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: No longer indexed
 Documents Indexed: 685 Publications (1989–2004) References Indexed: 132 Publications with 2,326 References.
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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
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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 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 2 Carmona, Sara C. ...and 544 more Authors
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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)

Citations contained in zbMATH Open

559 Publications have been cited 6,111 times in 4,982 Documents Cited by Year
Random attractors for the 3D stochastic Navier-Stokes equation with multiplicative white noise. Zbl 0870.60057
Flandoli, Franco; Schmalfuss, Björn
1996
Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Zbl 0739.60060
Peng, Shige
1991
Backward stochastic differential equations and integral-partial differential equations. Zbl 0878.60036
Barles, Guy; Buckdahn, Rainer; Pardoux, Etienne
1997
A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Zbl 0756.49015
Peng, Shige
1992
Equivalent martingale measures and no-arbitrage in stochastic securities market models. Zbl 0694.90037
Dalang, Robert C.; Morton, Andrew; Willinger, Walter
1990
On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications. Zbl 0721.60062
Dupuis, Paul; Ishii, Hitoshi
1991
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
2002
On stochastic convolution in Banach spaces and applications. Zbl 0891.60056
Brzeźniak, Zdzisław
1997
On the support of solutions to the heat equation with noise. Zbl 0749.60057
Mueller, Carl
1991
Stochastic analysis of fractional Brownian motions. Zbl 0886.60076
Lin, S. J.
1995
A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070
Ocone, Daniel L.; Karatzas, Ioannis
1991
Finite element and difference approximation of some linear stochastic partial differential equations. Zbl 0907.65147
Allen, E. J.; Novosel, S. J.; Zhang, Z.
1998
Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057
2002
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
2000
Second-order discretization schemes of stochastic differential systems for the computation of the invariant law. Zbl 0697.60066
Talay, Denis
1990
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
2000
Existence for BSDE with superlinear-quadratic coefficient. Zbl 0910.60046
Lepeltier, J.-P.; San Martín, J.
1998
Importance sampling, large deviations, and differential games. Zbl 1076.65003
Dupuis, Paul; Wang, Hui
2004
Backward equations, stochastic control and zero-sum stochastic differential games. Zbl 0858.60056
1995
Epi-consistency of convex stochastic programs. Zbl 0733.90049
King, Alan J.; Wets, Roger J.-B.
1991
Stochastic Burgers equation with correlated noise. Zbl 0853.35138
Da Prato, Giuseppe; Gatarek, Dariusz
1995
Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075
2002
Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach. Zbl 0795.93103
Tang, Shanjian; Yong, Jiongmin
1993
Asymptotic exponential stability of stochastic partial differential equations with delay. Zbl 0723.60074
Caraballo, Tomás
1990
Maximum principle for semilinear stochastic evolution control systems. Zbl 0722.93080
Hu, Ying; Peng, Shige
1990
Almost periodic solutions of affine stochastic evolution equations. Zbl 0752.60049
Tudor, Constantin
1992
Evolution equations with white-noise boundary conditions. Zbl 0814.60055
Da Prato, Giuseppe; Zabczyk, J.
1993
Backward stochastic differential equations reflected in a convex domain. (Equations différentielles stochastiques rétrogrades réfléchies dans un convexe.) Zbl 0891.60050
Gegout-Petit, A.; Pardoux, E.
1996
Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066
Mao, Xuerong
2000
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
1995
The stochastic maximum principle for a singular control problem. Zbl 0834.93061
1994
Stationary and almost periodic solutions of almost periodic affine stochastic differential equations. Zbl 1043.60513
Arnold, Ludwig; Tudor, Constantin
1998
Reflected backward stochastic differential equations with jumps. Zbl 0918.60046
Ouknine, Y.
