## Stochastic Processes and their Applications

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

 Short Title: Stochastic Processes Appl. Publisher: Elsevier (North-Holland), Amsterdam ISSN: 0304-4149 Online: http://www.sciencedirect.com/science/journal/03044149 Comments: Indexed cover-to-cover
 Documents Indexed: 4,827 Publications (since 1973) References Indexed: 4,711 Publications with 101,383 References.
all top 5

### Latest Issues

 152 (2022) 151 (2022) 150 (2022) 149 (2022) 148 (2022) 147 (2022) 146 (2022) 145 (2022) 144 (2022) 143 (2022) 142 (2021) 141 (2021) 140 (2021) 139 (2021) 138 (2021) 137 (2021) 136 (2021) 135 (2021) 134 (2021) 133 (2021) 132 (2021) 130, No. 12 (2020) 130, No. 11 (2020) 130, No. 10 (2020) 130, No. 9 (2020) 130, No. 8 (2020) 130, No. 7 (2020) 130, No. 6 (2020) 130, No. 5 (2020) 130, No. 4 (2020) 130, No. 3 (2020) 130, No. 2 (2020) 130, No. 1 (2020) 129, No. 12 (2019) 129, No. 11 (2019) 129, No. 10 (2019) 129, No. 9 (2019) 129, No. 8 (2019) 129, No. 7 (2019) 129, No. 6 (2019) 129, No. 5 (2019) 129, No. 4 (2019) 129, No. 3 (2019) 129, No. 2 (2019) 129, No. 1 (2019) 128, No. 12 (2018) 128, No. 11 (2018) 128, No. 10 (2018) 128, No. 9 (2018) 128, No. 8 (2018) 128, No. 7 (2018) 128, No. 5 (2018) 128, No. 4 (2018) 128, No. 3 (2018) 128, No. 2 (2018) 128, No. 1 (2018) 127, No. 12 (2017) 127, No. 11 (2017) 127, No. 10 (2017) 127, No. 9 (2017) 127, No. 8 (2017) 127, No. 7 (2017) 127, No. 6 (2017) 127, No. 5 (2017) 127, No. 4 (2017) 127, No. 3 (2017) 127, No. 2 (2017) 127, No. 1 (2017) 126, No. 12 (2016) 126, No. 11 (2016) 126, No. 10 (2016) 126, No. 9 (2016) 126, No. 8 (2016) 126, No. 7 (2016) 126, No. 6 (2016) 126, No. 5 (2016) 126, No. 4 (2016) 126, No. 3 (2016) 126, No. 2 (2016) 126, No. 1 (2016) 125, No. 12 (2015) 125, No. 11 (2015) 125, No. 10 (2015) 125, No. 9 (2015) 125, No. 8 (2015) 125, No. 7 (2015) 125, No. 6 (2015) 125, No. 5 (2015) 125, No. 4 (2015) 125, No. 3 (2015) 125, No. 2 (2015) 125, No. 1 (2015) 124, No. 12 (2014) 124, No. 11 (2014) 124, No. 10 (2014) 124, No. 9 (2014) 124, No. 8 (2014) 124, No. 7 (2014) 124, No. 6 (2014) 124, No. 5 (2014) ...and 315 more Volumes
all top 5

### Authors

 37 Nualart, David 24 Mikosch, Thomas 24 Samorodnitsky, Gennady Pinkhosovich 23 Taqqu, Murad S. 21 Resnick, Sidney Ira 20 Zhang, Tusheng S. 19 Durrett, Richard Timothy 19 Horváth, Lajos 19 Kim, Panki 17 Kyprianou, Andreas E. 16 Csörgő, Miklós 16 Maller, Ross Arthur 16 Tindel, Samy 16 Yor, Marc 15 Davis, Richard A. 15 Imkeller, Peter 15 Révész, Pál 15 Shi, Zhan 15 Słomiński, Leszek 14 Asmussen, Søren 14 Csáki, Endre 14 Ferrari, Pablo Augusto 14 Hu, Ying 14 Hüsler, Jürg 14 Liu, Quansheng 14 Surgailis, Donatas 14 Wang, Feng-Yu 13 Alsmeyer, Gerold 13 Chen, Zhen-Qing 13 Khoshnevisan, Davar 13 Peligrad, Magda 13 Shao, Qi-Man 13 Song, Renming 13 Vallois, Pierre 13 Vares, Maria Eulalia 12 Albeverio, Sergio A. 12 Bayraktar, Erhan 12 Budhiraja, Amarjit S. 12 Jeanblanc, Monique 12 Klüppelberg, Claudia 12 Orsingher, Enzo 12 Volný, Dalibor 12 Xiao, Yimin 12 Yoshida, Nakahiro 12 Zhang, Xicheng 11 Dawson, Donald Andrew 11 Hall, Peter Gavin 11 Hambly, Ben M. 11 Heyde, Christopher Charles 11 Iksanov, Aleksander M. 11 Krylov, Nicolaĭ Vladimirovich 11 Meerschaert, Mark Marvin 11 Merlevède, Florence 11 Pakes, Anthony G. 11 Peng, Shige 11 Roberts, Gareth O. 11 Wang, Jian 10 Adler, Robert Joseph 10 Berkes, István 10 Bouchard, Bruno 10 de Haan, Laurens 10 Hsing, Tailen 10 Jacod, Jean 10 Kabluchko, Zakhar A. 10 Podolskij, Mark 10 Rosen, Jay S. 10 Russo, Francesco 9 Albin, J. M. P. 9 Bass, Richard F. 9 Bojdecki, Tomasz 9 Braverman, Michael Sh. 9 Brown, Timothy C. 9 Bryc, Włodzimierz 9 Dai Pra, Paolo 9 Dedecker, Jérôme 9 Doukhan, Paul 9 Khas’minskiĭ, Rafail Zalmanovich 9 Kim, KyeongHun 9 Landim, Claudio 9 Last, Günter 9 Ma, Jin 9 Mao, Xuerong 9 Pardoux, Etienne 9 Pham, Huyên 9 Piterbarg, Vladimir Il’ich 9 Röckner, Michael 9 Sidoravicius, Vladas 9 Thorisson, Hermann 9 Touzi, Nizar 9 Wang, Yizao 9 Wu, Wei Biao 9 Xiong, Jie 9 Zeitouni, Ofer 8 Barbour, Andrew David 8 Bertoin, Jean 8 Bruss, Franz Thomas 8 Cambanis, Stamatis 8 Daley, Daryl John 8 Dembo, Amir 8 den Hollander, Frank ...and 4,228 more Authors
all top 5

