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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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...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

Publications by Year

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
260
1996
Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Zbl 0739.60060
Peng, Shige
224
1991
Backward stochastic differential equations and integral-partial differential equations. Zbl 0878.60036
Barles, Guy; Buckdahn, Rainer; Pardoux, Etienne
220
1997
A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Zbl 0756.49015
Peng, Shige
119
1992
Equivalent martingale measures and no-arbitrage in stochastic securities market models. Zbl 0694.90037
Dalang, Robert C.; Morton, Andrew; Willinger, Walter
117
1990
On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications. Zbl 0721.60062
Dupuis, Paul; Ishii, Hitoshi
101
1991
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
99
2002
On stochastic convolution in Banach spaces and applications. Zbl 0891.60056
Brzeźniak, Zdzisław
91
1997
On the support of solutions to the heat equation with noise. Zbl 0749.60057
Mueller, Carl
82
1991
Stochastic analysis of fractional Brownian motions. Zbl 0886.60076
Lin, S. J.
81
1995
A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070
Ocone, Daniel L.; Karatzas, Ioannis
78
1991
Finite element and difference approximation of some linear stochastic partial differential equations. Zbl 0907.65147
Allen, E. J.; Novosel, S. J.; Zhang, Z.
76
1998
Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057
Hamadène, S.
73
2002
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
61
2000
Second-order discretization schemes of stochastic differential systems for the computation of the invariant law. Zbl 0697.60066
Talay, Denis
57
1990
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
56
2000
Existence for BSDE with superlinear-quadratic coefficient. Zbl 0910.60046
Lepeltier, J.-P.; San Martín, J.
54
1998
Importance sampling, large deviations, and differential games. Zbl 1076.65003
Dupuis, Paul; Wang, Hui
53
2004
Backward equations, stochastic control and zero-sum stochastic differential games. Zbl 0858.60056
Hamadène, S.; Lepeltier, J. P.
53
1995
Epi-consistency of convex stochastic programs. Zbl 0733.90049
King, Alan J.; Wets, Roger J.-B.
46
1991
Stochastic Burgers equation with correlated noise. Zbl 0853.35138
Da Prato, Giuseppe; Gatarek, Dariusz
45
1995
Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075
Larssen, Bjørnar
43
2002
Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach. Zbl 0795.93103
Tang, Shanjian; Yong, Jiongmin
43
1993
Asymptotic exponential stability of stochastic partial differential equations with delay. Zbl 0723.60074
Caraballo, Tomás
43
1990
Maximum principle for semilinear stochastic evolution control systems. Zbl 0722.93080
Hu, Ying; Peng, Shige
43
1990
Almost periodic solutions of affine stochastic evolution equations. Zbl 0752.60049
Tudor, Constantin
41
1992
Evolution equations with white-noise boundary conditions. Zbl 0814.60055
Da Prato, Giuseppe; Zabczyk, J.
40
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.
38
1996
Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066
Mao, Xuerong
37
2000
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
34
1995
The stochastic maximum principle for a singular control problem. Zbl 0834.93061
Cadenillas, Abel; Haussmann, Ulrich G.
32
1994
Stationary and almost periodic solutions of almost periodic affine stochastic differential equations. Zbl 1043.60513
Arnold, Ludwig; Tudor, Constantin
32
1998
Reflected backward stochastic differential equations with jumps. Zbl 0918.60046
Ouknine, Y.
31
1998
Asymptotic stability theorems of semilinear stochastic evolution equations in Hilbert spaces. Zbl 0854.60051
Taniguchi, Takeshi
31
1995
Ergodic results for stochastic Navier-Stokes equation. Zbl 0882.60059
Ferrario, Benedetta
30
1997
Stochastic inertial manifold. Zbl 0854.60059
Bensoussan, Alain; Flandoli, Franco
30
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
30
1991
On the differentiation of heat semigroups and Poisson integrals. Zbl 0897.60064
Thalmaier, Anton
29
1997
Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048
Benth, Fred Espen; Gjerde, Jon
28
1998
An extension of Clark’s formula. Zbl 0745.60056
Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu
28
1991
Markov measures for random dynamical systems. Zbl 0739.60066
Crauel, Hans
28
1991
Langevin’s stochastic differential equation extended by a time-delayed term. Zbl 0777.60048
Küchler, Uwe; Mensch, Beatrice
28
1992
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
27
2002
Lyapunov functionals and asymptotic stability of stochastic delay evolution equations. Zbl 0947.93037
Liu, Kai
27
1998
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
27
1991
Lévy measure with generalized polar decomposition and the associated SDE with jumps. Zbl 0753.60073
Tsuchiya, Masaaki
27
1992
Chaotic and variational calculus in discrete and continuous time for the Poisson process. Zbl 0851.60052
Privault, Nicolas
27
1994
Brownian motion and Besov spaces. (Mouvement brownien et espaces de Besov.) Zbl 0808.60071
Roynette, Bernard
27
1993
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
26
2004
A class of solvable stochastic investment problems involving singular controls. Zbl 0825.93981
Kobila, T. Ø.
