Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2017, volume 127, articles 12

Fluctuations of the total number of critical points of random spherical harmonics pp. 3825-3869

V. Cammarota and I. Wigman

Mean-field limit of generalized Hawkes processes pp. 3870-3912

Julien Chevallier

The value of foresight pp. 3913-3927

Philip A. Ernst, L.C.G. Rogers and Quan Zhou

Expected number of real roots of random trigonometric polynomials pp. 3928-3942

Hendrik Flasche

Dynamics of multivariate default system in random environment pp. 3943-3965

Nicole El Karoui, Monique Jeanblanc and Ying Jiao

Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs pp. 3966-3996

Ibrahim Ekren

Functional Itô calculus, path-dependence and the computation of Greeks pp. 3997-4028

Samy Jazaerli and Yuri F. Saporito

Stochastic Burgers equation from long range exclusion interactions pp. 4029-4052

Patrícia Gonçalves and Milton Jara

A Dirichlet form approach to MCMC optimal scaling pp. 4053-4082

Giacomo Zanella, Mylène Bédard and Wilfrid S. Kendall

Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes pp. 4083-4125

Mateusz B. Majka

Stability of the phase transition of critical-field Ising model on Cayley trees under inhomogeneous external fields pp. 4126-4138

Rodrigo Bissacot, Eric Ossami Endo and Aernout C.D. van Enter

Weak Dirichlet processes with jumps pp. 4139-4189

Elena Bandini and Francesco Russo

2017, volume 127, articles 11

Lp solutions of backward stochastic differential equations with jumps pp. 3465-3511

Song Yao

Heavy-tailed fractional Pearson diffusions pp. 3512-3535

N.N. Leonenko, I. Papić, A. Sikorskii and N. Šuvak

SDEs with constraints driven by semimartingales and processes with bounded p-variation pp. 3536-3557

Adrian Falkowski and Leszek Słomiński

Edgeworth expansion for the pre-averaging estimator pp. 3558-3595

Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

Rough path properties for local time of symmetric α stable process pp. 3596-3642

Qingfeng Wang and Huaizhong Zhao

Local times of stochastic differential equations driven by fractional Brownian motions pp. 3643-3660

Shuwen Lou and Cheng Ouyang

A stroll along the gamma pp. 3661-3688

Benjamin Arras and Yvik Swan

Adaptive estimation for stochastic damping Hamiltonian systems under partial observation pp. 3689-3718

Fabienne Comte, Clémentine Prieur and Adeline Samson

Continuous spin models on annealed generalized random graphs pp. 3719-3753

S. Dommers, C. Külske and P. Schriever

On the asymptotic normality of estimating the affine preferential attachment network models with random initial degrees pp. 3754-3775

Fengnan Gao and Aad van der Vaart

Decimation of the Dyson–Ising ferromagnet pp. 3776-3791

Aernout van Enter and Arnaud Le Ny

Singular SDEs with critical non-local and non-symmetric Lévy type generator pp. 3792-3824

Longjie Xie

2017, volume 127, articles 10

Certain properties related to well posedness of switching diffusions pp. 3135-3158

Dang Hai Nguyen, George Yin and Chao Zhu

Supercritical loop percolation on Zd for d≥3 pp. 3159-3186

Yinshan Chang

Random version of Dvoretzky’s theorem in ℓpn pp. 3187-3227

Grigoris Paouris, Petros Valettas and Joel Zinn

Stochastic integrals and BDG’s inequalities in Orlicz-type spaces pp. 3228-3250

Yingchao Xie and Xicheng Zhang

Generalized immediate exchange models and their symmetries pp. 3251-3267

Frank Redig and Federico Sau

Limit theorems for random walks pp. 3268-3290

Alexander Bendikov, Wojciech Cygan and Bartosz Trojan

The intermediate disorder regime for a directed polymer model on a hierarchical lattice pp. 3291-3330

Tom Alberts, Jeremy Clark and Saša Kocić

Arbitrage theory for non convex financial market models pp. 3331-3353

Emmanuel Lepinette and Tuan Tran

Quasilinear parabolic stochastic partial differential equations: Existence, uniqueness pp. 3354-3371

Martina Hofmanová and Tusheng Zhang

Large deviations for generalized Polya urns with arbitrary urn function pp. 3372-3411