### Fields

 4,507 Probability theory and stochastic processes (60-XX) 761 Statistics (62-XX) 342 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 293 Partial differential equations (35-XX) 263 Statistical mechanics, structure of matter (82-XX) 212 Systems theory; control (93-XX) 165 Numerical analysis (65-XX) 140 Biology and other natural sciences (92-XX) 131 Operations research, mathematical programming (90-XX) 96 Dynamical systems and ergodic theory (37-XX) 81 Calculus of variations and optimal control; optimization (49-XX) 79 Combinatorics (05-XX) 71 Operator theory (47-XX) 68 Measure and integration (28-XX) 57 Ordinary differential equations (34-XX) 43 Global analysis, analysis on manifolds (58-XX) 39 Fluid mechanics (76-XX) 36 Potential theory (31-XX) 36 Computer science (68-XX) 30 Linear and multilinear algebra; matrix theory (15-XX) 25 Functional analysis (46-XX) 22 Harmonic analysis on Euclidean spaces (42-XX) 21 Real functions (26-XX) 20 Integral equations (45-XX) 20 Information and communication theory, circuits (94-XX) 15 Special functions (33-XX) 14 Number theory (11-XX) 13 History and biography (01-XX) 12 Approximations and expansions (41-XX) 12 Integral transforms, operational calculus (44-XX) 12 Convex and discrete geometry (52-XX) 12 Quantum theory (81-XX) 10 Differential geometry (53-XX) 7 Functions of a complex variable (30-XX) 7 Mechanics of particles and systems (70-XX) 5 Difference and functional equations (39-XX) 4 Mathematical logic and foundations (03-XX) 4 Topological groups, Lie groups (22-XX) 4 Sequences, series, summability (40-XX) 3 General and overarching topics; collections (00-XX) 3 Group theory and generalizations (20-XX) 3 Several complex variables and analytic spaces (32-XX) 3 Algebraic topology (55-XX) 3 Mechanics of deformable solids (74-XX) 3 Classical thermodynamics, heat transfer (80-XX) 2 Field theory and polynomials (12-XX) 2 General topology (54-XX) 2 Manifolds and cell complexes (57-XX) 2 Geophysics (86-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Associative rings and algebras (16-XX) 1 Abstract harmonic analysis (43-XX) 1 Geometry (51-XX) 1 Optics, electromagnetic theory (78-XX)

