The Annals of Applied Probability Short Title: Ann. Appl. Probab. Publisher: Institute of Mathematical Statistics (IMS), Beachwood, OH/Bethesda, MD ISSN: 1050-5164; 2168-8737/e Online: http://projecteuclid.org/aoap Comments: Indexed cover-to-cover Documents Indexed: 2,124 Publications (since 1991) References Indexed: 1,656 Publications with 43,016 References. all top 5 Latest Issues 30, No. 5 (2020) 30, No. 4 (2020) 30, No. 3 (2020) 30, No. 2 (2020) 30, No. 1 (2020) 29, No. 6 (2019) 29, No. 5 (2019) 29, No. 4 (2019) 29, No. 3 (2019) 29, No. 2 (2019) 29, No. 1 (2019) 28, No. 6 (2018) 28, No. 5 (2018) 28, No. 4 (2018) 28, No. 3 (2018) 28, No. 2 (2018) 28, No. 1 (2018) 27, No. 6 (2017) 27, No. 5 (2017) 27, No. 4 (2017) 27, No. 3 (2017) 27, No. 2 (2017) 27, No. 1 (2017) 26, No. 6 (2016) 26, No. 5 (2016) 26, No. 4 (2016) 26, No. 3 (2016) 26, No. 2 (2016) 26, No. 1 (2016) 25, No. 6 (2015) 25, No. 5 (2015) 25, No. 4 (2015) 25, No. 3 (2015) 25, No. 2 (2015) 25, No. 1 (2015) 24, No. 6 (2014) 24, No. 5 (2014) 24, No. 4 (2014) 24, No. 3 (2014) 24, No. 2 (2014) 24, No. 1 (2014) 23, No. 6 (2013) 23, No. 5 (2013) 23, No. 4 (2013) 23, No. 3 (2013) 23, No. 2 (2013) 23, No. 1 (2013) 22, No. 6 (2012) 22, No. 5 (2012) 22, No. 4 (2012) 22, No. 3 (2012) 22, No. 2 (2012) 22, No. 1 (2012) 21, No. 6 (2011) 21, No. 5 (2011) 21, No. 4 (2011) 21, No. 3 (2011) 21, No. 2 (2011) 21, No. 1 (2011) 20, No. 6 (2010) 20, No. 5 (2010) 20, No. 4 (2010) 20, No. 3 (2010) 20, No. 2 (2010) 20, No. 1 (2010) 19, No. 6 (2009) 19, No. 5 (2009) 19, No. 4 (2009) 19, No. 3 (2009) 19, No. 2 (2009) 19, No. 1 (2009) 18, No. 6 (2008) 18, No. 5 (2008) 18, No. 4 (2008) 18, No. 3 (2008) 18, No. 2 (2008) 18, No. 1 (2008) 17, No. 5-6 (2007) 17, No. 4 (2007) 17, No. 3 (2007) 17, No. 2 (2007) 17, No. 1 (2007) 16, No. 4 (2006) 16, No. 3 (2006) 16, No. 2 (2006) 16, No. 1 (2006) 15, No. 4 (2005) 15, No. 3 (2005) 15, No. 2 (2005) 15, No. 1B (2005) 15, No. 1A (2005) 14, No. 4 (2004) 14, No. 3 (2004) 14, No. 2 (2004) 14, No. 1 (2004) 13, No. 4 (2003) 13, No. 3 (2003) 13, No. 2 (2003) 13, No. 1 (2003) 12, No. 4 (2002) ...and 45 more Volumes all top 5 Authors 22 Durrett, Richard Timothy 19 Roberts, Gareth O. 15 Ramanan, Kavita 15 Samorodnitsky, Gennady Pinkhosovich 15 Touzi, Nizar 14 Harrison, John Michael 14 Karatzas, Ioannis 14 Penrose, Mathew D. 13 Bramson, Maury D. 13 Dai, J. G. (Jim) 13 Resnick, Sidney Ira 13 Robert, Philippe 12 Atar, Rami 12 Budhiraja, Amarjit S. 12 Whitt, Ward 12 Williams, Ruth J. 12 Yukich, Joseph Elliott 11 Diaconis, Persi Warren 11 Glynn, Peter W. 11 Meyn, Sean P. 10 Bayraktar, Erhan 10 Del Moral, Pierre 10 Janson, Svante 10 Ma, Jin 10 Schachermayer, Walter 10 Shreve, Steven E. 10 van der Hofstad, Remco W. 9 Barbour, Andrew D. 9 Cox, J. Theodore 9 Kurtz, Thomas Gordon 9 Kyprianou, Andreas E. 9 Lanchier, Nicolas 9 Mossel, Elchanan 9 Pagès, Gilles 9 Peres, Yuval 9 Pham, Huyên 9 Rosenthal, Jeffrey S. 9 Zhang, Jianfeng 8 Benaïm, Michel 8 Burdzy, Krzysztof 8 Dolinsky, Yan 8 Fill, James Allen 8 Gravner, Janko 8 Hobson, David G. 8 Imkeller, Peter 8 Moulines, Eric 8 Neuhauser, Claudia 8 Popovic, Lea 8 Zeitouni, Ofer 7 Alexander, Kenneth S. 7 Bai, Zhi-Dong 7 Bhamidi, Shankar 7 Blanchet, Jose H. 7 Bouchard, Bruno 7 Cvitanić, Jakša 7 Douc, Randal 7 Duffie, James Darrell 7 Dupuis, Paul G. 7 Etheridge, Alison Mary 7 Fontes, Luiz Renato G. 7 Foss, Sergey G. 7 Frieze, Alan Michael 7 Gamarnik, David 7 Gnedin, Alexander V. 7 Jourdain, Benjamin 7 Kramkov, Dmitriĭ Olegovich 7 Luczak, Malwina J. 7 Mikosch, Thomas 7 Nutz, Marcel 7 Peskir, Goran 7 Pistorius, Martijn R. 7 Reinert, Gesine D. 7 Sly, Allan 7 Tsitsiklis, John N. 6 Adler, Robert Joseph 6 Avram, Florin 6 Bank, Peter 6 Bertoin, Jean 