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International Journal of Stochastic Analysis

Short Title: Int. J. Stoch. Anal.
Publisher: Hindawi, New York, NY
ISSN: 2090-3332; 2090-3340/e
Online: http://www.hindawi.com/journals/ijsa/contents
http://www.emis.de/journals/HOA/JAMSA/index.html
Predecessor: Journal of Applied Mathematics and Stochastic Analysis
Comments: Journal; No longer indexed; The journal is no longer published, last volume: 2018. The coverage of this journal is based on the electronic edition, bibliographic data of the print version may differ. This journal is available open access.
Documents Indexed: 116 Publications (2010–2018)
References Indexed: 116 Publications with 2,582 References.
all top 5

Authors

4 Siu, Tak Kuen
3 Tappe, Stefan
2 Bakosi, Jozsef
2 Balan, Raluca M.
2 Cordoni, Francesco Giuseppe
2 Di Persio, Luca
2 Huang, Huilin
2 Lachal, Aimé
2 Lefebvre, Mario
2 Merino, Raúl
2 Ristorcelli, J. Raymond
2 Swishchuk, Anatoliy
2 Vives, Josep
1 Abdel-Hameed, Mohamed S.
1 Adnani, Jihad
1 Ahlip, Rehez
1 Akhlil, Khalid
1 Aletti, Giacomo
1 Aspinas Mutakaya, Masimba
1 Bag, Bidhan Chandra
1 Banik, Abhijit Datta
1 Barczy, Mátyás
1 Baura, Alendu
1 Benth, Fred Espen
1 Bianchi, Alessandra
1 Bishop, Sheila Amina
1 Bonetti, Daniel
1 Boucherif, Abdelkader
1 Bouziani, Abdelfatah
1 Brooks, James K.
1 Cady, Field
1 Campanino, Massimo
1 Champagnat, Nicolas
1 Chen, Junfeng
1 Chen, Xia
1 Cheng, Pei
1 Chighoub, Farid
1 Chikodza, Eriyoti
1 Chiyaka, Edward T.
1 Crimaldi, Irene
1 Decreusefond, Laurent
1 Deligiannidis, George
1 Dénes, Attila
1 Deshpande, Amogh
1 Dimitriou-Fakalou, Chrysoula
1 Dimitrov, Boyan N.
1 Djehiche, Boualem
1 Duan, Jinqiao
1 Dudin, Alexander N.
1 Dudin, Sergey A.
1 D’yakonova, Elena Evgen’evna
1 Ekström, Erik
1 El-Taha, Muhammad
1 Ellis, Richard Salisbury
1 Escobar, Marcos
1 Farahmand, Kambiz
1 Fei, Juntao
1 Figueroa-López, José E.
1 Flores, Esteban
1 Goswami, Veena
1 Govindan, T. E.
1 Gu, Yu
1 Gupta, Umesh Chandra
1 Gyamerah, Samuel Asante
1 Hamdi, Ali
1 Harchol-Balter, Mor
1 Hattaf, Khalid
1 Hua, Mingang
1 Hughes, Harry Randolph
1 Huillet, Thierry E.
1 Ikpe, Dennis
1 Imomov, Azam Abdurakhimovich
1 Islam, Mohammad Shafiqul
1 Ivanov, Ivan Ganchev
1 Ivashko, Evgeny E.
1 Jacob, Christine
1 Jagers, Peter
1 Jana, Debaldev
1 Jin, Sixian
1 Kajiwara, Kazuki
1 Kalyanaraman, Rathinasabapathy
1 Kampen, Jörg
1 Kato, Takashi
1 Kevei, Péter
1 Kimmel, Marek
1 Kitagawa, Akihiro
1 Kloeden, Peter Eris
1 Kolev, Nikolai
1 Korolkiewicz, Małgorzata Wiktoria
1 Kozinski, J. T.
1 Krishnamoorthy, Achyutha
1 Kulik, Alexey M.
1 Kurenok, Vladimir P.
1 Lambert, Amaury
1 Leão, Dorival
1 León, José Rafael R.
1 Li, Tao
1 Li, Zenghu
1 Liu, Fuxiang
1 Liu, Jicheng
...and 88 more Authors

Publications by Year

Citations contained in zbMATH Open

83 Publications have been cited 412 times in 388 Documents Cited by Year
Yamada-Watanabe results for stochastic differential equations with jumps. Zbl 1337.60116
Barczy, Mátyás; Li, Zenghu; Pap, Gyula
24
2015
Stochastic analysis of Gaussian processes via Fredholm representation. Zbl 1384.60072
Sottinen, Tommi; Viitasaari, Lauri
19
2016
Optimal selling of an asset under incomplete information. Zbl 1230.91168
Ekström, Erik; Lu, Bing
18
2011
The Rothe’s method to a parabolic integrodifferential equation with a nonclassical boundary conditions. Zbl 1194.35201
Bouziani, Abdelfatah; Mechri, Rachid
16
2010
Necessary conditions for optimal control of forward-backward stochastic systems with random jumps. Zbl 1239.93132
