## Stochastics

### An International Journal of Probability and Stochastic Processes

 Short Title: Stochastics Publisher: Taylor & Francis, Abingdon, Oxfordshire ISSN: 1744-2508; 1744-2516/e Online: http://www.tandfonline.com/loi/gssr20 Predecessor: Stochastics and Stochastics Reports Comments: Indexed cover-to-cover
 Documents Indexed: 781 Publications (since 2005) References Indexed: 719 Publications with 16,243 References.
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### Latest Issues

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### Authors

 13 Øksendal, Bernt Karsten 9 Benth, Fred Espen 9 Ouknine, Youssef 8 Ouerdiane, Habib 7 Gapeev, Pavel V. 7 Mishura, Yuliya Stepanivna 7 Yan, Litan 6 da Silva, José Luís 6 Di Nunno, Giulia 6 Nualart, David 6 Orsingher, Enzo 6 Shen, Aiting 6 Wang, Xuejun 5 Dokuchaev, Nikolai G. 5 Dufour, François 5 Hamadene, Saïd 5 Jacka, Saul D. 5 Kifer, Yuri 5 Mao, Xuerong 5 Melnikov, Aleksander Viktorovich 5 Peskir, Goran 4 Appleby, John A. D. 4 Bahlali, Khaled 4 Engelbert, Hans-Jürgen 4 Evstigneev, Igor V. 4 Hu, Shuhe 4 Hu, Yaozhong 4 Macci, Claudio 4 Morlais, Marie-Amelie 4 Pontier, Monique 4 Privault, Nicolas 4 Proske, Frank Norbert 4 Quenez, Marie-Claire 4 Rodkina, Alexandra 4 Rosalsky, Andrew 4 Tudor, Ciprian A. 4 Wu, Yi 4 Yin, Gang George 4 Yuan, Chenggui 4 Zervos, Mihail 3 Abdelghani, Mohamed N. 3 Albeverio, Sergio A. 3 Basse-O’Connor, Andreas 3 Bayraktar, Erhan 3 Berti, Patrizia 3 Ceci, Claudia 3 Diop, Mamadou Abdoul 3 Erraoui, Mohamed 3 Ezzinbi, Khalil 3 Grothaus, Martin 3 Hernández-Hernández, Daniel 3 Herzberg, Frederik S. 3 Hilbert, Astrid 3 Hillairet, Caroline 3 Jiang, Hui 3 Kolokoltsov, Vassili N. 3 Kuhn, Christoph 3 Kushner, Harold J. 3 Lang, Annika 3 León, Jorge A. 3 Leonenko, Nikolai N. 3 Li, Deli 3 Meyer-Brandis, Thilo 3 Mnif, Mohamed 3 Nagel, Werner 3 Novikov, Aleksandr Aleksandrovich 3 Pacchiarotti, Barbara 3 Ren, Yong 3 Rigo, Pietro 3 Shi, Zhiyan 3 Shiryaev, Al’bert Nikolaevich 3 Song, Qingshuo 3 Stockbridge, Richard H. 3 Volodin, Andrei I. 3 von Waldenfels, Wilhelm 3 Xiong, Jie 3 Yan, Zuomao 3 Yin, George Gang 3 Zheng, Harry H. 3 Zhitlukhin, Mikhail V. 2 Accardi, Luigi 2 Agram, Nacira 2 Alòs, Elisa 2 Amami, Rim 2 An, Ta Thi Kieu 2 Ankirchner, Stefan 2 Ayache, Antoine 2 Bai, Long 2 Bao, Jianhai 2 Barhoumi, Abdessatar 2 Barth, Andrea 2 Bäuerle, Nicole 2 Beghin, Luisa 2 Bensoussan, Alain 2 Berkaoui, Abdelkarem 2 Bhatnagar, Shalabh 2 Bielecki, Tomasz R. 2 Blower, Gordon 2 Bo, Lijun 2 Buonaguidi, Bruno ...and 1,042 more Authors
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### Fields

 708 Probability theory and stochastic processes (60-XX) 183 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 103 Systems theory; control (93-XX) 83 Statistics (62-XX) 60 Partial differential equations (35-XX) 42 Ordinary differential equations (34-XX) 38 Calculus of variations and optimal control; optimization (49-XX) 28 Numerical analysis (65-XX) 23 Operations research, mathematical programming (90-XX) 21 Operator theory (47-XX) 19 Functional analysis (46-XX) 16 Dynamical systems and ergodic theory (37-XX) 12 Quantum theory (81-XX) 9 Measure and integration (28-XX) 9 Global analysis, analysis on manifolds (58-XX) 8 Biology and other natural sciences (92-XX) 7 Integral equations (45-XX) 6 Harmonic analysis on Euclidean spaces (42-XX) 6 Fluid mechanics (76-XX) 5 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 5 Real functions (26-XX) 4 Special functions (33-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Approximations and expansions (41-XX) 2 Mathematical logic and foundations (03-XX) 2 Combinatorics (05-XX) 2 Topological groups, Lie groups (22-XX) 2 Potential theory (31-XX) 2 Abstract harmonic analysis (43-XX) 2 Differential geometry (53-XX) 2 Geophysics (86-XX) 2 Information and communication theory, circuits (94-XX) 1 Field theory and polynomials (12-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Nonassociative rings and algebras (17-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Astronomy and astrophysics (85-XX)

### Citations contained in zbMATH Open

466 Publications have been cited 2,760 times in 2,469 Documents Cited by Year
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
2012
Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients. Zbl 1304.65009
Mao, Xuerong; Szpruch, Lukasz
2013
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
2008
The stochastic Fubini theorem revisited. Zbl 1255.60086
Veraar, Mark
2012
Some properties of the sub-fractional Brownian motion. Zbl 1124.60038
Tudor, Constantin
2007
Pathwise uniqueness and continuous dependence for SDEs with non-regular drift. Zbl 1221.60081
Fedrizzi, E.; Flandoli, F.
