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 Spreij, Peter 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 Donati-Martin, Catherine 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 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 Spokoiny, Vladimir G. 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 Blower, Gordon 2 Borkar, Vivek Shripad 2 Boutahar, Mohamed 2 Breton, Michèle 2 Brown, Timothy C. 2 Calzolari, Antonella ...and 546 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 561 Publications have been cited 6,584 times in 5,359 Documents Cited by ▼ Year ▼ Random attractors for the 3D stochastic Navier-Stokes equation with multiplicative white noise. Zbl 0870.60057Flandoli, Franco; Schmalfuss, Björn 285 1996 Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Zbl 0739.60060Peng, Shige 242 1991 Backward stochastic differential equations and integral-partial differential equations. Zbl 0878.60036Barles, Guy; Buckdahn, Rainer; Pardoux, Etienne 240 1997 Equivalent martingale measures and no-arbitrage in stochastic securities market models. Zbl 0694.90037Dalang, Robert C.; Morton, Andrew; Willinger, Walter 127 1990 A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Zbl 0756.49015Peng, Shige 125 1992 On stochastic convolution in Banach spaces and applications. Zbl 0891.60056Brzeźniak, Zdzisław 115 1997 On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications. Zbl 0721.60062Dupuis, Paul; Ishii, Hitoshi 108 1991 Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048Alòs, Elisa; Nualart, David 105 2002 On the support of solutions to the heat equation with noise. Zbl 0749.60057Mueller, Carl 95 1991 Stochastic analysis of fractional Brownian motions. Zbl 0886.60076Lin, S. J. 85 1995 Finite element and difference approximation of some linear stochastic partial differential equations. Zbl 0907.65147Allen, E. J.; Novosel, S. J.; Zhang, Z. 84 1998 A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070Ocone, Daniel L.; Karatzas, Ioannis 81 1991 Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057Hamadène, S. 80 2002 Some solvable stochastic control problems with delay. Zbl 0999.93072Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès 69 2000 Second-order discretization schemes of stochastic differential systems for the computation of the invariant law. Zbl 0697.60066Talay, Denis 62 1990 Existence for BSDE with superlinear-quadratic coefficient. Zbl 0910.60046Lepeltier, J.-P.; San Martín, J. 59 1998 Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053Russo, Francesco; Vallois, Pierre 59 2000 Backward equations, stochastic control and zero-sum stochastic differential games. Zbl 0858.60056Hamadène, S.; Lepeltier, J. P. 58 1995 Importance sampling, large deviations, and differential games. Zbl 1076.65003Dupuis, Paul; Wang, Hui 56 2004 Stochastic Burgers equation with correlated noise. Zbl 0853.35138Da Prato, Giuseppe; Gatarek, Dariusz 51 1995 Epi-consistency of convex stochastic programs. Zbl 0733.90049King, Alan J.; Wets, Roger J.-B. 51 1991 Evolution equations with white-noise boundary conditions. Zbl 0814.60055Da Prato, Giuseppe; Zabczyk, J. 46 1993 Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075Larssen, Bjørnar 44 2002 Asymptotic exponential stability of stochastic partial differential equations with delay. Zbl 0723.60074Caraballo, Tomás 44 1990 Maximum principle for semilinear stochastic evolution control systems. Zbl 0722.93080Hu, Ying; Peng, Shige 44 1990 Almost periodic solutions of affine stochastic evolution equations. Zbl 0752.60049Tudor, Constantin 43 1992 Backward stochastic differential equations reflected in a convex domain. (Equations différentielles stochastiques rétrogrades réfléchies