International Journal of Stochastic Analysis

1987 - 2018

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Volume 2018, month September, 2018

Stochastic Temporal Data Upscaling Using the Generalized k-Nearest Neighbor Algorithm pp. 1-8

John Mashford

Volume 2018, month July, 2018

Regime-Switching Temperature Dynamics Model for Weather Derivatives pp. 1-15

Samuel Gyamerah, Philip Ngare and Dennis Ikpe

Volume 2017, month July, 2017

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications pp. 1-16

Raúl Merino and Josep Vives

Volume 2017, month March, 2017

Malliavin Differentiability of Solutions of SPDEs with Lévy White Noise pp. 1-9

Raluca M. Balan and Cheikh B. Ndongo

Volume 2017, month February, 2017

Semigroup Solution of Path-Dependent Second-Order Parabolic Partial Differential Equations pp. 1-12

Sixian Jin and Henry Schellhorn

Volume 2017, month January, 2017

Global Stability of Nonlinear Stochastic SEI Epidemic Model with Fluctuations in Transmission Rate of Disease pp. 1-7

Olusegun Michael Otunuga

Volume 2016, month September, 2016

Asymptotic Time Averages and Frequency Distributions pp. 1-10

Muhammad El-Taha

Generalisation of Hajek’s Stochastic Comparison Results to Stochastic Sums pp. 1-6

Jörg Kampen

Volume 2016, month August, 2016

A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization pp. 1-11

Francesco Cordoni and Luca Di Persio

Volume 2016, month July, 2016

Stochastic Analysis of Gaussian Processes via Fredholm Representation pp. 1-15

Tommi Sottinen and Lauri Viitasaari

Analysis of a Priority Queue with Phase-Type Service and Failures pp. 1-11

Alexander Dudin and Sergei Dudin

Optimal Bounds for the Variance of Self-Intersection Local Times pp. 1-10

George Deligiannidis and Sergey Utev

Volume 2016, month March, 2016

Multiserver Queue with Guard Channel for Priority and Retrial Customers pp. 1-23

Kazuki Kajiwara and Tuan Phung-Duc

Volume 2015, month October, 2015

Large Deviation Analysis of a Droplet Model Having a Poisson Equilibrium Distribution pp. 1-15

Richard S. Ellis and Shlomo Ta’asan

Volume 2015, month July, 2015

Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes pp. 1-15

Rehez Ahlip and Ante Prodan

On Continuous Selection Sets of Non-Lipschitzian Quantum Stochastic Evolution Inclusions pp. 1-5

Sheila Bishop

Volume 2015, month June, 2015

A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models pp. 1-11

Raúl Merino and Josep Vives

Volume 2015, month April, 2015

Stochastic Nonlinear Equations Describing the Mesoscopic Voltage-Gated Ion Channels pp. 1-13

Mauricio Tejo

Volume 2015, month February, 2015

A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility pp. 1-21

Daniel Bonetti, Dorival Leão, Alberto Ohashi and Vinícius Siqueira

Asymptotic Stabilizability of a Class of Stochastic Nonlinear Hybrid Systems pp. 1-9

Ewelina Seroka

A Comparative Numerical Study of the Spectral Theory Approach of Nishimura and the Roots Method Based on the Analysis of BDMMAP/G/1 Queue pp. 1-9

Arunava Maity and U. C. Gupta

Volume 2015, month January, 2015

Yamada-Watanabe Results for Stochastic Differential Equations with Jumps pp. 1-23

Mátyás Barczy, Zenghu Li and Gyula Pap

A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment pp. 1-11

Tak Kuen Siu

Volume 2014, month December, 2014

On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale pp. 1-7

Haifeng Yang and Tin Lam Toh

Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations pp. 1-5

Alimorad Mahmoudi

Strong Law of Large Numbers for Hidden Markov Chains Indexed by an Infinite Tree with Uniformly Bounded Degrees pp. 1-6

Huilin Huang

Volume 2014, month November, 2014

A Note on the Distribution of Multivariate Brownian Extrema pp. 1-6

Marcos Escobar Anel and Julio Hernandez

Optimal Foreign Exchange Rate Intervention in Lévy Markets pp. 1-8

Masimba Aspinas Mutakaya, Eriyoti Chikodza and Edward T. Chiyaka

Volume 2014, month October, 2014

Limit Properties of Transition Functions of Continuous-Time Markov Branching Processes pp. 1-10