2011
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Zbl 1337.60123
Kruse, T.; Popier, A.
2016
Almost sure exponential stability for stochastic neutral partial functional differential equations. Zbl 1115.60064
Govindan, T. E.
2005
The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion. Zbl 1154.60046
Mishura, Yu; Shevchenko, G.
2008
Risk-sensitive control of continuous time Markov chains. Zbl 1337.49046
Ghosh, Mrinal K.; Saha, Subhamay
2014
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
2014
Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise. Zbl 1422.62275
El Onsy, Brahim; Es-Sebaiy, Khalifa; Viens, Frederi G.
2017
A complete representation theorem for $$G$$-martingales. Zbl 1337.60130
Peng, Shige; Song, Yongsheng; Zhang, Jianfeng
2014
On complete convergence of weighted sums for arrays of rowwise extended negatively dependent random variables. Zbl 1290.60040
Wang, Xuejun; Wang, Shijie; Hu, Shuhe; Ling, Jimin; Wei, Yunfei
2013
Simulation of stochastic partial differential equations using finite element methods. Zbl 1255.60114
Barth, Andrea; Lang, Annika
2012
Approximate McKean-Vlasov representations for a class of SPDEs. Zbl 1211.60022
Crisan, Dan; Xiong, Jie
2010
Jump-diffusions in Hilbert spaces: existence, stability and numerics. Zbl 1230.60066
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
2010
A harmonic function technique for the optimal stopping of diffusions. Zbl 1241.60022
Christensen, Sören; Irle, Albrecht
2011
Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise. Zbl 1177.39020
Appleby, John A. D.; Berkolaiko, Gregory; Rodkina, Alexandra
2009
Utility maximization in a jump market model. Zbl 1156.91380
Morlais, Marie-Amelie
2009
Large deviations for neutral functional SDEs with jumps. Zbl 1319.60124
Bao, Jianhai; Yuan, Chenggui
2015
Complete moment convergence for arrays of rowwise NSD random variables. Zbl 1337.60038
Shen, Aiting; Xue, Mingxiang; Volodin, Andrei
2016
Existence and global attractiveness of a pseudo almost periodic solution in $$p$$-th mean sense for stochastic evolution equation driven by a fractional Brownian motion. Zbl 1337.60137
2015
A stochastic target formulation for optimal switching problems in finite horizon. Zbl 1175.60037
Bouchard, Bruno
2009
Optimal stopping of Hunt and Lévy processes. Zbl 1114.60034
Mordecki, Ernesto; Salminen, Paavo
2007
Cheridito, Patrick; Nam, Kihun
2015
Phase transitions of McKean-Vlasov processes in double-wells landscape. Zbl 1314.60118
Tugaut, Julian
2014
Strong convergence for sequences of asymptotically almost negatively associated random variables. Zbl 1312.60024
Shen, Aiting; Wu, Ranchao
2014
Stochastic differential delay equations with jumps, under nonlinear growth condition. Zbl 1191.60081
Jacob, Niels; Wang, Yongtian; Yuan, Chenggui
2009
Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362
Ceci, Claudia
2006
On the local time of multifractional Brownian motion. Zbl 1124.60061
Boufoussi, B.; Dozzi, M.; Guerbaz, R.
2006
A global construction of homogeneous random planar tessellations that are stable under iteration. Zbl 1139.60011
Mecke, J.; Nagel, W.; Weiss, V.
2008
Amplitude equations for SPDEs with cubic nonlinearities. Zbl 1291.60127
Blömker, Dirk; Mohammed, Wael W.
2013
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
2012
Existence and uniqueness of path wise solutions for stochastic integral equations driven by Lévy noise on separable Banach spaces. Zbl 1119.60040
Mandrekar, V.; Rüdiger, B.
2006
Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces. Zbl 1117.60056
Rüdiger, B.; Ziglio, G.
2006
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. Zbl 1298.91166
Jacquier, Antoine; Keller-Ressel, Martin; Mijatović, Aleksandar
2013
Existence of an optimal control for stochastic control systems with nonlinear cost functional. Zbl 1200.93137
Buckdahn, R.; Labed, B.; Rainer, C.; Tamer, L.