dans un convexe.) Zbl 0891.60050Gegout-Petit, A.; Pardoux, E. 43 1996 Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach. Zbl 0795.93103Tang, Shanjian; Yong, Jiongmin 43 1993 Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066Mao, Xuerong 38 2000 Stochastic inertial manifold. Zbl 0854.60059Bensoussan, Alain; Flandoli, Franco 37 1995 The no-arbitrage property under a change of numéraire. Zbl 0857.90007Delbaen, Freddy; Schachermayer, Walter 36 1995 Stationary and almost periodic solutions of almost periodic affine stochastic differential equations. Zbl 1043.60513Arnold, Ludwig; Tudor, Constantin 34 1998 Brownian motion and Besov spaces. (Mouvement brownien et espaces de Besov.) Zbl 0808.60071Roynette, Bernard 33 1993 Reflected backward stochastic differential equations with jumps. Zbl 0918.60046Ouknine, Y. 33 1998 The stochastic maximum principle for a singular control problem. Zbl 0834.93061Cadenillas, Abel; Haussmann, Ulrich G. 33 1994 On the differentiation of heat semigroups and Poisson integrals. Zbl 0897.60064Thalmaier, Anton 32 1997 Régulations déterministes et stochastiques dans le premier “orthant” de \(R^ n\). (Deterministic and stochastic regulations in the first “orthant” of \(R^ n)\). Zbl 0727.60109Bernard, Alain; El Kharroubi, Ahmed 32 1991 Markov measures for random dynamical systems. Zbl 0739.60066Crauel, Hans 31 1991 Langevin’s stochastic differential equation extended by a time-delayed term. Zbl 0777.60048Küchler, Uwe; Mensch, Beatrice 31 1992 Ergodic results for stochastic Navier-Stokes equation. Zbl 0882.60059Ferrario, Benedetta 31 1997 Asymptotic stability theorems of semilinear stochastic evolution equations in Hilbert spaces. Zbl 0854.60051Taniguchi, Takeshi 31 1995 An extension of Clark’s formula. Zbl 0745.60056Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu 29 1991 Random times at which insiders can have free lunches. Zbl 1041.91034Imkeller, Peter 29 2002 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046El Karoui, Nicole; Karatzas, Ioannis 28 1991 Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048Benth, Fred Espen; Gjerde, Jon 28 1998 Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052Privault, Nicolas 28 1994 Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036Kuroda, Kazutaka; Nagai, Hideo 28 2002 Lévy measure with generalized polar decomposition and the associated SDE with jumps. Zbl 0753.60073Tsuchiya, Masaaki 27 1992 Lyapunov functionals and asymptotic stability of stochastic delay evolution equations. Zbl 0947.93037Liu, Kai 27 1998 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087Gapeev, P. V.; Peskir, G. 26 2004 Semigroup of hyperbolic Brownian motion. (Semi-groupe du mouvement Brownien hyperbolique.) Zbl 0891.60075Gruet, J.-C. 26 1996 A class of solvable stochastic investment problems involving singular controls. Zbl 0825.93981Kobila, T. Ø. 26 1993 Stochastic evolution equations in \(L_{\rho}^{2\nu}\). Zbl 0926.60051Manthey, Ralf; Zausinger, Thomas 26 1999 Equivalent martingale measures and no-arbitrage. Zbl 0851.60042Rogers, L. C. G. 26 1994 Dirichlet boundary value problem for stochastic parabolic equations: Compatibility relations and regularity of solutions. Zbl 0696.60057Flandoli, Franco 26 1990 Limit theorems on large deviations for semimartingales. Zbl 0749.60027Liptser, Robert Sh.; Pukhalskii, Anatolii A. 25 1992 A stochastic approximation type EM algorithm for the mixture problem. Zbl 0766.62050Celeux, Gilles; Diebolt, Jean 25 1992 Large deviations of semimartingales via convergence of the predictable characteristics. Zbl 0827.60017Puhalskii, A. 25 1994 The algebra of iterated stochastic integrals. Zbl 0827.60038Gaines, J. G. 25 1994 Backward stochastic variational