl 1161.60319
Basrak, Bojan; Segers, Johan
2009
Brownian analogues of Burke’s theorem. Zbl 1058.60078
O’Connell, Neil; Yor, Marc
2001
Central limit theorems for multiple stochastic integrals and Malliavin calculus. Zbl 1142.60015
Nualart, D.; Ortiz-Latorre, S.
2008
Option hedging for semimartingales. Zbl 0735.90028
Schweizer, Martin
1991
On generalized multiplicative cascades. Zbl 1028.60087
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2000
On the Kullback-Leibler information divergence of locally stationary processes. Zbl 0849.60032
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1996
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534
2003
Optimal trading strategy for an investor: the case of partial information. Zbl 0934.91021
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1998
Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type. Zbl 0533.60021
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1984
Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems. Zbl 1047.60059
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2001
Asymptotic stability in distribution of stochastic differential equations with Markovian switching. Zbl 1075.60541
Yuan, Chenggui; Mao, Xuerong
2003
Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. Zbl 0612.62127
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1986
Stopping times and related Itô’s calculus with $$G$$-Brownian motion. Zbl 1225.60088
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2011
On polynomial mixing bounds for stochastic differential equations. Zbl 0911.60042
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1997
Subgeometric rates of convergence of $$f$$-ergodic strong Markov processes. Zbl 1163.60034
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2009
Geometric ergodicity of Metropolis algorithms. Zbl 0997.60070
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2000
Nonparametric regression with long-range dependence. Zbl 0713.62048
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1990
Existence and uniqueness results for semilinear stochastic partial differential equations. Zbl 0942.60058
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1998
On solutions of backward stochastic differential equations with jumps and applications. Zbl 0890.60049
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1997
Finite and infinite time ruin probabilities in a stochastic economic environment. Zbl 1047.60040
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2001
Regularization of differential equations by fractional noise. Zbl 1075.60536
Nualart, David; Ouknine, Youssef
2002
Extremes of a certain class of Gaussian processes. Zbl 0997.60057
Hüsler, J.; Piterbarg, V.
1999
Strong approximations for epidemic models. Zbl 0823.92024
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1995
Multivariate regression estimation: Local polynomial fitting for time series. Zbl 0889.60039
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1996
Backward stochastic differential equations driven by $$G$$-Brownian motion. Zbl 1300.60074
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng
2014
On smoothed probability density estimation for stationary processes. Zbl 0588.62156
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1986
Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. Zbl 0315.60035
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1975
Power tailed ruin probabilities in the presence of risky investments. Zbl 1058.60095
2002
Additional logarithmic utility of an insider. Zbl 0934.91020
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1998
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Zbl 0679.60029
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1989
Nonparametric regression estimation under mixing conditions. Zbl 0699.62038
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1990
Some limit theorems for Hawkes processes and application to financial statistics. Zbl 1292.60032
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2013
Risk theory in a stochastic economic environment. Zbl 0777.62098
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1993
Ergodicity and exponential $$\beta$$-mixing bounds for multidimensional diffusions with jumps. Zbl 1118.60070
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2007
Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching. Zbl 1143.60041
Mao, Xuerong; Shen, Yi; Yuan, Chenggui
2008
Itô’s stochastic calculus: its surprising power for applications. Zbl 1202.60079
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2010
Estimation in nonlinear time series models. Zbl 0598.62109
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1986
On pathwise stochastic integration. Zbl 0816.60047
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1995
Operator scaling stable random fields. Zbl 1111.60033
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2007
Weak approximation of killed diffusion using Euler schemes. Zbl 1045.60082
Gobet, Emmanuel
2000
Stochastic equations of non-negative processes with jumps. Zbl 1184.60022
Fu, Zongfei; Li, Zenghu
2010
Parabolic SPDEs driven by Poisson white noise. Zbl 0934.60055
Albeverio, Sergio; Wu, Jiang-Lun; Zhang, Tu-Sheng
1998
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by $$G$$-Brownian motion. Zbl 1300.60075
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng
2014
Ruin problems with assets and liabilities of diffusion type. Zbl 0962.60075
Norberg, Ragnar
1999
General branching processes as Markov fields. Zbl 0678.92009
Jagers, Peter
1989
Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022
Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias
2006
Weak convergence of multivariate fractional processes. Zbl 1028.60030
Marinucci, D.; Robinson, P. M.