1998
Asymptotic stability theorems of semilinear stochastic evolution equations in Hilbert spaces. Zbl 0854.60051
Taniguchi, Takeshi
1995
Ergodic results for stochastic Navier-Stokes equation. Zbl 0882.60059
Ferrario, Benedetta
1997
Stochastic inertial manifold. Zbl 0854.60059
Bensoussan, Alain; Flandoli, Franco
1995
Régulations déterministes et stochastiques dans le premier “orthant” de $$R^ n$$. (Deterministic and stochastic regulations in the first “orthant” of $$R^ n)$$. Zbl 0727.60109
Bernard, Alain; El Kharroubi, Ahmed
1991
On the differentiation of heat semigroups and Poisson integrals. Zbl 0897.60064
Thalmaier, Anton
1997
Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048
Benth, Fred Espen; Gjerde, Jon
1998
An extension of Clark’s formula. Zbl 0745.60056
Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu
1991
Markov measures for random dynamical systems. Zbl 0739.60066
Crauel, Hans
1991
Langevin’s stochastic differential equation extended by a time-delayed term. Zbl 0777.60048
Küchler, Uwe; Mensch, Beatrice
1992
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
2002
Lyapunov functionals and asymptotic stability of stochastic delay evolution equations. Zbl 0947.93037
Liu, Kai
1998
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
1991
Lévy measure with generalized polar decomposition and the associated SDE with jumps. Zbl 0753.60073
Tsuchiya, Masaaki
1992
Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052
Privault, Nicolas
1994
Brownian motion and Besov spaces. (Mouvement brownien et espaces de Besov.) Zbl 0808.60071
Roynette, Bernard
1993
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
A class of solvable stochastic investment problems involving singular controls. Zbl 0825.93981
Kobila, T. Ø.
1993
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062
Royer, Manuela
2004
Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045
Rüdiger, B.
2004
Semigroup of hyperbolic Brownian motion. (Semi-groupe du mouvement Brownien hyperbolique.) Zbl 0891.60075
Gruet, J.-C.
1996
A stochastic approximation type EM algorithm for the mixture problem. Zbl 0766.62050
Celeux, Gilles; Diebolt, Jean
1992
Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036
Kuroda, Kazutaka; Nagai, Hideo
2002
Large deviations of semimartingales via convergence of the predictable characteristics. Zbl 0827.60017
Puhalskii, A.
1994
Dirichlet boundary value problem for stochastic parabolic equations: Compatibility relations and regularity of solutions. Zbl 0696.60057
Flandoli, Franco
1990
Backward stochastic variational inequalities. Zbl 0948.60049
Pardoux, Etienne; Răşcanu, Aurel
1999
Limit theorems on large deviations for semimartingales. Zbl 0749.60027
Liptser, Robert Sh.; Pukhalskii, Anatolii A.
1992
Laplace method: variational study of fluctuations of diffusions of “mean-field” type). (Méthode de Laplace: Étude variationnelle des fluctuations de diffusions de type “champ moyen”.) Zbl 0705.60046
Ben Arous, Gérard; Brunaud, Marc
1990
On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056
Geiss, Christel; Geiss, Stefan
2004
Moderate deviations for martingale differences and applications to $$\varphi$$-mixing sequences. Zbl 1005.60044
Djellout, Hacène
2002
The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049
Fuhrman, Marco; Tessitore, Gianmario
2002
Pseudodifferential operators with negative definite symbols and the martingale problem. Zbl 0880.47029
Hoh, Walter
1995
Stochastic evolution equations in $$L_{\rho}^{2\nu}$$. Zbl 0926.60051
Manthey, Ralf; Zausinger, Thomas
1999
Equivalent martingale measures and no-arbitrage. Zbl 0851.60042
Rogers, L. C. G.
1994
Stratonovich integral and trace. Zbl 0706.60056
Solé, J. LL.; Utzet, F.
1990
A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027
Rivero, Víctor
2003
Quantitative approximation of certain stochastic integrals. Zbl 1013.60031
Geiss, Stefan
2002
Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062
Carmona, René A.; Viens, Frederi G.
1998
Convergence of the fluctuations for interacting diffusions with jumps associated with Boltzmann equations. Zbl 0905.60073
Meleard, Sylvie
1998
General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117
Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C.