2010
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
2013
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
2011
Optimal stopping, Appell polynomials, and Wiener-Hopf factorization. Zbl 1248.60046
Salminen, Paavo
2011
Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics. Zbl 1115.60043
Androshchuk, Taras; Mishura, Yuliya
2006
The duality of optimal exercise and domineering claims: a Doob-Meyer decomposition approach to the Snell envelope. Zbl 1235.60039
Jamshidian, Farshid
2007
An approach for solving perpetual optimal stopping problems driven by Lévy processes. Zbl 1156.60026
Surya, B. A.
2007
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
2007
Multivariate regular variation on cones: Application to extreme values, hidden regular variation and conditioned limit laws. Zbl 1142.60042
Resnick, Sidney I.
2008
Mixed fractional stochastic differential equations with jumps. Zbl 1307.60087
Shevchenko, Georgiy
2014
Hitting densities for spectrally positive stable processes. Zbl 1231.60042
Simon, Thomas
2011
Existence and exponential stability of almost automorphic mild solutions for stochastic functional differential equations. Zbl 1221.60078
Cao, Junfei; Yang, Qigui; Huang, Zaitang
2011
Moving randomly amid scattered obstacles. Zbl 1210.60111
Beghin, Luisa; Orsingher, Enzo
2010
A bulk quorum queueing system with a random setup time under $$N$$-policy and with Bernoulli vacation schedule. Zbl 1122.60082
2006
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions. Zbl 1306.60040
Crocce, Fabián; Mordecki, Ernesto
2014
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Zbl 1090.60057
Øksendal, Bernt; Proske, Frank; Zhang, Tusheng
2005
Numerical solutions for jump-diffusions with regime switching. Zbl 1071.60050
Yin, G.; Song, Q. S.; Zhang, Z.
2005
Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space. Zbl 1325.60094
Nguyen Tien Dung
2015
Hedging with risk for game options in discrete time. Zbl 1151.91503
Dolinsky, Yan; Kifer, Yuri
2007
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
2017
Dynamic assessment indices. Zbl 1414.91420
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin
2016
White noise-based stochastic calculus with respect to multifractional Brownian motion. Zbl 1326.60079
Lebovits, Joachim; Lévy Véhel, Jacques
2014
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets. Zbl 1115.91025
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl
2005
Hyperbolic and fractional hyperbolic Brownian motion. Zbl 1129.60038
Lao, Lanjun; Orsingher, Enzo
2007
Stochastic differential equations with time-dependent reflecting barriers. Zbl 1296.60175
Słomiński, Leszek; Wojciechowski, Tomasz
2013
On the practical global uniform asymptotic stability of stochastic differential equations. Zbl 1337.60117
Caraballo, Tomás; Hammami, Mohamed Ali; Mchiri, Lassaad
2016
$$L^p$$-solution for BSDEs with jumps in the case $$p<2$$: Corrections to the paper ‘BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration’. Zbl 1394.60064
Kruse, T.; Popier, Alexandre
2017
Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications. Zbl 1394.60021
Wang, Xuejun; Wu, Yi; Rosalsky, Andrew
2017
On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time. Zbl 1251.93140
Dufour, Francois; Stockbridge, Richard H.
2012
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients. Zbl 1321.49064
2015
Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029
Hobson, David
2007
Sequential multi-hypothesis testing for compound Poisson processes. Zbl 1132.62061
Dayanik, Savas; Poor, H. Vincent; Sezer, Semih O.
2008
A note on the supremum of a stable process. Zbl 1139.60022
Doney, R. A.
2008
Feynman-Kac formulas for regime-switching jump diffusions and their applications. Zbl 1337.60200
Zhu, Chao; Yin, George; Baran, Nicholas A.
2015
Almost sure weak convergence of random probability measures. Zbl 1100.60025
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro
2006
Dynkin games in a general framework. Zbl 1298.60050
Kobylanski, Magdalena; Quenez, Marie-Claire; de Campagnolle, Marc Roger
2014
The Bouleau-Yor identity for a bi-fractional Brownian motion. Zbl 1319.60083
Yan, Litan; Gao, Bo; Liu, Junfeng
2014
Global-in-time regularity via duality for congestion-penalized mean field games. Zbl 1395.91035
2017
Optimal risk control and dividend policies under excess of loss reinsurance. Zbl 1076.93046
Mnif, Mohamed; Sulem, Agnès
2005
On the convergence of some Procrustean averaging algorithms. Zbl 1079.60018
Groisser, David
2005
$$L^p$$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients. Zbl 1261.60053
Fan, Sheng Jun; Jiang, Long
2012
Optimal portfolio, partial information and Malliavin calculus. Zbl 1176.93081
Di Nunno, Giulia; Øksendal, Bernt
2009
Quantum stochastic integral representations of Fock space operators. Zbl 1178.81146
Ji, Un Cig; Obata, Nobuaki
2009
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes. Zbl 1352.60058
Lee, Chihoon; Song, Jian
2016
The explicit solution to a sequential switching problem with non-smooth data. Zbl 1195.93146
Johnson, Timothy C.; Zervos, Mihail
2010
Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type. Zbl 1205.60132
Lang, Annika; Chow, Pao-Liu; Potthoff, Jürgen
2010
Weak laws of large numbers for arrays of dependent random variables. Zbl 1337.60028
Wang, Xinghui; Hu, Shuhe
2014
Limiting behaviour for arrays of row-wise END random variables under conditions of $$h$$-integrability. Zbl 1325.60036
Wu, Yongfeng; Peng, Jiangyan; Hu, Tien-Chung
2015
On financial markets based on telegraph processes. Zbl 1136.91013
Ratanov, Nikita; Melnikov, Alexander
2008
Equilibrium in two-player non-zero-sum Dynkin games in continuous time. Zbl 1284.91040
Laraki, Rida; Solan, Eilon
2013
Delay geometric Brownian motion in financial option valuation. Zbl 1291.60122
Mao, Xuerong; Sabanis, Sotirios
2013
Derivative for self-intersection local time of multidimensional fractional Brownian motion. Zbl 1337.60068
Yan, Litan; Yu, Xianye
2015
Asymptotics for randomly weighted and stopped dependent sums. Zbl 1338.62065
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
2016
On the future infimum of positive self-similar Markov processes. Zbl 1100.60018
Pardo, J. C.