2000
Approximation of the tail probability of randomly weighted sums and applications. Zbl 1271.62030
Zhang, Yi; Shen, Xinmei; Weng, Chengguo
2009
On the ruin probabilities in a general economic environment. Zbl 0997.60041
Nyrhinen, Harri
1999
Occupation times of intervals until first passage times for spectrally negative Lévy processes. Zbl 1287.60062
Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen
2014
Strong convergence of sums of $$\alpha$$-mixing random variables with applications to density estimation. Zbl 0885.62045
Liebscher, E.
1996
Utility maximization with partial information. Zbl 0834.90022
Lakner, Peter
1995
A microscopic interpretation for adaptive dynamics trait substitution sequence models. Zbl 1100.60055
Champagnat, Nicolas
2006
A forward scheme for backward SDEs. Zbl 1131.60054
Bender, Christian; Denk, Robert
2007
Reflected BSDEs and mixed game problem. Zbl 0999.91005
2000
Fractional ARIMA with stable innovations. Zbl 0846.62066
Kokoszka, Piotr S.; Taqqu, Murad S.
1995
Optimal sustainable harvesting of populations in random environments. Zbl 1492.91229
Alvarez E., Luis H. R.; Hening, Alexandru
2022
Remarks on the non-uniqueness in law of the Navier-Stokes equations up to the J.-L. Lions’ exponent. Zbl 1490.35254
Yamazaki, Kazuo
2022
Quasi-stationary distribution for the Langevin process in cylindrical domains. I: Existence, uniqueness and long-time convergence. Zbl 1481.35294
Lelièvre, Tony; Ramil, Mouad; Reygner, Julien
2022
Approximations of piecewise deterministic Markov processes and their convergence properties. Zbl 1500.60044
Bertazzi, Andrea; Bierkens, Joris; Dobson, Paul
2022
Optimal portfolio choice with path dependent benchmarked labor income: a mean field model. Zbl 1489.34117
Djehiche, Boualem; Gozzi, Fausto; Zanco, Giovanni; Zanella, Margherita
2022
Extremal clustering under moderate long range dependence and moderately heavy tails. Zbl 1494.60056
2022
Density estimates and short-time asymptotics for a hypoelliptic diffusion process. Zbl 1480.60170
Pigato, Paolo
2022
Bayesian sequential least-squares estimation for the drift of a Wiener process. Zbl 1493.62489
Ekström, Erik; Karatzas, Ioannis; Vaicenavicius, Juozas
2022
Hypocoercivity of Langevin-type dynamics on abstract smooth manifolds. Zbl 1484.58019
Grothaus, Martin; Mertin, Maximilian Constantin
2022
Correlation bound for a one-dimensional continuous long-range Ising model. Zbl 1492.60277
Hasler, David; Hinrichs, Benjamin; Siebert, Oliver
2022
Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts. Zbl 1484.60027
Adams, Daniel; dos Reis, Gonçalo; Ravaille, Romain; Salkeld, William; Tugaut, Julian
2022
Critical droplets and sharp asymptotics for Kawasaki dynamics with weakly anisotropic interactions. Zbl 1486.60120
Baldassarri, Simone; Nardi, Francesca R.
2022
Percolation of the excursion sets of planar symmetric shot noise fields. Zbl 1483.60074
2022
Positive hulls of random walks and bridges. Zbl 1486.52008
Godland, Thomas; Kabluchko, Zakhar
2022
Some properties of solutions of Itô equations with drift in $$L_{d+1}$$. Zbl 1494.60065
Krylov, N. V.
2022
Criteria for Poisson process convergence with applications to inhomogeneous Poisson-Voronoi tessellations. Zbl 1490.60057
Pianoforte, Federico; Schulte, Matthias
2022
Dimension free convergence rates for Gibbs samplers for Bayesian linear mixed models. Zbl 1491.60119
Jin, Zhumengmeng; Hobert, James P.
2022
Interacting Hawkes processes with multiplicative inhibition. Zbl 1492.60134
Duval, Céline; Luçon, Eric; Pouzat, Christophe
2022
Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality. Zbl 1498.34223
Wang, Ya; Wu, Fuke; Yin, George; Zhu, Chao
2022
Mean-field limit of age and leaky memory dependent Hawkes processes. Zbl 1489.60041
Schmutz, Valentin
2022
Estimating the interaction graph of stochastic neuronal dynamics by observing only pairs of neurons. Zbl 1493.62557
De Santis, E.; Galves, A.; Nappo, G.; Piccioni, M.