Azam A. Imomov

A Discrete-Time Queue with Balking, Reneging, and Working Vacations pp. 1-8

Veena Goswami

Volume 2014, month September, 2014

Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems pp. 1-11

Francesco Cordoni and Luca Di Persio

A Semigroup Expansion for Pricing Barrier Options pp. 1-15

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada

Volume 2014, month July, 2014

Efficient Variable Step Size Approximations for Strong Solutions of Stochastic Differential Equations with Additive Noise and Time Singularity pp. 1-6

Harry Randolph Hughes and Pathiranage Lochana Siriwardena

Volume 2014, month May, 2014

A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet pp. 1-16

Boualem Djehiche and Ali Hamdi

Volume 2014, month April, 2014

Influence of Gestation Delay and Predator’s Interference in Predator-Prey Interaction under Stochastic Environment pp. 1-9

Debaldev Jana

Volume 2014, month March, 2014

From Pseudorandom Walk to Pseudo-Brownian Motion: First Exit Time from a One-Sided or a Two-Sided Interval pp. 1-49

Aimé Lachal

Diffusion Processes Satisfying a Conservation Law Constraint pp. 1-9

J. Bakosi and J. R. Ristorcelli

with Setup Time, Bernoulli Vacation, Break Down, and Delayed Repair pp. 1-12

G. Ayyappan and S. Shyamala

Volume 2014, month February, 2014

SPDEs with -Stable Lévy Noise: A Random Field Approach pp. 1-22

Raluca M. Balan

Volume 2014, month January, 2014

The Relationship between the Stochastic Maximum Principle and the Dynamic Programming in Singular Control of Jump Diffusions pp. 1-17

Farid Chighoub and Brahim Mezerdi

Volume 2013, month December, 2013

Measure-Dependent Stochastic Nonlinear Beam Equations Driven by Fractional Brownian Motion pp. 1-16

Mark A. McKibben

Some Limit Properties of the Harmonic Mean of Transition Probabilities for Markov Chains in Markovian Environments Indexed by Cayley's Trees pp. 1-5

Huilin Huang

Sharp Large Deviation for the Energy of -Brownian Bridge pp. 1-4

Shoujiang Zhao, Qiaojing Liu, Fuxiang Liu and Hong Yin

Volume 2013, month November, 2013

Analysis of Queue-Length Dependent Vacations and P-Limited Service in BMAP/G/1/ N Systems: Stationary Distributions and Optimal Control pp. 1-14

A. D. Banik

Online Stochastic Convergence Analysis of the Kalman Filter pp. 1-9

Matthew B. Rhudy and Yu Gu

Foundations of the Theory of Semilinear Stochastic Partial Differential Equations pp. 1-25

Stefan Tappe

Volume 2013, month September, 2013

Stability Analysis of a Stochastic SIR Epidemic Model with Specific Nonlinear Incidence Rate pp. 1-4

Jihad Adnani, Khalid Hattaf and Noura Yousfi

The BALM Copula pp. 1-6

Boyan Dimitrov and Nikolai Kolev

Volume 2013, month August, 2013

The LMI Approach for Stabilizing of Linear Stochastic Systems pp. 1-5

Ivan Ivanov

Volume 2013, month April, 2013

The Itô Integral with respect to an Infinite Dimensional Lévy Process: A Series Approach pp. 1-14

Stefan Tappe

A Stochastic Diffusion Process for the Dirichlet Distribution pp. 1-7

J. Bakosi and J. R. Ristorcelli

Volume 2013, month March, 2013

Applications of Stochastic Processes in Biology and Medicine pp. 1-2

Charles J. Mode, Rick Durrett, Fima Klebaner and Peter Olofsson

Simulating the Emergence of Mutations and Their Subsequent Evolution in an Age-Structured Stochastic Self-Regulating Process with Two Sexes pp. 1-23

Charles J. Mode, Candace K. Sleeman and Towfique Raj

Modeling Neutral Evolution Using an Infinite-Allele Markov Branching Process pp. 1-10

Xiaowei Wu and Marek Kimmel

Filtering for Discrete-Time Stochastic Systems with Nonlinear Sensor and Time-Varying Delay pp. 1-9

Mingang Hua, Pei Cheng, Juntao Fei, Jianyong Zhang and Junfeng Chen

Risk of Infectious Disease Outbreaks by Imported Cases with Application to the European Football Championship 2012 pp. 1-9

Attila Dénes, Péter Kevei, Hiroshi Nishiura and Gergely Röst

Volume 2013, month February, 2013

Asymptotic Behavior of Densities for Stochastic Functional Differential Equations pp. 1-17

Akihiro Kitagawa and Atsushi Takeuchi

Time Reversal of Volterra Processes Driven Stochastic Differential Equations pp. 1-13

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