2000
On weak solutions of stochastic equations in Hilbert spaces. Zbl 0824.60052
Gątarek, Dariusz; Gołdys, Beniamin
1994
Properties of uniform consistency of the kernel estimators of density and of regression functions under dependence assumptions. Zbl 0770.62032
1992
Existence, uniqueness and smoothness for a class of function valued stochastic partial differential equations. Zbl 0766.60078
Kotelenez, Peter
1992
On the convergence of Markovian stochastic algorithms with rapidly decreasing ergodicity rates. Zbl 0949.65006
Younes, Laurent
1999
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
2000
On the exponential functionals of certain Lévy processes. (Sur les fonctionnelles exponentielles de certains processus de Lévy.) Zbl 0830.60072
Carmona, P.; Petit, F.; Yor, M.
1994
Microscopic structure at the shock in the asymmetric simple exclusion. Zbl 0679.60094
de Masi, A.; Kipnis, C.; Presutti, E.; Saada, E.
1989
A class of solvable singular stochastic control problems. Zbl 0931.93076
Alvarez, Luis H. R.
1999
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
2002
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
2001
The algebra of iterated stochastic integrals. Zbl 0827.60038
Gaines, J. G.
1994
Construction of stochastic inertial manifolds using backward integration. Zbl 0876.60040
Da Prato, Giuseppe; Debussche, Arnaud
1996
On the approximation of stochastic partial differential equations. II. Zbl 0669.60059
Gyöngy, I.
1989
On the Dirichlet problem for a class of second order PDE systems with small parameter. Zbl 0723.60095
Eizenberg, Alexander; Freidlin, Mark
1990
On a class of mixing processes. Zbl 0677.93070
Gerencsér, László
1989
Exponential estimates in exit probability for some diffusion processes in Hilbert spaces. Zbl 0699.60047
Chow, Pao-Liu; Menaldi, José-Luis
1990
A large deviation principle with queueing applications. Zbl 1006.60021
Ganesh, A. J.; O’Connell, Neil
2002
On the theorem of T. Yamada and S. Watanabe. Zbl 0739.60046
Engelbert, H. J.
1991
Solving Wick-stochastic boundary value problems using a finite element method. Zbl 0974.65009
Theting, Thomas Gorm
2000
Large deviations for occupation times of measure-valued branching Brownian motions. Zbl 0797.60025
Iscoe, Ian; Lee, Tzong-Yow
1993
Risk-minimality and orthogonality of martingales. Zbl 0702.60049
Schweizer, Martin
1990
Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048
Cambanis, Stamatis; Hu, Yaozhong
1996
Flows of homeomorphisms of stochastic differential equations with measurable drift. Zbl 0937.60059
Bahlali, Khaled
1999
Time-discretization of the Zakai equation for diffusion processes observed in correlated noise. Zbl 0729.60036
Florchinger, Patrick; Le Gland, François
1991
Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038
Pedersen, Jesper Lund
2003
Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075
Łaukajtys, Weronika; Słomiński, Leszek
2003
Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060
Ichihara, Naoyuki
2004
Hyperfinite Lévy processes. Zbl 1063.60072
Lindstrøm, Tom
2004
Importance sampling, large deviations, and differential games. Zbl 1076.65003
Dupuis, Paul; Wang, Hui
2004
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062
Royer, Manuela
2004
Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045
Rüdiger, B.
2004
On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056
Geiss, Christel; Geiss, Stefan
2004
Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060
Ichihara, Naoyuki
2004
Hyperfinite Lévy processes. Zbl 1063.60072
Lindstrøm, Tom
2004
Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034
Ceci, Claudia; Bassan, Bruno
2004
Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052
Benth, Fred Espen; Løkka, Arne
2004
On Markov processes with decomposable pseudo-differential generators. Zbl 1091.60014
Kolokoltsov, Vassili N.
2004
Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations. Zbl 1049.60050
Amadori, Anna Lisa; Karlsen, Kenneth H.; La Chioma, Claudia
2004
Further calculations for Israeli options. Zbl 1062.60043
Baurdoux, E. J.; Kyrianou, A. E.