### Citations contained in zbMATH Open

4,122 Publications have been cited 47,285 times in 29,520 Documents Cited by Year
Martingales and stochastic integrals in the theory of continuous trading. Zbl 0482.60097
Harrison, J. Michael; Pliska, Stanley R.
1981
Environmental Brownian noise suppresses explosions in population dynamics. Zbl 1058.60046
Mao, Xuerong; Marion, Glenn; Renshaw, Eric
2002
The coalescent. Zbl 0491.60076
Kingman, J. F. C.
1982
Stability of stochastic differential equations with Markovian switching. Zbl 0962.60043
Mao, Xuerong
1999
Multi-dimensional $$G$$-Brownian motion and related stochastic calculus under $$G$$-expectation. Zbl 1158.60023
Peng, Shige
2008
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Zbl 1075.91563
Tang, Qihe; Tsitsiashvili, Gurami
2003
Heat kernel estimates for stable-like processes on $$d$$-sets. Zbl 1075.60556
Chen, Zhen-Qing; Kumagai, Takashi
2003
Subexponentiality of the product of independent random variables. Zbl 0799.60015
Cline, D. B. H.; Samorodnitsky, G.
1994
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Zbl 1071.60059
Bouchard, Bruno; Touzi, Nizar
2004
Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. Zbl 1075.60072
Mattingly, J. C.; Stuart, A. M.; Higham, D. J.
2002
$$L^p$$ solutions of backward stochastic differential equations. Zbl 1075.65503
Briand, Ph.; Delyon, B.; Hu, Y.; Pardoux, E.; Stoica, L.
2003
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
2009
Tempering stable processes. Zbl 1118.60037
Rosiński, Jan
2007
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
2004
A new weak dependence condition and applications to moment inequalities. Zbl 0996.60020
Doukhan, P.; Louhichi, S.
1999
Regular variation of GARCH processes. Zbl 1060.60033
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
Dynamic coherent risk measures. Zbl 1114.91055
Riedel, Frank
2004
Some mixing properties of time series models. Zbl 0564.62068
Pham, Tuan D.; Tran, Lanh T.
1985
Strong approximation theorems for density dependent Markov chains. Zbl 0373.60085
Kurtz, Thomas G.
1978
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
2008
Functional limit theorems for multitype branching processes and generalized Pólya urns. Zbl 1075.60109
Janson, Svante
2004
Mean-field backward stochastic differential equations and related partial differential equations. Zbl 1183.60022
Buckdahn, Rainer; Li, Juan; Peng, Shige
2009
Nonparametric regression estimation for dependent functional data: asymptotic normality. Zbl 1101.62031
Masry, Elias
2005
Long-time behaviour of a stochastic prey–predator model. Zbl 1075.60539
Rudnicki, Ryszard
2003
Chaotic and predictable representations for Lévy processes. Zbl 1047.60088
Nualart, David; Schoutens, Wim
2000
A stochastic calculus model of continuous trading: Complete markets. Zbl 0511.60094
Harrison, J. Michael; Pliska, Stanley R.
1983
Maximum-likelihood estimation for hidden Markov models. Zbl 0738.62081
Leroux, Brian G.
1992
On the optimal stopping problem for one-dimensional diffusions. Zbl 1075.60524
Dayanik, Savas; Karatzas, Ioannis
2003
Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients. Zbl 0835.60049
Mao, Xuerong
1995
Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise. Zbl 1117.60064
Sritharan, S. S.; Sundar, P.
2006
On convolution tails. Zbl 0487.60016
Embrechts, Paul; Goldie, Charles M.
1982
M-estimation for autoregression with infinite variance. Zbl 0801.62081
Davis, Richard A.; Knight, Keith; Liu, Jian
1992
A universal result in almost sure central limit theory. Zbl 1053.60022
Berkes, István; Csáki, Endre
2001
Razumikhin-type theorems on exponential stability of stochastic functional differential equations. Zbl 0889.60062
Mao, X.
1996
Asymptotic behaviour of Wiener-Hopf factors of a random walk. Zbl 0353.60073
Veraverbeke, N.
1977
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. Zbl 1058.60042
Delarue, François
2002
Triangular array limits for continuous time random walks. Zbl 1153.60023
Meerschaert, Mark M.; Scheffler, Hans-Peter
2008
Selecting the optimal sample fraction in univariate extreme value estimation. Zbl 0926.62013
Drees, Holger; Kaufmann, Edgar
1998
Martingale representation theorem for the $$G$$-expectation. Zbl 1228.60070
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
2011
Stability of regime-switching diffusions. Zbl 1119.60065
Khasminskii, R. Z.; Zhu, C.; Yin, G.
2007
Backward stochastic differential equations with jumps and related nonlinear expectations. Zbl 1110.60062
Royer, Manuela
2006
Pathwise properties and homeomorphic flows for stochastic differential equations driven by $$G$$-Brownian motion. Zbl 1176.60043
Gao, Fuqing
2009
Option hedging for semimartingales. Zbl 0735.90028
Schweizer, Martin
1991
A random walk on $$p$$-adics – the generator and its spectrum. Zbl 0810.60065
Albeverio, Sergio; Karwowski, Witold
1994
Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. Zbl 1096.60026
Peng, Shige; Zhu, Xuehong
2006
Regularly varying multivariate time series. Zbl 1161.60319
Basrak, Bojan; Segers, Johan
2009
Central limit theorems for multiple stochastic integrals and Malliavin calculus. Zbl 1142.60015
Nualart, D.; Ortiz-Latorre, S.
2008
Brownian analogues of Burke’s theorem. Zbl 1058.60078
O’Connell, Neil; Yor, Marc
2001
On generalized multiplicative cascades. Zbl 1028.60087
Liu, Quansheng
2000
On the Kullback-Leibler information divergence of locally stationary processes. Zbl 0849.60032
Dahlhaus, R.
1996
Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type. Zbl 0533.60021
Sato, Ken-iti; Yamazato, Makoto
1984
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534
2003
Optimal trading strategy for an investor: the case of partial information. Zbl 0934.91021
Lakner, Peter
1998
Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. Zbl 0612.62127
Collomb, Gérard; Härdle, Wolfgang
1986
Asymptotic stability in distribution of stochastic differential equations with Markovian switching. Zbl 1075.60541
Yuan, Chenggui; Mao, Xuerong
2003
