Stochastics and Stochastics Reports Short Title: Stochastics Stochastics Rep. Publisher: Taylor & Francis, London ISSN: 1045-1129; 1029-0346/e Online: http://www.tandfonline.com/loi/gssr20 Predecessor: Stochastics Successor: Stochastics Comments: Journal; No longer indexed Documents Indexed: 685 Publications (1989–2004) References Indexed: 132 Publications with 2,326 References. all top 5 Latest Issues 76, No. 6 (2004) 76, No. 5 (2004) 76, No. 4 (2004) 76, No. 3 (2004) 76, No. 2 (2004) 76, No. 1 (2004) 75, No. 6 (2003) 75, No. 5 (2003) 75, No. 4 (2003) 75, No. 3 (2003) 75, No. 1-2 (2003) 74, No. 3-4 (2002) 74, No. 1-2 (2002) 73, No. 3-4 (2002) 73, No. 1-2 (2002) 72, No. 3-4 (2002) 72, No. 1-2 (2002) 71, No. 3-4 (2001) 71, No. 1-2 (2000) 70, No. 3-4 (2000) 70, No. 1-2 (2000) 69, No. 3-4 (2000) 69, No. 1-2 (2000) 68, No. 3-4 (2000) 68, No. 1-2 (1999) 67, No. 3-4 (1999) 67, No. 1-2 (1999) 66, No. 3-4 (1999) 66, No. 1-2 (1999) 65, No. 3-4 (1999) 65, No. 1-2 (1998) 64, No. 3-4 (1998) 64, No. 1-2 (1998) 63, No. 3-4 (1998) 63, No. 1-2 (1998) 62, No. 3-4 (1998) 62, No. 1-2 (1997) 61, No. 3-4 (1997) 61, No. 1-2 (1997) 60, No. 3-4 (1997) 60, No. 1-2 (1997) 59, No. 3-4 (1996) 59, No. 1-2 (1996) 58, No. 3-4 (1996) 58, No. 1-2 (1996) 57, No. 3-4 (1996) 57, No. 1-2 (1996) 56, No. 3-4 (1996) 56, No. 1-2 (1996) 55, No. 3-4 (1995) 55, No. 1-2 (1995) 54, No. 3-4 (1995) 54, No. 1-2 (1995) 53, No. 3-4 (1995) 53, No. 1-2 (1995) 52, No. 3-4 (1995) 52, No. 1-2 (1995) 51, No. 3-4 (1994) 51, No. 1-2 (1994) 50, No. 3-4 (1994) 50, No. 1-2 (1994) 49, No. 3-4 (1994) 49, No. 1-2 (1994) 48, No. 3-4 (1994) 48, No. 1-2 (1994) 47, No. 3-4 (1994) 47, No. 1-2 (1994) 46, No. 3-4 (1994) 46, No. 1-2 (1994) 45, No. 3-4 (1993) 45, No. 1-2 (1993) 44, No. 3-4 (1993) 44, No. 1-2 (1993) 43, No. 3-4 (1993) 43, No. 1-2 (1993) 42, No. 3-4 (1993) 42, No. 2 (1993) 42, No. 1 (1993) 41, No. 4 (1992) 41, No. 3 (1992) 41, No. 1-2 (1992) 40, No. 3-4 (1992) 40, No. 1-2 (1992) 39, No. 4 (1992) 39, No. 2-3 (1992) 39, No. 1 (1992) 38, No. 4 (1992) 38, No. 3 (1992) 38, No. 2 (1992) 38, No. 1 (1992) 37, No. 4 (1991) 37, No. 3 (1991) 37, No. 1-2 (1991) 36, No. 3-4 (1991) 36, No. 2 (1991) 36, No. 1 (1991) 35, No. 4 (1991) 35, No. 3 (1991) 35, No. 2 (1991) 35, No. 1 (1991) ...and 24 more Volumes all top 5 Authors 16 Ouknine, Youssef 13 Nualart, David 9 Manthey, Ralf 9 Mao, Xuerong 8 Flandoli, Franco 8 Pardoux, Etienne 7 Gyöngy, István 7 Zhang, Tusheng S. 6 Albeverio, Sergio A. 6 Benth, Fred Espen 6 Imkeller, Peter 6 Stettner, Łukasz 6 Zhang, Qing 5 Boufoussi, Brahim 5 DeBlassie, Richard Dante 5 Di Masi, Giovanni B. 5 Gątarek, Dariusz 5 Ivanoff, B. Gail 5 Karatzas, Ioannis 5 N’Zi, Modeste 5 Ocone, Daniel L. 5 Rozkosz, Andrzej 5 Słomiński, Leszek 5 Yin, Gang George 4 Arnold, Ludwig 4 Bally, Vlad 4 Bassan, Bruno 4 Chen, Hanfu 4 Cutland, Nigel J. 4 Da Prato, Giuseppe 4 Dzhaparidze, Kacha 4 Elliott, Robert James 4 Erraoui, Mohamed 4 Haussmann, Ulrich G. 4 Kolokoltsov, Vassili N. 4 Mathieu, Pierre 4 Milstein, Grigori N. 4 Mittmann, Katrin 4 Morimoto, Hiroaki 4 Orsingher, Enzo 4 Puhalskii, Anatolii A. 4 Sanz-Solé, Marta 4 Spreij, Peter 3 Bahlali, Khaled 3 Brzeźniak, Zdzisław 3 Buckdahn, Rainer 3 Capasso, Vincenzo 3 Ceci, Claudia 3 Dang Hung Thang 3 Fang, Shizan 3 Ferrante, Marco 3 Florchinger, Patrick 3 Fuhrman, Marco 3 Goldys, Beniamin 3 Hamadene, Saïd 3 Hu, Yaozhong 3 Iscoe, Ian 3 Kallianpur, Gopinath 3 Kendall, Wilfrid S. 3 Krylov, Nicolaĭ Vladimirovich 3 Kushner, Harold J. 3 Kutoyants, Yury A. 3 Lepeltier, Jean-Pierre 3 Liptser, Robert 3 Mezerdi, Brahim 3 Miclo, Laurent 3 Mohammed, Salah-Eldin A. 3 Øksendal, Bernt Karsten 3 Peng, Shige 3 Privault, Nicolas 3 Rogers, L. C. G. 3 Roynette, Bernard 3 Russo, Francesco 3 Schmidt, Wolfgang M. 3 Shashiashvili, Malkhaz 3 Shi, Zhan 3 Spokoĭnyĭ, Vladimir