2022
Continuum and thermodynamic limits for a simple random-exchange model. Zbl 1489.60122
Düring, Bertram; Georgiou, Nicos; Merino-Aceituno, Sara; Scalas, Enrico
2022
Stochastic evolution equations driven by cylindrical stable noise. Zbl 1489.60113
Kosmala, Tomasz; Riedle, Markus
2022
RAP-modulated fluid processes: first passages and the stationary distribution. Zbl 1489.60128
Bean, Nigel G.; Nguyen, Giang T.; Nielsen, Bo F.; Peralta, Oscar
2022
On the extinction-extinguishing dichotomy for a stochastic Lotka-Volterra type population dynamical system. Zbl 1495.60079
Ren, Yan-Xia; Xiong, Jie; Yang, Xu; Zhou, Xiaowen
2022
Spatially inhomogeneous populations with seed-banks. II: clustering regime. Zbl 1495.60088
den Hollander, Frank; Nandan, Shubhamoy
2022
Well-posedness and propagation of chaos for McKean-Vlasov equations with jumps and locally Lipschitz coefficients. Zbl 1491.60139
Erny, Xavier
2022
Coxeter group actions on interacting particle systems. Zbl 1494.60096
Kuan, Jeffrey
2022
Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093
Bayraktar, Erhan; Wu, Ruoyu
2022
Skorohod and Stratonovich integrals for controlled processes. Zbl 1494.60036
Song, Jian; Tindel, Samy
2022
Strict local martingales and the Khasminskii test for explosions. Zbl 1494.60046
2022
Minimising the expected commute time. Zbl 1489.60127
Jacka, Saul; Hernández-Hernández, Ma. Elena
2022
A stochastic calculus for Rosenblatt processes. Zbl 1494.60058
Čoupek, Petr; Duncan, Tyrone E.; Pasik-Duncan, Bozenna
2022
Reflected Brownian motion in the quarter plane: an equivalence based on time reversal. Zbl 1491.60144
Harrison, J. Michael
2022
Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions. Zbl 1479.60054
Voit, Michael; Woerner, Jeannette H. C.
2022
Strong solutions of forward-backward stochastic differential equations with measurable coefficients. Zbl 1494.60066
Luo, Peng; Menoukeu-Pamen, Olivier; Tangpi, Ludovic
2022
Switching problems with controlled randomisation and associated obliquely reflected BSDEs. Zbl 1483.60077
Bénézet, Cyril; Chassagneux, Jean-François; Richou, Adrien
2022
Ruin probabilities for a Sparre Andersen model with investments. Zbl 1480.60117
Eberlein, Ernst; Kabanov, Yuri; Schmidt, Thorsten
2022
A functional Itō-formula for Dawson-Watanabe superprocesses. Zbl 1480.60253
Mandler, Christian; Overbeck, Ludger
2022
Wasserstein convergence rate for empirical measures on noncompact manifolds. Zbl 1480.58015
Wang, Feng-Yu
2022
Transportation cost inequalities for SDEs with irregular drifts. Zbl 1485.60057
Suo, Yongqiang; Yuan, Chenggui; Zhang, Shao-Qin
2022
Concentration inequalities from monotone couplings for graphs, walks, trees and branching processes. Zbl 1496.05176
Johnson, Tobias; Peköz, Erol
2022
Spatial integral of the solution to hyperbolic Anderson model with time-independent noise. Zbl 1496.60069
Balan, Raluca M.; Yuan, Wangjun
2022
On the center of mass of the elephant random walk. Zbl 1469.60135
Bercu, Bernard; Laulin, Lucile
2021
On the identifiability of interaction functions in systems of interacting particles. Zbl 1468.60120
Li, Zhongyang; Lu, Fei; Maggioni, Mauro; Tang, Sui; Zhang, Cheng
2021
Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness. Zbl 1475.60059
Gulisashvili, Archil
2021
Large deviations in discrete-time renewal theory. Zbl 1472.60054
Zamparo, Marco
2021
Global solutions to stochastic wave equations with superlinear coefficients. Zbl 1475.60124
Millet, Annie; Sanz-Solé, Marta
2021
Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders. Zbl 1475.60142
Cho, Soobin; Kim, Panki
2021
Fluctuation limits for mean-field interacting nonlinear Hawkes processes. Zbl 1475.60091
Heesen, Sophie; Stannat, Wilhelm
2021
Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs. Zbl 1480.60159
Hu, Mingshang; Wang, Falei
2021
Renormalization of stochastic continuity equations on Riemannian manifolds. Zbl 1483.58009
Galimberti, Luca; Karlsen, Kenneth H.
