Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2018, volume 128, articles 12

An Edgeworth expansion for functionals of Gaussian fields and its applications pp. 3967-3999

Yoon Tae Kim and Hyun Suk Park

A second order asymptotic expansion in the local limit theorem for a simple branching random walk in Zd pp. 4000-4017

Zhi-Qiang Gao

The fixation probability and time for a doubly beneficial mutant pp. 4018-4050

S. Bossert and P. Pfaffelhuber

Some asymptotic results for nonlinear Hawkes processes pp. 4051-4077

Fuqing Gao and Lingjiong Zhu

A superhedging approach to stochastic integration pp. 4078-4103

Rafał M. Łochowski, Nicolas Perkowski and David J. Prömel

Global fluctuations for 1D log-gas dynamics pp. 4104-4153

Jérémie Unterberger

Tail estimates for exponential functionals and applications to SDEs pp. 4154-4170

Tien Dung Nguyen

Extremal behavior of hitting a cone by correlated Brownian motion with drift pp. 4171-4206

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji and Tomasz Rolski

Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity pp. 4207-4245

José E. Figueroa-López and Yankeng Luo

Mesoscopic scales in hierarchical configuration models pp. 4246-4276

Remco van der Hofstad, Johan S.H. van Leeuwaarden and Clara Stegehuis

On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators pp. 4277-4308

Fubao Xi and Chao Zhu

Stable windings at the origin pp. 4309-4325

Andreas E. Kyprianou and Stavros M. Vakeroudis

2018, volume 128, articles 11

Elliptic boundary value problems with Gaussian white noise loads pp. 3607-3627

Sari Lasanen, Lassi Roininen and Janne M.J. Huttunen

Sesqui-type branching processes pp. 3628-3655

Svante Janson, Oliver Riordan and Lutz Warnke

A criterion on asymptotic stability for partially equicontinuous Markov operators pp. 3656-3678

Dawid Czapla

Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes pp. 3679-3723

Michael Hoffmann, Mathias Vetter and Holger Dette

Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation pp. 3724-3750

Ying Hu, Yiqing Lin and Abdoulaye Soumana Hima

The distribution of the spine of a Fleming–Viot type process pp. 3751-3777

Mariusz Bieniek and Krzysztof Burdzy

A stochastic partial differential equation model for the pricing of mortgage-backed securities pp. 3778-3806

F. Ahmad, B.M. Hambly and S. Ledger

Limit theorems for Markovian Hawkes processes with a large initial intensity pp. 3807-3839

Xuefeng Gao and Lingjiong Zhu

Cutoffs for product chains pp. 3840-3879

Guan-Yu Chen and Takashi Kumagai

Denseness of volatile and nonvolatile sequences of functions pp. 3880-3896

Malin Palö Forsström

Lifschitz singularity for subordinate Brownian motions in presence of the Poissonian potential on the Sierpiński gasket pp. 3897-3939

Kamil Kaleta and Katarzyna Pietruska-Pałuba

Extensions of the sewing lemma with applications pp. 3940-3965

Pavel Yaskov

2018, volume 128, articles 10

On uniform closeness of local times of Markov chains and i.i.d. sequences pp. 3221-3252

Diego F. de Bernardini, Christophe Gallesco and Serguei Popov

Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients pp. 3253-3272

Luu Hoang Duc, Tat Dat Tran and Jürgen Jost

Fluctuations of Omega-killed spectrally negative Lévy processes pp. 3273-3299

Bo Li and Zbigniew Palmowski

Some bivariate stochastic models arising from group representation theory pp. 3300-3326

Manuel D. de la Iglesia and Pablo Román

Concentration for Poisson U-statistics: Subgraph counts in random geometric graphs pp. 3327-3352

Sascha Bachmann and Matthias Reitzner

General dynamic term structures under default risk pp. 3353-3386

Claudio Fontana and Thorsten Schmidt

Backward problems for stochastic differential equations on the Sierpinski gasket pp. 3387-3418

Xuan Liu and Zhongmin Qian

Invariance principles for tempered fractionally integrated processes pp. 3419-3438

Farzad Sabzikar and Donatas Surgailis

Extinction properties of multi-type continuous-state branching processes pp. 3466-3489

Andreas E. Kyprianou and Sandra Palau

Analysis of random walks in dynamic random environments via L2-perturbations pp. 3490-3530