Shi, Jingtao
15
2012
SPDEs with \(\alpha\)-stable Lévy noise: a random field approach. Zbl 1296.60162
Balan, Raluca M.
15
2014
Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures. Zbl 1263.60060
Tappe, Stefan
14
2012
Stability analysis of a stochastic SIR epidemic model with specific nonlinear incidence rate. Zbl 1314.92153
Adnani, Jihad; Hattaf, Khalid; Yousfi, Noura
14
2013
Regime-switching risk: to price or not to price? Zbl 1230.91203
Siu, Tak Kuen
12
2011
Backward stochastic differential equations approach to hedging, option pricing, and insurance problems. Zbl 1303.91170
Cordoni, Francesco; Di Persio, Luca
10
2014
Birth and death processes with neutral mutations. Zbl 1261.92039
Champagnat, Nicolas; Lambert, Amaury; Richard, Mathieu
9
2012
An \(M/M/2\) queueing system with heterogeneous servers including one with working vacation. Zbl 1252.60091
Krishnamoorthy, A.; Sreenivasan, C.
9
2012
Survival exponents for some Gaussian processes. Zbl 1260.60073
Molchan, G.
9
2012
A stochastic two species competition model: nonequilibrium fluctuation and stability. Zbl 1229.92080
Samanta, G. P.
8
2011
Impulse control of proportional reinsurance with constraints. Zbl 1229.91165
Meng, Hui; Siu, Tak Kuen
8
2011
A BSDE with delayed generator approach to pricing under counterparty risk and collateralization. Zbl 1407.91245
Cordoni, Francesco; Di Persio, Luca
8
2016
A decomposable branching process in a Markovian environment. Zbl 1411.60126
Vatutin, Vladimir; Dyakonova, Elena; Jagers, Peter; Sagitov, Serik
8
2012
Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises. Zbl 1218.60051
Liu, Xianming; Duan, Jinqiao; Liu, Jicheng; Kloeden, Peter E.
8
2010
Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033
Øksendal, Bernt; Zhang, Tusheng
8
2010
Weather derivatives and stochastic modelling of temperature. Zbl 1229.91298
Benth, Fred Espen; Benth, Jūratė Šaltytė
7
2011
A Markov regime-switching marked point process for short-rate analysis with credit risk. Zbl 1203.91304
Siu, Tak Kuen
7
2010
From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval. Zbl 1319.60077
Lachal, Aimé
7
2014
A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104
Siu, Tak Kuen
7
2015
Analysis of a priority queue with phase-type service and failures. Zbl 1384.60096
Dudin, Alexander; Dudin, Sergei
6
2016
A discrete-time queue with balking, reneging, and working vacations. Zbl 1322.60191
Goswami, Veena
6
2014
A semigroup expansion for pricing barrier options. Zbl 1303.91179
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
6
2014
Pricing variance swaps for stochastic volatilities with delay and jumps. Zbl 1217.91187
Swishchuk, Anatoliy; Xu, Li
5
2011
General LQG homing problems in one dimension. Zbl 1260.60161
Lefebvre, Mario; Zitouni, Foued
5
2012
Probabilistic solution of the general Robin boundary value problem on arbitrary domains. Zbl 1258.31007
Akhlil, Khalid
5
2012
Generalized fractional master equation for self-similar stochastic processes modelling anomalous diffusion. Zbl 1260.60163
Pagnini, Gianni; Mura, Antonio; Mainardi, Francesco
5
2012
The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers. Zbl 1260.60164
Yin, Chuancun; Wang, Huiqing
5
2012
A comparative numerical study of the spectral theory approach of Nishimura and the roots method based on the analysis of \(\mathrm{BDMMAP}/\mathrm{G}/1\) queue. Zbl 1351.60118
Maity, Arunava; Gupta, U. C.
