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Stochastic Processes and their Applications

1973 - 2018

Current editor(s): T. Mikosch

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2018, volume 128, issue 10

On uniform closeness of local times of Markov chains and i.i.d. sequences pp. 3221-3252 Downloads
Diego F. de Bernardini, Christophe Gallesco and Serguei Popov
Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients pp. 3253-3272 Downloads
Luu Hoang Duc, Tat Dat Tran and Jürgen Jost
Fluctuations of Omega-killed spectrally negative Lévy processes pp. 3273-3299 Downloads
Bo Li and Zbigniew Palmowski
Some bivariate stochastic models arising from group representation theory pp. 3300-3326 Downloads
Manuel D. de la Iglesia and Pablo Román
Concentration for Poisson U-statistics: Subgraph counts in random geometric graphs pp. 3327-3352 Downloads
Sascha Bachmann and Matthias Reitzner
General dynamic term structures under default risk pp. 3353-3386 Downloads
Claudio Fontana and Thorsten Schmidt
Backward problems for stochastic differential equations on the Sierpinski gasket pp. 3387-3418 Downloads
Xuan Liu and Zhongmin Qian
Invariance principles for tempered fractionally integrated processes pp. 3419-3438 Downloads
Farzad Sabzikar and Donatas Surgailis
Extinction properties of multi-type continuous-state branching processes pp. 3466-3489 Downloads
Andreas E. Kyprianou and Sandra Palau
Analysis of random walks in dynamic random environments via L2-perturbations pp. 3490-3530 Downloads
L. Avena, O. Blondel and A. Faggionato
Effect of stochastic perturbations for front propagation in Kolmogorov Petrovskii Piscunov equations pp. 3531-3557 Downloads
John M. Noble
Bivariate Markov chains converging to Lamperti transform Markov additive processes pp. 3558-3605 Downloads
Bénédicte Haas and Robin Stephenson

2018, volume 128, issue 9

Perturbations and projections of Kalman–Bucy semigroups pp. 2857-2904 Downloads
Adrian N. Bishop, Pierre Del Moral and Sahani D. Pathiraja
Slow recurrent regimes for a class of one-dimensional stochastic growth models pp. 2905-2922 Downloads
Etienne Adam
Pointwise estimates for first passage times of perpetuity sequences pp. 2923-2951 Downloads
D. Buraczewski, E. Damek and J. Zienkiewicz
Representations of max-stable processes via exponential tilting pp. 2952-2978 Downloads
Enkelejd Hashorva
Extremes of q-Ornstein–Uhlenbeck processes pp. 2979-3005 Downloads
Yizao Wang
First order Feynman–Kac formula pp. 3006-3029 Downloads
Xue-Mei Li and James Thompson
Markov processes with darning and their approximations pp. 3030-3053 Downloads
Zhen-Qing Chen and Jun Peng
The divisible sandpile with heavy-tailed variables pp. 3054-3081 Downloads
Alessandra Cipriani, Rajat Subhra Hazra and Wioletta M. Ruszel
Volterra-type Ornstein–Uhlenbeck processes in space and time pp. 3082-3117 Downloads
Viet Son Pham and Carsten Chong
Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs pp. 3118-3180 Downloads
Juan Li
Smooth density and its short time estimate for jump process determined by SDE pp. 3181-3219 Downloads
Yasushi Ishikawa, Hiroshi Kunita and Masaaki Tsuchiya

2018, volume 128, issue 8

Discretizing Malliavin calculus pp. 2489-2537 Downloads
Christian Bender and Peter Parczewski
Equivalent martingale measures for Lévy-driven moving averages and related processes pp. 2538-2556 Downloads
Basse-O’Connor, Andreas, Mikkel Slot Nielsen and Jan Pedersen
Weak order in averaging principle for stochastic wave equation with a fast oscillation pp. 2557-2580 Downloads
Hongbo Fu, Li Wan, Jicheng Liu and Xianming Liu
Large deviations for the empirical measure of a diffusion via weak convergence methods pp. 2581-2604 Downloads
Paul Dupuis and David Lipshutz
Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients pp. 2605-2641 Downloads
Alessia Ascanelli and André Süß
Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators pp. 2642-2687 Downloads
Pierre Étoré and Miguel Martinez
Asymptotical properties of distributions of isotropic Lévy processes pp. 2688-2709 Downloads
Panki Kim and Ante Mimica
Optimal control for two-dimensional stochastic second grade fluids pp. 2710-2749 Downloads
Nikolai Chemetov and Fernanda Cipriano
A one-dimensional version of the random interlacements pp. 2750-2778 Downloads
Darcy Camargo and Serguei Popov
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices pp. 2779-2815 Downloads
Johannes Heiny and Thomas Mikosch
Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage pp. 2816-2855 Downloads
Ansgar Steland and Rainer von Sachs