6 Bovier, Anton 6 Caputo, Pietro 6 Crisan, Dan O. 6 Dembo, Amir 6 Ekström, Erik 6 Ferrari, Pablo Augusto 6 Grübel, Rudolf 6 Kesten, Harry 6 Klüppelberg, Claudia 6 Liptser, Robert 6 Mahmoud, Hosam M. 6 Martin, James Benedict 6 McDonald, David R. 6 Pal, Soumik 6 Pittel, Boris G. 6 Rhee, Wansoo T. 6 Rogers, L. C. G. 6 Sivakoff, David 6 Stuart, Andrew M. 6 Vigoda, Eric 5 Baccelli, François Louis 5 Bertsimas, Dimitris John ...and 2,286 more Authors all top 5 Fields 2,001 Probability theory and stochastic processes (60-XX) 333 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 279 Statistics (62-XX) 235 Statistical mechanics, structure of matter (82-XX) 230 Operations research, mathematical programming (90-XX) 222 Numerical analysis (65-XX) 187 Biology and other natural sciences (92-XX) 182 Combinatorics (05-XX) 164 Systems theory; control (93-XX) 154 Computer science (68-XX) 110 Partial differential equations (35-XX) 71 Calculus of variations and optimal control; optimization (49-XX) 47 Ordinary differential equations (34-XX) 43 Linear and multilinear algebra; matrix theory (15-XX) 38 Dynamical systems and ergodic theory (37-XX) 26 Information and communication theory, circuits (94-XX) 22 Operator theory (47-XX) 21 Fluid mechanics (76-XX) 14 Measure and integration (28-XX) 9 Approximations and expansions (41-XX) 9 Functional analysis (46-XX) 8 Number theory (11-XX) 8 Convex and discrete geometry (52-XX) 8 Differential geometry (53-XX) 8 Global analysis, analysis on manifolds (58-XX) 7 Real functions (26-XX) 7 Integral equations (45-XX) 7 Classical thermodynamics, heat transfer (80-XX) 6 Algebraic topology (55-XX) 5 Order, lattices, ordered algebraic structures (06-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Mechanics of particles and systems (70-XX) 4 Functions of a complex variable (30-XX) 4 Potential theory (31-XX) 4 Special functions (33-XX) 4 Integral transforms, operational calculus (44-XX) 4 Mechanics of deformable solids (74-XX) 3 Group theory and generalizations (20-XX) 3 Difference and functional equations (39-XX) 3 Quantum theory (81-XX) 2 Nonassociative rings and algebras (17-XX) 2 Geophysics (86-XX) 1 History and biography (01-XX) 1 Commutative algebra (13-XX) 1 Topological groups, Lie groups (22-XX) 1 Abstract harmonic analysis (43-XX) 1 General topology (54-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 1,959 Publications have been cited 28,909 times in 17,431 Documents Cited by ▼ Year ▼ The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017Kramkov, D.; Schachermayer, W. 300 1999 Affine processes and applications in finance. Zbl 1048.60059Duffie, D.; Filipović, D.; Schachermayer, W. 282 2003 Weak convergence and optimal scaling of random walk Metropolis algorithms. Zbl 0876.60015Roberts, G. O.; Gelman, A.; Gilks, W. R. 233 1997 Geometric bounds for eigenvalues of Markov chains. Zbl 0731.60061Diaconis, Persi; Stroock, Daniel 210 1991 On positive Harris recurrence of multiclass queueing networks: A unified approach via fluid limit models. Zbl 0822.60083Dai, J. G. 195 1995 Implicit renewal theory and tails of solutions of random equations. Zbl 0724.60076Goldie, Charles M. 195 1991 Optimal investment and consumption with transaction costs. Zbl 0813.60051Shreve, S. E.; Soner, H. M. 160 1994 Convex duality in constrained portfolio optimization. Zbl 0770.90002Cvitanić, Jakša; Karatzas, Ioannis 158 1992 Logarithmic Sobolev inequalities for finite Markov chains. Zbl 0867.60043Diaconis, P.; Saloff-Coste, L. 157 1996 On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061Schmidli, Hanspeter 151 2002 Utility maximization in incomplete markets. Zbl 1083.60048Hu, Ying; Imkeller, Peter; Müller, Matthias 139 