5
2015
Asymptotics of negative exponential moments for annealed Brownian motion in a renormalized Poisson potential. Zbl 1229.82096
Chen, Xia; Kulik, Alexey
4
2011
Stochastic methodology for the study of an epidemic decay phase, based on a branching model. Zbl 1254.92067
Pénisson, Sophie; Jacob, Christine
4
2012
General decay stability for stochastic functional differential equations with infinite delay. Zbl 1202.93167
Liu, Yue; Meng, Xuejing; Wu, Fuke
4
2010
A stochastic diffusion process for the Dirichlet distribution. Zbl 1273.60099
Bakosi, J.; Ristorcelli, J. R.
4
2013
A generic decomposition formula for pricing vanilla options under stochastic volatility models. Zbl 1337.60155
Merino, Raúl; Vives, Josep
4
2015
The Cauchy-Dirichlet problem for a class of linear parabolic differential equations with unbounded coefficients in an unbounded domain. Zbl 1226.60090
Rubio, Gerardo
3
2011
Mild solutions of neutral stochastic partial functional differential equations. Zbl 1231.60060
Govindan, T. E.
3
2011
Regime-switching temperature dynamics model for weather derivatives. Zbl 1410.91452
Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis
3
2018
Option price decomposition in spot-dependent volatility models and some applications. Zbl 1417.91512
Merino, Raúl; Vives, Josep
3
2017
Global stability of nonlinear stochastic SEI epidemic model with fluctuations in transmission rate of disease. Zbl 1384.92059
Otunuga, Olusegun Michael
3
2017
Consistent price systems in multiasset markets. Zbl 1282.91112
Maris, Florian; Sayit, Hasanjan
3
2012
A dependent hidden Markov model of credit quality. Zbl 1251.91067
Korolkiewicz, Małgorzata Wiktoria
3
2012
A stability result for stochastic differential equations driven by fractional Brownian motions. Zbl 1260.60111
Saussereau, Bruno
3
2012
A note on the distribution of multivariate Brownian extrema. Zbl 1325.60079
Escobar, Marcos; Hernandez, Julio
3
2014
Online stochastic convergence analysis of the Kalman filter. Zbl 1417.93330
Rhudy, Matthew B.; Gu, Yu
3
2013
Measure-dependent stochastic nonlinear beam equations driven by fractional Brownian motion. Zbl 1301.60078
McKibben, Mark A.
3
2013
The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions. Zbl 1297.49039
Chighoub, Farid; Mezerdi, Brahim
3
2014
Limit properties of transition functions of continuous-time Markov branching processes. Zbl 1316.60130
Imomov, Azam A.
3
2014
Multiserver queue with guard channel for priority and retrial customers. Zbl 1398.60093
Kajiwara, Kazuki; Phung-Duc, Tuan
3
2016
A feedback retrial queueing system with two types of batch arrivals. Zbl 1260.60177
Kalyanaraman, R.
2
2012
Hypothesis testing in a fractional Ornstein-Uhlenbeck model. Zbl 1398.62216
Moers, Michael
2
2012
Random trigonometric polynomials with nonidentically distributed coefficients. Zbl 1197.60049
Farahmand, K.; Li, T.
2
2010
Diffusion approximations of the geometric Markov renewal processes and option price formulas. Zbl 1216.60057
Swishchuk, Anatoliy; Islam, M. Shafiqul
2
2010
Influence of gestation delay and predator’s interference in predator-prey interaction under stochastic environment. Zbl 1336.60133
Jana, Debaldev
2
2014
Modeling neutral evolution using an infinite-allele Markov branching process. Zbl 1372.92072
Wu, Xiaowei; Kimmel, Marek
2
2013
Large deviation analysis of a droplet model having a Poisson equilibrium distribution. Zbl 1337.60030
Ellis, Richard S.; Ta’asan, Shlomo
2
2015
A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility. Zbl 1348.60097
Bonetti, Daniel; Leão, Dorival; Ohashi, Alberto; Siqueira, Vinícius
2
2015
On continuous selection sets of non-Lipschitzian quantum stochastic evolution inclusions. Zbl 1337.60163
Bishop, Sheila
2
2015
A two-mode mean-field optimal switching problem for the full balance sheet. Zbl 1297.93183
Djehiche, Boualem; Hamdi, Ali
2
2014
Maximizing the mean exit time of a Brownian motion from an interval. Zbl 1234.60084
Lefebvre, Mario
1
2011
First passage time moments of jump-diffusions with Markovian switching. Zbl 1234.60081
Peng, Jun; Liu, Zaiming
1
2011
Yule-Walker estimation for the moving-average model. Zbl 1223.62146
Dimitriou-Fakalou, Chrysoula
1
2011
Stochastic Navier-Stokes equations with artificial compressibility in random durations. Zbl 1202.60107
Yin, Hong
1
2010
Multiresolution Hilbert approach to multidimensional Gauss-Markov processes. Zbl 1259.60092
Taillefumier, Thibaud; Touboul, Jonathan
1
2011
On stochastic equations with measurable coefficients driven by symmetric stable processes. Zbl 1241.60027
Kurenok, Vladimir P.