26
1993
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062
Royer, Manuela
25
2004
Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045
Rüdiger, B.
25
2004
Semigroup of hyperbolic Brownian motion. (Semi-groupe du mouvement Brownien hyperbolique.) Zbl 0891.60075
Gruet, J.-C.
25
1996
A stochastic approximation type EM algorithm for the mixture problem. Zbl 0766.62050
Celeux, Gilles; Diebolt, Jean
25
1992
Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036
Kuroda, Kazutaka; Nagai, Hideo
24
2002
Large deviations of semimartingales via convergence of the predictable characteristics. Zbl 0827.60017
Puhalskii, A.
24
1994
Dirichlet boundary value problem for stochastic parabolic equations: Compatibility relations and regularity of solutions. Zbl 0696.60057
Flandoli, Franco
24
1990
Backward stochastic variational inequalities. Zbl 0948.60049
Pardoux, Etienne; Răşcanu, Aurel
23
1999
Limit theorems on large deviations for semimartingales. Zbl 0749.60027
Liptser, Robert Sh.; Pukhalskii, Anatolii A.
23
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
23
1990
On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056
Geiss, Christel; Geiss, Stefan
22
2004
Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044
Djellout, Hacène
22
2002
The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049
Fuhrman, Marco; Tessitore, Gianmario
22
2002
Pseudodifferential operators with negative definite symbols and the martingale problem. Zbl 0880.47029
Hoh, Walter
22
1995
Stochastic evolution equations in \(L_{\rho}^{2\nu}\). Zbl 0926.60051
Manthey, Ralf; Zausinger, Thomas
22
1999
Equivalent martingale measures and no-arbitrage. Zbl 0851.60042
Rogers, L. C. G.
22
1994
Stratonovich integral and trace. Zbl 0706.60056
Solé, J. LL.; Utzet, F.
22
1990
A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027
Rivero, Víctor
21
2003
Quantitative approximation of certain stochastic integrals. Zbl 1013.60031
Geiss, Stefan
21
2002
Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062
Carmona, René A.; Viens, Frederi G.
20
1998
Convergence of the fluctuations for interacting diffusions with jumps associated with Boltzmann equations. Zbl 0905.60073
Meleard, Sylvie
20
1998
General approach to filtering with fractional Brownian noises – application to linear systems. Zbl 0979.93117
Kleptsyna, M. L.; Le Breton, A.; Roubaud, M.-C.
20
2000
On weak solutions of stochastic equations in Hilbert spaces. Zbl 0824.60052
Gątarek, Dariusz; Gołdys, Beniamin
20
1994
Properties of uniform consistency of the kernel estimators of density and of regression functions under dependence assumptions. Zbl 0770.62032
Peligrad, Magda
19
1992
Existence, uniqueness and smoothness for a class of function valued stochastic partial differential equations. Zbl 0766.60078
Kotelenez, Peter
19
1992
On the convergence of Markovian stochastic algorithms with rapidly decreasing ergodicity rates. Zbl 0949.65006
Younes, Laurent
19
1999
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
19
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.
19
1994
Microscopic structure at the shock in the asymmetric simple exclusion. Zbl 0679.60094
de Masi, A.; Kipnis, C.; Presutti, E.; Saada, E.
19
1989
A class of solvable singular stochastic control problems. Zbl 0931.93076
Alvarez, Luis H. R.
18
1999
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2002
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
18
2001
The algebra of iterated stochastic integrals. Zbl 0827.60038
Gaines, J. G.
18
1994
Construction of stochastic inertial manifolds using backward integration. Zbl 0876.60040
Da Prato, Giuseppe; Debussche, Arnaud
18
1996
On the approximation of stochastic partial differential equations. II. Zbl 0669.60059
Gyöngy, I.