2005 A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier 128 2005 On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R. 126 2007 Epidemics with two levels of mixing. Zbl 0909.92028Ball, Frank; Mollison, Denis; Scalia-Tomba, Gianpaolo 121 1997 A numerical scheme for BSDEs. Zbl 1056.60067Zhang, Jianfeng 119 2004 Backward-forward stochastic differential equations. Zbl 0780.60058Antonelli, Fabio 119 1993 Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. Zbl 1256.65003Hutzenthaler, Martin; Jentzen, Arnulf; Kloeden, Peter E. 118 2012 Comparison theorems for reversible Markov chains. Zbl 0799.60058Diaconis, Persi; Saloff-Coste, Laurent 115 1993 Loss networks. Zbl 0743.60099Kelly, F. P. 106 1991 A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Zbl 1142.91034Denis, Laurent; Martini, Claude 104 2006 Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023Avram, F.; Kyprianou, A. E.; Pistorius, M. R. 103 2004 Pricing contingent claims on stocks driven by Lévy processes. Zbl 1054.91033Chan, Terence 96 1999 Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin 95 2002 A note on Metropolis-Hastings kernels for general state spaces. Zbl 0935.60053Tierney, Luke 93 1998 A microscopic probabilistic description of a locally regulated population and macroscopic approximations. Zbl 1060.92055Fournier, Nicolas; Méléard, Sylvie 93 2004 Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052Rogers, L. C. G. 92 1994 Computable bounds for geometric convergence rates of Markov chains. Zbl 0812.60059Meyn, Sean P.; Tweedie, R. L. 92 1994 Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A. 90 2004 On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344Loeffen, R. L. 87 2008 Trailing the dovetail shuffle to its lair. Zbl 0757.60003Bayer, Dave; Diaconis, Persi 85 1992 Mean-variance hedging in continuous time. Zbl 0735.90021Duffie, Darrell; Richardson, Henry R. 84 1991 Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085Schachermayer, Walter 81 2001 The pricing of the American option. Zbl 0753.60040Myneni, Ravi 80 1992 Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036Kramkov, D.; Schachermayer, W. 78 2003 A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Zbl 1285.49012Galichon, A.; Henry-Labordère, P.; Touzi, N. 78 2014 Differential equations for random processes and random graphs. Zbl 0847.05084Wormald, Nicholas C. 76 1995 Hedging options for a large investor and forward-backward SDE’s. Zbl 0856.90011Cvitanić, Jakša; Ma, Jin 76 1996 Exact simulation of diffusions. Zbl 1101.60060Beskos, Alexandros; Roberts, Gareth O. 76 2005 Some remarks on first passage of Lévy processes, the American put and pasting principles. Zbl 1083.60034Alili, L.; Kyprianou, A. E. 76 2005 Arbitrage and duality in nondominated discrete-time models. Zbl 1322.60045Bouchard, Bruno; Nutz, Marcel 75 2015 Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034Asmussen, Søren 72 1998 Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Zbl 1132.91457Becherer, Dirk 72 2006 Smoluchowski’s coagulation equation: Uniqueness, nonuniqueness and a hydrodynamic limit for the stochastic coalescent. Zbl 0944.60082Norris, James R. 71 1999 Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Zbl 0726.60069Fill, James Allen 71 1991 Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: Asymptotic optimality of a threshold policy. Zbl 1015.60080Bell, S. L.; Williams, R. J. 70 2001 On the ergodicity properties of some adaptive MCMC algorithms. Zbl 1114.65001Andrieu, Christophe; Moulines, Éric 70 2006 On the speed of convergence in first-passage percolation. Zbl 0783.60103Kesten, Harry 70 1993 The Russian option: Reduced regret. Zbl 0783.90011Shepp, Larry; Shiryaev, A. N. 