2006
On convergence rate of Wiener-Itô expansion for generalized random variables. Zbl 1100.60037
Cao, Yanzhao
2006
Asymptotic ruin probabilities for a bidimensional renewal risk model. Zbl 1394.60090
Yang, Haizhong; Li, Jinzhu
2017
Game approach to the optimal stopping problem. Zbl 1084.60027
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
2005
Forward indifference valuation of American options. Zbl 1260.91241
Leung, Tim; Sircar, Ronnie; Zariphopoulou, Thaleia
2012
Aspects of large random Markov kernels. Zbl 1186.60004
Chafai, Djalil
2009
Stock market insider trading in continuous time with imperfect dynamic information. Zbl 1196.91028
Danilova, Albina
2010
Existence of martingale and stationary suitable weak solutions for a stochastic Navier-Stokes system. Zbl 1277.76012
Romito, Marco
2010
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan
2014
Optimal stopping problems for maxima and minima in models with asymmetric information. Zbl 07533902
Gapeev, Pavel V.; Li, Libo
2022
Moderate deviation principle for the 2D stochastic convective Brinkman-Forchheimer equations. Zbl 07554013
Mohan, Manil T.
2021
On optimal threshold stopping times for Ito diffusions. Zbl 07553994
Arkin, V. I.; Slastnikov, A. D.
2021
On stability of stochastic differential equations with random impulses driven by Poisson jumps. Zbl 07553995
Anguraj, A.; Ravikumar, K.; Nieto, Juan J.
2021
Exponential stability of nonlinear fractional stochastic system with Poisson jumps. Zbl 07554008
Balasubramaniam, P.; Sathiyaraj, T.; Priya, K.
2021
Asymptotic behaviour on the linear self-interacting diffusion driven by $$\alpha$$-stable motion. Zbl 07554018
Sun, Xichao; Yan, Litan
2021
Random attractors for the two-dimensional stochastic g-Navier-Stokes equations. Zbl 1490.60185
Feng, Xiaoliang; You, Bo
2020
Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations. Zbl 1490.60172
Moghaddam, B. P.; Zhang, Lei; Lopes, A. M.; Tenreiro Machado, J. A.; Mostaghim, Z. S.
2020
Cramér-type moderate deviations for statistics in the non-stationary Ornstein-Uhlenbeck process. Zbl 1490.62300
Jiang, Hui; Zhang, Ning
2020
Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients. Zbl 1490.60160
Gou, Zhun; Wang, Ming-hui; Huang, Nan-jing
2020
Multi-dimensional BSDEs driven by $$G$$-Brownian motion and related system of fully nonlinear PDEs. Zbl 1490.60170
Liu, Guomin
2020
Convergence properties for weighted sums of weakly dependent random vectors in Hilbert spaces. Zbl 1490.60067
Wu, Yi; Zhang, Fei; Wang, Xuejun
2020
Cointegrated continuous-time linear state-space and MCARMA models. Zbl 07553697
Fasen-Hartmann, Vicky; Scholz, Markus
2020
Reflected backward doubly stochastic differential equations with discontinuous barrier. Zbl 1490.60141
2020
Stochastic differential equations on fractal sets. Zbl 1490.60158
Golmankhaneh, Alireza K.; Tunç, Cemil
2020
Ergodicity of a Galerkin approximation of three-dimensional magnetohydrodynamics system forced by a degenerate noise. Zbl 07553359
Yamazaki, Kazuo
2019
Constant step stochastic approximations involving differential inclusions: stability, long-run convergence and applications. Zbl 07553366
Bianchi, Pascal; Hachem, Walid; Salim, Adil
2019
Large deviations for invariant measures of stochastic differential equations with jumps. Zbl 07553374
Ma, Xiaocui; Xi, Fubao
2019
Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims. Zbl 07554632
Cheng, Dongya; Yu, Changjun
2019
New approach to optimal control of stochastic Volterra integral equations. Zbl 07554643
Agram, Nacira; Øksendal, Bernt; Yakhlef, Samia
2019
Risk-sensitive stopping problems for continuous-time Markov chains. Zbl 07550691
Bäuerle, Nicole; Popp, Anton
2018
Strong convergence rate for multivalued stochastic differential equations via stochastic theta method. Zbl 07553384
Zhang, Hua
2018
Probabilistic solutions to nonlinear fractional differential equations of generalized Caputo and Riemann-Liouville type. Zbl 07550684
Hernández-Hernández, M. E.; Kolokoltsov, V. N.