Existence and uniqueness results for semilinear stochastic partial differential equations. Zbl 0942.60058
Gyöngy, István
1998
Stopping times and related Itô’s calculus with $$G$$-Brownian motion. Zbl 1225.60088
Li, Xinpeng; Peng, Shige
2011
On polynomial mixing bounds for stochastic differential equations. Zbl 0911.60042
Veretennikov, A. Yu.
1997
Nonparametric regression with long-range dependence. Zbl 0713.62048
Hall, Peter; Hart, Jeffrey D.
1990
Finite and infinite time ruin probabilities in a stochastic economic environment. Zbl 1047.60040
Nyrhinen, Harri
2001
Geometric ergodicity of Metropolis algorithms. Zbl 0997.60070
Jarner, Søren Fiig; Hansen, Ernst
2000
Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems. Zbl 1047.60059
Wu, Liming
2001
Strong approximations for epidemic models. Zbl 0823.92024
Ball, Frank; Donnelly, Peter
1995
Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. Zbl 0315.60035
Tweedie, Richard L.
1975
On smoothed probability density estimation for stationary processes. Zbl 0588.62156
Castellana, J. V.; Leadbetter, M. R.
1986
Power tailed ruin probabilities in the presence of risky investments. Zbl 1058.60095
2002
On solutions of backward stochastic differential equations with jumps and applications. Zbl 0890.60049
Situ, Rong
1997
Additional logarithmic utility of an insider. Zbl 0934.91020
Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin
1998
Some limit theorems for Hawkes processes and application to financial statistics. Zbl 1292.60032
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
2013
Multivariate regression estimation: Local polynomial fitting for time series. Zbl 0889.60039
Masry, E.
1996
Risk theory in a stochastic economic environment. Zbl 0777.62098
Paulsen, Jostein
1993
Subgeometric rates of convergence of $$f$$-ergodic strong Markov processes. Zbl 1163.60034
Douc, Randal; Fort, Gersende; Guillin, Arnaud
2009
Nonparametric regression estimation under mixing conditions. Zbl 0699.62038
Roussas, George G.
1990
Itô’s stochastic calculus: its surprising power for applications. Zbl 1202.60079
Kunita, Hiroshi
2010
Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching. Zbl 1143.60041
Mao, Xuerong; Shen, Yi; Yuan, Chenggui
2008
Backward stochastic differential equations driven by $$G$$-Brownian motion. Zbl 1300.60074
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng
2014
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Zbl 0679.60029
de Haan, Laurens; Resnick, Sidney I.; Rootzén, Holger; de Vries, Casper G.
1989
Regularization of differential equations by fractional noise. Zbl 1075.60536
Nualart, David; Ouknine, Youssef
2002
Weak approximation of killed diffusion using Euler schemes. Zbl 1045.60082
Gobet, Emmanuel
2000
Estimation in nonlinear time series models. Zbl 0598.62109
Tjøstheim, Dag
1986
Extremes of a certain class of Gaussian processes. Zbl 0997.60057
Hüsler, J.; Piterbarg, V.
1999
Stochastic equations of non-negative processes with jumps. Zbl 1184.60022
Fu, Zongfei; Li, Zenghu
2010
On pathwise stochastic integration. Zbl 0816.60047
Karandikar, Rajeeva L.
1995
Operator scaling stable random fields. Zbl 1111.60033
Biermé, Hermine; Meerschaert, Mark M.; Scheffler, Hans-Peter
2007
Ergodicity and exponential $$\beta$$-mixing bounds for multidimensional diffusions with jumps. Zbl 1118.60070
Masuda, Hiroki
2007
Ruin problems with assets and liabilities of diffusion type. Zbl 0962.60075
Norberg, Ragnar
1999
Parabolic SPDEs driven by Poisson white noise. Zbl 0934.60055
Albeverio, Sergio; Wu, Jiang-Lun; Zhang, Tu-Sheng
1998
Weak convergence of multivariate fractional processes. Zbl 1028.60030
Marinucci, D.; Robinson, P. M.
2000
Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022
Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias
2006
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by $$G$$-Brownian motion. Zbl 1300.60075
Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng
2014
Strong convergence of sums of $$\alpha$$-mixing random variables with applications to density estimation. Zbl 0885.62045
Liebscher, E.
1996
Occupation times of intervals until first passage times for spectrally negative Lévy processes. Zbl 1287.60062
Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen
2014
On the ruin probabilities in a general economic environment. Zbl 0997.60041
Nyrhinen, Harri
1999
Approximation of the tail probability of randomly weighted sums and applications. Zbl 1271.62030
Zhang, Yi; Shen, Xinmei; Weng, Chengguo
2009
The mixing property of bilinear and generalised random coefficient autoregressive models. Zbl 0614.60062
Pham Dinh Tuan
1986
Utility maximization with partial information. Zbl 0834.90022
Lakner, Peter
1995
Fractional ARIMA with stable innovations. Zbl 0846.62066
Kokoszka, Piotr S.; Taqqu, Murad S.
1995
A forward scheme for backward SDEs. Zbl 1131.60054
Bender, Christian; Denk, Robert
2007
General branching processes as Markov fields. Zbl 0678.92009
Jagers, Peter
1989
Limit laws for record values. Zbl 0253.60028
Resnick, Sidney I.
1973
Quasi-stationary distribution for the Langevin process in cylindrical domains. I: Existence, uniqueness and long-time convergence. Zbl 1481.35294
Lelièvre, Tony; Ramil, Mouad; Reygner, Julien
2022
Remarks on the non-uniqueness in law of the Navier-Stokes equations up to the J.-L. Lions’ exponent. Zbl 1490.35254
Yamazaki, Kazuo
2022
Hypocoercivity of Langevin-type dynamics on abstract smooth manifolds. Zbl 1484.58019
Grothaus, Martin; Mertin, Maximilian Constantin
2022
Correlation bound for a one-dimensional continuous long-range Ising model. Zbl 07485067
Hasler, David; Hinrichs, Benjamin; Siebert, Oliver
2022
Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts. Zbl 1484.60027
Adams, Daniel; dos Reis, Gonçalo; Ravaille, Romain; Salkeld, William; Tugaut, Julian
2022
Interacting Hawkes processes with multiplicative inhibition. Zbl 07515388
Duval, Céline; Luçon, Eric; Pouzat, Christophe
2022
Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions. Zbl 1479.60054
Voit, Michael; Woerner, Jeannette H. C.