2018, volume 128, issue 7

Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications pp. 2153-2178 Downloads
Jan Gairing, Michael Högele and Tetiana Kosenkova
Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales pp. 2179-2227 Downloads
Arnab Ganguly
The enhanced Sanov theorem and propagation of chaos pp. 2228-2269 Downloads
Jean-Dominique Deuschel, Peter K. Friz, Mario Maurelli and Martin Slowik
Law of large numbers for the many-server earliest-deadline-first queue pp. 2270-2296 Downloads
Rami Atar, Anup Biswas and Haya Kaspi
Asymptotic behaviour of high Gaussian minima pp. 2297-2324 Downloads
Arijit Chakrabarty and Gennady Samorodnitsky
Spread of a catalytic branching random walk on a multidimensional lattice pp. 2325-2340 Downloads
Ekaterina Vl. Bulinskaya
Branching random walk with trapping zones pp. 2341-2366 Downloads
Romain Biard, Bastien Mallein and Landy Rabehasaina
Homogenization of dissipative, noisy, Hamiltonian dynamics pp. 2367-2403 Downloads
Jeremiah Birrell and Jan Wehr
Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs pp. 2404-2426 Downloads
Olga Lopusanschi and Damien Simon
Fractional diffusion-type equations with exponential and logarithmic differential operators pp. 2427-2447 Downloads
Luisa Beghin
On the local times of stationary processes with conditional local limit theorems pp. 2448-2462 Downloads
Manfred Denker and Xiaofei Zheng
Weak atomic convergence of finite voter models toward Fleming–Viot processes pp. 2463-2488 Downloads
Yu-Ting Chen and J. Theodore Cox

2018, volume 128, issue 6

Absolute continuity of the invariant measure in piecewise deterministic Markov Processes having degenerate jumps pp. 1797-1829 Downloads
E. Löcherbach
Estimation error for occupation time functionals of stationary Markov processes pp. 1830-1848 Downloads
Randolf Altmeyer and Jakub Chorowski
A sharp bound on the expected number of upcrossings of an L2-bounded Martingale pp. 1849-1856 Downloads
David Gilat, Isaac Meilijson and Laura Sacerdote
Systems of stochastic Poisson equations: Hitting probabilities pp. 1857-1888 Downloads
Marta Sanz-Solé and Noèlia Viles
Asymptotics for the normalized error of the Ninomiya–Victoir scheme pp. 1889-1928 Downloads
A. Al Gerbi, B. Jourdain and E. Clément
Parametric inference for discrete observations of diffusion processes with mixed effects pp. 1929-1957 Downloads
Maud Delattre, Valentine Genon-Catalot and Catherine Larédo
Estimating spot volatility in the presence of infinite variation jumps pp. 1958-1987 Downloads
Qiang Liu, Yiqi Liu and Zhi Liu
The relation between quenched and annealed Lyapunov exponents in random potential on trees pp. 1988-2006 Downloads
Gundelinde Maria Wiegel
Exact asymptotics in eigenproblems for fractional Brownian covariance operators pp. 2007-2059 Downloads
Pavel Chigansky and Marina Kleptsyna
Limit theory for the empirical extremogram of random fields pp. 2060-2082 Downloads
Sven Buhl and Claudia Klüppelberg
Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability pp. 2083-2130 Downloads
Masaaki Fujii and Akihiko Takahashi
Stochastic porous media equation on general measure spaces with increasing Lipschitz nonlinearities pp. 2131-2151 Downloads
Michael Röckner, Weina Wu and Yingchao Xie