2018
Reflected backward stochastic differential equations with jumps in time-dependent random convex domains. Zbl 07550685
Fakhouri, Imade; Ouknine, Youssef; Ren, Yong
2018
Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments. Zbl 07550692
Peng, Jiangyan; Wang, Dingcheng
2018
Baum-Katz type theorems with exact threshold. Zbl 07550693
Balka, Richárd; Tómács, Tibor
2018
Bayesian estimation of incompletely observed diffusions. Zbl 07553379
van der Meulen, Frank; Schauer, Moritz
2018
Consistent utility of investment and consumption: a forward/backward SPDE viewpoint. Zbl 07553391
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed
2018
Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes. Zbl 07553396
Nguyen, Michele; Veraart, Almut E. D.
2018
Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise. Zbl 1422.62275
El Onsy, Brahim; Es-Sebaiy, Khalifa; Viens, Frederi G.
2017
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
2017
$$L^p$$-solution for BSDEs with jumps in the case $$p<2$$: Corrections to the paper ‘BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration’. Zbl 1394.60064
Kruse, T.; Popier, Alexandre
2017
Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications. Zbl 1394.60021
Wang, Xuejun; Wu, Yi; Rosalsky, Andrew
2017
Global-in-time regularity via duality for congestion-penalized mean field games. Zbl 1395.91035
2017
Asymptotic ruin probabilities for a bidimensional renewal risk model. Zbl 1394.60090
Yang, Haizhong; Li, Jinzhu
2017
Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail
2017
Partially observable stochastic optimal control problems for an energy storage. Zbl 1364.49033
Shardin, Anton A.; Wunderlich, Ralf
2017
Mixed generalized Dynkin game and stochastic control in a Markovian framework. Zbl 1361.60054
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès
2017
Stationary distributions for retarded stochastic differential equations without dissipativity. Zbl 1379.60059
Bao, Jianhai; Yin, George; Yuan, Chenggui
2017
The exponential behaviour and stabilizability of stochastic 2D hydrodynamical type systems. Zbl 1379.60062
Anh, Cung The; Da, Nguyen Tien
2017
Exponential tightness for Gaussian processes, with applications to some sequences of weighted means. Zbl 1379.60042
Macci, Claudio; Pacchiarotti, Barbara
2017
No-arbitrage for informational discrete time market models. Zbl 1410.91243
Choulli, Tahir; Deng, Jun
2017
Asymptotic optimal tracking: feedback strategies. Zbl 1397.93080
Cai, Jiatu; Rosenbaum, Mathieu; Tankov, Peter
2017
Singular recursive utility. Zbl 1394.60060
Dahl, K. R.; Øksendal, B.
2017
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs. Zbl 1410.91133
Grigorova, Miryana; Quenez, Marie-Claire
2017
On the policy improvement algorithm in continuous time. Zbl 1380.93289
Jacka, Saul D.; Mijatović, Aleksandar
2017
Nonconventional polynomial CLT. Zbl 1379.60026
Hafouta, Yeor; Kifer, Yuri
2017
General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general $$g$$-supermartingales. Zbl 1394.60066
Xiao, Lishun; Fan, Shengjun
2017
Perron’s method for viscosity solutions of semilinear path dependent PDEs. Zbl 1394.60070
Ren, Zhenjie
2017
Some contributions to the study of stochastic processes of the classes $$\Sigma (H)$$ and $$(\Sigma)$$. Zbl 1394.60056
Eyi-Obiang, Fulgence; Ouknine, Youssef; Moutsinga, Octave; Trutnau, Gerald
2017
A Malliavin-Skorohod calculus in $$L^{0}$$ and $$L^{1}$$ for additive and Volterra-type processes. Zbl 1361.60038
Di Nunno, Giulia; Vives, Josep
2017
A fractional Heston model with $$H>1/2$$. Zbl 1366.91112
Alòs, Elisa; Yang, Yan
2017
Random attractors for the three dimensional stochastical planetary geostrophic equations of large-scale Ocean circulation. Zbl 1394.60075
You, Bo
2017
One dimensional BSDEs with logarithmic growth application to PDEs. Zbl 1394.60058
Bahlali, Khaled; Kebiri, Omar; Khelfallah, Nabil; Moussaoui, Hadjer
2017
On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030
Gapeev, Pavel V.; Stoev, Yavor I.