2022
Strong solutions of forward-backward stochastic differential equations with measurable coefficients. Zbl 07457765
Luo, Peng; Menoukeu-Pamen, Olivier; Tangpi, Ludovic
2022
Switching problems with controlled randomisation and associated obliquely reflected BSDEs. Zbl 1483.60077
Bénézet, Cyril; Chassagneux, Jean-François; Richou, Adrien
2022
Transportation cost inequalities for SDEs with irregular drifts. Zbl 1485.60057
Suo, Yongqiang; Yuan, Chenggui; Zhang, Shao-Qin
2022
Optimal portfolio choice with path dependent benchmarked labor income: a mean field model. Zbl 1489.34117
Djehiche, Boualem; Gozzi, Fausto; Zanco, Giovanni; Zanella, Margherita
2022
Extremal clustering under moderate long range dependence and moderately heavy tails. Zbl 07472518
2022
Bayesian sequential least-squares estimation for the drift of a Wiener process. Zbl 07472527
Ekström, Erik; Karatzas, Ioannis; Vaicenavicius, Juozas
2022
Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality. Zbl 07527289
Wang, Ya; Wu, Fuke; Yin, George; Zhu, Chao
2022
Mean-field limit of age and leaky memory dependent Hawkes processes. Zbl 1489.60041
Schmutz, Valentin
2022
Stochastic evolution equations driven by cylindrical stable noise. Zbl 1489.60113
Kosmala, Tomasz; Riedle, Markus
2022
RAP-modulated fluid processes: first passages and the stationary distribution. Zbl 1489.60128
Bean, Nigel G.; Nguyen, Giang T.; Nielsen, Bo F.; Peralta, Oscar
2022
Coxeter group actions on interacting particle systems. Zbl 07544385
Kuan, Jeffrey
2022
Stationarity and uniform in time convergence for the graphon particle system. Zbl 07544389
Bayraktar, Erhan; Wu, Ruoyu
2022
Optimal sustainable harvesting of populations in random environments. Zbl 07544394
Alvarez E., Luis H. R.; Hening, Alexandru
2022
Strict local martingales and the Khasminskii test for explosions. Zbl 07544396
2022
Minimising the expected commute time. Zbl 1489.60127
Jacka, Saul; Hernández-Hernández, Ma. Elena
2022
A stochastic calculus for Rosenblatt processes. Zbl 07544404
Čoupek, Petr; Duncan, Tyrone E.; Pasik-Duncan, Bozenna
2022
On the center of mass of the elephant random walk. Zbl 1469.60135
Bercu, Bernard; Laulin, Lucile
2021
On the identifiability of interaction functions in systems of interacting particles. Zbl 1468.60120
Li, Zhongyang; Lu, Fei; Maggioni, Mauro; Tang, Sui; Zhang, Cheng
2021
A regularity theory for stochastic partial differential equations with a super-linear diffusion coefficient and a spatially homogeneous colored noise. Zbl 1471.60097
Choi, Jae-Hwan; Han, Beom-Seok
2021
Lyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processes. Zbl 1469.60248
Champagnat, Nicolas; Villemonais, Denis
2021
Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness. Zbl 1475.60059
Gulisashvili, Archil
2021
Large deviations in discrete-time renewal theory. Zbl 1472.60054
Zamparo, Marco
2021
Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders. Zbl 1475.60142
Cho, Soobin; Kim, Panki
2021
Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients. Zbl 1472.60099
Cui, Jianbo; Hong, Jialin; Sun, Liying
2021
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
2021
The domain of definition of the Lévy white noise. Zbl 1469.60113
Fageot, Julien; Humeau, Thomas
2021
Stochastic MHD equations with fractional kinematic dissipation and partial magnetic diffusion in $$\mathbb{R}^2$$. Zbl 1464.35238
Li, Jingna; Liu, Hongxia; Tang, Hao
2021
Competing growth processes with random growth rates and random birth times. Zbl 1469.60278
Mailler, Cécile; Mörters, Peter; Senkevich, Anna
2021
On stochastic Itô processes with drift in $$L_d$$. Zbl 1469.60186
Krylov, N. V.
2021
Beta Laguerre processes in a high temperature regime. Zbl 1469.60349
Trinh, Hoang Dung; Trinh, Khanh Duy
2021
The extremal process of super-Brownian motion. Zbl 1469.60260
Ren, Yan-Xia; Song, Renming; Zhang, Rui
2021
Lasso estimation for spherical autoregressive processes. Zbl 1467.62126
Caponera, Alessia; Durastanti, Claudio; Vidotto, Anna
2021
A critical branching process with immigration in random environment. Zbl 1469.60264
Afanasyev, V. I.
2021
Fluctuation limits for mean-field interacting nonlinear Hawkes processes. Zbl 1475.60091
Heesen, Sophie; Stannat, Wilhelm
2021
Hydrodynamics for the partial exclusion process in random environment. Zbl 1479.60194
Floreani, Simone; Redig, Frank; Sau, Federico
2021
Renormalization of stochastic continuity equations on Riemannian manifolds. Zbl 1483.58009
Galimberti, Luca; Karlsen, Kenneth H.
2021
Stochastic functional Kolmogorov equations. I: Persistence. Zbl 1484.34187
Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George
2021
Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs. Zbl 1480.60159
Hu, Mingshang; Wang, Falei
2021
Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration. Zbl 1475.60162
Barczy, Mátyás; Basrak, Bojan; Kevei, Péter; Pap, Gyula; Planinić, Hrvoje
2021
Martingale driven BSDEs, PDEs and other related deterministic problems. Zbl 1469.60217
2021
Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games. Zbl 1469.60123
Klimsiak, Tomasz
2021
Partial derivative with respect to the measure and its application to general controlled mean-field systems. Zbl 1471.93275
Buckdahn, Rainer; Chen, Yajie; Li, Juan
2021
Dimension-free Wasserstein contraction of nonlinear filters. Zbl 1469.60122
Whiteley, Nick
2021
Exponential mixing under controllability conditions for sdes driven by a degenerate Poisson noise. Zbl 1469.60194
Nersesyan, Vahagn; Raquépas, Renaud
2021
Limit theorems for cloning algorithms. Zbl 1469.65035
Angeli, Letizia; Grosskinsky, Stefan; Johansen, Adam M.
2021
On estimation of quadratic variation for multivariate pure jump semimartingales. Zbl 1469.60079
Heiny, Johannes; Podolskij, Mark
2021
Semilinear Kolmogorov equations on the space of continuous functions via BSDEs. Zbl 1465.35284
Masiero, Federica; Orrieri, Carlo; Tessitore, Gianmario; Zanco, Giovanni
2021
Maximal moments and uniform modulus of continuity for stable random fields. Zbl 1469.60166
