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Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

From Elsevier
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2022, volume 145, articles C

Intertwining relations for diffusions in manifolds and applications to functional inequalities pp. 1-28 Downloads
Baptiste Huguet
Path decomposition of a reflected Lévy process on first passage over high levels pp. 29-47 Downloads
Philip S. Griffin
Optimal portfolio choice with path dependent benchmarked labor income: A mean field model pp. 48-85 Downloads
Boualem Djehiche, Fausto Gozzi, Giovanni Zanco and Margherita Zanella
Extremal clustering under moderate long range dependence and moderately heavy tails pp. 86-116 Downloads
Zaoli Chen and Gennady Samorodnitsky
Density estimates and short-time asymptotics for a hypoelliptic diffusion process pp. 117-142 Downloads
Paolo Pigato
Quasistationary distributions and ergodic control problems pp. 143-164 Downloads
Amarjit Budhiraja, Paul Dupuis, Pierre Nyquist and Guo-Jhen Wu
Heat kernel bounds for a large class of Markov process with singular jump pp. 165-203 Downloads
Kyung-Youn Kim and Lidan Wang
Probabilistic approach to the heat equation with a dynamic Hardy-type potential pp. 204-225 Downloads
Izumi Okada and Eiji Yanagida
The best choice problem with random arrivals: How to beat the 1/e-strategy pp. 226-240 Downloads
Alexander Gnedin
A weak law of large numbers for realised covariation in a Hilbert space setting pp. 241-268 Downloads
Fred Espen Benth, Dennis Schroers and Almut Veraart
An ODE method to prove the geometric convergence of adaptive stochastic algorithms pp. 269-307 Downloads
Youhei Akimoto, Anne Auger and Nikolaus Hansen
Multi-dimensional normal approximation of heavy-tailed moving averages pp. 308-334 Downloads
Ehsan Azmoodeh, Mathias Mørck Ljungdahl and Christoph Thäle
Bayesian sequential least-squares estimation for the drift of a Wiener process pp. 335-352 Downloads
Erik Ekström, Ioannis Karatzas and Juozas Vaicenavicius

2022, volume 144, articles C

Strong solutions of forward–backward stochastic differential equations with measurable coefficients pp. 1-22 Downloads
Peng Luo, Olivier Menoukeu-Pamen and Ludovic Tangpi
Switching problems with controlled randomisation and associated obliquely reflected BSDEs pp. 23-71 Downloads
Cyril Bénézet, Jean-François Chassagneux and Adrien Richou
Ruin probabilities for a Sparre Andersen model with investments pp. 72-84 Downloads
Ernst Eberlein, Yuri Kabanov and Thorsten Schmidt
Time reversal of Markov processes with jumps under a finite entropy condition pp. 85-124 Downloads
Giovanni Conforti and Christian Léonard
Linear competition processes and generalized Pólya urns with removals pp. 125-152 Downloads
Serguei Popov, Vadim Shcherbakov and Stanislav Volkov
Large deviation principle for the backward continued fraction expansion pp. 153-172 Downloads
Hiroki Takahasi
Quasi-stationary distribution for the Langevin process in cylindrical domains, Part I: Existence, uniqueness and long-time convergence pp. 173-201 Downloads
Tony Lelièvre, Mouad Ramil and Julien Reygner
A functional Itō-formula for Dawson–Watanabe superprocesses pp. 202-228 Downloads
Christian Mandler and Ludger Overbeck
Asymptotic analysis of Poisson shot noise processes, and applications pp. 229-270 Downloads
Giovanni Luca Torrisi and Emilio Leonardi
Wasserstein convergence rate for empirical measures on noncompact manifolds pp. 271-287 Downloads
Feng-Yu Wang
Transportation cost inequalities for SDEs with irregular drifts pp. 288-311 Downloads
Yongqiang Suo, Chenggui Yuan and Shao-Qin Zhang
Testing for changes in the tail behavior of Brown–Resnick Pareto processes pp. 312-368 Downloads
Christian Y. Robert

2022, volume 143, articles C

Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise pp. 1-30 Downloads
Igor Cialenco and Hyun-Jung Kim
Propagation of singularities for the stochastic wave equation pp. 31-54 Downloads
Cheuk Yin Lee and Yimin Xiao
Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise pp. 55-88 Downloads
Olivier Durieu and Yizao Wang
Randomized multivariate Central Limit Theorems for ergodic homogeneous random fields pp. 89-105 Downloads
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 Downloads
Yangyang Lyu
2D random magnetic Laplacian with white noise magnetic field pp. 160-184 Downloads
Léo Morin and Antoine Mouzard
On the continuous dual Hahn process pp. 185-206 Downloads
Włodek Bryc
Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions pp. 207-253 Downloads
Michael Voit and Jeannette H.C. Woerner
Self-Switching Markov Chains: Emerging dominance phenomena pp. 254-284 Downloads
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 Downloads
Bo Li and Guodong Pang

2021, volume 142, articles C

Cluster based inference for extremes of time series pp. 1-33 Downloads
Holger Drees, Anja Janßen and Sebastian Neblung
Volterra equations driven by rough signals pp. 34-78 Downloads
Fabian A. Harang and Samy Tindel
Càdlàg rough differential equations with reflecting barriers pp. 79-104 Downloads
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 Downloads
Mogens Bladt and Jevgenijs Ivanovs
Hydrodynamics for the partial exclusion process in random environment pp. 124-158 Downloads
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 Downloads
M. Salins
Renormalization of stochastic continuity equations on Riemannian manifolds pp. 195-244 Downloads
Luca Galimberti and Kenneth H. Karlsen
Misspecified diffusion models with high-frequency observations and an application to neural networks pp. 245-292 Downloads
Teppei Ogihara
Berry–Esseen bounds and moderate deviations for random walks on GLd(R) pp. 293-318 Downloads
Hui Xiao, Ion Grama and Quansheng Liu
Stochastic functional Kolmogorov equations, I: Persistence pp. 319-364 Downloads
Dang H. Nguyen, Nhu N. Nguyen and George Yin
The lower tail of the half-space KPZ equation pp. 365-406 Downloads
Yujin H. Kim
Implementable coupling of Lévy process and Brownian motion pp. 407-431 Downloads
Vladimir Fomichov, Jorge González Cázares and Jevgenijs Ivanovs
Non-standard limits for a family of autoregressive stochastic sequences pp. 432-461 Downloads
Sergey Foss and Matthias Schulte
Long range one-cookie random walk with positive speed pp. 462-478 Downloads
Andrea Collevecchio, Kais Hamza and Tuan-Minh Nguyen
American options in a non-linear incomplete market model with default pp. 479-512 Downloads
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 Downloads
Valentine Genon-Catalot and Catherine Larédo
Existence and percolation results for stopped germ-grain models with unbounded velocities pp. 549-579 Downloads
David Coupier, David Dereudre and Simon Le Stum
Large deviations for fractional volatility models with non-Gaussian volatility driver pp. 580-600 Downloads
Stefan Gerhold, Christoph Gerstenecker and Archil Gulisashvili
On the exact distributions of the maximum of the asymmetric telegraph process pp. 601-633 Downloads
Fabrizio Cinque and Enzo Orsingher
Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant pp. 634-670 Downloads
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 Downloads
Viktor Todorov
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