2021
Stochastic functional Kolmogorov equations. I: Persistence. Zbl 1484.34187
Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George
2021
Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients. Zbl 1472.60099
Cui, Jianbo; Hong, Jialin; Sun, Liying
2021
A regularity theory for stochastic partial differential equations with a super-linear diffusion coefficient and a spatially homogeneous colored noise. Zbl 1471.60097
Choi, Jae-Hwan; Han, Beom-Seok
2021
Lyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processes. Zbl 1469.60248
Champagnat, Nicolas; Villemonais, Denis
2021
Stochastic MHD equations with fractional kinematic dissipation and partial magnetic diffusion in $$\mathbb{R}^2$$. Zbl 1464.35238
Li, Jingna; Liu, Hongxia; Tang, Hao
2021
On stochastic Itô processes with drift in $$L_d$$. Zbl 1469.60186
Krylov, N. V.
2021
Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration. Zbl 1475.60162
Barczy, Mátyás; Basrak, Bojan; Kevei, Péter; Pap, Gyula; Planinić, Hrvoje
2021
Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics. Zbl 1469.60075
Ganguly, Arnab; Sundar, P.
2021
Martingale driven BSDEs, PDEs and other related deterministic problems. Zbl 1469.60217
2021
A critical branching process with immigration in random environment. Zbl 1469.60264
Afanasyev, V. I.
2021
Continuity properties and the support of killed exponential functionals. Zbl 1475.60086
Behme, Anita; Lindner, Alexander; Reker, Jana; Rivero, Victor
2021
Stochastic mSQG equations with multiplicative transport noises: white noise solutions and scaling limit. Zbl 1468.60081
Luo, Dejun; Zhu, Rongchan
2021
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
2021
Hydrodynamics for the partial exclusion process in random environment. Zbl 1479.60194
Floreani, Simone; Redig, Frank; Sau, Federico
2021
Implementable coupling of Lévy process and Brownian motion. Zbl 1479.60096
Fomichov, Vladimir; González Cázares, Jorge; Ivanovs, Jevgenijs
2021
On the exact distributions of the maximum of the asymmetric telegraph process. Zbl 1479.60206
Cinque, Fabrizio; Orsingher, Enzo
2021
Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant. Zbl 1476.60143
Ernst, Philip A.; Franceschi, Sandro; Huang, Dongzhou
2021
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
2021
The domain of definition of the Lévy white noise. Zbl 1469.60113
Fageot, Julien; Humeau, Thomas
2021
Competing growth processes with random growth rates and random birth times. Zbl 1469.60278
Mailler, Cécile; Mörters, Peter; Senkevich, Anna
2021
Beta Laguerre processes in a high temperature regime. Zbl 1469.60349
Trinh, Hoang Dung; Trinh, Khanh Duy
2021
The extremal process of super-Brownian motion. Zbl 1469.60260
Ren, Yan-Xia; Song, Renming; Zhang, Rui
2021
Lasso estimation for spherical autoregressive processes. Zbl 1467.62126
Caponera, Alessia; Durastanti, Claudio; Vidotto, Anna
2021
Markov chains in random environment with applications in queuing theory and machine learning. Zbl 1469.60235
Lovas, Attila; Rásonyi, Miklós
2021
General multilevel adaptations for stochastic approximation algorithms. II: CLTs. Zbl 1460.62135
Dereich, Steffen
2021
Hypothesis testing for a Lévy-driven storage system by Poisson sampling. Zbl 1475.60191
Mandjes, M.; Ravner, L.