Panigrahi, Snigdha; Roy, Parthanil; Xiao, Yimin
2021
Risk sensitive optimal stopping. Zbl 1467.93330
Jelito, Damian; Pitera, Marcin; Stettner, Łukasz
2021
Asymptotic optimality of the generalized $$c\mu$$ rule under model uncertainty. Zbl 1469.60284
Cohen, Asaf; Saha, Subhamay
2021
Local theorems for (multidimensional) additive functionals of semi-Markov chains. Zbl 1469.60087
Logachov, Artem; Mogulskii, Anatolii; Prokopenko, Evgeny; Yambartsev, Anatoly
2021
Markov chains in random environment with applications in queuing theory and machine learning. Zbl 1469.60235
Lovas, Attila; Rásonyi, Miklós
2021
Global solutions to stochastic wave equations with superlinear coefficients. Zbl 1475.60124
Millet, Annie; Sanz-Solé, Marta
2021
Regularity of multifractional moving average processes with random Hurst exponent. Zbl 1475.60075
Loboda, Dennis; Mies, Fabian; Steland, Ansgar
2021
Continuity properties and the support of killed exponential functionals. Zbl 1475.60086
Behme, Anita; Lindner, Alexander; Reker, Jana; Rivero, Victor
2021
Concentration on Poisson spaces via modified $$\Phi$$-Sobolev inequalities. Zbl 1475.60026
Gusakova, Anna; Sambale, Holger; Thäle, Christoph
2021
Stochastic mSQG equations with multiplicative transport noises: white noise solutions and scaling limit. Zbl 1468.60081
Luo, Dejun; Zhu, Rongchan
2021
Volterra equations driven by rough signals. Zbl 1481.60204
Harang, Fabian A.; Tindel, Samy
2021
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon. Zbl 1479.60094
2021
Berry-Esseen bounds and moderate deviations for random walks on $$\mathrm{GL}_d(\mathbb{R})$$. Zbl 1476.60082
Xiao, Hui; Grama, Ion; Liu, Quansheng
2021
Implementable coupling of Lévy process and Brownian motion. Zbl 1479.60096
Fomichov, Vladimir; González Cázares, Jorge; Ivanovs, Jevgenijs
2021
Long range one-cookie random walk with positive speed. Zbl 1479.60191
Collevecchio, Andrea; Hamza, Kais; Nguyen, Tuan-Minh
2021
American options in a non-linear incomplete market model with default. Zbl 1476.91185
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès
2021
Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations. Zbl 1476.60140
Genon-Catalot, Valentine; Larédo, Catherine
2021
On the exact distributions of the maximum of the asymmetric telegraph process. Zbl 1479.60206
Cinque, Fabrizio; Orsingher, Enzo
2021
Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant. Zbl 1476.60143
Ernst, Philip A.; Franceschi, Sandro; Huang, Dongzhou
2021
Rough nonlocal diffusions. Zbl 1480.60301
Coghi, Michele; Nilssen, Torstein
2021
Wong-Zakai approximations for quasilinear systems of Itô’s type stochastic differential equations. Zbl 1480.60161
Lanconelli, Alberto; Scorolli, Ramiro
2021
Mean reflected stochastic differential equations with two constraints. Zbl 1480.60187
2021
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
2021
A Yaglom type asymptotic result for subcritical branching Brownian motion with absorption. Zbl 1476.60157
Liu, Jiaqi
2021
Large sample autocovariance matrices of linear processes with heavy tails. Zbl 1476.60014
Heiny, Johannes; Mikosch, Thomas
2021
Hypothesis testing for a Lévy-driven storage system by Poisson sampling. Zbl 1475.60191
Mandjes, M.; Ravner, L.
2021
Extremes of locally stationary Gaussian and chi fields on manifolds. Zbl 1466.60106
Qiao, Wanli
2021
Asymptotic approach for backward stochastic differential equation with singular terminal condition. Zbl 1454.60077
Graewe, Paulwin; Popier, Alexandre
2021
Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift. Zbl 1471.60081
Chaudru de Raynal, P. E.
2020
A central limit theorem for the stochastic heat equation. Zbl 1458.60072
Huang, Jingyu; Nualart, David; Viitasaari, Lauri
2020
$$L^q(L^p)$$-theory of stochastic differential equations. Zbl 1456.60153
Xia, Pengcheng; Xie, Longjie; Zhang, Xicheng; Zhao, Guohuan
2020
Mean field analysis of neural networks: a central limit theorem. Zbl 1441.60022
Sirignano, Justin; Spiliopoulos, Konstantinos
2020
Volatility estimation for stochastic PDEs using high-frequency observations. Zbl 1462.60082
Bibinger, Markus; Trabs, Mathias
2020
General nonlinear stochastic systems motivated by chemostat models: complete characterization of long-time behavior, optimal controls, and applications to wastewater treatment. Zbl 1444.92065
Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George
2020
Selection of equilibria in a linear quadratic mean-field game. Zbl 1471.91029
Delarue, François; Tchuendom, Rinel Foguen
2020
Optimal stopping with $$f$$-expectations: the irregular case. Zbl 1471.60055
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire
2020
Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component. Zbl 1444.60060
Bréhier, Charles-Edouard
2020
Random dynamics of $$p$$-Laplacian lattice systems driven by infinite-dimensional nonlinear noise. Zbl 1462.34036
Wang, Renhai; Wang, Bixiang
2020
Brownian motion with general drift. Zbl 1435.60047
Kinzebulatov, D.; Semënov, Yu. A.
2020
On time-inconsistent stopping problems and mixed strategy stopping times. Zbl 1435.60029
Christensen, Sören; Lindensjö, Kristoffer
2020
Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling. Zbl 1435.60037
Liang, Mingjie; Wang, Jian
2020
An entropic interpolation proof of the HWI inequality. Zbl 1443.60023
Gentil, Ivan; Léonard, Christian; Ripani, Luigia; Tamanini, Luca
2020
Long time behavior of a mean-field model of interacting neurons. Zbl 1437.35708
Cormier, Quentin; Tanré, Etienne; Veltz, Romain
2020
Ergodic properties of some piecewise-deterministic Markov process with application to gene expression modelling. Zbl 1440.60069
Czapla, Dawid; Horbacz, Katarzyna; Wojewódka-Ściążko, Hanna
2020
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. Zbl 1435.90012
Acciaio, B.; Backhoff-Veraguas, J.; Zalashko, A.
2020
Degree growth rates and index estimation in a directed preferential attachment model. Zbl 1443.60078
Wang, Tiandong; Resnick, Sidney I.
2020
...and 1504 more Documents
all top 5