inequalities. Zbl 0948.60049Pardoux, Etienne; Răşcanu, Aurel 25 1999 BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062Royer, Manuela 25 2004 Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045Rüdiger, B. 25 2004 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 0705.60046Ben Arous, Gérard; Brunaud, Marc 25 1990 Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044Djellout, Hacène 24 2002 Pseudodifferential operators with negative definite symbols and the martingale problem. Zbl 0880.47029Hoh, Walter 23 1995 Quantitative approximation of certain stochastic integrals. Zbl 1013.60031Geiss, Stefan 23 2002 Convergence of the fluctuations for interacting diffusions with jumps associated with Boltzmann equations. Zbl 0905.60073Meleard, Sylvie 22 1998 On the exponential functionals of certain Lévy processes. (Sur les fonctionnelles exponentielles de certains processus de Lévy.) Zbl 0830.60072Carmona, P.; Petit, F.; Yor, M. 22 1994 Finite-fuel singular control with discretionary stopping. Zbl 0979.93121Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail 22 2000 On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056Geiss, 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 1013.60049Fuhrman, Marco; Tessitore, Gianmario 22 2002 Stratonovich integral and trace. Zbl 0706.60056Solé, J. LL.; Utzet, F. 22 1990 On weak solutions of stochastic equations in Hilbert spaces. Zbl 0824.60052Gątarek, Dariusz; Gołdys, Beniamin 21 1994 Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 21 2002 A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027Rivero, Víctor 21 2003 Existence, uniqueness and smoothness for a class of function valued stochastic partial differential equations. Zbl 0766.60078Kotelenez, Peter 20 1992 Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062Carmona, René A.; Viens, Frederi G. 20 1998 Construction of stochastic inertial manifolds using backward integration. Zbl 0876.60040Da Prato, Giuseppe; Debussche, Arnaud 20 1996 General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C. 20 2000 On the approximation of stochastic partial differential equations. II. Zbl 0669.60059Gyöngy, I. 20 1989 On a class of mixing processes. Zbl 0677.93070Gerencsér, László 20 1989 A unified treatment of maximum principle and dynamic programming in stochastic controls. Zbl 0756.93087Zhou, Xun Yu 19 1991 Properties of uniform consistency of the kernel estimators of density and of regression functions under dependence assumptions. Zbl 0770.62032Peligrad, Magda 19 1992 On the convergence of Markovian stochastic algorithms with rapidly decreasing ergodicity rates. Zbl 0949.65006Younes, Laurent 19 1999 Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056Øksendal, Bernt; Zhang, Tusheng 19 2001 A class of solvable singular stochastic control problems. Zbl 0931.93076Alvarez, Luis H. R. 19 1999 Microscopic structure at the shock in the asymmetric simple exclusion. Zbl 0679.60094de Masi, A.; Kipnis, C.; Presutti, E.; Saada, E. 19 1989 On the Dirichlet problem for a class of second order PDE systems with small parameter. Zbl 0723.60095Eizenberg, Alexander; Freidlin, Mark 19 1990 On the theorem of T. Yamada and S. Watanabe. Zbl 0739.60046Engelbert, H. J. 18 1991 On extensions of Polyak’s averaging approach to stochastic approximation. Zbl 0749.62055Yin, G. 17 1991 Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048Cambanis, Stamatis; Hu, Yaozhong 17 1996 Exponential stability of stochastic differential delay equations. Zbl 0872.60045Mao, Xuerong; Shah, Anita 17 1997 Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075Łaukajtys, Weronika; Słomiński, Leszek 17 2003 Exponential estimates in exit probability for some diffusion processes in