Grigor’evich 3 Taniguchi, Takeshi 3 Thieullen, Michèle 3 Tudor, Constantin 3 Vallois, Pierre 3 Wang, Hui 3 Werner, Wendelin 3 Wihstutz, Volker 3 Willinger, Walter 3 Xia, Aihua 3 Zheng, Weian 3 Zhou, Xunyu 2 Arnaudon, Marc 2 Assing, Sigurd 2 Bakhtin, Victor I. 2 Bensoussan, Alain 2 Bertoin, Jean 2 Borkar, Vivek Shripad 2 Boutahar, Mohamed 2 Breton, Michèle 2 Brown, Timothy C. 2 Calzolari, Antonella 2 Carmona, Sara C. 2 Cherny, Alexander S. ...and 549 more Authors all top 5 Fields 614 Probability theory and stochastic processes (60-XX) 143 Systems theory; control (93-XX) 46 Partial differential equations (35-XX) 44 Statistics (62-XX) 43 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 26 Calculus of variations and optimal control; optimization (49-XX) 25 Ordinary differential equations (34-XX) 24 Operations research, mathematical programming (90-XX) 19 Numerical analysis (65-XX) 15 Global analysis, analysis on manifolds (58-XX) 11 Measure and integration (28-XX) 11 Operator theory (47-XX) 10 Potential theory (31-XX) 8 Functional analysis (46-XX) 6 Dynamical systems and ergodic theory (37-XX) 4 Approximations and expansions (41-XX) 4 Biology and other natural sciences (92-XX) 3 Fluid mechanics (76-XX) 3 Quantum theory (81-XX) 2 Nonassociative rings and algebras (17-XX) 2 Integral equations (45-XX) 2 Convex and discrete geometry (52-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Number theory (11-XX) 1 Real functions (26-XX) 1 Abstract harmonic analysis (43-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 564 Publications have been cited 7,052 times in 5,753 Documents Cited by ▼ Year ▼ Random attractors for the 3D stochastic Navier-Stokes equation with multiplicative white noise. Zbl 0870.60057 Flandoli, Franco; Schmalfuss, Björn 313 1996 Backward stochastic differential equations and integral-partial differential equations. Zbl 0878.60036 Barles, Guy; Buckdahn, Rainer; Pardoux, Etienne 266 1997 Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Zbl 0739.60060 Peng, Shige 265 1991 Equivalent martingale measures and no-arbitrage in stochastic securities market models. Zbl 0694.90037 Dalang, Robert C.; Morton, Andrew; Willinger, Walter 139 1990 A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Zbl 0756.49015 Peng, Shige 133 1992 On stochastic convolution in Banach spaces and applications. Zbl 0891.60056 Brzeźniak, Zdzisław 126 1997 Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048 Alòs, Elisa; Nualart, David 111 2002 On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications. Zbl 0721.60062 Dupuis, Paul; Ishii, Hitoshi 111 1991 On the support of solutions to the heat equation with noise. Zbl 0749.60057 Mueller, Carl 103 1991 Finite element and difference approximation of some linear stochastic partial differential equations. Zbl 0907.65147 Allen, E. J.; Novosel, S. J.; Zhang, Z. 93 1998 Stochastic analysis of fractional Brownian motions. Zbl 0886.60076 Lin, S. J. 87 1995 Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057 Hamadène, S. 87 2002 A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070 Ocone, Daniel L.; Karatzas, Ioannis 84 1991 Some solvable stochastic control problems with delay. Zbl 0999.93072 Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès 73 2000 Second-order discretization schemes of stochastic differential systems for the computation of the invariant law. Zbl 0697.60066 Talay, Denis 67 1990 Backward equations, stochastic control and zero-sum stochastic differential games. Zbl 0858.60056 Hamadène, S.; Lepeltier, J. P. 65 1995 Importance sampling, large deviations, and differential games. Zbl 1076.65003 Dupuis, Paul; Wang, Hui 63 2004 Existence for BSDE with superlinear-quadratic coefficient. Zbl 0910.60046 Lepeltier, J.