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zbMATH — the first resource for mathematics

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: 529 Publications (since 2005)
References Indexed: 468 Publications with 9,637 References.
all top 5

Authors

9 Øksendal, Bernt Karsten
8 Benth, Fred Espen
7 Ouerdiane, Habib
7 Ouknine, Youssef
6 Di Nunno, Giulia
5 Gapeev, Pavel V.
5 Jacka, Saul D.
5 Kifer, Yuri
5 Orsingher, Enzo
5 Peskir, Goran
4 Appleby, John A. D.
4 Hu, Shuhe
4 Mao, Xuerong
4 Mishura, Yuliya Stepanivna
4 Morlais, Marie-Amelie
4 Nualart, David
4 Pontier, Monique
4 Proske, Frank Norbert
4 Quenez, Marie-Claire
4 Rodkina, Alexandra
4 Tudor, Ciprian A.
4 Yin, Gang George
4 Yuan, Chenggui
4 Zervos, Mihail
3 Albeverio, Sergio A.
3 Bahlali, Khaled
3 Bayraktar, Erhan
3 Berti, Patrizia
3 Ceci, Claudia
3 da Silva, José Luís
3 Dokuchaev, Nikolai G.
3 Dufour, François
3 Evstigneev, Igor V.
3 Hamadene, Saïd
3 Kuhn, Christoph
3 Kushner, Harold J.
3 Lang, Annika
3 Macci, Claudio
3 Meyer-Brandis, Thilo
3 Mnif, Mohamed
3 Nagel, Werner
3 Novikov, Aleksandr Aleksandrovich
3 Privault, Nicolas
3 Rigo, Pietro
3 Shen, Aiting
3 Shiryaev, Al’bert Nikolaevich
3 Stockbridge, Richard H.
3 von Waldenfels, Wilhelm
3 Yan, Litan
3 Yin, George Gang
2 Accardi, Luigi
2 Amami, Rim
2 An, Ta Thi Kieu
2 Bao, Jianhai
2 Barhoumi, Abdessatar
2 Barth, Andrea
2 Basse-O’Connor, Andreas
2 Beghin, Luisa
2 Bensoussan, Alain
2 Blower, Gordon
2 Bo, Lijun
2 Buonaguidi, Bruno
2 Chen, Robert W.
2 Choulli, Tahir
2 Chow, Pao-Liu
2 Crisan, Dan O.
2 Cruzeiro, Ana-Bela
2 Dayanik, Savas
2 de Campagnolle, Marc Roger
2 Diop, Mamadou Abdoul
2 Djehiche, Boualem
2 Dolinsky, Yan
2 Engelbert, Hans Jürgen
2 Erraoui, Mohamed
2 Es-Sebaiy, Khalifa
2 Eyjolfsson, Heidar
2 Ezzinbi, Khalil
2 Fagnola, Franco
2 Fan, Shengjun
2 Gerhold, Stefan
2 Gheryani, Soumaya
2 Grigorescu, Ilie
2 Grothaus, Martin
2 Guo, Mingle
2 Hakassou, Antoine
2 Hashorva, Enkelejd
2 Helmes, Kurt L.
2 Hernández-Hernández, Daniel
2 Herzberg, Frederik S.
2 Heunis, Andrew J.
2 Hilbert, Astrid
2 Hillairet, Caroline
2 Hipp, Christian
2 Hobson, David G.
2 Horrigue, Samah
2 Hu, Yaozhong
2 Ignatov, Zvetan G.
2 Jamshidian, Farshid
2 Johnson, Timothy C.
2 Kaishev, Vladimir K.
...and 680 more Authors
all top 5

Fields

474 Probability theory and stochastic processes (60-XX)
148 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
89 Systems theory; control (93-XX)
54 Statistics (62-XX)
47 Partial differential equations (35-XX)
34 Calculus of variations and optimal control; optimization (49-XX)
25 Numerical analysis (65-XX)
24 Ordinary differential equations (34-XX)
19 Operations research, mathematical programming (90-XX)
16 Functional analysis (46-XX)
15 Operator theory (47-XX)
12 Quantum theory (81-XX)
10 Dynamical systems and ergodic theory (37-XX)
8 Global analysis, analysis on manifolds (58-XX)
7 Measure and integration (28-XX)
6 Integral equations (45-XX)
5 General and overarching topics; collections (00-XX)
4 History and biography (01-XX)
4 Special functions (33-XX)
4 Harmonic analysis on Euclidean spaces (42-XX)
4 Statistical mechanics, structure of matter (82-XX)
4 Biology and other natural sciences (92-XX)
3 Real functions (26-XX)
3 Fluid mechanics (76-XX)
2 Topological groups, Lie groups (22-XX)
2 Potential theory (31-XX)
2 Approximations and expansions (41-XX)
2 Differential geometry (53-XX)
1 Mathematical logic and foundations (03-XX)
1 Combinatorics (05-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 Abstract harmonic analysis (43-XX)
1 Convex and discrete geometry (52-XX)
1 General topology (54-XX)
1 Computer science (68-XX)
1 Astronomy and astrophysics (85-XX)
1 Geophysics (86-XX)
1 Information and communication theory, circuits (94-XX)

Publications by Year

Citations contained in zbMATH Open