Hilbert spaces. Zbl 0699.60047Chow, Pao-Liu; Menaldi, José-Luis 17 1990 A large deviation principle with queueing applications. Zbl 1006.60021Ganesh, A. J.; O’Connell, Neil 16 2002 Viscosity solutions of optimal stopping problems. Zbl 0913.60037Øksendal, Bernt; Reikvam, Kristin 16 1998 Averaging of backward stochastic differential equations, with application to semilinear PDE’s. Zbl 0891.60053Pardoux, E.; Veretennikov, A. Yu. 16 1997 Trivial solutions for a nonlinear two-space dimensional wave equation perturbed by space-time white noise. Zbl 0887.60069Albeverio, Sergio; Haba, Zbigniew; Russo, Francesco 16 1996 Large deviations for occupation times of measure-valued branching Brownian motions. Zbl 0797.60025Iscoe, Ian; Lee, Tzong-Yow 16 1993 Markov field properties of solutions of white noise driven quasi-linear parabolic PDEs. Zbl 0828.60043Nualart, D.; Pardoux, E. 16 1994 Importance sampling, large deviations, and differential games. Zbl 1076.65003Dupuis, Paul; Wang, Hui 56 2004 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087Gapeev, P. V.; Peskir, G. 26 2004 BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062Royer, Manuela 25 2004 Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045Rüdiger, B. 25 2004 On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056Geiss, Christel; Geiss, Stefan 22 2004 Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060Ichihara, Naoyuki 16 2004 Hyperfinite Lévy processes. Zbl 1063.60072Lindstrøm, Tom 15 2004 Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034Ceci, Claudia; Bassan, Bruno 13 2004 Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052Benth, Fred Espen; Løkka, Arne 11 2004 On Markov processes with decomposable pseudo-differential generators. Zbl 1091.60014Kolokoltsov, 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 1049.60050Amadori, Anna Lisa; Karlsen, Kenneth H.; La Chioma, Claudia 9 2004 Further calculations for Israeli options. Zbl 1062.60043Baurdoux, E. J.; Kyrianou, A. E. 8 2004 Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080Yin, G.; Yang, H. 7 2004 Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029Mishura, Yuliya 7 2004 Some useful functions for functional large deviations. Zbl 1050.60024Duffy, Ken; Rodgers-Lee, Mark 6 2004 On the approximation of the solutions of stochastic equations with \(\theta\)-integrals. Zbl 1051.60065Lazakovich, N. V.; Yablonski, A. L. 3 2004 Existence and uniqueness for solutions of one dimensional SDE’s driven by an additive fractional noise. Zbl 1062.60056Denis, Laurent; Erraoui, Mohamed; Ouknine, Youssef 3 2004 A cyclic random motion in \(R^3\) with four directions and finite velocity. Zbl 1048.60084Orsingher, E.; Sommella, A. M. 2 2004 Donsker type theorem in Besov spaces involving regularly varying functions. Zbl 1050.60015Boufoussi, Brahim; N’Zi, Modeste 2 2004 Measure-valued Markov processes and stochastic flows on abstract spaces. Zbl 1063.60084Dorogovtsev, Andrey A. 2 2004 Probabilistic interpretation of a system of quasilinear parabolic PDEs. Zbl 1062.60063Sow, A. B.; Pardoux, E. 2 2004 Measure-valued limits of interacting particle systems with \(k\)-nary interactions. II. Finite-dimensional limits. Zbl 1080.60093Kolokoltsov, Vassili N. 1 2004 Lévy approximation of increment processes with Markov switching. Zbl 1063.60044Korolyuk, Vladimir S.; Limnios, Nikolaos 1 2004 A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027Rivero, Víctor 21 2003 Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075Łaukajtys, Weronika; Słomiński, Leszek 17 2003 Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038Pedersen, Jesper Lund 15 2003 Large deviations for multi-dimensional reflected fractional Brownian motion. Zbl 