2017
The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
2017
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
2017
Risk-sensitive investment in a finite-factor model. Zbl 1411.91474
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien
2017
The investment horizon problem: a possible resolution. Zbl 1411.91473
Aase, Knut K.
2017
On critical cases in limit theory for stationary increments Lévy driven moving averages. Zbl 1379.60050
Basse-O&rsquo;Connor, Andreas; Podolskij, Mark
2017
Penalty method for reflected diffusions on the half-line. Zbl 1379.60091
Bruggeman, Cameron; Sarantsev, Andrey
2017
A new sufficient condition for uniform integrability of stochastic exponentials. Zbl 1379.60047
Chikvinidze, B.
2017
Continuity of the Feynman-Kac formula for a generalized parabolic equation. Zbl 1394.60065
Pardoux, Etienne; Răşcanu, Aurel
2017
Mixing properties of stationary Poisson cylinder models. Zbl 1394.60009
Bräu, Christian; Heinrich, Lothar
2017
An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space. Zbl 1395.91031
Basna, Rani; Hilbert, Astrid; Kolokoltsov, Vassili N.
2017
On the existence of shadow prices for optimal investment with random endowment. Zbl 1395.91405
Gu, Lingqi; Lin, Yiqing; Yang, Junjian
2017
Copulas in Hilbert spaces. Zbl 1362.60009
Hausenblas, Erika; Riedle, Markus
2017
A BSDE arising in an exponential utility maximization problem in a pure jump market model. Zbl 1411.91575
Mereu, Carla; Stelzer, Robert
2017
Jacobi sequences of squares of random variables. Zbl 1394.60010
Accardi, Luigi; Barhoumi, Abdessatar; Rhaima, Mohamed
2017
Strong approximation of stochastic processes at random times and application to their exact simulation. Zbl 1394.60062
2017
On quantum versions of the classical Wasserstein distance. Zbl 1395.81141
Agredo, J.; Fagnola, Franco
2017
Infinite horizon impulse control problem with continuous costs, numerical solutions. Zbl 1395.91269
Abidi, Hani; Amami, Rim; Pontier, Monique
2017
$$P(\phi)_1$$-process for the spin-boson model and a functional central limit theorem for associated additive functionals. Zbl 1394.60025
Gheryani, Soumaya; Hiroshima, Fumio; Lorinczi, József; Majid, Achref; Ouerdiane, Habib
2017
Bak-Sneppen backwards. Zbl 1394.60077
Alberts, Tom; Lee, Ga Yeong; Simper, Mackenzie
2017
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Zbl 1337.60123
Kruse, T.; Popier, A.
2016
Complete moment convergence for arrays of rowwise NSD random variables. Zbl 1337.60038
Shen, Aiting; Xue, Mingxiang; Volodin, Andrei
2016
Dynamic assessment indices. Zbl 1414.91420
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin
2016
On the practical global uniform asymptotic stability of stochastic differential equations. Zbl 1337.60117
Caraballo, Tomás; Hammami, Mohamed Ali; Mchiri, Lassaad
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes. Zbl 1352.60058
Lee, Chihoon; Song, Jian
2016
Asymptotics for randomly weighted and stopped dependent sums. Zbl 1338.62065
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
2016
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
2016
$$L^p$$ solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions. Zbl 1337.60122
Hu, Feng; Chen, Zengjing
2016
Analysis of the density of the solution to a semilinear SPDE with fractional noise. Zbl 1352.60089
Liu, Junfeng; Tudor, Ciprian A.
2016
Optimal impulsive control of piecewise deterministic Markov processes. Zbl 1356.90158
Dufour, F.; Horiguchi, M.; Piunovskiy, A. B.
2016
Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach. Zbl 1337.60153
2016
On a fractional impulsive partial stochastic integro-differential equation with state-dependent delay and optimal controls. Zbl 1354.34133
Yan, Zuomao; Jia, Xiumei
2016
The Bahadur representation of sample quantiles for weakly dependent sequences. Zbl 1341.62085
Wang, Yiwei; Yang, Wenzhi; Hu, Shuhe
2016
General financial market model defined by a liquidation value process. Zbl 1338.91166
Lepinette, Emmanuel; Tran, Tuan
2016
Enlargement of filtration and predictable representation property for semi-martingales. Zbl 1352.60064
Calzolari, Antonella; Torti, Barbara
2016
Maximum likelihood estimation for the drift parameter in diffusion processes. Zbl 1367.62247
Wei, Chao; Shu, Huisheng
2016
Stationary measures for stochastic differential equations with jumps. Zbl 1351.28027
Qiao, Huijie; Duan, Jinqiao
2016
First crossing time, overshoot and Appell-Hessenberg type functions. Zbl 1352.60069
Ignatov, Zvetan G.; Kaishev, Vladimir K.
2016
Reduction of Markov chains with two-time-scale state transitions. Zbl 1337.60182
Jia, Chen
2016
A new existence result for second-order BSDEs with quadratic growth and their applications. Zbl 1337.60126
Lin, Yiqing
2016
The $$\beta$$-mixing rate of STIT tessellations. Zbl 1344.60016
Martínez, S.; Nagel, W.