415 Publications have been cited 2,236 times in 2,009 Documents Cited by Year
A mean-field stochastic maximum principle via Malliavin calculus. Zbl 1252.49039
Meyer-Brandis, Thilo; Øksendal, Bernt; Zhou, Xun Yu
47
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
45
2013
Risk minimizing portfolios and HJBI equations for stochastic differential games. Zbl 1145.93054
Mataramvura, Sure; Øksendal, Bernt
43
2008
The stochastic Fubini theorem revisited. Zbl 1255.60086
Veraar, Mark
35
2012
Some properties of the sub-fractional Brownian motion. Zbl 1124.60038
Tudor, Constantin
34
2007
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Zbl 1337.60123
Kruse, T.; Popier, A.
30
2016
Pathwise uniqueness and continuous dependence for SDEs with non-regular drift. Zbl 1221.60081
Fedrizzi, E.; Flandoli, F.
29
2011
Almost sure exponential stability for stochastic neutral partial functional differential equations. Zbl 1115.60064
Govindan, T. E.
28
2005
A complete representation theorem for \(G\)-martingales. Zbl 1337.60130
Peng, Shige; Song, Yongsheng; Zhang, Jianfeng
24
2014
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.
22
2008
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
22
2013
Simulation of stochastic partial differential equations using finite element methods. Zbl 1255.60114
Barth, Andrea; Lang, Annika
22
2012
Jump-diffusions in Hilbert spaces: existence, stability and numerics. Zbl 1230.60066
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
21
2010
Approximate McKean-Vlasov representations for a class of SPDEs. Zbl 1211.60022
Crisan, Dan; Xiong, Jie
21
2010
Utility maximization in a jump market model. Zbl 1156.91380
Morlais, Marie-Amelie
19
2009
A harmonic function technique for the optimal stopping of diffusions. Zbl 1241.60022
Christensen, Sören; Irle, Albrecht
19
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
18
2009
A stochastic target formulation for optimal switching problems in finite horizon. Zbl 1175.60037
Bouchard, Bruno
18
2009
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
18
2014
Risk minimizing hedging for a partially observed high frequency data model. Zbl 1156.91362
Ceci, Claudia
17
2006
Large deviations for neutral functional SDEs with jumps. Zbl 1319.60124
Bao, Jianhai; Yuan, Chenggui
17
2015
Stochastic differential delay equations with jumps, under nonlinear growth condition. Zbl 1191.60081
Jacob, Niels; Wang, Yongtian; Yuan, Chenggui
17
2009
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.
16
2006
On the local time of multifractional Brownian motion. Zbl 1124.60061
Boufoussi, B.; Dozzi, M.; Guerbaz, R.
16
2006
Optimal stopping of Hunt and Lévy processes. Zbl 1114.60034
Mordecki, Ernesto; Salminen, Paavo
16
2007
A global construction of homogeneous random planar tessellations that are stable under iteration. Zbl 1139.60011
Mecke, J.; Nagel, W.; Weiss, V.
16
2008
Phase transitions of McKean-Vlasov processes in double-wells landscape. Zbl 1314.60118
Tugaut, Julian
16
2014
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
16
2012
Risk-sensitive control of continuous time Markov chains. Zbl 1337.49046
Ghosh, Mrinal K.; Saha, Subhamay
16
2014
Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces. Zbl 1117.60056
Rüdiger, B.; Ziglio, G.
15
2006
Precautionary measures for credit risk management in jump models. Zbl 1288.91187
Egami, Masahiko; Yamazaki, Kazutoshi
15
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.
15
2010
Multidimensional quadratic and subquadratic BSDEs with special structure. Zbl 1337.60119
Cheridito, Patrick; Nam, Kihun
15
2015
Multivariate regular variation on cones: Application to extreme values, hidden regular variation and conditioned limit laws. Zbl 1142.60042
Resnick, Sidney I.
14
2008
Amplitude equations for SPDEs with cubic nonlinearities. Zbl 1291.60127
Blömker, Dirk; Mohammed, Wael W.