1032.60024Majewski, Kurt 12 2003 Functional central limit theorems for vicious walkers. Zbl 1206.82044Katori, Makoto; Tanemura, Hideki 11 2003 On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027Bender, Christian; Elliott, Robert J. 11 2003 Capacity expansion with exponential jump diffusion processes. Zbl 1089.90033Wang, Hui 6 2003 Solving parabolic Wick-stochastic boundary value problems using a finite element method. Zbl 1031.65016Theting, Thomas Gorm 5 2003 Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise. Zbl 1018.60062Kolokol’tsov, V. N.; Tyukov, A. E. 4 2003 Maximal inequalities for a continuous semimartingale. Zbl 1021.60059Yan, Litan 4 2003 A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057Pham, Huyên 4 2003 Uniqueness result for the 2D Navier-Stokes equation with additive noise. Zbl 1107.76026Ferrario, Benedetta 4 2003 Cramér’s asymptotics in systems with fast and slow motions. Zbl 1034.60029Bakhtin, Victor I. 3 2003 Ergodic control of partially degenerate diffusions in a compact domain. Zbl 1046.93048Borkar, Vivek S.; Ghosh, Mrinal K. 1 2003 Asymptotics of superregular perturbations of fiber ergodic semigroups. Zbl 1039.60055Bakhtin, Victor I. 1 2003 Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes. Zbl 1043.60033Danelia, Akaki; Dochviri, Besarion; Shashiashvili, Malkhaz 1 2003 Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048Alòs, Elisa; Nualart, David 105 2002 Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057Hamadène, S. 80 2002 Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075Larssen, Bjørnar 44 2002 Random times at which insiders can have free lunches. Zbl 1041.91034Imkeller, Peter 29 2002 Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036Kuroda, Kazutaka; Nagai, Hideo 28 2002 Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044Djellout, Hacène 24 2002 Quantitative approximation of certain stochastic integrals. Zbl 1013.60031Geiss, Stefan 23 2002 The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049Fuhrman, Marco; Tessitore, Gianmario 22 2002 Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 21 2002 A large deviation principle with queueing applications. Zbl 1006.60021Ganesh, A. J.; O’Connell, Neil 16 2002 Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078Henderson, Vicky; Hobson, David 12 2002 Exact transient analysis of a planar random motion with three directions. Zbl 0997.60058Di Crescenzo, Antonio 12 2002 Stochastic integral representations, stochastic derivatives and minimal variance hedging. Zbl 1009.60045Di Nunno, G. 10 2002 SPDEs driven by space-time white noise in high dimensions: Absolute continuity of the law and convergence of solutions. Zbl 1030.60042Zhang, T. S.; Zheng, W. A. 10 2002 A Cameron-Martin type formula for general Gaussian processes: A filtering approach. Zbl 1002.60031Kleptsyna, M. L.; Le Breton, A. 10 2002 Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079Milstein, G. N.; Schoenmakers, J. G. M. 9 2002 Cahn-Hilliard stochastic equation: Strict positivity of the density. Zbl 1002.60050Cardon-Weber, Caroline 9 2002 Bessel functions of third order and the distribution of cyclic planar motions with three directions. Zbl 1015.60040Orsingher, Enzo 8 2002 Differential equations in spaces of abstract stochastic distributions. Zbl 1005.60083Filinkov, Alexei; Sorensen, Julian 8 2002 Comparison theorems for stochastic evolution equations. Zbl 0999.60060Milian, Anna 7 2002 On a variational inequality associated with a stopping game combined with a control. Zbl 1019.49018Kamizono, Kenji; Morimoto, Hiroaki 6 2002 Necessary conditions for optimality in relaxed stochastic control problems. Zbl 1092.93043Mezerdi, Brahim; Bahlali, Seid 6 2002 On a general result