1
2012
Malliavin differentiability of solutions of SPDEs with Lévy white noise. Zbl 1400.60085
Balan, Raluca M.; Ndongo, Cheikh B.
1
2017
Generalisation of Hajek’s stochastic comparison results to stochastic sums. Zbl 1384.60060
Kampen, Jörg
1
2016
Asymptotic time averages and frequency distributions. Zbl 1384.60074
El-Taha, Muhammad
1
2016
Level sets of random fields and applications: specular points and wave crests. Zbl 1225.60066
Flores, Esteban; León R., José
1
2010
Optimal geometric mean returns of stocks and their options. Zbl 1282.91351
Zhang, Guoyi
1
2012
Asymptotic stability of semi-Markov modulated jump diffusions. Zbl 1260.60107
Deshpande, Amogh
1
2012
Application of stochastic sensitivity analysis to integrated force method. Zbl 1255.74056
Wei, X. F.; Patnaik, S. N.
1
2012
Adaptive algorithm for estimation of two-dimensional autoregressive fields from noisy observations. Zbl 1349.62450
Mahmoudi, Alimorad
1
2014
On Henstock method to Stratonovich integral with respect to continuous semimartingale. Zbl 1325.60082
Yang, Haifeng; Toh, Tin Lam
1
2014
Analysis of queue-length dependent vacations and P-limited service in \(\mathrm{BMAP}/\mathrm{G}/1/N\) systems: stationary distributions and optimal control. Zbl 1295.60102
Banik, A. D.
1
2013
The BALM copula. Zbl 1497.62120
Dimitrov, Boyan; Kolev, Nikolai
1
2013
Some limit properties of the harmonic mean of transition probabilities for Markov chains in Markovian environments indexed by Cayley’s trees. Zbl 1311.60078
Huang, Huilin
1
2013
\(\mathrm{M}^{[X]}/\mathrm{G}_1\), \(G_2/1\) with setup time, Bernoulli vacation, break down, and delayed repair. Zbl 1295.60101
Ayyappan, G.; Shyamala, S.
1
2014
Asymptotic behavior of densities for stochastic functional differential equations. Zbl 1267.60063
Kitagawa, Akihiro; Takeuchi, Atsushi
1
2013
The Itō integral with respect to an infinite dimensional Lévy process: a series approach. Zbl 1268.60078
Tappe, Stefan
1
2013
The LMI approach for stabilizing of linear stochastic systems. Zbl 1276.93078
Ivanov, Ivan
1
2013
Regime-switching temperature dynamics model for weather derivatives. Zbl 1410.91452
Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis
3
2018
Option price decomposition in spot-dependent volatility models and some applications. Zbl 1417.91512
Merino, Raúl; Vives, Josep
3
2017
Global stability of nonlinear stochastic SEI epidemic model with fluctuations in transmission rate of disease. Zbl 1384.92059
Otunuga, Olusegun Michael
3
2017
Malliavin differentiability of solutions of SPDEs with Lévy white noise. Zbl 1400.60085
Balan, Raluca M.; Ndongo, Cheikh B.
1
2017
Stochastic analysis of Gaussian processes via Fredholm representation. Zbl 1384.60072
Sottinen, Tommi; Viitasaari, Lauri
19
2016
A BSDE with delayed generator approach to pricing under counterparty risk and collateralization. Zbl 1407.91245
Cordoni, Francesco; Di Persio, Luca
8
2016
Analysis of a priority queue with phase-type service and failures. Zbl 1384.60096
Dudin, Alexander; Dudin, Sergei
6
2016
Multiserver queue with guard channel for priority and retrial customers. Zbl 1398.60093
Kajiwara, Kazuki; Phung-Duc, Tuan
3
2016
Generalisation of Hajek’s stochastic comparison results to stochastic sums. Zbl 1384.60060
Kampen, Jörg
1
2016
Asymptotic time averages and frequency distributions. Zbl 1384.60074
El-Taha, Muhammad
1
2016
Yamada-Watanabe results for stochastic differential equations with jumps. Zbl 1337.60116
Barczy, Mátyás; Li, Zenghu; Pap, Gyula
24
2015
A stochastic flows approach for asset allocation with hidden economic environment. Zbl 1346.60104
Siu, Tak Kuen
7
2015
A comparative numerical study of the spectral theory approach of Nishimura and the roots method based on the analysis of \(\mathrm{BDMMAP}/\mathrm{G}/1\) queue. Zbl 1351.60118
Maity, Arunava; Gupta, U. C.