### Cited by 20,199 Authors

 123 Jiang, Daqing 101 Mao, Xuerong 90 Hashorva, Enkelejd 90 Nualart, David 84 Chen, Zhen-Qing 74 Horváth, Lajos 72 Yan, Litan 71 Tudor, Ciprian A. 70 Leonenko, Nikolai N. 67 Yuan, Chenggui 66 Taqqu, Murad S. 63 Elliott, Robert James 63 Kyprianou, Andreas E. 62 Song, Renming 61 Ren, Yong 61 Yin, George Gang 60 Kim, Panki 60 Samorodnitsky, Gennady Pinkhosovich 60 Xiao, Yimin 59 Mandjes, Michel Robertus Hendrikus 59 Röckner, Michael 58 Dębicki, Krzysztof 58 Wang, Feng-Yu 58 Zhang, Tusheng S. 57 Ouknine, Youssef 57 Wang, Jian 56 Yang, Yang 55 Zhang, Li-Xin 54 Mikosch, Thomas 53 Lin, Zhengyan 51 Nourdin, Ivan 51 Siu, Tak Kuen 50 Doukhan, Paul 50 Klüppelberg, Claudia 49 Hayat, Tasawar 48 Iksanov, Aleksander M. 48 Resnick, Sidney Ira 48 Zhang, Xicheng 47 Bayraktar, Erhan 47 Mishura, Yuliya Stepanivna 47 Øksendal, Bernt Karsten 47 Surgailis, Donatas 47 Tindel, Samy 46 Roberts, Gareth O. 46 Wang, Ke 46 Xiong, Jie 45 Hu, Yaozhong 45 Liu, Qun 45 Meerschaert, Mark Marvin 45 Russo, Francesco 44 Tang, Qihe 42 Liu, Meng 42 Moulines, Eric 42 Peccati, Giovanni 42 Touzi, Nizar 41 Dedecker, Jérôme 41 Flandoli, Franco 41 Imkeller, Peter 41 Palmowski, Zbigniew 41 Wang, Yuebao 41 Wu, Fuke 40 Brzeźniak, Zdzisław 40 Csörgő, Miklós 40 Liu, Quansheng 40 Yang, Hailiang 39 Fan, Shengjun 39 Janson, Svante 39 Landim, Claudio 39 Merlevède, Florence 39 Peligrad, Magda 39 Wu, Wei Biao 39 Zeifman, Alexander Izrailevich 38 Pitman, Jim William 38 Wu, Zhen 37 Albeverio, Sergio A. 37 Budhiraja, Amarjit S. 37 Durrett, Richard Timothy 37 Glynn, Peter W. 37 Jeanblanc, Monique 37 Kumagai, Takashi 37 Madan, Dilip B. 37 Pap, Gyula 37 Pham, Huyên 37 Tan, Zhongquan 37 Wang, Yongjin 37 Yor, Marc 37 Zwart, Bert P. 36 Bao, Jianhai 36 Davis, Richard A. 36 Shen, Guangjun 35 Jacod, Jean 35 Maller, Ross Arthur 35 Wang, Kaiyong 35 Zhou, Xiaowen 34 Al-saedi, Ahmed Eid Salem 34 Duan, Jinqiao 34 Friz, Peter Karl 34 Li, Zenghu 34 Orsingher, Enzo 34 Ren, Yanxia ...and 20,099 more Authors
all top 5