2018, volume 128, issue 5

Limit theorems for Hilbert space-valued linear processes under long range dependence pp. 1439-1465 Downloads
Marie-Christine Düker
Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability pp. 1466-1484 Downloads
Ryosuke Sato, Kenshi Miyabe and Akimichi Takemura
Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions pp. 1485-1524 Downloads
Ari Arapostathis and Anup Biswas
Favorite sites of randomly biased walks on a supercritical Galton–Watson tree pp. 1525-1557 Downloads
Dayue Chen, Loïc de Raphélis and Yueyun Hu
Metastability for small random perturbations of a PDE with blow-up pp. 1558-1589 Downloads
Pablo Groisman, Santiago Saglietti and Nicolas Saintier
Latent voter model on locally tree-like random graphs pp. 1590-1614 Downloads
Ran Huo and Rick Durrett
Products of random variables and the first digit phenomenon pp. 1615-1634 Downloads
Nicolas Chenavier, Bruno Massé and Dominique Schneider
Covariance of stochastic integrals with respect to fractional Brownian motion pp. 1635-1651 Downloads
Yohaï Maayan and Eddy Mayer-Wolf
Convex integral functionals of regular processes pp. 1652-1677 Downloads
Teemu Pennanen and Ari-Pekka Perkkiö
Lower bounds for moments of global scores of pairwise Markov chains pp. 1678-1710 Downloads
Jüri Lember, Heinrich Matzinger, Joonas Sova and Fabio Zucca
Itô’s calculus under sublinear expectations via regularity of PDEs and rough paths pp. 1711-1749 Downloads
Xin Guo and Chen Pan
Persistence probabilities for stationary increment processes pp. 1750-1771 Downloads
Frank Aurzada, Nadine Guillotin-Plantard and Françoise Pène
Asymptotics for stochastic reaction–diffusion equation driven by subordinate Brownian motion pp. 1772-1796 Downloads
Ran Wang and Lihu Xu

2018, volume 128, issue 4

Convergence results for a class of time-varying simulated annealing algorithms pp. 1073-1094 Downloads
Mathieu Gerber and Luke Bornn
On optimal investment with processes of long or negative memory pp. 1095-1113 Downloads
Huy N. Chau and Miklós Rásonyi
Monotonicity preserving transformations of MOT and SEP pp. 1114-1134 Downloads
Martin Huesmann and Florian Stebegg
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations pp. 1135-1164 Downloads
Mátyás Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap
Self-duality and shock dynamics in the n-species priority ASEP pp. 1165-1207 Downloads
V. Belitsky and G.M. Schütz
Bounds to the normal for proximity region graphs pp. 1208-1237 Downloads
Larry Goldstein, Tobias Johnson and Raphaël Lachièze-Rey
Paracontrolled calculus and Funaki–Quastel approximation for the KPZ equation pp. 1238-1293 Downloads
Masato Hoshino
Strong local nondeterminism and exact modulus of continuity for spherical Gaussian fields pp. 1294-1315 Downloads
Xiaohong Lan, Domenico Marinucci and Yimin Xiao
On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes pp. 1316-1332 Downloads
Dmitry Korshunov
On the normal approximation for random fields via martingale methods pp. 1333-1346 Downloads
Magda Peligrad and Na Zhang
On the Komlós, Major and Tusnády strong approximation for some classes of random iterates pp. 1347-1385 Downloads
Christophe Cuny, Jérôme Dedecker and Florence Merlevède
A characterization of Wishart processes and Wishart distributions pp. 1386-1404 Downloads
Piotr Graczyk, Jacek Małecki and Eberhard Mayerhofer
Irreducible recurrence, ergodicity, and extremality of invariant measures for resolvents pp. 1405-1437 Downloads
Lucian Beznea, Iulian Cîmpean and Michael Röckner

2018, volume 128, issue 3

Conjugate processes: Theory and application to risk forecasting pp. 727-755 Downloads
Eduardo Horta and Flavio Ziegelmann
Martingale problems for some degenerate Kolmogorov equations pp. 756-802 Downloads
Stéphane Menozzi
On the regularity of American options with regime-switching uncertainty pp. 803-818 Downloads
Saul D. Jacka and Adriana Ocejo
On a notion of partially conditionally identically distributed sequences pp. 819-846 Downloads
Sandra Fortini, Sonia Petrone and Polina Sporysheva
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering pp. 847-883 Downloads
Gilles Pagès and Abass Sagna
Hausdorff measure of SLE curves pp. 884-896 Downloads
Mohammad A. Rezaei
Density analysis of non-Markovian BSDEs and applications to biology and finance pp. 897-938 Downloads
Thibaut Mastrolia
On the block counting process and the fixation line of the Bolthausen–Sznitman coalescent pp. 939-962 Downloads
Jonas Kukla and Martin Möhle
Time change equations for Lévy-type processes pp. 963-978 Downloads
Paul Krühner and Alexander Schnurr
Smooth solutions to portfolio liquidation problems under price-sensitive market impact pp. 979-1006 Downloads
Paulwin Graewe, Ulrich Horst and Eric Séré
The strong predictable representation property in initially enlarged filtrations under the density hypothesis pp. 1007-1033 Downloads
Claudio Fontana
The asymptotic smile of a multiscaling stochastic volatility model pp. 1034-1071 Downloads
Francesco Caravenna and Jacopo Corbetta