5
2015
A generic decomposition formula for pricing vanilla options under stochastic volatility models. Zbl 1337.60155
Merino, Raúl; Vives, Josep
4
2015
Large deviation analysis of a droplet model having a Poisson equilibrium distribution. Zbl 1337.60030
Ellis, Richard S.; Ta’asan, Shlomo
2
2015
A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility. Zbl 1348.60097
Bonetti, Daniel; Leão, Dorival; Ohashi, Alberto; Siqueira, Vinícius
2
2015
On continuous selection sets of non-Lipschitzian quantum stochastic evolution inclusions. Zbl 1337.60163
Bishop, Sheila
2
2015
SPDEs with \(\alpha\)-stable Lévy noise: a random field approach. Zbl 1296.60162
Balan, Raluca M.
15
2014
Backward stochastic differential equations approach to hedging, option pricing, and insurance problems. Zbl 1303.91170
Cordoni, Francesco; Di Persio, Luca
10
2014
From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval. Zbl 1319.60077
Lachal, Aimé
7
2014
A discrete-time queue with balking, reneging, and working vacations. Zbl 1322.60191
Goswami, Veena
6
2014
A semigroup expansion for pricing barrier options. Zbl 1303.91179
Kato, Takashi; Takahashi, Akihiko; Yamada, Toshihiro
6
2014
A note on the distribution of multivariate Brownian extrema. Zbl 1325.60079
Escobar, Marcos; Hernandez, Julio
3
2014
The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions. Zbl 1297.49039
Chighoub, Farid; Mezerdi, Brahim
3
2014
Limit properties of transition functions of continuous-time Markov branching processes. Zbl 1316.60130
Imomov, Azam A.
3
2014
Influence of gestation delay and predator’s interference in predator-prey interaction under stochastic environment. Zbl 1336.60133
Jana, Debaldev
2
2014
A two-mode mean-field optimal switching problem for the full balance sheet. Zbl 1297.93183
Djehiche, Boualem; Hamdi, Ali
2
2014
Adaptive algorithm for estimation of two-dimensional autoregressive fields from noisy observations. Zbl 1349.62450
Mahmoudi, Alimorad
1
2014
On Henstock method to Stratonovich integral with respect to continuous semimartingale. Zbl 1325.60082
Yang, Haifeng; Toh, Tin Lam
1
2014
\(\mathrm{M}^{[X]}/\mathrm{G}_1\), \(G_2/1\) with setup time, Bernoulli vacation, break down, and delayed repair. Zbl 1295.60101
Ayyappan, G.; Shyamala, S.
1
2014
Stability analysis of a stochastic SIR epidemic model with specific nonlinear incidence rate. Zbl 1314.92153
Adnani, Jihad; Hattaf, Khalid; Yousfi, Noura
14
2013
A stochastic diffusion process for the Dirichlet distribution. Zbl 1273.60099
Bakosi, J.; Ristorcelli, J. R.
4
2013
Online stochastic convergence analysis of the Kalman filter. Zbl 1417.93330
Rhudy, Matthew B.; Gu, Yu
3
2013
Measure-dependent stochastic nonlinear beam equations driven by fractional Brownian motion. Zbl 1301.60078
McKibben, Mark A.
3
2013
Modeling neutral evolution using an infinite-allele Markov branching process. Zbl 1372.92072
Wu, Xiaowei; Kimmel, Marek
2
2013
Analysis of queue-length dependent vacations and P-limited service in \(\mathrm{BMAP}/\mathrm{G}/1/N\) systems: stationary distributions and optimal control. Zbl 1295.60102
Banik, A. D.
