Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2022, volume 144, articles C

Strong solutions of forward–backward stochastic differential equations with measurable coefficients pp. 1-22

Peng Luo, Olivier Menoukeu-Pamen and Ludovic Tangpi

Switching problems with controlled randomisation and associated obliquely reflected BSDEs pp. 23-71

Cyril Bénézet, Jean-François Chassagneux and Adrien Richou

Ruin probabilities for a Sparre Andersen model with investments pp. 72-84

Ernst Eberlein, Yuri Kabanov and Thorsten Schmidt

Time reversal of Markov processes with jumps under a finite entropy condition pp. 85-124

Giovanni Conforti and Christian Léonard

Linear competition processes and generalized Pólya urns with removals pp. 125-152

Serguei Popov, Vadim Shcherbakov and Stanislav Volkov

Large deviation principle for the backward continued fraction expansion pp. 153-172

Hiroki Takahasi

Quasi-stationary distribution for the Langevin process in cylindrical domains, Part I: Existence, uniqueness and long-time convergence pp. 173-201

Tony Lelièvre, Mouad Ramil and Julien Reygner

A functional Itō-formula for Dawson–Watanabe superprocesses pp. 202-228

Christian Mandler and Ludger Overbeck

Asymptotic analysis of Poisson shot noise processes, and applications pp. 229-270

Giovanni Luca Torrisi and Emilio Leonardi

Wasserstein convergence rate for empirical measures on noncompact manifolds pp. 271-287

Feng-Yu Wang

Transportation cost inequalities for SDEs with irregular drifts pp. 288-311

Yongqiang Suo, Chenggui Yuan and Shao-Qin Zhang

Testing for changes in the tail behavior of Brown–Resnick Pareto processes pp. 312-368

Christian Y. Robert

2022, volume 143, articles C

Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise pp. 1-30

Igor Cialenco and Hyun-Jung Kim

Propagation of singularities for the stochastic wave equation pp. 31-54

Cheuk Yin Lee and Yimin Xiao

Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise pp. 55-88

Olivier Durieu and Yizao Wang

Randomized multivariate Central Limit Theorems for ergodic homogeneous random fields pp. 89-105

Arkady Tempelman

Spatial asymptotics for the Feynman–Kac formulas driven by time-dependent and space-fractional rough Gaussian fields with the measure-valued initial data pp. 106-159

Yangyang Lyu

2D random magnetic Laplacian with white noise magnetic field pp. 160-184

Léo Morin and Antoine Mouzard

On the continuous dual Hahn process pp. 185-206

Włodek Bryc

Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions pp. 207-253

Michael Voit and Jeannette H.C. Woerner

Self-Switching Markov Chains: Emerging dominance phenomena pp. 254-284

S. Gallo, G. Iacobelli, G. Ost and D.Y. Takahashi

Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime pp. 285-339

Bo Li and Guodong Pang

2021, volume 142, articles C

Cluster based inference for extremes of time series pp. 1-33

Holger Drees, Anja Janßen and Sebastian Neblung

Volterra equations driven by rough signals pp. 34-78

Fabian A. Harang and Samy Tindel

Càdlàg rough differential equations with reflecting barriers pp. 79-104

Andrew L. Allan, Chong Liu and David J. Prömel

Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon pp. 105-123

Mogens Bladt and Jevgenijs Ivanovs

Hydrodynamics for the partial exclusion process in random environment pp. 124-158

Simone Floreani, Frank Redig and Federico Sau

Systems of small-noise stochastic reaction–diffusion equations satisfy a large deviations principle that is uniform over all initial data pp. 159-194

M. Salins

Renormalization of stochastic continuity equations on Riemannian manifolds pp. 195-244

Luca Galimberti and Kenneth H. Karlsen

Misspecified diffusion models with high-frequency observations and an application to neural networks pp. 245-292

Teppei Ogihara

Berry–Esseen bounds and moderate deviations for random walks on GLd(R) pp. 293-318

Hui Xiao, Ion Grama and Quansheng Liu

Stochastic functional Kolmogorov equations, I: Persistence pp. 319-364

Dang H. Nguyen, Nhu N. Nguyen and George Yin

The lower tail of the half-space KPZ equation pp. 365-406

Yujin H. Kim

Implementable coupling of Lévy process and Brownian motion pp. 407-431

Vladimir Fomichov, Jorge González Cázares and Jevgenijs Ivanovs

Non-standard limits for a family of autoregressive stochastic sequences pp. 432-461

Sergey Foss and Matthias Schulte

Long range one-cookie random walk with positive speed pp. 462-478

Andrea Collevecchio, Kais Hamza and Tuan-Minh Nguyen

American options in a non-linear incomplete market model with default pp. 479-512

Miryana Grigorova, Marie-Claire Quenez and Agnès Sulem

Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations pp. 513-548

Valentine Genon-Catalot and Catherine Larédo

Existence and percolation results for stopped germ-grain models with unbounded velocities pp. 549-579

David Coupier, David Dereudre and Simon Le Stum

Large deviations for fractional volatility models with non-Gaussian volatility driver pp. 580-600

Stefan Gerhold, Christoph Gerstenecker and Archil Gulisashvili

On the exact distributions of the maximum of the asymmetric telegraph process pp. 601-633

Fabrizio Cinque and Enzo Orsingher

Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant pp. 634-670

Philip A. Ernst, Sandro Franceschi and Dongzhou Huang

Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options pp. 671-705

Viktor Todorov

2021, volume 141, articles C

Rough nonlocal diffusions pp. 1-56

Michele Coghi and Torstein Nilssen

Wong–Zakai approximations for quasilinear systems of Itô’s type stochastic differential equations pp. 57-78

Alberto Lanconelli and Ramiro Scorolli

Telegraph random evolutions on a circle pp. 79-108

Alessandro De Gregorio and Francesco Iafrate

Discrete-time simulation of Stochastic Volterra equations pp. 109-138

Alexandre Richard, Xiaolu Tan and Fan Yang

Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs pp. 139-171

Mingshang Hu and Falei Wang

Mean reflected stochastic differential equations with two constraints pp. 172-196

Adrian Falkowski and Leszek Słomiński

Mean field interaction on random graphs with dynamically changing multi-color edges pp. 197-244

Erhan Bayraktar and Ruoyu Wu

A Yaglom type asymptotic result for subcritical branching Brownian motion with absorption pp. 245-273

Jiaqi Liu

Moment bounds for dissipative semimartingales with heavy jumps pp. 274-308

Alexei Kulik and Ilya Pavlyukevich

Some properties of stationary continuous state branching processes pp. 309-343

Romain Abraham, Jean-François Delmas and Hui He

Large sample autocovariance matrices of linear processes with heavy tails pp. 344-375

Johannes Heiny and Thomas Mikosch

Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach pp. 376-411

Kihun Nam