2016
Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation. Zbl 1337.60115
Baños, David; Nilssen, Torstein
2016
A representation theorem for smooth Brownian martingales. Zbl 1352.60062
Jin, Sixian; Peng, Qidi; Schellhorn, Henry
2016
Joint distributions for stochastic functional differential equations. Zbl 1362.34120
Takeuchi, Atsushi
2016
Integration by parts formula and applications for SPDEs with jumps. Zbl 1352.60078
Wang, Feng-Yu
2016
...and 366 more Documents
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### Cited by 2,910 Authors

 36 Wang, Xuejun 26 Yan, Litan 17 Mishura, Yuliya Stepanivna 17 Ouknine, Youssef 17 Shen, Aiting 17 Shen, Guangjun 17 Wu, Yi 15 Es-Sebaiy, Khalifa 14 Gapeev, Pavel V. 14 Hu, Shuhe 14 Siu, Tak Kuen 14 Yamazaki, Kazutoshi 13 Rodkina, Alexandra 12 Ceci, Claudia 12 Hu, Yaozhong 12 Leonenko, Nikolai N. 12 Peskir, Goran 12 Yuan, Chenggui 11 Christensen, Soren 11 Xi, Fubao 10 Bayraktar, Erhan 10 Caraballo Garrido, Tomás 10 Hamadene, Saïd 10 Jentzen, Arnulf 10 Ji, Shaolin 10 Øksendal, Bernt Karsten 10 Orsingher, Enzo 10 Ren, Yong 10 Shen, Yang 10 Volodin, Andrei I. 10 Yan, Zuomao 9 Benth, Fred Espen 9 Buonaguidi, Bruno 9 De Gregorio, Alessandro 9 Diop, Mamadou Abdoul 9 Dolinsky, Yan 9 Li, Xun 9 Mao, Xuerong 9 Mohammed, Wael W. 9 Pham, Huyên 9 Piunovskiĭ, Alekseĭ Borisovich 9 Possamaï, Dylan 9 Reisinger, Christoph 9 Röckner, Michael 9 Shevchenko, Georgiy M. 9 Sun, Xichao 9 Thäle, Christoph 9 Zhang, Yi 8 Blömker, Dirk 8 Cui, Jing 8 Hu, Mingshang 8 Jacquier, Antoine 8 Kifer, Yuri 8 Klimsiak, Tomasz 8 Kruse, Thomas 8 Neuenkirch, Andreas 8 Peng, Xingchun 8 Pérez Garmendia, Jose Luis 8 Popier, Alexandre 8 Pradhan, Somnath 8 Sulem, Agnès 8 Tappe, Stefan 8 Tudor, Ciprian A. 8 Viens, Frederi G. 8 Xiong, Jie 8 Yu, Qian 7 Braverman, Elena 7 Crepey, Stephane 7 Di Nunno, Giulia 7 Fan, Shengjun 7 Fuhrman, Marco 7 Grothaus, Martin 7 Guo, Yongjiang 7 Hu, Ying 7 Jaber, Eduardo Abi 7 Ke, Jauchuan 7 Liu, Junfeng 7 Liu, Wei 7 Liu, Wei 7 Menoukeu Pamen, Olivier 7 Muhle-Karbe, Johannes 7 Nagel, Werner 7 Pal, Chandan 7 Prakasa Rao, B. L. S. 7 Proske, Frank Norbert 7 Salminen, Paavo H. 7 Shi, Jingtao 7 Tangpi, Ludovic 7 Tugaut, Julian 7 Zhitlukhin, Mikhail V. 7 Zhu, Chao 6 Ahmed, Hamdy M. 6 Albeverio, Sergio A. 6 Ankirchner, Stefan 6 Chen, Fenge 6 De Angelis, Tiziano 6 Dufour, François 6 Escobar, Marcos 6 Fakhouri, Imade 6 Guo, Xin ...and 2,810 more Authors
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### Cited in 369 Journals

 138 Stochastic Processes and their Applications 84 Stochastics 68 Statistics & Probability Letters 62 Journal of Mathematical Analysis and Applications 55 SIAM Journal on Control and Optimization 47 Applied Mathematics and Optimization 45 Journal of Computational and Applied Mathematics 44 Journal of Theoretical Probability 43 Insurance Mathematics & Economics 41 Communications in Statistics. Theory and Methods 39 Advances in Applied Probability 39 Journal of Applied Probability 38 The Annals of Applied Probability 37 Finance and Stochastics 34 International Journal of Theoretical and Applied Finance 33 Stochastic Analysis and Applications 32 SIAM Journal on Financial Mathematics 30 Bernoulli 29 Stochastics and Dynamics 29 Advances in Difference Equations 25 Applied Mathematics and Computation 25 Methodology and Computing in Applied Probability 24 Journal of Inequalities and Applications 23 The Annals of Probability 22 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 21 Journal of Statistical Physics 21 Electronic Journal of Probability 21 Abstract and Applied Analysis 20 Mathematical Methods of Operations Research 17 International Journal of Control 16 Automatica 16 Mathematics of Operations Research 16 Potential Analysis 16 Applied Mathematical Finance 16 Mathematical Finance 16 Discrete and Continuous Dynamical Systems. Series B 16 Modern Stochastics. Theory and Applications 15 Journal of Optimization Theory and Applications 15 Statistical Papers 15 Mathematics and Financial Economics 14 Computers & Mathematics with Applications 14 Journal of Differential Equations 14 Probability Theory and Related Fields 13 Theory of Probability and Mathematical Statistics 13 Filomat 13 Random Operators and Stochastic Equations 13 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 13 