70 1993 Hedging contingent claims with constrained portfolios. Zbl 0825.93958Cvitanić, Jakša; Karatzas, Ioannis 70 1993 Mixing times of lozenge tiling and card shuffling Markov chains. Zbl 1040.60063Wilson, David Bruce 69 2004 Dynamic exponential utility indifference valuation. Zbl 1134.91449Mania, Michael; Schweizer, Martin 69 2005 There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012Soner, H. M.; Shreve, S. E.; Cvitanić, J. 66 1995 A characterization of multivariate regular variation. Zbl 1070.60011Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 66 2002 The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506Mikosch, Thomas; Samorodnitsky, Gennady 65 2000 Overshoots and undershoots of Lévy processes. Zbl 1101.60029Doney, R. A.; Kyprianou, A. E. 65 2006 A survey of max-type recursive distributional equations. Zbl 1105.60012Aldous, David J.; Bandyopadhyay, Antar 65 2005 Spectral theory and limit theorems for geometrically ergodic Markov processes. Zbl 1016.60066Kontoyiannis, I.; Meyn, S. P. 64 2003 On the pricing of contingent claims under constraints. Zbl 0856.90012Karatzas, I.; Kou, S. G. 62 1996 Asymptotic analysis of multiscale approximations to reaction networks. Zbl 1118.92031Ball, Karen; Kurtz, Thomas G.; Popovic, Lea; Rempala, Greg 62 2006 Polynomial convergence rates of Markov chains. Zbl 1012.60062Jarner, Søren F.; Roberts, Gareth O. 61 2002 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 61 2001 Broadcasting on trees and the Ising model. Zbl 1052.60076Evans, William; Kenyon, Claire; Peres, Yuval; Schulman, Leonard J. 60 2000 Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval. Zbl 0880.60077Bertoin, Jean 60 1997 Weak laws of large numbers in geometric probability. Zbl 1029.60008Penrose, Mathew D.; Yukich, J. E. 59 2003 MaxWeight scheduling in a generalized switch: State space collapse and workload minimization in heavy traffic. Zbl 1057.60092Stolyar, Alexander L. 58 2004 A general limit theorem for recursive algorithms and combinatorial structures. Zbl 1041.60024Neininger, Ralph; Rüschendorf, Ludger 58 2004 Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe 58 2004 Modelling heterogeneity in survival analysis by the compound Poisson distribution. Zbl 0762.62031Aalen, Odd O. 58 1992 Dynamic scheduling with convex delay costs: The generalized \(c\mu\) rule. Zbl 0843.90047van Mieghem, Jan A. 57 1995 Central limit theorems for some graphs in computational geometry. Zbl 1044.60016Penrose, Mathew D.; Yukich, J. E. 57 2001 Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Zbl 0868.90008Duffie, Darrell; Schroder, Mark; Skiadas, Costis 57 1996 A Khasminskii type averaging principle for stochastic reaction-diffusion equations. Zbl 1191.60076Cerrai, Sandra 57 2009 Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131Douglas, Jim jun.; Ma, Jin; Protter, Philip 56 1996 On maximum likelihood estimation of the extreme value index. Zbl 1102.62051Drees, Holger; Ferreira, Ana; de Haan, Laurens 55 2004 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 55 2008 Affine processes on positive semidefinite matrices. Zbl 1219.60068Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef 55 2011 Renewal theory and computable convergence rates for geometrically erdgodic Markov chains. Zbl 1070.60061Baxendale, Peter H. 55 2005 Numerical method for backward stochastic differential equations. Zbl 1017.60074Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad 54 2002 Analysis of a nonreversible Markov chain sampler. Zbl 1083.60516Diaconis, Persi; Holmes, Susan; Neal, Radford M. 54 2000 Stein’s method and the zero bias transformation with application to simple random sampling. Zbl 0903.60019Goldstein, Larry; Reinert, Gesine 