2004
Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080
Yin, G.; Yang, H.
2004
Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029
Mishura, Yuliya
2004
Some useful functions for functional large deviations. Zbl 1050.60024
Duffy, Ken; Rodgers-Lee, Mark
2004
On the approximation of the solutions of stochastic equations with $$\theta$$-integrals. Zbl 1051.60065
Lazakovich, N. V.; Yablonski, A. L.
2004
Existence and uniqueness for solutions of one dimensional SDE’s driven by an additive fractional noise. Zbl 1062.60056
Denis, Laurent; Erraoui, Mohamed; Ouknine, Youssef
2004
A cyclic random motion in $$R^3$$ with four directions and finite velocity. Zbl 1048.60084
Orsingher, E.; Sommella, A. M.
2004
Donsker type theorem in Besov spaces involving regularly varying functions. Zbl 1050.60015
Boufoussi, Brahim; N&rsquo;Zi, Modeste
2004
Measure-valued Markov processes and stochastic flows on abstract spaces. Zbl 1063.60084
Dorogovtsev, Andrey A.
2004
Probabilistic interpretation of a system of quasilinear parabolic PDEs. Zbl 1062.60063
Sow, A. B.; Pardoux, E.
2004
Measure-valued limits of interacting particle systems with $$k$$-nary interactions. II. Finite-dimensional limits. Zbl 1080.60093
Kolokoltsov, Vassili N.
2004
Lévy approximation of increment processes with Markov switching. Zbl 1063.60044
2004
A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027
Rivero, Víctor
2003
Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038
Pedersen, Jesper Lund
2003
Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075
Łaukajtys, Weronika; Słomiński, Leszek
2003
Large deviations for multi-dimensional reflected fractional Brownian motion. Zbl 1032.60024
Majewski, Kurt
2003
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027
Bender, Christian; Elliott, Robert J.
2003
Functional central limit theorems for vicious walkers. Zbl 1206.82044
Katori, Makoto; Tanemura, Hideki
2003
Capacity expansion with exponential jump diffusion processes. Zbl 1089.90033
Wang, Hui
2003
Solving parabolic Wick-stochastic boundary value problems using a finite element method. Zbl 1031.65016
Theting, Thomas Gorm
2003
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057
Pham, Huyên
2003
Uniqueness result for the 2D Navier-Stokes equation with additive noise. Zbl 1107.76026
Ferrario, Benedetta
2003
Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise. Zbl 1018.60062
Kolokol&rsquo;tsov, V. N.; Tyukov, A. E.
2003
Maximal inequalities for a continuous semimartingale. Zbl 1021.60059
Yan, Litan
2003
Cramér’s asymptotics in systems with fast and slow motions. Zbl 1034.60029
Bakhtin, Victor I.
2003
Ergodic control of partially degenerate diffusions in a compact domain. Zbl 1046.93048
Borkar, Vivek S.; Ghosh, Mrinal K.
2003
Asymptotics of superregular perturbations of fiber ergodic semigroups. Zbl 1039.60055
Bakhtin, Victor I.
2003
Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes. Zbl 1043.60033
Danelia, Akaki; Dochviri, Besarion; Shashiashvili, Malkhaz
2003
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
2002
Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057
2002
Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075
2002
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
2002
Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036
Kuroda, Kazutaka; Nagai, Hideo
2002
Moderate deviations for martingale differences and applications to $$\varphi$$-mixing sequences. Zbl 1005.60044
Djellout, Hacène
2002
The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049
Fuhrman, Marco; Tessitore, Gianmario
2002
Quantitative approximation of certain stochastic integrals. Zbl 1013.60031
Geiss, Stefan
2002
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
2002
A large deviation principle with queueing applications. Zbl 1006.60021
Ganesh, A. J.; O&rsquo;Connell, Neil
2002
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
2002
Stochastic integral representations, stochastic derivatives and minimal variance hedging. Zbl 1009.60045
Di Nunno, G.