-P.; San Martín, J. 62 1998 Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053 Russo, Francesco; Vallois, Pierre 61 2000 Epi-consistency of convex stochastic programs. Zbl 0733.90049 King, Alan J.; Wets, Roger J.-B. 56 1991 Stochastic Burgers equation with correlated noise. Zbl 0853.35138 Da Prato, Giuseppe; Gatarek, Dariusz 53 1995 Evolution equations with white-noise boundary conditions. Zbl 0814.60055 Da Prato, Giuseppe; Zabczyk, J. 51 1993 Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075 Larssen, Bjørnar 50 2002 Maximum principle for semilinear stochastic evolution control systems. Zbl 0722.93080 Hu, Ying; Peng, Shige 49 1990 Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach. Zbl 0795.93103 Tang, Shanjian; Yong, Jiongmin 48 1993 Asymptotic exponential stability of stochastic partial differential equations with delay. Zbl 0723.60074 Caraballo, Tomás 47 1990 Backward stochastic differential equations reflected in a convex domain. (Equations différentielles stochastiques rétrogrades réfléchies dans un convexe.) Zbl 0891.60050 Gegout-Petit, A.; Pardoux, E. 45 1996 Almost periodic solutions of affine stochastic evolution equations. Zbl 0752.60049 Tudor, Constantin 45 1992 Langevin’s stochastic differential equation extended by a time-delayed term. Zbl 0777.60048 Küchler, Uwe; Mensch, Beatrice 42 1992 Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066 Mao, Xuerong 42 2000 Stochastic inertial manifold. Zbl 0854.60059 Bensoussan, Alain; Flandoli, Franco 42 1995 Stationary and almost periodic solutions of almost periodic affine stochastic differential equations. Zbl 1043.60513 Arnold, Ludwig; Tudor, Constantin 41 1998 The no-arbitrage property under a change of numéraire. Zbl 0857.90007 Delbaen, Freddy; Schachermayer, Walter 40 1995 The stochastic maximum principle for a singular control problem. Zbl 0834.93061 Cadenillas, Abel; Haussmann, Ulrich G. 37 1994 Brownian motion and Besov spaces. (Mouvement brownien et espaces de Besov.) Zbl 0808.60071 Roynette, Bernard 37 1993 On the differentiation of heat semigroups and Poisson integrals. Zbl 0897.60064 Thalmaier, Anton 36 1997 Asymptotic stability theorems of semilinear stochastic evolution equations in Hilbert spaces. Zbl 0854.60051 Taniguchi, Takeshi 33 1995 Régulations déterministes et stochastiques dans le premier “orthant” de \(R^ n\). (Deterministic and stochastic regulations in the first “orthant” of \(R^ n)\). Zbl 0727.60109 Bernard, Alain; El Kharroubi, Ahmed 33 1991 Reflected backward stochastic differential equations with jumps. Zbl 0918.60046 Ouknine, Y. 33 1998 Markov measures for random dynamical systems. Zbl 0739.60066 Crauel, Hans 32 1991 Ergodic results for stochastic Navier-Stokes equation. Zbl 0882.60059 Ferrario, Benedetta 31 1997 Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036 Kuroda, Kazutaka; Nagai, Hideo 31 2002 An extension of Clark’s formula. Zbl 0745.60056 Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu 31 1991 Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052 Privault, Nicolas 30 1994 Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048 Benth, Fred Espen; Gjerde, Jon 29 1998 Random times at which insiders can have free lunches. Zbl 1041.91034 Imkeller, Peter 29 2002 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046 El Karoui, Nicole; Karatzas, Ioannis 29 1991 Lévy measure with generalized polar decomposition and the associated SDE with jumps. Zbl 0753.60073 Tsuchiya, Masaaki 28 1992 Equivalent martingale measures and no-arbitrage. Zbl 0851.60042 Rogers, L. C. G. 28 1994 Backward stochastic variational inequalities. Zbl 0948.60049 Pardoux, Etienne; Răşcanu, Aurel 28 1999 BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062 Royer, Manuela 28 2004 Lyapunov functionals and asymptotic stability of stochastic delay evolution equations. Zbl 0947.93037 Liu, Kai 28 1998 Limit theorems on large deviations for semimartingales. Zbl 0749.60027 Liptser, Robert Sh.; Pukhalskii, Anatolii A. 27 1992 Semigroup of hyperbolic Brownian motion. (Semi-groupe du mouvement Brownien hyperbolique.) Zbl 0891.60075 Gruet, J.