14
2013
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. Zbl 1298.91166
Jacquier, Antoine; Keller-Ressel, Martin; Mijatović, Aleksandar
14
2013
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
Diop, Mamadou Abdoul; Ezzinbi, Khalil; Mbaye, Mamadou Moustapha
14
2015
A bulk quorum queueing system with a random setup time under \(N\)-policy and with Bernoulli vacation schedule. Zbl 1122.60082
Tadj, Lotfi; Choudhury, Gautam; Tadj, Chakib
13
2006
Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics. Zbl 1115.60043
Androshchuk, Taras; Mishura, Yuliya
13
2006
The duality of optimal exercise and domineering claims: a Doob-Meyer decomposition approach to the Snell envelope. Zbl 1235.60039
Jamshidian, Farshid
13
2007
Hitting densities for spectrally positive stable processes. Zbl 1231.60042
Simon, Thomas
13
2011
Moving randomly amid scattered obstacles. Zbl 1210.60111
Beghin, Luisa; Orsingher, Enzo
13
2010
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
13
2011
Optimal stopping, Appell polynomials, and Wiener-Hopf factorization. Zbl 1248.60046
Salminen, Paavo
13
2011
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.
13
2017
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
12
2007
Strong convergence for sequences of asymptotically almost negatively associated random variables. Zbl 1312.60024
Shen, Aiting; Wu, Ranchao
12
2014
Numerical solutions for jump-diffusions with regime switching. Zbl 1071.60050
Yin, G.; Song, Q. S.; Zhang, Z.
12
2005
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
12
2005
An approach for solving perpetual optimal stopping problems driven by Lévy processes. Zbl 1156.60026
Surya, B. A.
11
2007
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
11
2005
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
11
2017
Almost sure weak convergence of random probability measures. Zbl 1100.60025
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro
10
2006
Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029
Hobson, David
10
2007
Hedging with risk for game options in discrete time. Zbl 1151.91503
Dolinsky, Yan; Kifer, Yuri
10
2007
Hyperbolic and fractional hyperbolic Brownian motion. Zbl 1129.60038
Lao, Lanjun; Orsingher, Enzo
10
2007
A note on the supremum of a stable process. Zbl 1139.60022
Doney, R. A.
10
2008
Existence and exponential stability of almost automorphic mild solutions for stochastic functional differential equations. Zbl 1221.60078
Cao, Junfei; Yang, Qigui; Huang, Zaitang
10
2011
\(L^p\)-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
10
2017
Dynamic assessment indices. Zbl 1414.91420
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin
10
2016
Complete moment convergence for arrays of rowwise NSD random variables. Zbl 1337.60038
Shen, Aiting; Xue, Mingxiang; Volodin, Andrei
10
2016
On convergence rate of Wiener-Itô expansion for generalized random variables. Zbl 1100.60037
Cao, Yanzhao
9
2006
Sequential multi-hypothesis testing for compound Poisson processes. Zbl 1132.62061
Dayanik, Savas; Poor, H. Vincent; Sezer, Semih O.
9
2008
On financial markets based on telegraph processes. Zbl 1136.91013
Ratanov, Nikita; Melnikov, Alexander
9
2008
White noise-based stochastic calculus with respect to multifractional Brownian motion. Zbl 1326.60079
Lebovits, Joachim; Lévy Véhel, Jacques
9
2014
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions. Zbl 1306.60040
Crocce, Fabián; Mordecki, Ernesto
9
2014
\(L^p\) solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients. Zbl 1261.60053
Fan, Sheng Jun; Jiang, Long
9
2012
The explicit solution to a sequential switching problem with non-smooth data. Zbl 1195.93146
Johnson, Timothy C.; Zervos, Mihail
9
2010
Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type. Zbl 1205.60132
Lang, Annika; Chow, Pao-Liu; Potthoff, Jürgen
9
2010
Quantum stochastic integral representations of Fock space operators. Zbl 1178.81146
Ji, Un Cig; Obata, Nobuaki
9
2009
Feynman-Kac formulas for regime-switching jump diffusions and their applications. Zbl 1337.60200
Zhu, Chao; Yin, George; Baran, Nicholas A.
9
2015
On the future infimum of positive self-similar Markov processes. Zbl 1100.60018
Pardo, J. C.
8
2006
Pricing Israeli options: a pathwise approach. Zbl 1284.91549
Kühn, C.; Kyprianou, A. E.; van Schaik, K.