L. Avena, O. Blondel and A. Faggionato

Effect of stochastic perturbations for front propagation in Kolmogorov Petrovskii Piscunov equations pp. 3531-3557

John M. Noble

Bivariate Markov chains converging to Lamperti transform Markov additive processes pp. 3558-3605

Bénédicte Haas and Robin Stephenson

2018, volume 128, articles 9

Perturbations and projections of Kalman–Bucy semigroups pp. 2857-2904

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

Etienne Adam

Pointwise estimates for first passage times of perpetuity sequences pp. 2923-2951

D. Buraczewski, E. Damek and J. Zienkiewicz

Representations of max-stable processes via exponential tilting pp. 2952-2978

Enkelejd Hashorva

Extremes of q-Ornstein–Uhlenbeck processes pp. 2979-3005

Yizao Wang

First order Feynman–Kac formula pp. 3006-3029

Xue-Mei Li and James Thompson

Markov processes with darning and their approximations pp. 3030-3053

Zhen-Qing Chen and Jun Peng

The divisible sandpile with heavy-tailed variables pp. 3054-3081

Alessandra Cipriani, Rajat Subhra Hazra and Wioletta M. Ruszel

Volterra-type Ornstein–Uhlenbeck processes in space and time pp. 3082-3117

Viet Son Pham and Carsten Chong

Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs pp. 3118-3180

Juan Li

Smooth density and its short time estimate for jump process determined by SDE pp. 3181-3219

Yasushi Ishikawa, Hiroshi Kunita and Masaaki Tsuchiya

2018, volume 128, articles 8

Discretizing Malliavin calculus pp. 2489-2537

Christian Bender and Peter Parczewski

Equivalent martingale measures for Lévy-driven moving averages and related processes pp. 2538-2556

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

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

Paul Dupuis and David Lipshutz

Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients pp. 2605-2641

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

Pierre Étoré and Miguel Martinez

Asymptotical properties of distributions of isotropic Lévy processes pp. 2688-2709

Panki Kim and Ante Mimica

Optimal control for two-dimensional stochastic second grade fluids pp. 2710-2749

Nikolai Chemetov and Fernanda Cipriano

A one-dimensional version of the random interlacements pp. 2750-2778

Darcy Camargo and Serguei Popov

Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices pp. 2779-2815

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

Ansgar Steland and Rainer von Sachs

2018, volume 128, articles 7

Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications pp. 2153-2178

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

Arnab Ganguly

The enhanced Sanov theorem and propagation of chaos pp. 2228-2269

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

Rami Atar, Anup Biswas and Haya Kaspi

Asymptotic behaviour of high Gaussian minima pp. 2297-2324

Arijit Chakrabarty and Gennady Samorodnitsky

Spread of a catalytic branching random walk on a multidimensional lattice pp. 2325-2340

Ekaterina Vl. Bulinskaya

Branching random walk with trapping zones pp. 2341-2366

Romain Biard, Bastien Mallein and Landy Rabehasaina

Homogenization of dissipative, noisy, Hamiltonian dynamics pp. 2367-2403

Jeremiah Birrell and Jan Wehr

Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs pp. 2404-2426

Olga Lopusanschi and Damien Simon

Fractional diffusion-type equations with exponential and logarithmic differential operators pp. 2427-2447

Luisa Beghin

On the local times of stationary processes with conditional local limit theorems pp. 2448-2462

Manfred Denker and Xiaofei Zheng

Weak atomic convergence of finite voter models toward Fleming–Viot processes pp. 2463-2488

Yu-Ting Chen and J. Theodore Cox

2018, volume 128, articles 6

Absolute continuity of the invariant measure in piecewise deterministic Markov Processes having degenerate jumps pp. 1797-1829

E. Löcherbach

Estimation error for occupation time functionals of stationary Markov processes pp. 1830-1848

Randolf Altmeyer and Jakub Chorowski

A sharp bound on the expected number of upcrossings of an L2-bounded Martingale pp. 1849-1856

David Gilat, Isaac Meilijson and Laura Sacerdote

Systems of stochastic Poisson equations: Hitting probabilities pp. 1857-1888

Marta Sanz-Solé and Noèlia Viles

Asymptotics for the normalized error of the Ninomiya–Victoir scheme pp. 1889-1928

A. Al Gerbi, B. Jourdain and E. Clément

Parametric inference for discrete observations of diffusion processes with mixed effects pp. 1929-1957