2002
Exact transient analysis of a planar random motion with three directions. Zbl 0997.60058
Di Crescenzo, Antonio
2002
Cahn-Hilliard stochastic equation: Strict positivity of the density. Zbl 1002.60050
Cardon-Weber, Caroline
2002
A Cameron-Martin type formula for general Gaussian processes: A filtering approach. Zbl 1002.60031
Kleptsyna, M. L.; Le Breton, A.
2002
Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079
Milstein, G. N.; Schoenmakers, J. G. M.
2002
SPDEs driven by space-time white noise in high dimensions: Absolute continuity of the law and convergence of solutions. Zbl 1030.60042
Zhang, T. S.; Zheng, W. A.
2002
Differential equations in spaces of abstract stochastic distributions. Zbl 1005.60083
2002
Comparison theorems for stochastic evolution equations. Zbl 0999.60060
Milian, Anna
2002
On a general result for backward stochastic differential equations. Zbl 1013.60041
Hassani, Mohammed; Ouknine, Youssef
2002
Limit theorems for some functionals associated with stable processes in a class of Besov spaces. (Théorèmes limites pour certaines fonctionnelles associées aux processus stables dans une classe d’espaces de Besov.) Zbl 1015.60068
Ait Ouahra, M.; Boufoussi, B.; Lakhel, E.
2002
Generalized calculus and SDEs with non regular drift. Zbl 1007.60046
Flandoli, Franco; Russo, Francesco
2002
On a variational inequality associated with a stopping game combined with a control. Zbl 1019.49018
Kamizono, Kenji; Morimoto, Hiroaki
2002
Bessel functions of third order and the distribution of cyclic planar motions with three directions. Zbl 1015.60040
Orsingher, Enzo
2002
Necessary conditions for optimality in relaxed stochastic control problems. Zbl 1092.93043
Mezerdi, Brahim; Bahlali, Seid
2002
Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039
Bassan, Bruno; Ceci, Claudia
2002
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029
Bassan, Bruno; Ceci, Claudia
2002
The Robbins-Monro type stochastic differential equations. II: Asymptotic behaviour of solutions. Zbl 1032.60054
Lazrieva, N.; Sharia, T.; Toronjadze, T.
2002
Discrete chaotic calculus and covariance identities. Zbl 1007.60047
Privault, Nicolas; Schoutens, Wim
2002
Limit theorems for BSDE with local time applications to non-linear PDE. Zbl 1011.60043
Eddahbi, M.; Ouknine, Y.
2002
Stochastic partial differential equations in bounded domains with Dirichlet boundary conditions. Zbl 1015.60055
Bonaccorsi, S.; Guatteri, G.
2002
Local asymptotic normality for multivariate nonlinear AR processes. Zbl 0992.62087
Lai, Dejian; Wang, Xiaobao; Wiorkowski, John
2002
Reduction of dimension for spatial point processes and right continuous martingales. Zbl 1004.60048
Aletti, G.; Capasso, V.
2002
A multidimensional central limit theorem for random walks on hypergroups. Zbl 1007.60007
Gallardo, Léonard
2002
Backward stochastic differential equations with Azéma’s martingale. Zbl 1011.60020
Rainer, C.
2002
Besov regularity for the indefinite Skorokhod integral with respect to the fractional Brownian motion: The singular case. Zbl 1010.60048
Lakhel, Hassan; Ouknine, Youssef; Tudor, Ciprian A.
2002
On the stochastic versions of Neumann and oblique derivative problems. Zbl 1014.60056
Rozanov, Y.; Sansò, F.
2002
Quasi-sure analysis of two-parameter stochastic differential equations. Zbl 1002.60051
Ren, Jiagang; Zhang, Xicheng
2002
Statistical analysis of stochastic resonance with ergodic diffusion noise. Zbl 1034.93060
Iacus, Stefano Maria
2002
On a problem of optimal harvesting from a stochastic system with a jump component. Zbl 1036.93067
Makasu, Cloud
2002
Stochastic reaction diffusion equations on an infinite interval with reflection. Zbl 1038.60059
Otobe, Yoshiki
2002
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
2001
Dirichlet processes associated to diffusions. Zbl 0983.60074
Mathieu, P.