-C. 27 1996 Large deviations of semimartingales via convergence of the predictable characteristics. Zbl 0827.60017 Puhalskii, A. 27 1994 The algebra of iterated stochastic integrals. Zbl 0827.60038 Gaines, J. G. 27 1994 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087 Gapeev, P. V.; Peskir, G. 27 2004 A class of solvable stochastic investment problems involving singular controls. Zbl 0825.93981 Kobila, T. Ø. 27 1993 Stochastic evolution equations in \(L_{\rho}^{2\nu}\). Zbl 0926.60051 Manthey, Ralf; Zausinger, Thomas 27 1999 Dirichlet boundary value problem for stochastic parabolic equations: Compatibility relations and regularity of solutions. Zbl 0696.60057 Flandoli, Franco 27 1990 Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044 Djellout, Hacène 26 2002 Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045 Rüdiger, B. 26 2004 Convergence of the fluctuations for interacting diffusions with jumps associated with Boltzmann equations. Zbl 0905.60073 Meleard, Sylvie 26 1998 Pseudodifferential operators with negative definite symbols and the martingale problem. Zbl 0880.47029 Hoh, Walter 26 1995 A stochastic approximation type EM algorithm for the mixture problem. Zbl 0766.62050 Celeux, Gilles; Diebolt, Jean 26 1992 Laplace method: variational study of fluctuations of diffusions of “mean-field” type). (Méthode de Laplace: Étude variationnelle des fluctuations de diffusions de type “champ moyen”.) Zbl 0705.60046 Ben Arous, Gérard; Brunaud, Marc 26 1990 Finite-fuel singular control with discretionary stopping. Zbl 0979.93121 Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail 25 2000 On weak solutions of stochastic equations in Hilbert spaces. Zbl 0824.60052 Gątarek, Dariusz; Gołdys, Beniamin 24 1994 Stratonovich integral and trace. Zbl 0706.60056 Solé, J. LL.; Utzet, F. 24 1990 A unified treatment of maximum principle and dynamic programming in stochastic controls. Zbl 0756.93087 Zhou, Xun Yu 23 1991 Quantitative approximation of certain stochastic integrals. Zbl 1013.60031 Geiss, Stefan 23 2002 Construction of stochastic inertial manifolds using backward integration. Zbl 0876.60040 Da Prato, Giuseppe; Debussche, Arnaud 22 1996 A class of solvable singular stochastic control problems. Zbl 0931.93076 Alvarez, Luis H. R. 22 1999 On the exponential functionals of certain Lévy processes. (Sur les fonctionnelles exponentielles de certains processus de Lévy.) Zbl 0830.60072 Carmona, P.; Petit, F.; Yor, M. 22 1994 On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056 Geiss, Christel; Geiss, Stefan 22 2004 The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049 Fuhrman, Marco; Tessitore, Gianmario 22 2002 Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027 Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 22 2002 A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027 Rivero, Víctor 21 2003 Time-discretization of the Zakai equation for diffusion processes observed in correlated noise. Zbl 0729.60036 Florchinger, Patrick; Le Gland, François 21 1991 Exponential stability of stochastic differential delay equations. Zbl 0872.60045 Mao, Xuerong; Shah, Anita 21 1997 On a class of mixing processes. Zbl 0677.93070 Gerencsér, László 21 1989 On the approximation of stochastic partial differential equations. II. Zbl 0669.60059 Gyöngy, I. 21 1989 On the Dirichlet problem for a class of second order PDE systems with small parameter. Zbl 0723.60095 Eizenberg, Alexander; Freidlin, Mark 20 1990 On the theorem of T. Yamada and S. Watanabe. Zbl 