1
2013
The BALM copula. Zbl 1497.62120
Dimitrov, Boyan; Kolev, Nikolai
1
2013
Some limit properties of the harmonic mean of transition probabilities for Markov chains in Markovian environments indexed by Cayley’s trees. Zbl 1311.60078
Huang, Huilin
1
2013
Asymptotic behavior of densities for stochastic functional differential equations. Zbl 1267.60063
Kitagawa, Akihiro; Takeuchi, Atsushi
1
2013
The Itō integral with respect to an infinite dimensional Lévy process: a series approach. Zbl 1268.60078
Tappe, Stefan
1
2013
The LMI approach for stabilizing of linear stochastic systems. Zbl 1276.93078
Ivanov, Ivan
1
2013
Necessary conditions for optimal control of forward-backward stochastic systems with random jumps. Zbl 1239.93132
Shi, Jingtao
15
2012
Some refinements of existence results for SPDEs driven by Wiener processes and Poisson random measures. Zbl 1263.60060
Tappe, Stefan
14
2012
Birth and death processes with neutral mutations. Zbl 1261.92039
Champagnat, Nicolas; Lambert, Amaury; Richard, Mathieu
9
2012
An \(M/M/2\) queueing system with heterogeneous servers including one with working vacation. Zbl 1252.60091
Krishnamoorthy, A.; Sreenivasan, C.
9
2012
Survival exponents for some Gaussian processes. Zbl 1260.60073
Molchan, G.
9
2012
A decomposable branching process in a Markovian environment. Zbl 1411.60126
Vatutin, Vladimir; Dyakonova, Elena; Jagers, Peter; Sagitov, Serik
8
2012
General LQG homing problems in one dimension. Zbl 1260.60161
Lefebvre, Mario; Zitouni, Foued
5
2012
Probabilistic solution of the general Robin boundary value problem on arbitrary domains. Zbl 1258.31007
Akhlil, Khalid
5
2012
Generalized fractional master equation for self-similar stochastic processes modelling anomalous diffusion. Zbl 1260.60163
Pagnini, Gianni; Mura, Antonio; Mainardi, Francesco
5
2012
The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers. Zbl 1260.60164
Yin, Chuancun; Wang, Huiqing
5
2012
Stochastic methodology for the study of an epidemic decay phase, based on a branching model. Zbl 1254.92067
Pénisson, Sophie; Jacob, Christine
4
2012
Consistent price systems in multiasset markets. Zbl 1282.91112
Maris, Florian; Sayit, Hasanjan
3
2012
A dependent hidden Markov model of credit quality. Zbl 1251.91067
Korolkiewicz, Małgorzata Wiktoria
3
2012
A stability result for stochastic differential equations driven by fractional Brownian motions. Zbl 1260.60111
Saussereau, Bruno
3
2012
A feedback retrial queueing system with two types of batch arrivals. Zbl 1260.60177
Kalyanaraman, R.
2
2012
Hypothesis testing in a fractional Ornstein-Uhlenbeck model. Zbl 1398.62216
Moers, Michael
2
2012
On stochastic equations with measurable coefficients driven by symmetric stable processes. Zbl 1241.60027
Kurenok, Vladimir P.
1
2012
Optimal geometric mean returns of stocks and their options. Zbl 1282.91351
Zhang, Guoyi
1
2012
Asymptotic stability of semi-Markov modulated jump diffusions. Zbl 1260.60107
Deshpande, Amogh
1
2012
Application of stochastic sensitivity analysis to integrated force method. Zbl 1255.74056
Wei, X. F.; Patnaik, S. N.
1
2012
Optimal selling of an asset under incomplete information. Zbl 1230.91168
Ekström, Erik; Lu, Bing
18
2011
Regime-switching risk: to price or not to price? Zbl 1230.91203
Siu, Tak Kuen
12
2011
A stochastic two species competition model: nonequilibrium fluctuation and stability. Zbl 1229.92080
Samanta, G. P.
8
2011
Impulse control of proportional reinsurance with constraints. Zbl 1229.91165
Meng, Hui; Siu, Tak Kuen
8
2011
Weather derivatives and stochastic modelling of temperature. Zbl 1229.91298
Benth, Fred Espen; Benth, Jūratė Šaltytė
7
2011
Pricing variance swaps for stochastic volatilities with delay and jumps. Zbl 1217.91187
Swishchuk, Anatoliy; Xu, Li
5
2011
Asymptotics of negative exponential moments for annealed Brownian motion in a renormalized Poisson potential. Zbl 1229.82096
Chen, Xia; Kulik, Alexey
4
2011
The Cauchy-Dirichlet problem for a class of linear parabolic differential equations with unbounded coefficients in an unbounded domain. Zbl 1226.60090
Rubio, Gerardo
3
2011
Mild solutions of neutral stochastic partial functional differential equations. Zbl 1231.60060
Govindan, T. E.