8
2007
Equilibrium in two-player non-zero-sum Dynkin games in continuous time. Zbl 1284.91040
Laraki, Rida; Solan, Eilon
8
2013
Stochastic differential equations with time-dependent reflecting barriers. Zbl 1296.60175
Słomiński, Leszek; Wojciechowski, Tomasz
8
2013
Mixed fractional stochastic differential equations with jumps. Zbl 1307.60087
Shevchenko, Georgiy
8
2014
Dynkin games in a general framework. Zbl 1298.60050
Kobylanski, Magdalena; Quenez, Marie-Claire; de Campagnolle, Marc Roger
8
2014
Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion. Zbl 1082.60014
Leonenko, Nikolai; Taufer, Emanuele
8
2005
Game-theoretic versions of strong law of large numbers for unbounded variables. Zbl 1183.60013
Kumon, Masayuki; Takemura, Akimichi; Takeuchi, Kei
8
2007
On the convergence of some Procrustean averaging algorithms. Zbl 1079.60018
Groisser, David
8
2005
Game approach to the optimal stopping problem. Zbl 1084.60027
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
8
2005
Optimal risk control and dividend policies under excess of loss reinsurance. Zbl 1076.93046
Mnif, Mohamed; Sulem, Agnès
8
2005
The existence and asymptotic behaviour of solutions to non-Lipschitz stochastic functional evolution equations driven by Poisson jumps. Zbl 1219.60064
Taniguchi, Takeshi
8
2010
Global-in-time regularity via duality for congestion-penalized mean field games. Zbl 1395.91035
Prosinski, Adam; Santambrogio, Filippo
8
2017
Explicit solutions to some optimal variance stopping problems. Zbl 1249.62006
Pedersen, Jesper Lund
8
2011
On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time. Zbl 1251.93140
Dufour, Francois; Stockbridge, Richard H.
8
2012
Some linear fractional stochastic equations. Zbl 1102.60050
Nourdin, Ivan; Tudor, Ciprian A.
7
2006
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
7
2007
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
7
2008
Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space. Zbl 1325.60094
Nguyen Tien Dung
7
2015
Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco
7
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
7
2014
The Bouleau-Yor identity for a bi-fractional Brownian motion. Zbl 1319.60083
Yan, Litan; Gao, Bo; Liu, Junfeng
7
2014
Numerical approximations for nonlinear stochastic systems with delays. Zbl 1140.93497
Kushner, Harold J.
7
2005
Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications. Zbl 1394.60021
Wang, Xuejun; Wu, Yi; Rosalsky, Andrew
7
2017
Existence of martingale and stationary suitable weak solutions for a stochastic Navier-Stokes system. Zbl 1277.76012
Romito, Marco
7
2010
Aspects of large random Markov kernels. Zbl 1186.60004
Chafai, Djalil
7
2009
Study of the risk-adjusted pricing methodology model with methods of geometrical analysis. Zbl 1234.35130
Bordag, L. A.
7
2011
Stationary distributions for retarded stochastic differential equations without dissipativity. Zbl 1379.60059
Bao, Jianhai; Yin, George; Yuan, Chenggui
7
2017
Asymptotics for randomly weighted and stopped dependent sums. Zbl 1338.62065
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
7
2016
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.
13
2017
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
11
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
10
2017
Global-in-time regularity via duality for congestion-penalized mean field games. Zbl 1395.91035
Prosinski, Adam; Santambrogio, Filippo
8
2017
Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications. Zbl 1394.60021
Wang, Xuejun; Wu, Yi; Rosalsky, Andrew
7
2017
Stationary distributions for retarded stochastic differential equations without dissipativity. Zbl 1379.60059
Bao, Jianhai; Yin, George; Yuan, Chenggui
7
2017
Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail
6
2017
Mixed generalized Dynkin game and stochastic control in a Markovian framework. Zbl 1361.60054
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès
6
2017
Exponential tightness for Gaussian processes, with applications to some sequences of weighted means. Zbl 1379.60042
Macci, Claudio; Pacchiarotti, Barbara
5
2017
Asymptotic ruin probabilities for a bidimensional renewal risk model. Zbl 1394.60090
Yang, Haizhong; Li, Jinzhu
4
2017
Asymptotic optimal tracking: feedback strategies. Zbl 1397.93080
Cai, Jiatu; Rosenbaum, Mathieu; Tankov, Peter
4
2017
Singular recursive utility. Zbl 1394.60060
Dahl, K. R.; Øksendal, B.
4
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
4
2017
Nonconventional polynomial CLT. Zbl 1379.60026
Hafouta, Yeor; Kifer, Yuri
4
2017
Perron’s method for viscosity solutions of semilinear path dependent PDEs. Zbl 1394.60070
Ren, Zhenjie
3
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
3
2017
Partially observable stochastic optimal control problems for an energy storage. Zbl 1364.49033
Shardin, Anton A.; Wunderlich, Ralf
3
2017
The exponential behaviour and stabilizability of stochastic 2D hydrodynamical type systems. Zbl 1379.60062
Anh, Cung The; Da, Nguyen Tien
3
2017
No-arbitrage for informational discrete time market models. Zbl 1410.91243
Choulli, Tahir; Deng, Jun
3
2017
Random attractors for the three dimensional stochastical planetary geostrophic equations of large-scale Ocean circulation. Zbl 1394.60075
You, Bo
2
2017
General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general \(g\)-supermartingales. Zbl 1394.60066
Xiao, Lishun; Fan, Shengjun
2
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.