54 1997 Atlas models of equity markets. Zbl 1099.91056Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis 54 2005 Mean-variance hedging for general claims. Zbl 0742.60042Schweizer, Martin 54 1992 Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034Cheridito, Patrick; Filipović, Damir; Yor, Marc 53 2005 Efficient Monte Carlo simulation of security prices. Zbl 0877.65099Duffie, Darrell; Glynn, Peter 52 1995 Limit laws for random vectors with an extreme component. Zbl 1125.60049Heffernan, Janet E.; Resnick, Sidney I. 52 2007 An optimal error estimate in stochastic homogenization of discrete elliptic equations. Zbl 1387.35031Gloria, Antoine; Otto, Felix 52 2012 Departures from many queues in series. Zbl 0749.60090Glynn, Peter W.; Whitt, Ward 52 1991 The existence of absolutely continuous local martingale measures. Zbl 0847.90013Delbaen, Freddy; Schachermayer, Walter 51 1995 Representation theorems for backward stochastic differential equations. Zbl 1017.60067Ma, Jin; Zhang, Jianfeng 51 2002 The \(G/GI/N\) queue in the Halfin-Whitt regime. Zbl 1181.60137Reed, Josh 51 2009 Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients. Zbl 1352.60101Sabanis, Sotirios 51 2016 Computable exponential convergence rates for stochastically ordered Markov processes. Zbl 0863.60093Lund, Robert B.; Meyn, Sean P.; Tweedie, Richard L. 50 1996 Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113Gaier, J.; Grandits, P.; Schachermayer, W. 50 2003 Validity of heavy traffic steady-state approximations in generalized Jackson networks. Zbl 1094.60052Gamarnik, David; Zeevi, Assaf 50 2006 Dual formulation of second order target problems. Zbl 1293.60063Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 50 2013 Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012Hobson, David G. 49 1998 The longest edge of the random minimal spanning tree. Zbl 0884.60042Penrose, Mathew D. 49 1997 Fluid approximations and stability of multiclass queueing networks: Work-conserving disciplines. Zbl 0847.60073Chen, Hong 48 1995 Ruin probabilities and decompositions for general perturbed risk processes. Zbl 1061.60075Huzak, Miljenko; Perman, Mihael; Šikić, Hrvoje; Vondraček, Zoran 48 2004 Asymptotic fringe distributions for general families of random trees. Zbl 0733.60016Aldous, David 48 1991 Monte Carlo with determinantal point processes. Zbl 07200531Bardenet, Rémi; Hardy, Adrien 5 2020 Generalized couplings and ergodic rates for SPDEs and other Markov models. Zbl 1434.60147Butkovsky, Oleg; Kulik, Alexei; Scheutzow, Michael 4 2020 Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions. Zbl 1434.60299Mehri, Sima; Scheutzow, Michael; Stannat, Wilhelm; Zangeneh, Bian Z. 4 2020 Convergence to the mean field game limit: a case study. Zbl 1437.91058Nutz, Marcel; Martin, Jaime San; Tan, Xiaowei 4 2020 Large deviation principles for first-order scalar conservation laws with stochastic forcing. Zbl 1465.60025Dong, Zhao; Wu, Jiang-Lun; Zhang, Rangrang; Zhang, Tusheng 4 2020 Lower bounds for trace reconstruction. Zbl 1445.62014Holden, Nina; Lyons, Russell 3 2020 Nonlinear large deviations: beyond the hypercube. Zbl 1464.60026Yan, Jun 3 2020 Coupling and convergence for Hamiltonian Monte Carlo. Zbl 07325608Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael 3 2020 Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes. Zbl 1464.37007Friesen, Martin; Jin, Peng; Rüdiger, Barbara 3 2020 Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift. Zbl 1464.60061Fang, Wei; Giles, Michael B. 2 2020 Optimal position targeting via decoupling fields. Zbl 1445.49001Ankirchner, Stefan; Fromm, Alexander; Kruse, Thomas; Popier, Alexandre 2 2020 Global \(C^1\) regularity of the value function in optimal stopping problems. Zbl 07325602de Angelis, Tiziano; Peskir, Goran 2 2020 Random permutations without macroscopic cycles. Zbl 07325615Betz, Volker; Schäfer, Helge; Zeindler, Dirk 2 2020 High-dimensional limits of eigenvalue distributions for general Wishart process. Zbl 1461.60052Song, Jian; Yao, Jianfeng; Yuan, Wangjun 2 2020 On the convergence of closed-loop Nash equilibria to the mean field game limit. Zbl 07325623Lacker, Daniel 2 2020 On an epidemic model on finite graphs. Zbl 1434.82074Benjamini, Itai; Fontes, Luiz Renato; Hermon, Jonathan; Machado, Fábio Prates 2 2020 Bounds for the asymptotic distribution of the likelihood ratio. Zbl 1446.62073Anastasiou, Andreas; Reinert, Gesine 1 2020 Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls. Zbl 1445.35118Wu, Cong; Zhang, Jianfeng 1 2020 Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control. Zbl 07325611Backhoff-Veraguas, Julio; Lacker, Daniel; Tangpi, Ludovic 1 2020 The coalescent structure of continuous-time Galton-Watson trees. Zbl 07325612Harris, Simon C.; Johnston, Samuel G. G.; Roberts, Matthew Iain 1 2020 Sensitivity analysis for rare events based on Rényi divergence. Zbl 1464.60024Dupuis, Paul; Katsoulakis, Markos A.; Pantazis, Yannis; Rey-Bellet, Luc 1 2020 Nonasymptotic bounds for sampling algorithms without log-concavity. Zbl 1466.65008Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz 1 2020 Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier. Zbl 1464.60080Barnes, Clayton L. 1 2020 Conditional optimal stopping: a time-inconsistent optimization. Zbl 1464.60038Nutz, Marcel; Zhang, Yuchong 1 2020 Particles systems and numerical schemes for mean reflected stochastic differential equations. Zbl 07325628Briand, Philippe; de Raynal, Paul-Éric Chaudru; Guillin, Arnaud; Labart, Céline 1 2020 Exact formulas for two interacting particles and applications in particle systems with duality. Zbl 1460.82013Carinci, Gioia; Giardinà, Cristian; Redig, Frank 1 2020 Geometric ergodicity of the bouncy particle sampler. Zbl 07325635Durmus, Alain; Guillin, Arnaud; Monmarché, Pierre 1 2020 Imaginary multiplicative chaos: moments, regularity and connections to the Ising model. Zbl 07325636Junnila, Janne; Saksman, Eero; Webb, Christian 1 2020 Pathwise stochastic control with applications to robust filtering. Zbl 07325641Allan, Andrew L.; Cohen, Samuel N. 1 2020 Propagation of chaos and the many-demes limit for weakly interacting diffusions in the sparse regime. Zbl 1457.60144Hutzenthaler, Martin; Pieper, Daniel 1 2020 Pathwise McKean-Vlasov theory with additive noise. Zbl 07325643Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario 1 2020 Stochastic approximation on noncompact measure spaces and application to measure-valued Pólya processes. Zbl 1461.62147Mailler, Cécile; Villemonais, Denis 1 2020 Rarity of extremal edges in random surfaces and other theoretical applications of cluster algorithms. Zbl 1460.82001Cohen-Alloro, Omri; Peled, Ron 1 2020 Join-the-shortest queue diffusion limit in Halfin-Whitt regime: sensitivity on the heavy-traffic parameter. Zbl 1434.60263Banerjee, Sayan; Mukherjee, Debankur 1 2020 Random-cluster dynamics in \(\mathbb{Z}^2\): rapid mixing with general boundary conditions. Zbl 1434.60273Blanca, Antonio; Gheissari, Reza; Vigoda, Eric 1 2020 The largest real eigenvalue in the real Ginibre ensemble and its relation to the Zakharov-Shabat system. Zbl 1434.60018Baik, Jinho; Bothner, Thomas 1 2020 Affine Volterra processes. Zbl 1441.60052Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio 18 2019 Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients. Zbl 07047435Conus, Daniel; Jentzen, Arnulf; Kurniawan, Ryan 