2021
Extremes of locally stationary Gaussian and chi fields on manifolds. Zbl 1466.60106
Qiao, Wanli
2021
Asymptotic approach for backward stochastic differential equation with singular terminal condition. Zbl 1454.60077
Graewe, Paulwin; Popier, Alexandre
2021
Two-type annihilating systems on the complete and star graph. Zbl 1475.60194
Cristali, Irina; Jiang, Yufeng; Junge, Matthew; Kassem, Remy; Sivakoff, David; York, Grayson
2021
Regularity of multifractional moving average processes with random Hurst exponent. Zbl 1475.60075
Loboda, Dennis; Mies, Fabian; Steland, Ansgar
2021
Concentration on Poisson spaces via modified $$\Phi$$-Sobolev inequalities. Zbl 1475.60026
Gusakova, Anna; Sambale, Holger; Thäle, Christoph
2021
Rough nonlocal diffusions. Zbl 1480.60301
Coghi, Michele; Nilssen, Torstein
2021
Wong-Zakai approximations for quasilinear systems of Itô’s type stochastic differential equations. Zbl 1480.60161
Lanconelli, Alberto; Scorolli, Ramiro
2021
Telegraph random evolutions on a circle. Zbl 1480.60300
De Gregorio, Alessandro; Iafrate, Francesco
2021
Mean reflected stochastic differential equations with two constraints. Zbl 1480.60187
2021
A Yaglom type asymptotic result for subcritical branching Brownian motion with absorption. Zbl 1476.60157
Liu, Jiaqi
2021
Large sample autocovariance matrices of linear processes with heavy tails. Zbl 1476.60014
Heiny, Johannes; Mikosch, Thomas
2021
Volterra equations driven by rough signals. Zbl 1481.60204
Harang, Fabian A.; Tindel, Samy
2021
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon. Zbl 1479.60094
2021
Berry-Esseen bounds and moderate deviations for random walks on $$\mathrm{GL}_d(\mathbb{R})$$. Zbl 1476.60082
Xiao, Hui; Grama, Ion; Liu, Quansheng
2021
Long range one-cookie random walk with positive speed. Zbl 1479.60191
Collevecchio, Andrea; Hamza, Kais; Nguyen, Tuan-Minh
2021
American options in a non-linear incomplete market model with default. Zbl 1476.91185
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès
2021
Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations. Zbl 1476.60140
Genon-Catalot, Valentine; Larédo, Catherine
2021
Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games. Zbl 1469.60123
Klimsiak, Tomasz
2021
Partial derivative with respect to the measure and its application to general controlled mean-field systems. Zbl 1471.93275
Buckdahn, Rainer; Chen, Yajie; Li, Juan
2021
Dimension-free Wasserstein contraction of nonlinear filters. Zbl 1469.60122
Whiteley, Nick
2021
Exponential mixing under controllability conditions for sdes driven by a degenerate Poisson noise. Zbl 1469.60194
Nersesyan, Vahagn; Raquépas, Renaud
2021
Limit theorems for cloning algorithms. Zbl 1469.65035
Angeli, Letizia; Grosskinsky, Stefan; Johansen, Adam M.
2021
...and 1496 more Documents
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### Cited by 20,741 Authors

 127 Jiang, Daqing 104 Mao, Xuerong 93 Nualart, David 90 Hashorva, Enkelejd 87 Chen, Zhen-Qing 75 Horváth, Lajos 73 Yan, Litan 72 Tudor, Ciprian A. 70 Leonenko, Nikolai N. 69 Kyprianou, Andreas E. 68 Yuan, Chenggui 67 Wang, Jian 66 Taqqu, Murad S. 64 Elliott, Robert James 64 Song, Renming 63 Kim, Panki 63 Yin, George Gang 62 Ren, Yong 62 Xiao, Yimin 61 Zhang, Tusheng S. 60 Dębicki, Krzysztof 60 Mandjes, Michel Robertus Hendrikus 60 Röckner, Michael 60 Samorodnitsky, Gennady Pinkhosovich 58 Wang, Feng-Yu 58 Yang, Yang 57 Ouknine, Youssef 55 Mikosch, Thomas 55 Zhang, Li-Xin 53 Lin, Zhengyan 52 Nourdin, Ivan 51 Bayraktar, Erhan 51 Doukhan, Paul 51 Iksanov, Aleksander M. 51 Siu, Tak Kuen 50 Klüppelberg, Claudia 50 Russo, Francesco 49 Hayat, Tasawar 49 Mishura, Yuliya Stepanivna 48 Resnick, Sidney Ira 48 Roberts, Gareth O. 48 Surgailis, Donatas 48 Xiong, Jie 48 Zhang, Xicheng 47 Øksendal, Bernt Karsten 47 Tindel, Samy 46 Hu, Yaozhong 46 Liu, Qun 46 Wang, Ke 45 