0739.60046 Engelbert, H. J. 20 1991 Existence, uniqueness and smoothness for a class of function valued stochastic partial differential equations. Zbl 0766.60078 Kotelenez, Peter 20 1992 Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062 Carmona, René A.; Viens, Frederi G. 20 1998 General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117 Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C. 20 2000 Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056 Øksendal, Bernt; Zhang, Tusheng 20 2001 Microscopic structure at the shock in the asymmetric simple exclusion. Zbl 0679.60094 de Masi, A.; Kipnis, C.; Presutti, E.; Saada, E. 20 1989 Properties of uniform consistency of the kernel estimators of density and of regression functions under dependence assumptions. Zbl 0770.62032 Peligrad, Magda 19 1992 Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075 Łaukajtys, Weronika; Słomiński, Leszek 19 2003 On the convergence of Markovian stochastic algorithms with rapidly decreasing ergodicity rates. Zbl 0949.65006 Younes, Laurent 19 1999 Trivial solutions for a nonlinear two-space dimensional wave equation perturbed by space-time white noise. Zbl 0887.60069 Albeverio, Sergio; Haba, Zbigniew; Russo, Francesco 18 1996 Exact joint distribution in a model of planar random motion. Zbl 0954.60099 Orsingher, E. 18 2000 A large deviation principle with queueing applications. Zbl 1006.60021 Ganesh, A. J.; O’Connell, Neil 18 2002 Markov field properties of solutions of white noise driven quasi-linear parabolic PDEs. Zbl 0828.60043 Nualart, D.; Pardoux, E. 18 1994 Averaging of backward stochastic differential equations, with application to semilinear PDE’s. Zbl 0891.60053 Pardoux, E.; Veretennikov, A. Yu. 18 1997 Exponential estimates in exit probability for some diffusion processes in Hilbert spaces. Zbl 0699.60047 Chow, Pao-Liu; Menaldi, José-Luis 18 1990 On extensions of Polyak’s averaging approach to stochastic approximation. Zbl 0749.62055 Yin, G. 17 1991 Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048 Cambanis, Stamatis; Hu, Yaozhong 17 1996 Importance sampling, large deviations, and differential games. Zbl 1076.65003 Dupuis, Paul; Wang, Hui 63 2004 BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062 Royer, Manuela 28 2004 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087 Gapeev, P. V.; Peskir, G. 27 2004 Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045 Rüdiger, B. 26 2004 On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056 Geiss, Christel; Geiss, Stefan 22 2004 Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060 Ichihara, Naoyuki 17 2004 Hyperfinite Lévy processes. Zbl 1063.60072 Lindstrøm, Tom 17 2004 Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034 Ceci, Claudia; Bassan, Bruno 14 2004 Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052 Benth, Fred Espen; Løkka, Arne 11 2004 On Markov processes with decomposable pseudo-differential generators. Zbl 1091.60014 Kolokoltsov, Vassili N. 10 2004 Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations. Zbl 1049.60050 Amadori, Anna Lisa; Karlsen, Kenneth H.; La Chioma, Claudia 9 2004 Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080 Yin, G.; Yang, H. 8 2004 Further calculations for Israeli options. Zbl 1062.60043 Baurdoux, E. J.; Kyrianou, A. E. 8 2004 Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029 Mishura, Yuliya 7 2004 Some useful functions for functional large deviations. Zbl 1050.60024 Duffy, Ken; Rodgers-Lee, Mark 6 2004 Existence and uniqueness for solutions of one dimensional SDE’s driven by an additive fractional noise. Zbl 1062.60056 Denis, Laurent; Erraoui, Mohamed; Ouknine, Youssef 3 2004 A cyclic random motion in \(R^3\) with four directions and finite velocity. Zbl 1048.60084 