14 2019 Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204Nadtochiy, Sergey; Shkolnikov, Mykhaylo 13 2019 Exponential utility maximization under model uncertainty for unbounded endowments. Zbl 1419.91285Bartl, Daniel 12 2019 Numerical method for FBSDEs of McKean-Vlasov type. Zbl 1466.65012Chassagneux, Jean-François; Crisan, Dan; Delarue, François 10 2019 Normal approximation for stabilizing functionals. Zbl 1466.60047Lachièze-Rey, Raphaël; Schulte, Matthias; Yukich, J. E. 10 2019 Computational methods for martingale optimal transport problems. Zbl 1433.49043Guo, Gaoyue; Obłój, Jan 9 2019 A general continuous-state nonlinear branching process. Zbl 1466.60179Li, Pei-Sen; Yang, Xu; Zhou, Xiaowen 8 2019 Random switching between vector fields having a common zero. 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Zbl 1466.60018Davis, Erik; Sethuraman, Sunder 1 2019 ...and 1744 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 14,668 Authors 70 Roberts, Gareth O. 60 Mandjes, Michel Robertus Hendrikus 58 Bayraktar, Erhan 50 Zwart, Bert P. 46 Kyprianou, Andreas E. 44 Diaconis, Persi Warren 44 Resnick, Sidney Ira 44 Touzi, Nizar 43 Janson, Svante 43 Samorodnitsky, Gennady Pinkhosovich 43 van der Hofstad, Remco W. 40 Del Moral, Pierre 40 Hashorva, Enkelejd 40 Mikosch, Thomas 40 Penrose, Mathew D. 39 Blanchet, Jose H. 39 Rosenthal, Jeffrey S. 38 Foss, Sergey G. 38 Palmowski, Zbigniew 38 Yin, Gang George 37 Jasra, Ajay 37 Jourdain, Benjamin 36 Dębicki, Krzysztof 36 Pham, Huyên 36 Stuart, Andrew M. 35 Pagès, Gilles 34 Bo, Lijun 34 Bouchard, Bruno 34 Durrett, Richard Timothy 34 Karatzas, Ioannis 34 van Leeuwaarden, Johan S. H. 33 Moulines, Eric 33 Peres, Yuval 33 Wang, Yongjin 33 Whitt, Ward 32 Ramanan, Kavita 32 Yukich, Joseph Elliott 31 Atar, Rami 31 Budhiraja, Amarjit S. 31 Glynn, Peter W. 31 Iksanov, Aleksander M. 31 Muhle-Karbe, Johannes 31 Tang, Qihe 30 Ekström, Erik 30 Garnier, Josselin 30 Klüppelberg, Claudia 30 Leonenko, Nikolai N. 30 Yuen, Kam Chuen 29 Ball, Frank G. 29 Méléard, Sylvie 29 Rásonyi, Miklós 29 Soner, Halil Mete 29 Surgailis, Donatas 29 Wu, Zhen 28 Fournier, Nicolas G. 28 Guasoni, Paolo 28 Guo, Xianping 28 Jentzen, Arnulf 28 Yamazaki, Kazutoshi 27 Boxma, Onno Johan 27 Lambert, Amaury 27 Ma, Jin 27 Mahmoud, Hosam M. 27 Neal, Peter J. 27 Yin, George Gang 26 Borst, Sem C. 26 Buraczewski, Dariusz 26 Caputo, Pietro 26 Chatterjee, Sourav 26 Lacoin, Hubert 26 Nutz, Marcel 26 Spiliopoulos, Konstantinos V. 26 Stolyar, Alexander L. 25 Bhamidi, Shankar 25 Devroye, Luc P. J. A. 25 Dolinsky, Yan 25 Gobet, Emmanuel 25 Mossel, Elchanan 25 Obloj, Jan K. 24 Barbour, Andrew D. 24 Dupuis, Paul G. 24 Ji, Shaolin 24 Kardaras, Constantinos 24 Löwe, Matthias 24 Pistorius, Martijn R. 24 Zhang, Jianfeng 24 Zhou, Xiaowen 23 Asmussen, Søren 23 Avram, Florin 23 Barral, Julien 23 Belomestny, Denis 23 Burdzy, Krzysztof 23 Doucet, Arnaud 23 Favaro, Stefano 23 Guillin, Arnaud 23 Knessl, Charles 23 Lanchier, Nicolas 23 Miyazawa, Masakiyo 23 Müller-Gronbach, Thomas 23 Peng, Shige ...and 14,568 more Authors all top 5 Cited in 736 Journals 1,116 The Annals of Applied Probability 1,030 Stochastic Processes and their Applications 473 Journal of Applied Probability 468 The Annals of Probability 417 Journal of Statistical Physics 410 Advances in Applied Probability 363 Statistics & Probability Letters 359 Queueing Systems 347 Probability Theory and Related Fields 311 Bernoulli 255 Insurance Mathematics & Economics 249 Finance and Stochastics 229 Annales de l’Institut Henri Poincaré. 