### Cited in 884 Journals

 2,607 Stochastic Processes and their Applications 1,160 Statistics & Probability Letters 776 The Annals of Applied Probability 714 The Annals of Probability 547 Journal of Statistical Physics 543 Probability Theory and Related Fields 529 Journal of Theoretical Probability 527 Journal of Applied Probability 507 Bernoulli 497 Journal of Mathematical Analysis and Applications 453 Stochastic Analysis and Applications 439 Communications in Statistics. Theory and Methods 397 Advances in Applied Probability 383 Journal of Statistical Planning and Inference 355 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 350 Journal of Multivariate Analysis 335 The Annals of Statistics 325 Stochastics 321 Journal of Econometrics 317 Insurance Mathematics & Economics 292 Electronic Journal of Probability 263 Stochastics and Dynamics 233 Queueing Systems 221 Journal of Time Series Analysis 216 Journal of Functional Analysis 216 Methodology and Computing in Applied Probability 207 Finance and Stochastics 205 Electronic Journal of Statistics 191 Applied Mathematics and Computation 191 Journal of Differential Equations 191 SIAM Journal on Control and Optimization 187 Potential Analysis 179 International Journal of Theoretical and Applied Finance 178 Extremes 175 Applied Mathematics and Optimization 174 Theoretical Population Biology 174 Mathematical Finance 171 Stochastic Models 170 Communications in Mathematical Physics 170 Quantitative Finance 169 Journal of Computational and Applied Mathematics 161 Econometric Theory 159 Physica A 156 Statistical Inference for Stochastic Processes 149 Statistics 148 Journal of Mathematical Biology 144 Transactions of the American Mathematical Society 143 European Journal of Operational Research 141 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 134 Lithuanian Mathematical Journal 134 Electronic Communications in Probability 128 Advances in Difference Equations 128 Science China. Mathematics 126 Journal of Nonparametric Statistics 125 Annals of the Institute of Statistical Mathematics 117 ALEA. Latin American Journal of Probability and Mathematical Statistics 116 SIAM Journal on Financial Mathematics 112 Journal of Mathematical Physics 112 Probability in the Engineering and Informational Sciences 108 Acta Mathematica Sinica. English Series 107 Comptes Rendus. Mathématique. Académie des Sciences, Paris 105 Computational Statistics and Data Analysis 98 Discrete and Continuous Dynamical Systems. Series B 97 Acta Mathematicae Applicatae Sinica. English Series 96 Infinite Dimensional Analysis, Quantum Probability and Related Topics 95 Abstract and Applied Analysis 94 Automatica 92 Systems & Control Letters 91 Annals of Operations Research 90 Journal of Inequalities and Applications 87 Frontiers of Mathematics in China 86 Chaos, Solitons and Fractals 86 Theory of Probability and its Applications 86 Acta Applicandae Mathematicae 85 Theory of Probability and Mathematical Statistics 83 Computers & Mathematics with Applications 83 Applied Mathematical Finance 81 Mathematical Biosciences 81 Scandinavian Journal of Statistics 81 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 81 Journal of Economic Dynamics & Control 79 Mathematical Problems in Engineering 79 Stochastic and Partial Differential Equations. Analysis and Computations 78 Mathematics and Financial Economics 77 Mathematics of Operations Research 76 Journal of the Franklin Institute 76 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 76 Test 75 Journal of Mathematical Sciences (New York) 74 Proceedings of the American Mathematical Society 74 Scandinavian Actuarial Journal 70 Journal of the Korean Statistical Society 68 Metrika 67 Sequential Analysis 66 Journal of Optimization Theory and Applications 66 Communications in Statistics. Simulation and Computation 66 Random Operators and Stochastic Equations 65 Modern Stochastics. Theory and Applications 64 Mathematical Methods of Operations Research 63 Operations Research Letters ...and 784 more Journals
all top 5

### Cited in 63 Fields

 21,654 Probability theory and stochastic processes (60-XX) 7,205 Statistics (62-XX) 4,500 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,629 Partial differential equations (35-XX) 2,182 Numerical analysis (65-XX) 2,037 Systems theory; control (93-XX) 1,879 Statistical mechanics, structure of matter (82-XX) 1,806 Biology and other natural sciences (92-XX) 1,329 Operations research, mathematical programming (90-XX) 1,018 Ordinary differential equations (34-XX) 838 Dynamical systems and ergodic theory (37-XX) 811 Calculus of variations and optimal control; optimization (49-XX) 634 Combinatorics (05-XX) 615 Operator theory (47-XX) 467 Computer science (68-XX) 366 Measure and integration (28-XX) 361 Functional analysis (46-XX) 341 Fluid mechanics (76-XX) 289 Real functions (26-XX) 233 Global analysis, analysis on manifolds (58-XX) 220 Quantum theory (81-XX) 217 Potential theory (31-XX) 211 Integral equations (45-XX) 196 Harmonic analysis on Euclidean spaces (42-XX) 168 Linear and multilinear algebra; matrix theory (15-XX) 165 Information and communication theory, circuits (94-XX) 126 Special functions (33-XX) 107 Approximations and expansions (41-XX) 99 Differential geometry (53-XX) 94 Number theory (11-XX) 92 Difference and functional equations (39-XX) 80 Integral transforms, operational calculus (44-XX) 74 Functions of a complex variable (30-XX) 72 Geophysics (86-XX) 67 Convex and discrete geometry (52-XX) 67 Mechanics of particles and systems (70-XX) 48 Mechanics of deformable solids (74-XX) 47 Classical thermodynamics, heat transfer (80-XX) 40 Abstract harmonic analysis (43-XX) 39 Group theory and generalizations (20-XX) 35 Topological groups, Lie groups (22-XX) 28 General and overarching topics; collections (00-XX) 28 History and biography (01-XX) 26 General topology (54-XX) 22 Sequences, series, summability (40-XX) 21 Mathematical logic and foundations (03-XX) 19 Nonassociative rings and algebras (17-XX) 15 Relativity and gravitational theory (83-XX) 14 Algebraic topology (55-XX) 12 Order, lattices, ordered algebraic structures (06-XX) 12 Astronomy and astrophysics (85-XX) 11 Associative rings and algebras (16-XX) 11 Optics, electromagnetic theory (78-XX) 9 Several complex variables and analytic spaces (32-XX) 8 Field theory and polynomials (12-XX) 7 Algebraic geometry (14-XX) 6 Geometry (51-XX) 5 Manifolds and cell complexes (57-XX) 4 General algebraic systems (08-XX) 4 Mathematics education (97-XX) 3 Commutative algebra (13-XX) 3 Category theory; homological algebra (18-XX) 1 $$K$$-theory (19-XX)