2001
Filtering of hidden diffusion processes. Zbl 0984.60089
Kim, Hyung Geun
2001
Logarithmic derivatives of invariant measure for stochastic differential equations in Hilbert spaces. Zbl 0981.60060
Fuhrman, Marco
2001
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
2000
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
2000
Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066
Mao, Xuerong
2000
General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117
Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C.
2000
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
2000
Solving Wick-stochastic boundary value problems using a finite element method. Zbl 0974.65009
Theting, Thomas Gorm
2000
Asymptotic expansions for Ornstein-Uhlenbeck semigroups perturbed by potentials over Banach spaces. Zbl 0973.60064
Albeverio, Sergio; Röckle, Haio; Steblovskaya, Victoria
2000
On function spaces related to fractional diffusions on $$d$$-sets. Zbl 0967.60079
Pietruska-Pałuba, Katarzyna
2000
On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066
Cherny, A. S.
2000
Exact joint distribution in a model of planar random motion. Zbl 0954.60099
Orsingher, E.
2000
Impulse and continuous control of piecewise deterministic Markov processes. Zbl 1145.90461
Costa, O. L. V.; Raymundo, C. A. B.
2000
On the positive recurrence of a reflecting Brownian motion in a positive orthant of $$\mathbb{R}^n$$. (Sur la récurrence positive du mouvement brownien réflechi dans l’orthant positif de $$\mathbb{R}^n$$.) Zbl 0962.60080
El Kharroubi, A.; Ben Tahar, A.; Yaacoubi, A.
2000
Sharp Laplace asymptotics for a parabolic SPDE. Zbl 0957.60035
Rovira, Carles; Tindel, Samy
2000
Optimal control of assignment of jobs to processors under heavy traffic. Zbl 1033.90148
Kushner, Harold J.; Chen, Y. N.
2000
Optimal stopping with continuous control of piecewise deterministic Markov processes. Zbl 0967.60045
Costa, O. L. V.; Raymundo, C. A. B.; Dufour, F.
2000
Small noise asymptotics of the GLR test for off-line change detection in misspecified diffusion processes. Zbl 0964.62085
Campillo, Fabien; Kutoyants, Yury; Le Gland, François
2000
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Cited by 4,533 Authors

 43 Wang, Bixiang 38 Nualart, David 38 Ouknine, Youssef 32 Caraballo Garrido, Tomás 32 Øksendal, Bernt Karsten 31 Zhang, Tusheng S. 30 Albeverio, Sergio A. 30 Brzeźniak, Zdzisław 28 Russo, Francesco 28 Wu, Zhen 27 Maslowski, Bohdan 25 Hamadene, Saïd 25 Peng, Shige 24 Hu, Ying 24 Lu, Kening 23 Ren, Yong 23 Yan, Litan 23 Zhao, Weidong 21 Khoshnevisan, Davar 20 Bahlali, Khaled 20 Duan, Jinqiao 20 Shu, Ji 19 Kloeden, Peter Eris 19 Li, Juan 19 Röckner, Michael 19 Schmalfuß, Björn 19 Zhang, Qing 18 Budhiraja, Amarjit S. 18 Imkeller, Peter 18 Privault, Nicolas 18 Słomiński, Leszek 17 Dupuis, Paul G. 17 Flandoli, Franco 17 Hausenblas, Erika 17 Jentzen, Arnulf 17 Mao, Xuerong 16 Ferrari, Giorgio 16 Fuhrman, Marco 16 Hu, Yaozhong 16 Mezerdi, Brahim 16 Tindel, Samy 15 El Otmani, Mohamed 15 Langa, Jose’ Antonio 15 Vallois, Pierre 15 Veraar, Mark C. 14 Buckdahn, Rainer 14 Dalang, Robert C. 14 Djehiche, Boualem 14 Elliott, Robert James 14 Fan, Shengjun 14 Gyöngy, István 14 Karatzas, Ioannis 14 Li, Dingshi 14 Ondreját, Martin 14 Orsingher, Enzo 14 Pardoux, Etienne 14 Pasik-Duncan, Bozenna 14 Rásonyi, Miklós 14 Stettner, Łukasz 14 Tessitore, Gianmario 14 Tudor, Ciprian A. 14 Wang, Xiaohu 14 Zabczyk, Jerzy 14 Zhao, Huaizhong 14 Zhou, Shengfan 13 Confortola, Fulvia 13 Duncan, Tyrone E. 13 Friz, Peter Karl 13 Garrido-Atienza, María