2
2017
One dimensional BSDEs with logarithmic growth application to PDEs. Zbl 1394.60058
Bahlali, Khaled; Kebiri, Omar; Khelfallah, Nabil; Moussaoui, Hadjer
2
2017
The Föllmer-Schweizer decomposition under incomplete information. Zbl 1394.60055
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
2
2017
An asymptotic expansion for local-stochastic volatility with jump models. Zbl 1379.60061
Shiraya, Kenichiro; Takahashi, Akihiko
2
2017
Risk-sensitive investment in a finite-factor model. Zbl 1411.91474
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien
2
2017
The investment horizon problem: a possible resolution. Zbl 1411.91473
Aase, Knut K.
2
2017
On the policy improvement algorithm in continuous time. Zbl 1380.93289
Jacka, Saul D.; Mijatović, Aleksandar
2
2017
On critical cases in limit theory for stationary increments Lévy driven moving averages. Zbl 1379.60050
Basse-O&rsquo;Connor, Andreas; Podolskij, Mark
2
2017
A fractional Heston model with \(H>1/2\). Zbl 1366.91112
Alòs, Elisa; Yang, Yan
2
2017
Continuity of the Feynman-Kac formula for a generalized parabolic equation. Zbl 1394.60065
Pardoux, Etienne; Răşcanu, Aurel
1
2017
Mixing properties of stationary Poisson cylinder models. Zbl 1394.60009
Bräu, Christian; Heinrich, Lothar
1
2017
Jacobi sequences of squares of random variables. Zbl 1394.60010
Accardi, Luigi; Barhoumi, Abdessatar; Rhaima, Mohamed
1
2017
Strong approximation of stochastic processes at random times and application to their exact simulation. Zbl 1394.60062
Gobet, Emmanuel; Mrad, Mohamed
1
2017
On quantum versions of the classical Wasserstein distance. Zbl 1395.81141
Agredo, J.; Fagnola, Franco
1
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
1
2017
Bak-Sneppen backwards. Zbl 1394.60077
Alberts, Tom; Lee, Ga Yeong; Simper, Mackenzie
1
2017
On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030
Gapeev, Pavel V.; Stoev, Yavor I.
1
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
1
2017
A BSDE arising in an exponential utility maximization problem in a pure jump market model. Zbl 1411.91575
Mereu, Carla; Stelzer, Robert
1
2017
Penalty method for reflected diffusions on the half-line. Zbl 1379.60091
Bruggeman, Cameron; Sarantsev, Andrey
1
2017
A new sufficient condition for uniform integrability of stochastic exponentials. Zbl 1379.60047
Chikvinidze, B.
1
2017
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Zbl 1337.60123
Kruse, T.; Popier, A.
30
2016
Dynamic assessment indices. Zbl 1414.91420
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin
10
2016
Complete moment convergence for arrays of rowwise NSD random variables. Zbl 1337.60038
Shen, Aiting; Xue, Mingxiang; Volodin, Andrei
10
2016
Asymptotics for randomly weighted and stopped dependent sums. Zbl 1338.62065
Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
7
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
6
2016
Optimal impulsive control of piecewise deterministic Markov processes. Zbl 1356.90158
Dufour, F.; Horiguchi, M.; Piunovskiy, A. B.
5
2016
On a fractional impulsive partial stochastic integro-differential equation with state-dependent delay and optimal controls. Zbl 1354.34133
Yan, Zuomao; Jia, Xiumei
5
2016
On the practical global uniform asymptotic stability of stochastic differential equations. Zbl 1337.60117
Caraballo, Tomás; Hammami, Mohamed Ali; Mchiri, Lassaad
5
2016
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
5
2016
Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach. Zbl 1337.60153
Hamadène, Said; Morlais, Marie-Amelie
5
2016
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes. Zbl 1352.60058
Lee, Chihoon; Song, Jian
4
2016
Analysis of the density of the solution to a semilinear SPDE with fractional noise. Zbl 1352.60089
Liu, Junfeng; Tudor, Ciprian A.
4
2016
\(L^p\) solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions. Zbl 1337.60122
Hu, Feng; Chen, Zengjing
4
2016
The Bahadur representation of sample quantiles for weakly dependent sequences. Zbl 1341.62085
Wang, Yiwei; Yang, Wenzhi; Hu, Shuhe
4
2016
General financial market model defined by a liquidation value process. Zbl 1338.91166
Lepinette, Emmanuel; Tran, Tuan
4
2016
First crossing time, overshoot and Appell-Hessenberg type functions. Zbl 1352.60069
Ignatov, Zvetan G.; Kaishev, Vladimir K.