18
1989
On the Dirichlet problem for a class of second order PDE systems with small parameter. Zbl 0723.60095
Eizenberg, Alexander; Freidlin, Mark
17
1990
On a class of mixing processes. Zbl 0677.93070
Gerencsér, László
17
1989
Exponential estimates in exit probability for some diffusion processes in Hilbert spaces. Zbl 0699.60047
Chow, Pao-Liu; Menaldi, José-Luis
17
1990
A large deviation principle with queueing applications. Zbl 1006.60021
Ganesh, A. J.; O’Connell, Neil
16
2002
On the theorem of T. Yamada and S. Watanabe. Zbl 0739.60046
Engelbert, H. J.
16
1991
Solving Wick-stochastic boundary value problems using a finite element method. Zbl 0974.65009
Theting, Thomas Gorm
16
2000
Large deviations for occupation times of measure-valued branching Brownian motions. Zbl 0797.60025
Iscoe, Ian; Lee, Tzong-Yow
16
1993
Risk-minimality and orthogonality of martingales. Zbl 0702.60049
Schweizer, Martin
16
1990
Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048
Cambanis, Stamatis; Hu, Yaozhong
16
1996
Flows of homeomorphisms of stochastic differential equations with measurable drift. Zbl 0937.60059
Bahlali, Khaled
15
1999
Time-discretization of the Zakai equation for diffusion processes observed in correlated noise. Zbl 0729.60036
Florchinger, Patrick; Le Gland, François
15
1991
Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038
Pedersen, Jesper Lund
15
2003
Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075
Łaukajtys, Weronika; Słomiński, Leszek
15
2003
Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060
Ichihara, Naoyuki
15
2004
Hyperfinite Lévy processes. Zbl 1063.60072
Lindstrøm, Tom
15
2004
Importance sampling, large deviations, and differential games. Zbl 1076.65003
Dupuis, Paul; Wang, Hui
53
2004
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
26
2004
BSDEs with a random terminal time driven by a monotone generator and their links with PDEs. Zbl 1055.60062
Royer, Manuela
25
2004
Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces. Zbl 1052.60045
Rüdiger, B.
25
2004
On approximation of a class of stochastic integrals and interpolation. Zbl 1060.60056
Geiss, Christel; Geiss, Stefan
22
2004
Homogenization problem for stochastic partial differential equations of Zakai type. Zbl 1056.60060
Ichihara, Naoyuki
15
2004
Hyperfinite Lévy processes. Zbl 1063.60072
Lindstrøm, Tom
15
2004
Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Zbl 1056.60034
Ceci, Claudia; Bassan, Bruno
13
2004
Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052
Benth, Fred Espen; Løkka, Arne
11
2004
On Markov processes with decomposable pseudo-differential generators. Zbl 1091.60014
Kolokoltsov, Vassili N.
10
2004
Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations. Zbl 1049.60050
Amadori, Anna Lisa; Karlsen, Kenneth H.; La Chioma, Claudia
9
2004
Further calculations for Israeli options. Zbl 1062.60043
Baurdoux, E. J.; Kyrianou, A. E.
8
2004
Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080
Yin, G.; Yang, H.
7
2004
Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029
Mishura, Yuliya
6
2004
Some useful functions for functional large deviations. Zbl 1050.60024
Duffy, Ken; Rodgers-Lee, Mark
5
2004
On the approximation of the solutions of stochastic equations with \(\theta\)-integrals. Zbl 1051.60065
Lazakovich, N. V.; Yablonski, A. L.
3
2004
Existence and uniqueness for solutions of one dimensional SDE’s driven by an additive fractional noise. Zbl 1062.60056
Denis, Laurent; Erraoui, Mohamed; Ouknine, Youssef
3
2004
A cyclic random motion in \(R^3\) with four directions and finite velocity. Zbl 1048.60084
Orsingher, E.; Sommella, A. M.
2
2004
Donsker type theorem in Besov spaces involving regularly varying functions. Zbl 1050.60015
Boufoussi, Brahim; N’Zi, Modeste
2
2004
Measure-valued Markov processes and stochastic flows on abstract spaces. Zbl 1063.60084
Dorogovtsev, Andrey A.
2
2004
Probabilistic interpretation of a system of quasilinear parabolic PDEs. Zbl 1062.60063
Sow, A. B.; Pardoux, E.
2
2004
Measure-valued limits of interacting particle systems with \(k\)-nary interactions. II. Finite-dimensional limits. Zbl 1080.60093
Kolokoltsov, Vassili N.
1
2004
Lévy approximation of increment processes with Markov switching. Zbl 1063.60044
Korolyuk, Vladimir S.; Limnios, Nikolaos
1
2004
A law of iterated logarithm for increasing self-similar Markov processes. Zbl 1053.60027
Rivero, Víctor
21
2003
Optimal prediction of the ultimate maximum of Brownian motion. Zbl 1032.60038
Pedersen, Jesper Lund
15
2003
Penalization methods for reflecting stochastic differential equations with jumps. Zbl 1033.60075
Łaukajtys, Weronika; Słomiński, Leszek
15
2003
Large deviations for multi-dimensional reflected fractional Brownian motion. Zbl 1032.60024
Majewski, Kurt
12
2003
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027
Bender, Christian; Elliott, Robert J.