José 13 Goldys, Beniamin 13 Hu, Mingshang 13 Ji, Shaolin 13 Klimsiak, Tomasz 13 Milstein, Grigori N. 13 Pham, Huyên 13 Proske, Frank Norbert 13 Tang, Shanjian 13 Wang, Yejuan 13 Xiong, Jie 13 Zhao, Wenqiang 12 Essaky, El Hassan 12 Gapeev, Pavel V. 12 Rascanu, Aurel 12 Shi, Lin 12 Yor, Marc 11 Chen, Zhen-Qing 11 Debussche, Arnaud 11 Eddahbi, M’hamed 11 Gu, Anhui 11 Guatteri, Giuseppina 11 Hili, Ouagnina 11 Kohatsu-Higa, Arturo 11 León, Jorge A. 11 Ma, Jin 11 Maticiuc, Lucian 11 Peskir, Goran 11 Schachermayer, Walter 11 Sethi, Suresh P. 11 Thalmaier, Anton 11 Viens, Frederi G. ...and 4,433 more Authors
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Cited in 508 Journals

 455 Stochastic Processes and their Applications 161 The Annals of Probability 142 Stochastic Analysis and Applications 138 The Annals of Applied Probability 132 Journal of Mathematical Analysis and Applications 131 Stochastics 111 Probability Theory and Related Fields 110 Statistics & Probability Letters 107 Stochastics and Dynamics 91 Journal of Differential Equations 90 Applied Mathematics and Optimization 82 Journal of Functional Analysis 77 Journal of Theoretical Probability 61 Systems & Control Letters 56 SIAM Journal on Control and Optimization 55 Potential Analysis 55 Bernoulli 55 Mathematical Finance 48 Journal of Applied Probability 48 Finance and Stochastics 48 Discrete and Continuous Dynamical Systems. Series B 47 Journal of Statistical Physics 44 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 44 Infinite Dimensional Analysis, Quantum Probability and Related Topics 41 Journal of Computational and Applied Mathematics 40 Transactions of the American Mathematical Society 38 Advances in Applied Probability 38 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 35 Applied Mathematics and Computation 34 Comptes Rendus. Mathématique. Académie des Sciences, Paris 33 Journal of Optimization Theory and Applications 33 Queueing Systems 33 International Journal of Theoretical and Applied Finance 32 Journal of Mathematical Physics 32 Stochastics and Stochastics Reports 32 Bulletin des Sciences Mathématiques 30 Electronic Journal of Probability 29 Abstract and Applied Analysis 28 Random Operators and Stochastic Equations 28 Advances in Difference Equations 27 Stochastic and Partial Differential Equations. Analysis and Computations 24 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 23 Communications in Mathematical Physics 23 Journal of Dynamics and Differential Equations 23 NoDEA. Nonlinear Differential Equations and Applications 23 Science China. Mathematics 23 Mathematical Control and Related Fields 22 Mathematics of Operations Research 22 Insurance Mathematics & Economics 22 Discrete and Continuous Dynamical Systems 22 Mathematical Methods of Operations Research 21 Acta Mathematicae Applicatae Sinica. English Series 21 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 20 Computers & Mathematics with Applications 20 Acta Mathematica Sinica. English Series 20 Journal of Evolution Equations 19 International Journal of Control 19 Journal of Economic Dynamics & Control 18 Automatica 18 Annals of Operations Research 18 Journal of Systems Science and Complexity 18 Communications on Pure and Applied Analysis 18 Mathematics and Financial Economics 17 Acta Applicandae Mathematicae 17 Journal of Mathematical Sciences (New York) 16 Mathematische Nachrichten 16 Mathematical Problems in Engineering 15 Journal of Mathematical Economics 15 Journal of Applied Mathematics and Stochastic Analysis 15 European