3
2016
A new existence result for second-order BSDEs with quadratic growth and their applications. Zbl 1337.60126
Lin, Yiqing
3
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
3
2016
A representation theorem for smooth Brownian martingales. Zbl 1352.60062
Jin, Sixian; Peng, Qidi; Schellhorn, Henry
2
2016
Integration by parts formula and applications for SPDEs with jumps. Zbl 1352.60078
Wang, Feng-Yu
2
2016
Regularity of strong solutions of one-dimensional SDE’s with discontinuous and unbounded drift. Zbl 1366.60083
Nilssen, Torstein
2
2016
Stationary measures for stochastic differential equations with jumps. Zbl 1351.28027
Qiao, Huijie; Duan, Jinqiao
2
2016
Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value. Zbl 1367.91085
Cheng, Gongpin; Wang, Rongming; Fan, Kun
2
2016
Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications. Zbl 1337.60091
Ivanov, Roman V.; Ano, Katsunori
2
2016
Reduction of Markov chains with two-time-scale state transitions. Zbl 1337.60182
Jia, Chen
2
2016
Fundamental equations with higher order Malliavin operators. Zbl 1337.60113
Levajković, Tijana; Pilipović, Stevan; Seleši, Dora
2
2016
Volume growth and escape rate of symmetric diffusion processes. Zbl 1361.58016
Ouyang, Shunxiang
2
2016
The \(\beta\)-mixing rate of STIT tessellations. Zbl 1344.60016
Martínez, S.; Nagel, W.
2
2016
Maximum likelihood estimation for the drift parameter in diffusion processes. Zbl 1367.62247
Wei, Chao; Shu, Huisheng
1
2016
Joint distributions for stochastic functional differential equations. Zbl 1362.34120
Takeuchi, Atsushi
1
2016
On the convergence of the product of independent random operators. Zbl 1352.60095
Thang, Dang Hung; Son, Ta Cong
1
2016
Asymptotically almost automorphic solutions to stochastic differential equations driven by a Lévy process. Zbl 1366.60081
Chang, Yong-Kui; Tang, Chao
1
2016
On transience of Lévy-type processes. Zbl 1352.60068
Sandrić, Nikola
1
2016
Exact convergence rate of the Wong-Zakai approximation to RDEs driven by Gaussian rough paths. Zbl 1352.60100
Naganuma, Nobuaki
1
2016
Stratonovich-type integral with respect to a general stochastic measure. Zbl 1352.60075
Radchenko, Vadym
1
2016
Stochastic recursive inclusion in two timescales with an application to the Lagrangian dual problem. Zbl 1366.62160
Ramaswamy, Arunselvan; Bhatnagar, Shalabh
1
2016
Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift. Zbl 1335.62151
Jiang, Hui; Xie, Chen
1
2016
Large deviations for neutral functional SDEs with jumps. Zbl 1319.60124
Bao, Jianhai; Yuan, Chenggui
17
2015
Multidimensional quadratic and subquadratic BSDEs with special structure. Zbl 1337.60119
Cheridito, Patrick; Nam, Kihun
15
2015
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
Diop, Mamadou Abdoul; Ezzinbi, Khalil; Mbaye, Mamadou Moustapha
14
2015
Feynman-Kac formulas for regime-switching jump diffusions and their applications. Zbl 1337.60200
Zhu, Chao; Yin, George; Baran, Nicholas A.
9
2015
Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space. Zbl 1325.60094
Nguyen Tien Dung
7
2015
Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients. Zbl 1321.49064
Hamadène, Said; Mu, Rui
6
2015
Worst-case portfolio optimization with proportional transaction costs. Zbl 1414.91329
Belak, Christoph; Menkens, Olaf; Sass, Jörn
6
2015
Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities. Zbl 1317.90317
Dufour, François; Prieto-Rumeau, Tomás
5
2015
Derivative for self-intersection local time of multidimensional fractional Brownian motion. Zbl 1337.60068
Yan, Litan; Yu, Xianye
5
2015
Complete moment convergence of pairwise NQD random variables. Zbl 1320.60086
Yang, Wenzhi; Hu, Shuhe
4
2015
Integration with respect to Lévy colored noise, with applications to SPDEs. Zbl 1325.60080
Balan, Raluca M.
4
2015
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
4
2015
Boundary non-crossing probabilities for fractional Brownian motion with trend. Zbl 1337.60065
Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg
4
2015
Complete convergence for weighted sums of LNQD random variables. Zbl 1319.60038
Shen, Aiting; Zhu, Huayan; Wu, Ranchao; Zhang, Ying
3
2015
On the rate of convergence in the strong law of large numbers for martingales. Zbl 1332.60045
Miao, Yu; Yang, Guangyu; Stoica, George
3
2015
Generalized grey Brownian motion local time: existence and weak approximation. Zbl 1321.60160
da Silva, José Luís; Erraoui, Mohamed
3
2015
A stochastic approach to a new type of parabolic variational inequalities. Zbl 1341.60071
Nie, Tianyang
3
2015
On estimation of the extended Orey index for Gaussian processes. Zbl 1337.60053
Kubilius, K.