Meerschaert, Mark Marvin 44 Peccati, Giovanni 44 Tang, Qihe 43 Flandoli, Franco 43 Palmowski, Zbigniew 43 Wu, Fuke 42 Brzeźniak, Zdzisław 42 Liu, Meng 42 Moulines, Eric 42 Touzi, Nizar 41 Dedecker, Jérôme 41 Imkeller, Peter 41 Merlevède, Florence 41 Wang, Yuebao 40 Csörgő, Miklós 40 Fan, Shengjun 40 Kumagai, Takashi 40 Liu, Quansheng 40 Yang, Hailiang 40 Zeifman, Alexander Izrailevich 39 Albeverio, Sergio A. 39 Janson, Svante 39 Landim, Claudio 39 Madan, Dilip B. 39 Peligrad, Magda 38 Jeanblanc, Monique 38 Pap, Gyula 38 Pitman, Jim William 38 Shen, Guangjun 38 Wu, Zhen 37 Budhiraja, Amarjit S. 37 Durrett, Richard Timothy 37 Glynn, Peter W. 37 Pham, Huyên 37 Tan, Zhongquan 37 Wang, Yongjin 37 Yor, Marc 37 Zwart, Bert P. 36 Bao, Jianhai 36 Davis, Richard A. 36 Duan, Jinqiao 36 Maller, Ross Arthur 36 Wu, Jianglun 36 Wu, Wei Biao 36 Zhou, Xiaowen 35 Al-saedi, Ahmed Eid Salem 35 Jacod, Jean 35 Li, Zenghu 35 Ren, Yanxia 35 Wang, Kaiyong 34 Friz, Peter Karl ...and 20,641 more Authors
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### Cited in 906 Journals

 2,649 Stochastic Processes and their Applications 1,180 Statistics & Probability Letters 798 The Annals of Applied Probability 718 The Annals of Probability 556 Journal of Statistical Physics 556 Journal of Theoretical Probability 549 Probability Theory and Related Fields 533 Bernoulli 527 Journal of Applied Probability 505 Journal of Mathematical Analysis and Applications 455 Stochastic Analysis and Applications 445 Communications in Statistics. Theory and Methods 397 Advances in Applied Probability 385 Journal of Statistical Planning and Inference 364 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 357 Journal of Multivariate Analysis 338 The Annals of Statistics 335 Stochastics 321 Journal of Econometrics 317 Insurance Mathematics & Economics 316 Electronic Journal of Probability 275 Stochastics and Dynamics 239 Queueing Systems 221 Journal of Time Series Analysis 216 Journal of Functional Analysis 216 Methodology and Computing in Applied Probability 212 Finance and Stochastics 206 Electronic Journal of Statistics 198 Journal of Differential Equations 198 SIAM Journal on Control and Optimization 195 Applied Mathematics and Computation 188 Potential Analysis 181 Extremes 179 International Journal of Theoretical and Applied Finance 177 Applied Mathematics and Optimization 177 Journal of Computational and Applied Mathematics 174 Theoretical Population Biology 174 Mathematical Finance 173 Stochastic Models 172 Communications in Mathematical Physics 171 Quantitative Finance 163 Physica A 161 Econometric Theory 158 Statistical Inference for Stochastic Processes 150 Journal of Mathematical Biology 150 Statistics 148 Transactions of the American Mathematical Society 146 Electronic Communications in Probability 145 European Journal of Operational Research 141 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 138 Probability in the Engineering and Informational Sciences 134 Lithuanian Mathematical Journal 128 Annals of the Institute of Statistical Mathematics 128 Advances in Difference Equations 128 Science China. Mathematics 127 Journal of Nonparametric Statistics 119 ALEA. Latin American Journal of Probability and Mathematical Statistics 118 SIAM Journal on Financial Mathematics 113 Journal of Mathematical Physics 108 Acta Mathematica Sinica. English Series 108 Comptes Rendus. Mathématique. Académie des Sciences, Paris 107 Discrete and Continuous Dynamical Systems. Series B 106 Computational Statistics and Data Analysis 98 Acta Mathematicae Applicatae Sinica. English Series 96 Automatica 96 Infinite Dimensional Analysis, Quantum Probability and Related Topics 95 Abstract and Applied Analysis 93 Chaos, Solitons and Fractals 93 Systems & Control Letters 93 Annals of Operations Research 90 Journal of Inequalities and Applications 