Simone Franchini

A CLT concerning critical points of random functions on a Euclidean space pp. 3412-3446

Liviu I. Nicolaescu

Integral equations for Rost’s reversed barriers: Existence and uniqueness results pp. 3447-3464

Tiziano De Angelis and Yerkin Kitapbayev

2017, volume 127, articles 9

Backward doubly SDEs and semilinear stochastic PDEs in a convex domain pp. 2781-2815

Anis Matoussi, Wissal Sabbagh and Tusheng Zhang

An Itô calculus for a class of limit processes arising from random walks on the complex plane pp. 2816-2840

Stefano Bonaccorsi, Craig Calcaterra and Sonia Mazzucchi

Pathwise estimates for an effective dynamics pp. 2841-2863

Frédéric Legoll, Tony Lelièvre and Stefano Olla

One dimensional random walks killed on a finite set pp. 2864-2899

Kôhei Uchiyama

Dynamical moderate deviations for the Curie–Weiss model pp. 2900-2925

Francesca Collet and Richard C. Kraaij

Estimation of the realized (co-)volatility vector: Large deviations approach pp. 2926-2960

Hacène Djellout, Arnaud Guillin and Yacouba Samoura

Stochastic non-isotropic degenerate parabolic–hyperbolic equations pp. 2961-3004

Benjamin Gess and Panagiotis E. Souganidis

Monotone martingale transport plans and Skorokhod embedding pp. 3005-3013

Mathias Beiglböck, Pierre Henry-Labordère and Nizar Touzi

Thin tails of fixed points of the nonhomogeneous smoothing transform pp. 3014-3041

Gerold Alsmeyer and Piotr Dyszewski

Young differential equations with power type nonlinearities pp. 3042-3067

Jorge A. León, David Nualart and Samy Tindel

Elementary bounds on mixing times for decomposable Markov chains pp. 3068-3109

Natesh S. Pillai and Aaron Smith

Strong-majority bootstrap percolation on regular graphs with low dissemination threshold pp. 3110-3134

Dieter Mitsche, Xavier Pérez-Giménez and Paweł Prałat

2017, volume 127, articles 8

A one-level limit order book model with memory and variable spread pp. 2447-2481

Jonathan A. Chávez-Casillas and José E. Figueroa-López

Approximating a diffusion by a finite-state hidden Markov model pp. 2482-2507

I. Kontoyiannis and S.P. Meyn

Fluctuations, stability and instability of a distributed particle filter with local exchange pp. 2508-2541

Kari Heine and Nick Whiteley

Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient pp. 2542-2559

Olivier Menoukeu Pamen and Dai Taguchi

Intrinsic expansions for averaged diffusion processes pp. 2560-2585

S. Pagliarani, Andrea Pascucci and M. Pignotti

Optimal stopping with random maturity under nonlinear expectations pp. 2586-2629

Erhan Bayraktar and Song Yao

Scaling limit of subcritical contact process pp. 2630-2649

Aurelia Deshayes and Leonardo T. Rolla

Interacting generalized Friedman’s urn systems pp. 2650-2678

Giacomo Aletti and Andrea Ghiglietti

On future drawdowns of Lévy processes pp. 2679-2698

E.J. Baurdoux, Z. Palmowski and M.R. Pistorius

Splitting and time reversal for Markov additive processes pp. 2699-2724

Jevgenijs Ivanovs

Study of almost everywhere convergence of series by mean of martingale methods pp. 2725-2750

Christophe Cuny and Ai Hua Fan

Scaling transition for nonlinear random fields with long-range dependence pp. 2751-2779

Vytautė Pilipauskaitė and Donatas Surgailis

2017, volume 127, articles 7

On the interpretation of the Master Equation pp. 2093-2137

A. Bensoussan, J. Frehse and S.C.P. Yam

The jamming constant of uniform random graphs pp. 2138-2178

Paola Bermolen, Matthieu Jonckheere and Pascal Moyal

Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: The iid case pp. 2179-2207

Johannes Heiny and Thomas Mikosch

Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing pp. 2208-2242

Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer

On the multi-step MLE-process for ergodic diffusion pp. 2243-2261

Yu.A. Kutoyants

Stochastic PDEs with heavy-tailed noise pp. 2262-2280

Carsten Chong

Stochastic differential equation for Brox diffusion pp. 2281-2315

Yaozhong Hu, Khoa Lê and Leonid Mytnik

Intermittency for the Hyperbolic Anderson Model with rough noise in space pp. 2316-2338