3
2015
On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process. Zbl 1408.60071
Vakeroudis, Stavros
3
2015
Entry and exit decisions with linear costs under uncertainty. Zbl 1351.60052
Zhang, Yongchao
2
2015
Integrability of multivariate subordinated Lévy processes in Hilbert space. Zbl 1327.60103
Benth, Fred Espen; Krühner, Paul
2
2015
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Cited by 2,435 Authors

26 Wang, Xuejun
22 Yan, Litan
14 Hu, Shuhe
14 Mishura, Yuliya Stepanivna
14 Yamazaki, Kazutoshi
13 Ouknine, Youssef
13 Shen, Aiting
13 Shen, Guangjun
13 Wu, Yi
12 Ceci, Claudia
12 Leonenko, Nikolai N.
12 Rodkina, Alexandra
12 Siu, Tak Kuen
10 Christensen, Soren
10 Øksendal, Bernt Karsten
10 Peskir, Goran
9 Bayraktar, Erhan
9 Ji, Shaolin
9 Li, Xun
9 Orsingher, Enzo
9 Possamaï, Dylan
9 Reisinger, Christoph
9 Ren, Yong
9 Röckner, Michael
9 Shen, Yang
9 Shevchenko, Georgiy M.
9 Xi, Fubao
9 Yuan, Chenggui
8 Benth, Fred Espen
8 Cui, Jing
8 De Gregorio, Alessandro
8 Diop, Mamadou Abdoul
8 Dolinsky, Yan
8 Gapeev, Pavel V.
8 Hu, Mingshang
8 Hu, Yaozhong
8 Jacquier, Antoine
8 Jentzen, Arnulf
8 Kifer, Yuri
8 Klimsiak, Tomasz
8 Mao, Xuerong
8 Mohammed, Wael W.
8 Neuenkirch, Andreas
8 Pérez Garmendia, Jose Luis
8 Pham, Huyên
8 Popier, Alexandre
8 Tudor, Ciprian A.
8 Xiong, Jie
7 Buonaguidi, Bruno
7 Crepey, Stephane
7 Es-Sebaiy, Khalifa
7 Fuhrman, Marco
7 Grothaus, Martin
7 Hu, Ying
7 Ke, Jauchuan
7 Liu, Junfeng
7 Menoukeu Pamen, Olivier
7 Muhle-Karbe, Johannes
7 Proske, Frank Norbert
7 Salminen, Paavo H.
7 Sulem, Agnès
7 Sun, Xichao
7 Tappe, Stefan
7 Thäle, Christoph
7 Viens, Frederi G.
7 Volodin, Andrei I.
7 Zhang, Yi
6 Albeverio, Sergio A.
6 Blömker, Dirk
6 Braverman, Elena
6 Caraballo Garrido, Tomás
6 Di Nunno, Giulia
6 Escobar, Marcos
6 Fan, Shengjun
6 Guo, Yongjiang
6 Hamadene, Saïd
6 Khedher, Asma
6 Kruse, Thomas
6 Lang, Annika
6 Liu, Wei
6 Meng, Qingxin
6 Meyer-Brandis, Thilo
6 Milošević, Marija
6 Nagel, Werner
6 Piunovskiĭ, Alekseĭ Borisovich
6 Rodríguez-Dagnino, Ramón Martín
6 Takemura, Akimichi
6 Yan, Zuomao
6 Yang, Wenzhi
6 Yao, Song
6 Zagst, Rudi
6 Zhitlukhin, Mikhail V.
6 Zhu, Chao
5 Barth, Andrea
5 Bielecki, Tomasz R.
5 Carrillo de la Plata, José Antonio
5 Cretarola, Alessandra
5 Dalang, Robert C.
5 Dufour, François
5 Fakhouri, Imade
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Cited in 322 Journals

125 Stochastic Processes and their Applications
63 Statistics & Probability Letters
54 Journal of Mathematical Analysis and Applications
47 SIAM Journal on Control and Optimization
42 Journal of Computational and Applied Mathematics
40 Applied Mathematics and Optimization
39 Journal of Theoretical Probability
36 Journal of Applied Probability
36 Insurance Mathematics & Economics
34 Finance and Stochastics
33 Advances in Applied Probability
33 The Annals of Applied Probability
33 Stochastics
29 International Journal of Theoretical and Applied Finance
27 Bernoulli
26 SIAM Journal on Financial Mathematics
25 Stochastic Analysis and Applications
24 Advances in Difference Equations
23 Stochastics and Dynamics
21 Journal of Statistical Physics
21 The Annals of Probability
21 Applied Mathematics and Computation
21 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
21 Abstract and Applied Analysis
19 Mathematical Methods of Operations Research
16 Applied Mathematical Finance
16 Electronic Journal of Probability
16 Mathematical Finance
16 Methodology and Computing in Applied Probability
15 Mathematics and Financial Economics
14 Journal of Optimization Theory and Applications
14 Potential Analysis
14 Discrete and Continuous Dynamical Systems. Series B
13 Computers & Mathematics with Applications
13 Mathematics of Operations Research
13 Probability Theory and Related Fields
13 Journal of Inequalities and Applications
12 Theory of Probability and Mathematical Statistics
12 Mathematical Problems in Engineering
12 Acta Mathematica Sinica. English Series
12 Modern Stochastics. Theory and Applications
11 Theory of Probability and its Applications