Orsingher, E.; Sommella, A. M. 3 2004 On the approximation of the solutions of stochastic equations with \(\theta\)-integrals. Zbl 1051.60065 Lazakovich, N. V.; Yablonski, A. L. 3 2004 Measure-valued Markov processes and stochastic flows on abstract spaces. Zbl 1063.60084 Dorogovtsev, Andrey A. 3 2004 Probabilistic interpretation of a system of quasilinear parabolic PDEs. Zbl 1062.60063 Sow, A. B.; Pardoux, E. 2 2004 Donsker type theorem in Besov spaces involving regularly varying functions. Zbl 1050.60015 Boufoussi, Brahim; N’Zi, Modeste 2 2004 Measure-valued limits of interacting particle systems with \(k\)-nary interactions. II. Finite-dimensional limits. Zbl 1080.60093 Kolokoltsov, Vassili N. 1 2004 Lévy approximation of increment processes with Markov switching. Zbl 1063.60044 Korolyuk, Vladimir S.; Limnios, Nikolaos 1 2004 A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027 Rivero, Víctor 21 2003 Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075 Łaukajtys, Weronika; Słomiński, Leszek 19 2003 Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038 Pedersen, Jesper Lund 16 2003 Large deviations for multi-dimensional reflected fractional Brownian motion. Zbl 1032.60024 Majewski, Kurt 13 2003 Functional central limit theorems for vicious walkers. Zbl 1206.82044 Katori, Makoto; Tanemura, Hideki 11 2003 On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027 Bender, Christian; Elliott, Robert J. 11 2003 Capacity expansion with exponential jump diffusion processes. Zbl 1089.90033 Wang, Hui 6 2003 Solving parabolic Wick-stochastic boundary value problems using a finite element method. Zbl 1031.65016 Theting, Thomas Gorm 5 2003 Uniqueness result for the 2D Navier-Stokes equation with additive noise. Zbl 1107.76026 Ferrario, Benedetta 4 2003 A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057 Pham, Huyên 4 2003 Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise. Zbl 1018.60062 Kolokol’tsov, V. N.; Tyukov, A. E. 4 2003 Maximal inequalities for a continuous semimartingale. Zbl 1021.60059 Yan, Litan 4 2003 Cramér’s asymptotics in systems with fast and slow motions. Zbl 1034.60029 Bakhtin, Victor I. 3 2003 Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes. Zbl 1043.60033 Danelia, Akaki; Dochviri, Besarion; Shashiashvili, Malkhaz 2 2003 Asymptotics of superregular perturbations of fiber ergodic semigroups. Zbl 1039.60055 Bakhtin, Victor I. 1 2003 Ergodic control of partially degenerate diffusions in a compact domain. Zbl 1046.93048 Borkar, Vivek S.; Ghosh, Mrinal K. 1 2003 Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048 Alòs, Elisa; Nualart, David 111 2002 Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057 Hamadène, S. 87 2002 Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075 Larssen, Bjørnar 50 2002 Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036 Kuroda, Kazutaka; Nagai, Hideo 31 2002 Random times at which insiders can have free lunches. Zbl 1041.91034 Imkeller, Peter 29 2002 Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044 Djellout, Hacène 26 2002 Quantitative approximation of certain stochastic integrals. Zbl 1013.60031 Geiss, Stefan 23 2002 The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049 Fuhrman, Marco; Tessitore, Gianmario 22 2002 Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027 Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 22 2002 A large deviation principle with queueing applications. Zbl 1006.60021 Ganesh, A. J.; O’Connell, Neil 18 2002 Exact transient analysis of a planar random motion with three directions. Zbl 0997.60058 Di Crescenzo, Antonio 14 2002 Cahn-Hilliard stochastic equation: Strict positivity of the density. Zbl 1002.60050 Cardon-Weber, Caroline 12 2002 A Cameron-Martin type formula for general Gaussian processes: A filtering