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English Series 46 Comptes Rendus. Mathématique. Académie des Sciences, Paris 45 Science China. Mathematics 45 SIAM/ASA Journal on Uncertainty Quantification 44 Annals of the Institute of Statistical Mathematics 43 Acta Mathematica Sinica. English Series 43 Annals of Finance 42 Advances in Mathematics 42 SIAM Journal on Scientific Computing 41 Mathematical Problems in Engineering 41 Journal of Statistical Mechanics: Theory and Experiment 40 Asia-Pacific Financial Markets 39 Statistical Science 38 Journal of Economic Theory 38 Linear Algebra and its Applications 38 Discrete and Continuous Dynamical Systems. Series B 38 Frontiers of Mathematics in China 37 Stochastic and Partial Differential Equations. Analysis and Computations 36 Lithuanian Mathematical Journal 36 Monte Carlo Methods and Applications 35 Acta Applicandae Mathematicae 35 Journal of Statistical Computation and Simulation 35 ASTIN Bulletin 34 Theory of Probability and its Applications 34 Journal of Mathematical Sciences (New York) 34 Journal of Machine Learning Research (JMLR) 34 Review of Derivatives Research 34 Journal of Industrial and Management Optimization 33 Econometric Theory 33 Journal of Systems Science and Complexity ...and 636 more Journals all top 5 Cited in 62 Fields 12,108 Probability theory and stochastic processes (60-XX) 4,142 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3,004 Statistics (62-XX) 1,901 Numerical analysis (65-XX) 1,697 Operations research, mathematical programming (90-XX) 1,505 Statistical mechanics, structure of matter (82-XX) 1,391 Systems theory; control (93-XX) 1,341 Biology and other natural sciences (92-XX) 1,196 Partial differential equations (35-XX) 1,182 Combinatorics (05-XX) 862 Computer science (68-XX) 655 Calculus of variations and optimal control; optimization (49-XX) 409 Dynamical systems and ergodic theory (37-XX) 401 Ordinary differential equations (34-XX) 357 Linear and multilinear algebra; matrix theory (15-XX) 217 Operator theory (47-XX) 175 Information and communication theory, circuits (94-XX) 163 Fluid mechanics (76-XX) 148 Measure and integration (28-XX) 138 Functional analysis (46-XX) 131 Quantum theory (81-XX) 117 Integral equations (45-XX) 102 Real functions (26-XX) 102 Convex and discrete geometry (52-XX) 93 Number theory (11-XX) 83 Approximations and expansions (41-XX) 79 Special functions (33-XX) 79 Harmonic analysis on Euclidean spaces (42-XX) 67 Global analysis, analysis on manifolds (58-XX) 59 Integral transforms, operational calculus (44-XX) 54 Differential geometry (53-XX) 52 Difference and functional equations (39-XX) 51 Group theory and generalizations (20-XX) 49 Mechanics of deformable solids (74-XX) 40 Geophysics (86-XX) 34 Order, lattices, ordered algebraic structures (06-XX) 34 Functions of a complex variable (30-XX) 32 Algebraic topology (55-XX) 28 Mechanics of particles and systems (70-XX) 28 Classical thermodynamics, heat transfer (80-XX) 24 Potential theory (31-XX) 21 General topology (54-XX) 18 Optics, electromagnetic theory (78-XX) 17 Mathematical logic and foundations (03-XX) 17 Abstract harmonic analysis (43-XX) 17 Manifolds and cell complexes (57-XX) 15 General and overarching topics; collections (00-XX) 14 Topological groups, Lie groups (22-XX) 13 History and biography (01-XX) 13 Relativity and gravitational theory (83-XX) 11 Several complex variables and analytic spaces (32-XX) 11 Sequences, series, summability (40-XX) 11 Astronomy and astrophysics (85-XX) 10 Algebraic geometry (14-XX) 10 Nonassociative rings and algebras (17-XX) 10 Geometry (51-XX) 9 Commutative algebra (13-XX) 8 Associative rings and algebras (16-XX) 5 Field theory and polynomials (12-XX) 4 Category theory; homological algebra (18-XX) 4 Mathematics education (97-XX) 1 \(K\)-theory (19-XX) Citations by Year