11
2003
Functional central limit theorems for vicious walkers. Zbl 1206.82044
Katori, Makoto; Tanemura, Hideki
10
2003
Capacity expansion with exponential jump diffusion processes. Zbl 1089.90033
Wang, Hui
6
2003
Solving parabolic Wick-stochastic boundary value problems using a finite element method. Zbl 1031.65016
Theting, Thomas Gorm
5
2003
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057
Pham, Huyên
4
2003
Uniqueness result for the 2D Navier-Stokes equation with additive noise. Zbl 1107.76026
Ferrario, Benedetta
4
2003
Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise. Zbl 1018.60062
Kolokol’tsov, V. N.; Tyukov, A. E.
4
2003
Maximal inequalities for a continuous semimartingale. Zbl 1021.60059
Yan, Litan
4
2003
Cramér’s asymptotics in systems with fast and slow motions. Zbl 1034.60029
Bakhtin, Victor I.
3
2003
Ergodic control of partially degenerate diffusions in a compact domain. Zbl 1046.93048
Borkar, Vivek S.; Ghosh, Mrinal K.
1
2003
Asymptotics of superregular perturbations of fiber ergodic semigroups. Zbl 1039.60055
Bakhtin, Victor I.
1
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
1
2003
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
99
2002
Reflected BSDE’s with discontinuous barrier and application. Zbl 1015.60057
Hamadène, S.
73
2002
Dynamic programming in stochastic control of systems with delay. Zbl 1022.34075
Larssen, Bjørnar
43
2002
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
27
2002
Risk-sensitive portfolio optimization on infinite time horizon. Zbl 1041.91036
Kuroda, Kazutaka; Nagai, Hideo
24
2002
Moderate deviations for martingale differences and applications to \(\varphi\)-mixing sequences. Zbl 1005.60044
Djellout, Hacène
22
2002
The Bismut-Elworthy formula for backward SDE’s and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces. Zbl 1013.60049
Fuhrman, Marco; Tessitore, Gianmario
22
2002
Quantitative approximation of certain stochastic integrals. Zbl 1013.60031
Geiss, Stefan
21
2002
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2002
A large deviation principle with queueing applications. Zbl 1006.60021
Ganesh, A. J.; O’Connell, Neil
16
2002
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
12
2002
Stochastic integral representations, stochastic derivatives and minimal variance hedging. Zbl 1009.60045
Di Nunno, G.
10
2002
Exact transient analysis of a planar random motion with three directions. Zbl 0997.60058
Di Crescenzo, Antonio
9
2002
Cahn-Hilliard stochastic equation: Strict positivity of the density. Zbl 1002.60050
Cardon-Weber, Caroline
9
2002
A Cameron-Martin type formula for general Gaussian processes: A filtering approach. Zbl 1002.60031
Kleptsyna, M. L.; Le Breton, A.
9
2002
Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079
Milstein, G. N.; Schoenmakers, J. G. M.
9
2002
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.
9
2002
Differential equations in spaces of abstract stochastic distributions. Zbl 1005.60083
Filinkov, Alexei; Sorensen, Julian
8
2002
Comparison theorems for stochastic evolution equations. Zbl 0999.60060
Milian, Anna
6
2002
On a general result for backward stochastic differential equations. Zbl 1013.60041
Hassani, Mohammed; Ouknine, Youssef
6
2002
Limit theorems for some functionals associated with stable processes in a class of Besov spaces. (Théorèmes limites pour certaines fonctionnelles associées aux processus stables dans une classe d’espaces de Besov.) Zbl 1015.60068
Ait Ouahra, M.; Boufoussi, B.; Lakhel, E.
6
2002
Generalized calculus and SDEs with non regular drift. Zbl 1007.60046
Flandoli, Franco; Russo, Francesco
5
2002
On a variational inequality associated with a stopping game combined with a control. Zbl 1019.49018
Kamizono, Kenji; Morimoto, Hiroaki
5
2002
Bessel functions of third order and the distribution of cyclic planar motions with three directions. Zbl 1015.60040
Orsingher, Enzo
5
2002
Necessary conditions for optimality in relaxed stochastic control problems. Zbl 1092.93043
Mezerdi, Brahim; Bahlali, Seid
5
2002
Optimal stopping problems with discontinuous reward: Regularity of the value function and viscosity solutions. Zbl 0998.60039
Bassan, Bruno; Ceci, Claudia
4
2002
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes. Zbl 1020.60029
Bassan, Bruno; Ceci, Claudia
4
2002
The Robbins-Monro type stochastic differential equations. II: Asymptotic behaviour of solutions. Zbl 1032.60054
Lazrieva, N.; Sharia, T.; Toronjadze, T.