3
2011
Maximizing the mean exit time of a Brownian motion from an interval. Zbl 1234.60084
Lefebvre, Mario
1
2011
First passage time moments of jump-diffusions with Markovian switching. Zbl 1234.60081
Peng, Jun; Liu, Zaiming
1
2011
Yule-Walker estimation for the moving-average model. Zbl 1223.62146
Dimitriou-Fakalou, Chrysoula
1
2011
Multiresolution Hilbert approach to multidimensional Gauss-Markov processes. Zbl 1259.60092
Taillefumier, Thibaud; Touboul, Jonathan
1
2011
The Rothe’s method to a parabolic integrodifferential equation with a nonclassical boundary conditions. Zbl 1194.35201
Bouziani, Abdelfatah; Mechri, Rachid
16
2010
Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises. Zbl 1218.60051
Liu, Xianming; Duan, Jinqiao; Liu, Jicheng; Kloeden, Peter E.
8
2010
Optimal control with partial information for stochastic Volterra equations. Zbl 1214.49033
Øksendal, Bernt; Zhang, Tusheng
8
2010
A Markov regime-switching marked point process for short-rate analysis with credit risk. Zbl 1203.91304
Siu, Tak Kuen
7
2010
General decay stability for stochastic functional differential equations with infinite delay. Zbl 1202.93167
Liu, Yue; Meng, Xuejing; Wu, Fuke
4
2010
Random trigonometric polynomials with nonidentically distributed coefficients. Zbl 1197.60049
Farahmand, K.; Li, T.
2
2010
Diffusion approximations of the geometric Markov renewal processes and option price formulas. Zbl 1216.60057
Swishchuk, Anatoliy; Islam, M. Shafiqul
2
2010
Stochastic Navier-Stokes equations with artificial compressibility in random durations. Zbl 1202.60107
Yin, Hong
1
2010
Level sets of random fields and applications: specular points and wave crests. Zbl 1225.60066
Flores, Esteban; León R., José
1
2010
all top 5

Cited by 622 Authors