Mathematical Control and Related Fields 12 Chaos, Solitons and Fractals 12 Theory of Probability and its Applications 12 Systems & Control Letters 12 Mathematical Problems in Engineering 12 Acta Mathematica Sinica. English Series 12 Quantitative Finance 12 Journal of Industrial and Management Optimization 11 Journal of Functional Analysis 11 Electronic Communications in Probability 11 Journal of the Korean Statistical Society 11 Frontiers of Mathematics in China 11 International Journal of Stochastic Analysis 11 Afrika Matematika 10 Journal of Mathematical Physics 10 Lithuanian Mathematical Journal 10 European Journal of Operational Research 10 Bulletin des Sciences Mathématiques 10 Scandinavian Actuarial Journal 10 Annals of Finance 10 Stochastic and Partial Differential Equations. Analysis and Computations 10 Probability, Uncertainty and Quantitative Risk 9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 9 Applied Numerical Mathematics 9 Applied Mathematics Letters 9 SIAM Journal on Mathematical Analysis 9 Communications in Nonlinear Science and Numerical Simulation 8 Communications in Mathematical Physics 8 BIT 8 Operations Research Letters 8 Sequential Analysis 8 Journal of Economic Dynamics & Control 8 Annals of Operations Research 8 Discrete and Continuous Dynamical Systems 8 Infinite Dimensional Analysis, Quantum Probability and Related Topics 8 Extremes 8 Journal of Systems Science and Complexity 8 Decisions in Economics and Finance 8 Journal of Mathematical Inequalities 7 Bulletin of the Korean Mathematical Society 7 Probability and Mathematical Statistics 7 Acta Applicandae Mathematicae 7 Acta Mathematicae Applicatae Sinica. English Series 7 Acta Mathematica Scientia. Series B. (English Edition) 7 Electronic Journal of Statistics 7 Journal of Function Spaces 6 Journal of Statistical Planning and Inference 6 Mathematics and Computers in Simulation 6 SIAM Journal on Numerical Analysis 6 Transactions of the American Mathematical Society 6 Statistics 6 Optimization 6 Japan Journal of Industrial and Applied Mathematics ...and 269 more Journals
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### Cited in 54 Fields

 1,930 Probability theory and stochastic processes (60-XX) 691 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 446 Systems theory; control (93-XX) 298 Partial differential equations (35-XX) 282 Statistics (62-XX) 238 Numerical analysis (65-XX) 221 Calculus of variations and optimal control; optimization (49-XX) 153 Ordinary differential equations (34-XX) 141 Operations research, mathematical programming (90-XX) 51 Dynamical systems and ergodic theory (37-XX) 50 Statistical mechanics, structure of matter (82-XX) 49 Operator theory (47-XX) 38 Biology and other natural sciences (92-XX) 35 Functional analysis (46-XX) 33 Integral equations (45-XX) 29 Real functions (26-XX) 28 Fluid mechanics (76-XX) 25 Difference and functional equations (39-XX) 22 Special functions (33-XX) 21 Measure and integration (28-XX) 18 Computer science (68-XX) 18 Quantum theory (81-XX) 13 Differential geometry (53-XX) 13 Information and communication theory, circuits (94-XX) 12 Global analysis, analysis on manifolds (58-XX) 11 Harmonic analysis on Euclidean spaces (42-XX) 10 Combinatorics (05-XX) 10 Linear and multilinear algebra; matrix theory (15-XX) 9 Abstract harmonic analysis (43-XX) 8 Mathematical logic and foundations (03-XX) 6 Topological groups, Lie groups (22-XX) 6 Approximations and expansions (41-XX) 6 Convex and discrete geometry (52-XX) 5 Number theory (11-XX) 5 Functions of a complex variable (30-XX) 5 Potential theory (31-XX) 4 Mechanics of particles and systems (70-XX) 3 Field theory and polynomials (12-XX) 3 Sequences, series, summability (40-XX) 3 Integral transforms, operational calculus (44-XX) 3 General topology (54-XX) 3 Optics, electromagnetic theory (78-XX) 3 Classical thermodynamics, heat transfer (80-XX) 3 Geophysics (86-XX) 2 History and biography (01-XX) 2 Associative rings and algebras (16-XX) 2 Nonassociative rings and algebras (17-XX) 2 Group theory and generalizations (20-XX) 2 Geometry (51-XX) 2 Mathematics education (97-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Category theory; homological algebra (18-XX) 1 Manifolds and cell complexes (57-XX) 1 Mechanics of deformable solids (74-XX)