for backward stochastic differential equations. Zbl 1013.60041Hassani, 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 1015.60068Ait Ouahra, M.; Boufoussi, B.; Lakhel, E. 6 2002 Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039Bassan, Bruno; Ceci, Claudia 6 2002 Generalized calculus and SDEs with non regular drift. Zbl 1007.60046Flandoli, Franco; Russo, Francesco 5 2002 The Robbins-Monro type stochastic differential equations. II: Asymptotic behaviour of solutions. Zbl 1032.60054Lazrieva, N.; Sharia, T.; Toronjadze, T. 4 2002 Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029Bassan, Bruno; Ceci, Claudia 4 2002 Discrete chaotic calculus and covariance identities. Zbl 1007.60047Privault, Nicolas; Schoutens, Wim 4 2002 Limit theorems for BSDE with local time applications to non-linear PDE. 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Zbl 0964.62085Campillo, Fabien; Kutoyants, Yury; Le Gland, François 3 2000 ...and 461 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,917 Authors 47 Wang, Bixiang 41 Ouknine, Youssef 38 Nualart, David 34 Brzeźniak, Zdzisław 32 Caraballo Garrido, Tomás 32 Øksendal, Bernt Karsten 31 Zhang, Tusheng S. 30 Albeverio, Sergio A. 28 Hamadene, Saïd 28 Maslowski, Bohdan 28 Russo, Francesco 28 Wu, Zhen 25 Hu, Ying 25 Peng, Shige 24 Khoshnevisan, Davar 24 Lu, Kening 24 Zhao, Weidong 23 Li, Juan 23 Ren, Yong 23 Shu, Ji 23 Yan, Litan 22 Bahlali, Khaled 22 Duan, Jinqiao 20 Imkeller, Peter 20 Jentzen, Arnulf 20 Kloeden, Peter Eris 20 Rásonyi, Miklós 20 Zhang, Qing 19 Budhiraja, Amarjit S. 19 Privault, Nicolas 19 Röckner, Michael 19 Schmalfuß, Björn 18 El Otmani, Mohamed 18 Ferrari, Giorgio 18 Flandoli, Franco 18 Mao, Xuerong 18 Słomiński, Leszek 17 Dupuis, Paul G. 17 Hausenblas, Erika 17 Veraar, Mark C. 16 Fuhrman, Marco 16 Hu, Yaozhong 16 Mezerdi, Brahim 16 Orsingher, Enzo 16 Tindel, Samy 16 Vallois, Pierre 15 Djehiche, Boualem 15 Elliott, Robert James 15 Fan, Shengjun 15 Gyöngy, István 15 Karatzas, Ioannis 15 Langa, Jose’ Antonio 15 Li, Dingshi 15 Mohan, Manil Thankamani 15 Tang, Shanjian 15 Tudor, Ciprian A. 15 Xiong, Jie 14 Buckdahn, Rainer 14 Dalang, Robert C. 14 Friz, Peter Karl 14 Goldys, Beniamin 14 Hu, Mingshang 14 Ji, Shaolin 14 Ondreját, Martin 14 Pardoux, Etienne 14 Pasik-Duncan, Bozenna 14 Stettner, Łukasz 14 Tessitore, Gianmario 14 Wang, Xiaohu 14 Zabczyk, Jerzy 14 Zhao, Huaizhong 14 Zhao, Wenqiang 14 Zhou, Shengfan 13 Confortola, Fulvia 13 Debussche, Arnaud 13 Duncan, Tyrone E. 13 Essaky, El Hassan 13 Garrido-Atienza, María José 13 Klimsiak, Tomasz 13 Lépinette, Emmanuel 13 Milstein, Grigori N. 13 Pham, Huyên 13 Proske, Frank Norbert 13 Wang, Yejuan 12 Gapeev, Pavel V. 12 Han, Xiaoying 12 Hili, Ouagnina 12 Kohatsu-Higa, Arturo 12 León, Jorge A. 12 Ma, Jin 12 Maticiuc, Lucian 12 Rascanu, Aurel 12 Schachermayer, Walter 12 Shi, Lin 12 Thalmaier, Anton 12 Yor, Marc 12 Yuan, Chenggui 12 Zhou, Jianjun 11 Chen, Zhen-Qing 11 Di Nunno, Giulia ...and 4,817 more Authors all top 5 Cited in 534 Journals 471 Stochastic Processes and their Applications 162 The Annals of Probability 149 Stochastic Analysis and Applications 147 The Annals of Applied Probability 142 Stochastics 141 Journal of Mathematical Analysis and Applications 117 Probability Theory and Related Fields 115 Stochastics and Dynamics 112 Statistics & Probability Letters 103 Journal of Differential Equations 94 Applied Mathematics and Optimization 88 Journal of Theoretical Probability 83 Journal of Functional Analysis 65 Systems & Control Letters 63 Mathematical Finance 62 SIAM Journal on Control and Optimization 57 Bernoulli 55 Potential Analysis 55 Discrete and Continuous Dynamical Systems. 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