Maud Delattre, Valentine Genon-Catalot and Catherine Larédo

Estimating spot volatility in the presence of infinite variation jumps pp. 1958-1987

Qiang Liu, Yiqi Liu and Zhi Liu

The relation between quenched and annealed Lyapunov exponents in random potential on trees pp. 1988-2006

Gundelinde Maria Wiegel

Exact asymptotics in eigenproblems for fractional Brownian covariance operators pp. 2007-2059

Pavel Chigansky and Marina Kleptsyna

Limit theory for the empirical extremogram of random fields pp. 2060-2082

Sven Buhl and Claudia Klüppelberg

Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability pp. 2083-2130

Masaaki Fujii and Akihiko Takahashi

Stochastic porous media equation on general measure spaces with increasing Lipschitz nonlinearities pp. 2131-2151

Michael Röckner, Weina Wu and Yingchao Xie

2018, volume 128, articles 5

Limit theorems for Hilbert space-valued linear processes under long range dependence pp. 1439-1465

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

Ryosuke Sato, Kenshi Miyabe and Akimichi Takemura

Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions pp. 1485-1524

Ari Arapostathis and Anup Biswas

Favorite sites of randomly biased walks on a supercritical Galton–Watson tree pp. 1525-1557

Dayue Chen, Loïc de Raphélis and Yueyun Hu

Metastability for small random perturbations of a PDE with blow-up pp. 1558-1589

Pablo Groisman, Santiago Saglietti and Nicolas Saintier

Latent voter model on locally tree-like random graphs pp. 1590-1614

Ran Huo and Rick Durrett

Products of random variables and the first digit phenomenon pp. 1615-1634

Nicolas Chenavier, Bruno Massé and Dominique Schneider

Covariance of stochastic integrals with respect to fractional Brownian motion pp. 1635-1651

Yohaï Maayan and Eddy Mayer-Wolf

Convex integral functionals of regular processes pp. 1652-1677

Teemu Pennanen and Ari-Pekka Perkkiö

Lower bounds for moments of global scores of pairwise Markov chains pp. 1678-1710

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

Xin Guo and Chen Pan

Persistence probabilities for stationary increment processes pp. 1750-1771

Frank Aurzada, Nadine Guillotin-Plantard and Françoise Pène

Asymptotics for stochastic reaction–diffusion equation driven by subordinate Brownian motion pp. 1772-1796

Ran Wang and Lihu Xu

2018, volume 128, articles 4

Convergence results for a class of time-varying simulated annealing algorithms pp. 1073-1094

Mathieu Gerber and Luke Bornn

On optimal investment with processes of long or negative memory pp. 1095-1113

Huy N. Chau and Miklós Rásonyi

Monotonicity preserving transformations of MOT and SEP pp. 1114-1134

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

Mátyás Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap

Self-duality and shock dynamics in the n-species priority ASEP pp. 1165-1207

V. Belitsky and G.M. Schütz

Bounds to the normal for proximity region graphs pp. 1208-1237

Larry Goldstein, Tobias Johnson and Raphaël Lachièze-Rey

Paracontrolled calculus and Funaki–Quastel approximation for the KPZ equation pp. 1238-1293

Masato Hoshino

Strong local nondeterminism and exact modulus of continuity for spherical Gaussian fields pp. 1294-1315

Xiaohong Lan, Domenico Marinucci and Yimin Xiao

On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes pp. 1316-1332

Dmitry Korshunov

On the normal approximation for random fields via martingale methods pp. 1333-1346

Magda Peligrad and Na Zhang

On the Komlós, Major and Tusnády strong approximation for some classes of random iterates pp. 1347-1385

Christophe Cuny, Jérôme Dedecker and Florence Merlevède

A characterization of Wishart processes and Wishart distributions pp. 1386-1404

Piotr Graczyk, Jacek Małecki and Eberhard Mayerhofer

Irreducible recurrence, ergodicity, and extremality of invariant measures for resolvents pp. 1405-1437

Lucian Beznea, Iulian Cîmpean and Michael Röckner

2018, volume 128, articles 3

Conjugate processes: Theory and application to risk forecasting pp. 727-755

Eduardo Horta and Flavio Ziegelmann

Martingale problems for some degenerate Kolmogorov equations pp. 756-802

Stéphane Menozzi

On the regularity of American options with regime-switching uncertainty pp. 803-818