18 Siu, Tak Kuen
8 Viitasaari, Lauri
7 Di Persio, Luca
7 Lefebvre, Mario
7 Sottinen, Tommi
7 Vatutin, Vladimir Alekseevich
7 Yousfi, Noura
6 Benth, Fred Espen
6 D’yakonova, Elena Evgen’evna
5 Bouchentouf, Amina Angelika
5 Cordoni, Francesco Giuseppe
5 Hattaf, Khalid
5 Krühner, Paul
5 Maqbul, Md.
5 Meng, Hui
5 Pap, Gyula
5 Shen, Yang
5 Wang, Jian
5 Yang, Hailiang
4 Adnani, Jihad
4 Barczy, Mátyás
4 Chaudhry, Mohan L.
4 Dudin, Alexander N.
4 Ekström, Erik
4 Elliott, Robert James
4 Raheem, Abdur
4 Takahashi, Akihiko
4 Vives, Josep
4 Wang, Yongjin
3 Aurzada, Frank
3 Casanova, Adrián González
3 Chong, Carsten
3 Cornalba, Federico
3 Duan, Jinqiao
3 Dudin, Sergey A.
3 Dudina, Olga S.
3 Glover, Kristoffer J.
3 Goswami, Veena
3 Gupta, Nishi
3 Huang, Xing
3 Imomov, Azam Abdurakhimovich
3 Jose, K. P.
3 Kim, James J.
3 Merino, Raúl
3 Mishura, Yuliya Stepanivna
3 Øksendal, Bernt Karsten
3 Pagnini, Gianni
3 Platonova, Mariya V.
3 Riedle, Markus
3 Shardlow, Tony
3 Shklyar, Sergiĭ Volodymyrovych
3 Wang, Rongming
3 Zhu, Jinxia
3 Zimmer, Johannes
3 Zitouni, Foued
2 Afreen, Asma
2 Akhlil, Khalid
2 Al-Hussein, Abdulrahman
2 Arai, Takuji
2 Bahuguna, Dhirendra
2 Bakosi, Jozsef
2 Balan, Raluca M.
2 Banik, Abhijit Datta
2 Beena, Pathari
2 Bennar, Abdelkrim
2 Bonaccorsi, Stefano
2 Bosze, Zsuzsanna
2 Chakravarthy, Srinivas R.
2 Chen, Xia
2 Ching, Wai-Ki
2 Cordero, Fernando
2 Dalang, Robert C.
2 De Angelis, Tiziano
2 Dembo, Amir
2 Detering, Nils
2 Dorobantu, Diana
2 El Koufi, Amine
2 Fan, Kun
2 Federico, Salvatore
2 Gherbal, Boulakhras
2 Gu, Anhui
2 Hafayed, Mokhtar
2 Han, Yuecai
2 Hausenblas, Erika
2 Henry, Benoît
2 Huang, Hong
2 Humeau, Thomas
2 Jaber, Eduardo Abi
2 Janković, Svetlana
2 Jiang, Daqing
2 Kevei, Péter
2 Khatoon, Areefa
2 Kurt, Noemi
2 Lambert, Amaury
2 Luo, Dejun
2 Mahrouf, Marouane
2 McKibben, Mark Anthony
2 Meng, Qingxin
2 Mezerdi, Brahim
2 Molchan, George M.
...and 522 more Authors
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Cited in 176 Journals

11 Stochastic Processes and their Applications
10 Journal of Applied Probability
9 International Journal of Theoretical and Applied Finance
8 Journal of Mathematical Analysis and Applications
8 Journal of Computational and Applied Mathematics
8 Stochastic Analysis and Applications
8 International Journal of Stochastic Analysis
6 Applied Mathematics and Computation
6 Insurance Mathematics & Economics
6 Journal of Theoretical Probability
6 Finance and Stochastics
6 Quantitative Finance
6 Stochastics
5 Theory of Probability and its Applications
5 Statistics & Probability Letters
5 Communications in Statistics. Theory and Methods
5 Electronic Journal of Probability
5 Methodology and Computing in Applied Probability
5 Modern Stochastics. Theory and Applications
4 Advances in Applied Probability
4 Journal of Mathematical Physics
4 Journal of Statistical Physics
4 The Annals of Applied Probability
4 Theory of Probability and Mathematical Statistics
4 Mathematical Problems in Engineering
4 Fractional Calculus & Applied Analysis
4 Journal of Applied Mathematics
4 Journal of Industrial and Management Optimization
4 ALEA. Latin American Journal of Probability and Mathematical Statistics
3 Computers & Mathematics with Applications
3 Physica A
3 Applied Mathematics and Optimization
3 Mathematics and Computers in Simulation
3 Theoretical Population Biology
3 Applied Mathematical Modelling
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 NoDEA. Nonlinear Differential Equations and Applications
3 Bernoulli
3 Differential Equations and Dynamical Systems
3 SIAM Journal on Financial Mathematics
3 International Journal of Systems Science. Principles and Applications of Systems and Integration
2 Journal of the Franklin Institute
2 The Annals of Probability
2 Automatica
2 Journal of Differential Equations
2 Journal of Optimization Theory and Applications
2 Mathematics of Operations Research
2 Opsearch
2 SIAM Journal on Control and Optimization
2 Optimal Control Applications & Methods
2 Asia-Pacific Journal of Operational Research
2 Queueing Systems
2 Journal of Integral Equations and Applications
2 Annals of Operations Research
2 Discrete Mathematics and Applications
2 European Journal of Operational Research
2 Archives of Control Sciences
2 Potential Analysis
2 Filomat
2 Applied Mathematical Finance
2 Mathematical Finance
2 Nonlinear Dynamics
2 Abstract and Applied Analysis
2 Communications in Nonlinear Science and Numerical Simulation
2 International Journal of Nonlinear Sciences and Numerical Simulation
2 Stochastic Models
2 Bulletin of the Malaysian Mathematical Sciences Society. Second Series
2 Computational Management Science
2 Applications and Applied Mathematics
2 Frontiers of Mathematics in China
2 Electronic Journal of Statistics
2 International Journal of Biomathematics
2 Advances in Mathematical Physics
2 International Journal of Differential Equations
2 Afrika Matematika
2 Journal of Applied Analysis and Computation
2 Communications in Mathematics and Statistics
1 Applicable Analysis
1 Communications in Mathematical Physics
1 Journal of Mathematical Biology
1 Mathematical Methods in the Applied Sciences
1 Mathematical Notes
1 Nonlinearity
1 Rocky Mountain Journal of Mathematics
1 Russian Mathematical Surveys
1 Scandinavian Journal of Statistics
1 Chaos, Solitons and Fractals
1 Archiv der Mathematik
1 Collectanea Mathematica
1 Journal of Functional Analysis
1 Journal of the London Mathematical Society. Second Series
1 Journal of Multivariate Analysis
1 Journal of Statistical Planning and Inference
1 Mathematische Nachrichten
1 Numerische Mathematik
1 Results in Mathematics
1 Transactions of the American Mathematical Society
1 Rendiconti di Matematica e delle sue Applicazioni. Serie VII
1 Bulletin of the Korean Mathematical Society
1 Physica D
...and 76 more Journals

Citations by Year