approach. Zbl 1002.60031 Kleptsyna, M. L.; Le Breton, A. 12 2002 Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078 Henderson, Vicky; Hobson, David 12 2002 Stochastic integral representations, stochastic derivatives and minimal variance hedging. Zbl 1009.60045 Di Nunno, G. 10 2002 SPDEs driven by space-time white noise in high dimensions: Absolute continuity of the law and convergence of solutions. Zbl 1030.60042 Zhang, T. S.; Zheng, W. A. 10 2002 Differential equations in spaces of abstract stochastic distributions. Zbl 1005.60083 Filinkov, Alexei; Sorensen, Julian 9 2002 Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079 Milstein, G. N.; Schoenmakers, J. G. M. 9 2002 Bessel functions of third order and the distribution of cyclic planar motions with three directions. Zbl 1015.60040 Orsingher, Enzo 9 2002 On a variational inequality associated with a stopping game combined with a control. Zbl 1019.49018 Kamizono, Kenji; Morimoto, Hiroaki 8 2002 Comparison theorems for stochastic evolution equations. Zbl 0999.60060 Milian, Anna 7 2002 Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039 Bassan, Bruno; Ceci, Claudia 6 2002 Necessary conditions for optimality in relaxed stochastic control problems. Zbl 1092.93043 Mezerdi, Brahim; Bahlali, Seid 6 2002 On a general result for backward stochastic differential equations. Zbl 1013.60041 Hassani, Mohammed; Ouknine, Youssef 6 2002 Limit theorems for some functionals associated with stable processes in a class of Besov spaces. (Théorèmes limites pour certaines fonctionnelles associées aux processus stables dans une classe d’espaces de Besov.) Zbl 1015.60068 Ait Ouahra, M.; Boufoussi, B.; Lakhel, E. 6 2002 Generalized calculus and SDEs with non regular drift. Zbl 1007.60046 Flandoli, Franco; Russo, Francesco 5 2002 Discrete chaotic calculus and covariance identities. Zbl 1007.60047 Privault, Nicolas; Schoutens, Wim 5 2002 The Robbins-Monro type stochastic differential equations. II: Asymptotic behaviour of solutions. Zbl 1032.60054 Lazrieva, N.; Sharia, T.; Toronjadze, T. 5 2002 Stochastic reaction diffusion equations on an infinite interval with reflection. 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Zbl 0964.62085 Campillo, Fabien; Kutoyants, Yury; Le Gland, François 3 2000 ...and 464 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,284 Authors 48 Wang, Bixiang 43 Ouknine, Youssef 38 Nualart, David 34 Brzeźniak, Zdzisław 34 Caraballo Garrido, Tomás 34 Wu, Zhen 33 Øksendal, Bernt Karsten 32 Zhang, Tusheng S. 31 Russo, Francesco 30 Albeverio, Sergio A. 29 Hamadene, Saïd 29 Zhao, Weidong 28 Maslowski, Bohdan 26 Hu, Ying 26 Khoshnevisan, Davar 26 Lu, Kening 26 Peng, Shige 24 Bahlali, Khaled 24 Li, Juan 24 Shu, Ji 24 Yan, Litan 23 Duan, Jinqiao 23 Ren, Yong 22 El Otmani, Mohamed 22 Jentzen, Arnulf 21 Kloeden, Peter Eris 21 Privault, Nicolas 20 Imkeller, Peter 20 Mao, Xuerong 20 Rásonyi, Miklós 20 Röckner, Michael 20 Schmalfuß, Björn 20 Zhang, Qing 19 Budhiraja, Amarjit S. 19 Hausenblas, Erika 19 Li, Dingshi 19 Mohan, Manil Thankamani 18 Dupuis, Paul G. 18 Ferrari, Giorgio 18 Flandoli, Franco 18 Ji, Shaolin 18 Mezerdi, Brahim 18 Orsingher, Enzo 18 Słomiński, Leszek 18 Veraar, Mark C. 18 Xiong, Jie 17 Hu, Yaozhong 16 Fuhrman, Marco 16 Karatzas, Ioannis 16 Tindel, Samy 16 Vallois, Pierre 15 Djehiche, Boualem 15 Elliott, Robert James 15 Fan, Shengjun 15 Goldys, Beniamin 15 Gyöngy, István 15 Langa, Jose’ Antonio 15 Lépinette, Emmanuel 15 Pardoux, Etienne 15 Stettner, Łukasz 15 Tang, Shanjian 15 Thalmaier, Anton 15 Tudor, Ciprian A. 15 Zhao, Wenqiang 14 Buckdahn, Rainer 14 Dalang, Robert C. 14 Duncan, Tyrone E. 14 Essaky, El Hassan 14 Friz, Peter 14 Gu, Anhui 14 Hu, Mingshang 14 Ondreját, Martin 14 Pasik-Duncan, Bozenna 14 Proske, Frank Norbert 14 Tessitore, Gianmario 