Saul D. Jacka and Adriana Ocejo

On a notion of partially conditionally identically distributed sequences pp. 819-846

Sandra Fortini, Sonia Petrone and Polina Sporysheva

Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering pp. 847-883

Gilles Pagès and Abass Sagna

Hausdorff measure of SLE curves pp. 884-896

Mohammad A. Rezaei

Density analysis of non-Markovian BSDEs and applications to biology and finance pp. 897-938

Thibaut Mastrolia

On the block counting process and the fixation line of the Bolthausen–Sznitman coalescent pp. 939-962

Jonas Kukla and Martin Möhle

Time change equations for Lévy-type processes pp. 963-978

Paul Krühner and Alexander Schnurr

Smooth solutions to portfolio liquidation problems under price-sensitive market impact pp. 979-1006

Paulwin Graewe, Ulrich Horst and Eric Séré

The strong predictable representation property in initially enlarged filtrations under the density hypothesis pp. 1007-1033

Claudio Fontana

The asymptotic smile of a multiscaling stochastic volatility model pp. 1034-1071

Francesco Caravenna and Jacopo Corbetta

2018, volume 128, articles 2

The free energy of the random walk pinning model pp. 373-403

Makoto Nakashima

Central limit theorem for functionals of a generalized self-similar Gaussian process pp. 404-425

Daniel Harnett and David Nualart

The Hausdorff dimension of multivariate operator-self-similar Gaussian random fields pp. 426-444

Ercan Sönmez

Limit theorems for critical first-passage percolation on the triangular lattice pp. 445-460

Chang-Long Yao

Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility pp. 461-486

Fred Espen Benth, Barbara Rüdiger and Andre Süss

Renewal structure of the Brownian taut string pp. 487-504

Emmanuel Schertzer

Functional limit theorems for a new class of non-stationary shot noise processes pp. 505-544

Guodong Pang and Yuhang Zhou

Stochastic Komatu–Loewner evolutions and BMD domain constant pp. 545-594

Zhen-Qing Chen and Masatoshi Fukushima

Distribution dependent SDEs for Landau type equations pp. 595-621

Feng-Yu Wang

A regularity theory for quasi-linear Stochastic PDEs in weighted Sobolev spaces pp. 622-643

Ildoo Kim and Kyeong-Hun Kim

Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities pp. 644-688

Alain Bensoussan, Yiqun Li and Sheung Chi Phillip Yam

Dynamic uniqueness for stochastic chains with unbounded memory pp. 689-706

Christophe Gallesco, Sandro Gallo and Daniel Y. Takahashi

On purely discontinuous additive functionals of subordinate Brownian motions pp. 707-725

Zoran Vondraček and Vanja Wagner

2018, volume 128, articles 1

Potential kernels, probabilities of hitting a ball, harmonic functions and the boundary Harnack inequality for unimodal Lévy processes pp. 1-38

Tomasz Grzywny and Mateusz Kwaśnicki

Domain and range symmetries of operator fractional Brownian fields pp. 39-78

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

Krzysztof Burdzy and Douglas Rizzolo

Asymptotic results for exponential functionals of Lévy processes pp. 108-131

Zenghu Li and Wei Xu

Non parametric estimation for random walks in random environment pp. 132-155

Roland Diel and Matthieu Lerasle

Ergodic properties of generalized Ornstein–Uhlenbeck processes pp. 156-181

Péter Kevei

Branching random walks, stable point processes and regular variation pp. 182-210

Ayan Bhattacharya, Rajat Subhra Hazra and Parthanil Roy

Stability problems for Cantor stochastic differential equations pp. 211-232

Hiroya Hashimoto and Takahiro Tsuchiya

Semimartingale: Itô or not ? pp. 233-254

Yacine Ait-Sahalia and Jean Jacod

Spectrally negative Lévy processes with Parisian reflection below and classical reflection above pp. 255-290

Florin Avram, José-Luis Pérez and Kazutoshi Yamazaki

Functional limit theorems for Galton–Watson processes with very active immigration pp. 291-305

Alexander Iksanov and Zakhar Kabluchko

On the refracted–reflected spectrally negative Lévy processes pp. 306-331

José-Luis Pérez and Kazutoshi Yamazaki

A sharp first order analysis of Feynman–Kac particle models, Part I: Propagation of chaos pp. 332-353

Pierre Del Moral and Ajay Jasra

A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers pp. 354-371

Pierre Del Moral and Ajay Jasra