4
2002
Discrete chaotic calculus and covariance identities. Zbl 1007.60047
Privault, Nicolas; Schoutens, Wim
3
2002
Limit theorems for BSDE with local time applications to non-linear PDE. Zbl 1011.60043
Eddahbi, M.; Ouknine, Y.
3
2002
Stochastic partial differential equations in bounded domains with Dirichlet boundary conditions. Zbl 1015.60055
Bonaccorsi, S.; Guatteri, G.
3
2002
Local asymptotic normality for multivariate nonlinear AR processes. Zbl 0992.62087
Lai, Dejian; Wang, Xiaobao; Wiorkowski, John
2
2002
Reduction of dimension for spatial point processes and right continuous martingales. Zbl 1004.60048
Aletti, G.; Capasso, V.
2
2002
A multidimensional central limit theorem for random walks on hypergroups. Zbl 1007.60007
Gallardo, Léonard
2
2002
Backward stochastic differential equations with Azéma’s martingale. Zbl 1011.60020
Rainer, C.
2
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.
2
2002
On the stochastic versions of Neumann and oblique derivative problems. Zbl 1014.60056
Rozanov, Y.; Sansò, F.
2
2002
Quasi-sure analysis of two-parameter stochastic differential equations. Zbl 1002.60051
Ren, Jiagang; Zhang, Xicheng
1
2002
Statistical analysis of stochastic resonance with ergodic diffusion noise. Zbl 1034.93060
Iacus, Stefano Maria
1
2002
On a problem of optimal harvesting from a stochastic system with a jump component. Zbl 1036.93067
Makasu, Cloud
1
2002
Stochastic reaction diffusion equations on an infinite interval with reflection. Zbl 1038.60059
Otobe, Yoshiki
1
2002
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations. Zbl 0986.60056
Øksendal, Bernt; Zhang, Tusheng
18
2001
Dirichlet processes associated to diffusions. Zbl 0983.60074
Mathieu, P.
1
2001
Filtering of hidden diffusion processes. Zbl 0984.60089
Kim, Hyung Geun
1
2001
Logarithmic derivatives of invariant measure for stochastic differential equations in Hilbert spaces. Zbl 0981.60060
Fuhrman, Marco
1
2001
Some solvable stochastic control problems with delay. Zbl 0999.93072
Elsanosi, Ismail; Øksendal, Bernt; Sulem, Agnès
61
2000
Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053
Russo, Francesco; Vallois, Pierre
56
2000
Asymptotic properties of neutral stochastic differential delay equations. Zbl 0964.60066
Mao, Xuerong
37
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.
20
2000
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
19
2000
Solving Wick-stochastic boundary value problems using a finite element method. Zbl 0974.65009
Theting, Thomas Gorm
16
2000
Asymptotic expansions for Ornstein-Uhlenbeck semigroups perturbed by potentials over Banach spaces. Zbl 0973.60064
Albeverio, Sergio; Röckle, Haio; Steblovskaya, Victoria
14
2000
On function spaces related to fractional diffusions on \(d\)-sets. Zbl 0967.60079
Pietruska-Pałuba, Katarzyna
13
2000
On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066
Cherny, A. S.
13
2000
Exact joint distribution in a model of planar random motion. Zbl 0954.60099
Orsingher, E.
12
2000
Impulse and continuous control of piecewise deterministic Markov processes. Zbl 1145.90461
Costa, O. L. V.; Raymundo, C. A. B.
9
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.
6
2000
Sharp Laplace asymptotics for a parabolic SPDE. Zbl 0957.60035
Rovira, Carles; Tindel, Samy
5
2000
Optimal control of assignment of jobs to processors under heavy traffic. Zbl 1033.90148
Kushner, Harold J.; Chen, Y. N.
5
2000
Optimal stopping with continuous control of piecewise deterministic Markov processes. Zbl 0967.60045
Costa, O. L. V.; Raymundo, C. A. B.; Dufour, F.
3
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
3
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.
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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
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3,874 Probability theory and stochastic processes (60-XX)
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266 Operations research, mathematical programming (90-XX)
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