2018, volume 128, issue 2

The free energy of the random walk pinning model pp. 373-403 Downloads
Makoto Nakashima
Central limit theorem for functionals of a generalized self-similar Gaussian process pp. 404-425 Downloads
Daniel Harnett and David Nualart
The Hausdorff dimension of multivariate operator-self-similar Gaussian random fields pp. 426-444 Downloads
Ercan Sönmez
Limit theorems for critical first-passage percolation on the triangular lattice pp. 445-460 Downloads
Chang-Long Yao
Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility pp. 461-486 Downloads
Fred Espen Benth, Barbara Rüdiger and Andre Süss
Renewal structure of the Brownian taut string pp. 487-504 Downloads
Emmanuel Schertzer
Functional limit theorems for a new class of non-stationary shot noise processes pp. 505-544 Downloads
Guodong Pang and Yuhang Zhou
Stochastic Komatu–Loewner evolutions and BMD domain constant pp. 545-594 Downloads
Zhen-Qing Chen and Masatoshi Fukushima
Distribution dependent SDEs for Landau type equations pp. 595-621 Downloads
Feng-Yu Wang
A regularity theory for quasi-linear Stochastic PDEs in weighted Sobolev spaces pp. 622-643 Downloads
Ildoo Kim and Kyeong-Hun Kim
Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities pp. 644-688 Downloads
Alain Bensoussan, Yiqun Li and Sheung Chi Phillip Yam
Dynamic uniqueness for stochastic chains with unbounded memory pp. 689-706 Downloads
Christophe Gallesco, Sandro Gallo and Daniel Y. Takahashi
On purely discontinuous additive functionals of subordinate Brownian motions pp. 707-725 Downloads
Zoran Vondraček and Vanja Wagner

2018, volume 128, issue 1

Potential kernels, probabilities of hitting a ball, harmonic functions and the boundary Harnack inequality for unimodal Lévy processes pp. 1-38 Downloads
Tomasz Grzywny and Mateusz Kwaśnicki
Domain and range symmetries of operator fractional Brownian fields pp. 39-78 Downloads
Gustavo Didier, Mark M. Meerschaert and Vladas Pipiras
A random flight process associated to a Lorentz gas with variable density in a gravitational field pp. 79-107 Downloads
Krzysztof Burdzy and Douglas Rizzolo
Asymptotic results for exponential functionals of Lévy processes pp. 108-131 Downloads
Zenghu Li and Wei Xu
Non parametric estimation for random walks in random environment pp. 132-155 Downloads
Roland Diel and Matthieu Lerasle
Ergodic properties of generalized Ornstein–Uhlenbeck processes pp. 156-181 Downloads
Péter Kevei
Branching random walks, stable point processes and regular variation pp. 182-210 Downloads
Ayan Bhattacharya, Rajat Subhra Hazra and Parthanil Roy
Stability problems for Cantor stochastic differential equations pp. 211-232 Downloads
Hiroya Hashimoto and Takahiro Tsuchiya
Semimartingale: Itô or not ? pp. 233-254 Downloads
Yacine Ait-Sahalia and Jean Jacod
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above pp. 255-290 Downloads
Florin Avram, José-Luis Pérez and Kazutoshi Yamazaki
Functional limit theorems for Galton–Watson processes with very active immigration pp. 291-305 Downloads
Alexander Iksanov and Zakhar Kabluchko
On the refracted–reflected spectrally negative Lévy processes pp. 306-331 Downloads
José-Luis Pérez and Kazutoshi Yamazaki
A sharp first order analysis of Feynman–Kac particle models, Part I: Propagation of chaos pp. 332-353 Downloads
Pierre Del Moral and Ajay Jasra
A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers pp. 354-371 Downloads
Pierre Del Moral and Ajay Jasra
Page updated 2018-12-11