Journal of Operational Research 14 Lithuanian Mathematical Journal 14 Journal of Statistical Planning and Inference 14 Sequential Analysis 13 Mathematics of Computation 13 Proceedings of the American Mathematical Society 13 Physica D 13 Journal of Scientific Computing 13 SIAM Journal on Mathematical Analysis 13 Mathematical Programming. Series A. Series B 13 Stochastic Models 12 Communications on Pure and Applied Mathematics 12 The Annals of Statistics 12 Czechoslovak Mathematical Journal 12 Journal of Inequalities and Applications 12 Nonlinear Analysis. Real World Applications 12 Frontiers of Mathematics in China 11 Chaos, Solitons and Fractals 11 Asia-Pacific Financial Markets 11 SIAM Journal on Financial Mathematics 11 Afrika Matematika 10 Journal of Computational Physics 10 MCSS. Mathematics of Control, Signals, and Systems 10 Electronic Communications in Probability 10 Quantitative Finance 10 Dynamical Systems 10 International Journal of Stochastic Analysis 10 Stochastic Systems 9 Applicable Analysis 9 Computer Methods in Applied Mechanics and Engineering 9 Mathematics and Computers in Simulation ...and 408 more Journals
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Cited in 59 Fields

 3,874 Probability theory and stochastic processes (60-XX) 1,038 Partial differential equations (35-XX) 817 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 783 Systems theory; control (93-XX) 452 Numerical analysis (65-XX) 409 Calculus of variations and optimal control; optimization (49-XX) 366 Dynamical systems and ergodic theory (37-XX) 348 Statistics (62-XX) 341 Ordinary differential equations (34-XX) 266 Operations research, mathematical programming (90-XX) 174 Operator theory (47-XX) 147 Statistical mechanics, structure of matter (82-XX) 112 Functional analysis (46-XX) 112 Fluid mechanics (76-XX) 98 Global analysis, analysis on manifolds (58-XX) 98 Biology and other natural sciences (92-XX) 87 Measure and integration (28-XX) 57 Integral equations (45-XX) 51 Real functions (26-XX) 48 Computer science (68-XX) 36 Potential theory (31-XX) 27 Quantum theory (81-XX) 24 Differential geometry (53-XX) 19 Harmonic analysis on Euclidean spaces (42-XX) 19 Abstract harmonic analysis (43-XX) 18 Mechanics of particles and systems (70-XX) 18 Mechanics of deformable solids (74-XX) 17 Approximations and expansions (41-XX) 17 Geophysics (86-XX) 17 Information and communication theory, circuits (94-XX) 16 Linear and multilinear algebra; matrix theory (15-XX) 15 Difference and functional equations (39-XX) 14 Special functions (33-XX) 12 Mathematical logic and foundations (03-XX) 12 Convex and discrete geometry (52-XX) 10 Combinatorics (05-XX) 7 Integral transforms, operational calculus (44-XX) 6 Functions of a complex variable (30-XX) 6 Classical thermodynamics, heat transfer (80-XX) 5 Associative rings and algebras (16-XX) 5 Topological groups, Lie groups (22-XX) 5 Optics, electromagnetic theory (78-XX) 4 Number theory (11-XX) 4 General topology (54-XX) 3 General and overarching topics; collections (00-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 2 Group theory and generalizations (20-XX) 2 Algebraic topology (55-XX) 2 Manifolds and cell complexes (57-XX) 2 Astronomy and astrophysics (85-XX) 1 History and biography (01-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Nonassociative rings and algebras (17-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Sequences, series, summability (40-XX) 1 Geometry (51-XX) 1 Relativity and gravitational theory (83-XX) 1 Mathematics education (97-XX)