14 Wang, Feng-Yu 14 Wang, Xiaohu 14 Zabczyk, Jerzy 14 Zhao, Huaizhong 14 Zhou, Shengfan 13 Confortola, Fulvia 13 Debussche, Arnaud 13 Garrido-Atienza, María José 13 Han, Xiaoying 13 Kim, Kunwoo 13 Klimsiak, Tomasz 13 Maticiuc, Lucian 13 Milstein, Grigori N. 13 Pham, Huyên 13 Schachermayer, Walter 13 Wang, Yejuan 12 Di Nunno, Giulia 12 Gao, Hongjun 12 Gapeev, Pavel V. 12 Hili, Ouagnina 12 Kohatsu-Higa, Arturo 12 León, Jorge A. 12 Ma, Jin 12 Nie, Tianyang 12 Peszat, Szymon ...and 5,184 more Authors all top 5 Cited in 556 Journals 486 Stochastic Processes and their Applications 164 The Annals of Probability 153 Stochastic Analysis and Applications 151 The Annals of Applied Probability 149 Journal of Mathematical Analysis and Applications 143 Stochastics 121 Stochastics and Dynamics 120 Probability Theory and Related Fields 116 Statistics & Probability Letters 106 Journal of Differential Equations 101 Applied Mathematics and Optimization 97 Journal of Theoretical Probability 87 Journal of Functional Analysis 71 Mathematical Finance 70 Systems & Control Letters 67 SIAM Journal on Control and Optimization 62 Bernoulli 61 Discrete and Continuous Dynamical Systems. 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Latin American Journal of Probability and Mathematical Statistics 12 Frontiers of Mathematics in China 11 Applied Numerical Mathematics ...and 456 more Journals all top 5 Cited in 59 Fields 4,454 Probability theory and stochastic processes (60-XX) 1,256 Partial differential equations (35-XX) 937 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 908 Systems theory; control (93-XX) 544 Numerical analysis (65-XX) 479 Calculus of variations and optimal control; optimization (49-XX) 454 Dynamical systems and ergodic theory (37-XX) 411 Ordinary differential equations (34-XX) 397 Statistics (62-XX) 292 Operations research, mathematical programming (90-XX) 204 Operator theory (47-XX) 174 Statistical mechanics, structure of matter (82-XX) 135 Fluid mechanics (76-XX) 133 Functional analysis (46-XX) 116 Global analysis, analysis on manifolds (58-XX) 114 Biology and other natural sciences (92-XX) 103 Measure and integration (28-XX) 70 Integral equations (45-XX) 60 Computer science (68-XX) 57 Real functions (26-XX) 40 Potential theory (31-XX) 33 Quantum theory (81-XX) 27 Differential geometry (53-XX) 25 Harmonic analysis on Euclidean spaces (42-XX) 22 Mechanics of particles and systems (70-XX) 21 Abstract harmonic analysis (43-XX) 20 Approximations and expansions (41-XX) 20 Mechanics of deformable solids (74-XX) 19 Linear and multilinear algebra; matrix theory (15-XX) 19 Information and communication theory, circuits (94-XX) 18 Difference and functional equations (39-XX) 17 Geophysics (86-XX) 15 Mathematical logic and foundations (03-XX) 15 Special functions (33-XX) 13 Convex and discrete geometry (52-XX) 11 Combinatorics (05-XX) 10 Associative rings and algebras (16-XX) 8 Functions of a complex variable (30-XX) 7 Integral transforms, operational calculus (44-XX) 6 Classical thermodynamics, heat transfer (80-XX) 5 Topological groups, Lie groups (22-XX) 5 General topology (54-XX) 5 Optics, electromagnetic theory (78-XX) 4 General and overarching topics; collections (00-XX) 4 Number theory (11-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 3 Group theory and generalizations (20-XX) 2 History and biography (01-XX) 2 Algebraic geometry (14-XX) 2 Nonassociative rings and algebras (17-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Sequences, series, summability (40-XX) 2 Algebraic topology (55-XX) 2 Manifolds and cell complexes (57-XX) 2 Astronomy and astrophysics (85-XX) 1 Commutative algebra (13-XX) 1 Geometry (51-XX) 1 Relativity and gravitational theory (83-XX) 1 Mathematics education (97-XX) Citations by Year