90 Stochastic and Partial Differential Equations. Analysis and Computations 88 Frontiers of Mathematics in China 87 Acta Applicandae Mathematicae 86 Theory of Probability and its Applications 85 Theory of Probability and Mathematical Statistics 84 Computers & Mathematics with Applications 83 Applied Mathematical Finance 82 Mathematical Biosciences 81 Scandinavian Journal of Statistics 81 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 81 Journal of Economic Dynamics & Control 80 Mathematics of Operations Research 79 Mathematical Problems in Engineering 78 Test 78 Mathematics and Financial Economics 77 Journal of the Franklin Institute 77 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 77 Scandinavian Actuarial Journal 76 Proceedings of the American Mathematical Society 75 Journal of Mathematical Sciences (New York) 71 Communications in Statistics. Simulation and Computation 70 Journal of the Korean Statistical Society 69 Metrika 69 Random Operators and Stochastic Equations 68 Journal of Optimization Theory and Applications 67 Sequential Analysis 67 Statistics and Computing 66 Modern Stochastics. Theory and Applications 65 Mathematical Methods of Operations Research ...and 806 more Journals
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### Cited in 63 Fields

 22,230 Probability theory and stochastic processes (60-XX) 7,334 Statistics (62-XX) 4,598 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,755 Partial differential equations (35-XX) 2,244 Numerical analysis (65-XX) 2,091 Systems theory; control (93-XX) 1,922 Statistical mechanics, structure of matter (82-XX) 1,871 Biology and other natural sciences (92-XX) 1,355 Operations research, mathematical programming (90-XX) 1,056 Ordinary differential equations (34-XX) 865 Dynamical systems and ergodic theory (37-XX) 850 Calculus of variations and optimal control; optimization (49-XX) 649 Combinatorics (05-XX) 632 Operator theory (47-XX) 488 Computer science (68-XX) 372 Measure and integration (28-XX) 365 Functional analysis (46-XX) 354 Fluid mechanics (76-XX) 311 Real functions (26-XX) 239 Global analysis, analysis on manifolds (58-XX) 234 Quantum theory (81-XX) 223 Integral equations (45-XX) 220 Potential theory (31-XX) 201 Harmonic analysis on Euclidean spaces (42-XX) 173 Linear and multilinear algebra; matrix theory (15-XX) 171 Information and communication theory, circuits (94-XX) 135 Special functions (33-XX) 108 Approximations and expansions (41-XX) 100 Differential geometry (53-XX) 97 Number theory (11-XX) 97 Difference and functional equations (39-XX) 81 Integral transforms, operational calculus (44-XX) 79 Functions of a complex variable (30-XX) 78 Geophysics (86-XX) 70 Mechanics of particles and systems (70-XX) 68 Convex and discrete geometry (52-XX) 49 Classical thermodynamics, heat transfer (80-XX) 48 Mechanics of deformable solids (74-XX) 40 Group theory and generalizations (20-XX) 40 Abstract harmonic analysis (43-XX) 34 Topological groups, Lie groups (22-XX) 30 History and biography (01-XX) 27 General topology (54-XX) 25 General and overarching topics; collections (00-XX) 22 Sequences, series, summability (40-XX) 19 Nonassociative rings and algebras (17-XX) 18 Mathematical logic and foundations (03-XX) 15 Algebraic topology (55-XX) 15 Relativity and gravitational theory (83-XX) 13 Associative rings and algebras (16-XX) 12 Order, lattices, ordered algebraic structures (06-XX) 12 Astronomy and astrophysics (85-XX) 10 Optics, electromagnetic theory (78-XX) 9 Field theory and polynomials (12-XX) 9 Several complex variables and analytic spaces (32-XX) 8 Algebraic geometry (14-XX) 6 Geometry (51-XX) 4 General algebraic systems (08-XX) 4 Manifolds and cell complexes (57-XX) 4 Mathematics education (97-XX) 3 Commutative algebra (13-XX) 3 Category theory; homological algebra (18-XX) 1 $$K$$-theory (19-XX)