11 Journal of Differential Equations
11 Random Operators and Stochastic Equations
11 Journal of the Korean Statistical Society
11 Frontiers of Mathematics in China
11 International Journal of Stochastic Analysis
11 Afrika Matematika
11 Mathematical Control and Related Fields
10 Journal of Mathematical Physics
10 Automatica
10 Statistical Papers
10 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
10 Scandinavian Actuarial Journal
9 International Journal of Control
9 Journal of Functional Analysis
9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
9 Quantitative Finance
8 Communications in Mathematical Physics
8 Lithuanian Mathematical Journal
8 Systems & Control Letters
8 Operations Research Letters
8 Communications in Statistics. Theory and Methods
8 European Journal of Operational Research
8 SIAM Journal on Mathematical Analysis
8 Bulletin des Sciences Mathématiques
8 Electronic Communications in Probability
8 Discrete and Continuous Dynamical Systems
8 Infinite Dimensional Analysis, Quantum Probability and Related Topics
8 Extremes
8 Annals of Finance
8 Stochastic and Partial Differential Equations. Analysis and Computations
7 BIT
7 Applied Numerical Mathematics
7 Acta Mathematicae Applicatae Sinica. English Series
7 Sequential Analysis
7 Journal of Economic Dynamics & Control
7 Applied Mathematics Letters
7 Communications in Nonlinear Science and Numerical Simulation
7 Decisions in Economics and Finance
7 Journal of Industrial and Management Optimization
7 Journal of Mathematical Inequalities
7 Probability, Uncertainty and Quantitative Risk
6 Journal of Statistical Planning and Inference
6 SIAM Journal on Numerical Analysis
6 Bulletin of the Korean Mathematical Society
6 Probability and Mathematical Statistics
6 Acta Applicandae Mathematicae
6 Applied Mathematics. Series B (English Edition)
6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
6 Fractional Calculus & Applied Analysis
6 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
6 Journal of Function Spaces
5 Chaos, Solitons and Fractals
5 Mathematics and Computers in Simulation
5 Statistics
5 Optimization
5 Annals of Operations Research
5 Japan Journal of Industrial and Applied Mathematics
5 Applied Mathematical Modelling
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Cited in 52 Fields

1,583 Probability theory and stochastic processes (60-XX)
577 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
360 Systems theory; control (93-XX)
249 Partial differential equations (35-XX)
202 Statistics (62-XX)
201 Numerical analysis (65-XX)
185 Calculus of variations and optimal control; optimization (49-XX)
119 Ordinary differential equations (34-XX)
117 Operations research, mathematical programming (90-XX)
45 Dynamical systems and ergodic theory (37-XX)
45 Statistical mechanics, structure of matter (82-XX)
41 Operator theory (47-XX)
33 Biology and other natural sciences (92-XX)
32 Functional analysis (46-XX)
28 Integral equations (45-XX)
23 Fluid mechanics (76-XX)
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18 Measure and integration (28-XX)
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17 Quantum theory (81-XX)
14 Computer science (68-XX)
11 Information and communication theory, circuits (94-XX)
10 Combinatorics (05-XX)
10 Linear and multilinear algebra; matrix theory (15-XX)
10 Differential geometry (53-XX)
10 Global analysis, analysis on manifolds (58-XX)
9 Harmonic analysis on Euclidean spaces (42-XX)
7 Abstract harmonic analysis (43-XX)
6 Mathematical logic and foundations (03-XX)
5 Number theory (11-XX)
5 Convex and discrete geometry (52-XX)
4 Topological groups, Lie groups (22-XX)
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4 Approximations and expansions (41-XX)
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3 Sequences, series, summability (40-XX)
3 Integral transforms, operational calculus (44-XX)
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1 Associative rings and algebras (16-XX)
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