Raluca M. Balan, Maria Jolis and Lluís Quer-Sardanyons

A condition for distinguishing sceneries on non-abelian groups pp. 2339-2345

Martin Hildebrand

Law of large numbers for random walks on attractive spin-flip dynamics pp. 2346-2372

Stein Andreas Bethuelsen and Markus Heydenreich

Invariance for rough differential equations pp. 2373-2395

Laure Coutin and Nicolas Marie

Stochastic maximum principle for SPDEs with delay pp. 2396-2427

Giuseppina Guatteri, Federica Masiero and Carlo Orrieri

Doob–Martin compactification of a Markov chain for growing random words sequentially pp. 2428-2445

Hye Soo Choi and Steven N. Evans

2017, volume 127, articles 6

Long-time behaviour and propagation of chaos for mean field kinetic particles pp. 1721-1737

Pierre Monmarché

On the convergence of monotone schemes for path-dependent PDEs pp. 1738-1762

Zhenjie Ren and Xiaolu Tan

Ergodic decompositions of stationary max-stable processes in terms of their spectral functions pp. 1763-1784

Clément Dombry and Zakhar Kabluchko

Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients pp. 1785-1799

David Baños and Paul Krühner

Statistical inference for ergodic point processes and application to Limit Order Book pp. 1800-1839

Simon Clinet and Nakahiro Yoshida

Multi-class oscillating systems of interacting neurons pp. 1840-1869

Susanne Ditlevsen and Eva Löcherbach

Reciprocal classes of random walks on graphs pp. 1870-1896

Giovanni Conforti and Christian Léonard

Cycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circle pp. 1897-1925

Hao Ge, Chen Jia and Da-Quan Jiang

Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations pp. 1926-1959

Jinniao Qiu

On dynamical systems perturbed by a null-recurrent motion: The general case pp. 1960-1997

Zs. Pajor-Gyulai and M. Salins

Truncated Realized Covariance when prices have infinite variation jumps pp. 1998-2035

Cecilia Mancini

A central limit theorem for the Euler integral of a Gaussian random field pp. 2036-2067

Gregory Naitzat and Robert J. Adler

Stochastic Komatu–Loewner evolutions and SLEs pp. 2068-2087

Zhen-Qing Chen, Masatoshi Fukushima and Hiroyuki Suzuki

2017, volume 127, articles 5

Two-parameter process limits for an infinite-server queue with arrival dependent service times pp. 1375-1416

Guodong Pang and Yuhang Zhou

Multilevel sequential Monte Carlo samplers pp. 1417-1440

Alexandros Beskos, Ajay Jasra, Kody Law, Raul Tempone and Yan Zhou

Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes pp. 1441-1474

Elena Bandini and Marco Fuhrman

Least squares estimators for stochastic differential equations driven by small Lévy noises pp. 1475-1495

Hongwei Long, Chunhua Ma and Yasutaka Shimizu

Finite dimensional Fokker–Planck equations for continuous time random walk limits pp. 1496-1516

Ofer Busani

Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale pp. 1517-1543

Michael Hoffmann and Mathias Vetter

A random cell splitting scheme on the sphere pp. 1544-1564

Christian Deuss, Julia Hörrmann and Christoph Thäle

Change of measure up to a random time: Details pp. 1565-1598

Dörte Kreher

Multidimensional Lévy white noise in weighted Besov spaces pp. 1599-1621

Julien Fageot, Alireza Fallah and Michael Unser

Normal approximation and almost sure central limit theorem for non-symmetric Rademacher functionals pp. 1622-1636

Guangqu Zheng

New deviation inequalities for martingales with bounded increments pp. 1637-1648

Emmanuel Rio

Tail generating functions for extendable branching processes pp. 1649-1675

Serik Sagitov

On the limiting law of the length of the longest common and increasing subsequences in random words pp. 1676-1720

Jean-Christophe Breton and Christian Houdré

2017, volume 127, articles 4

Level lines of Gaussian Free Field I: Zero-boundary GFF pp. 1045-1124

Menglu Wang and Hao Wu

Conditional Markov chains: Properties, construction and structured dependence pp. 1125-1170

Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski

Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations pp. 1171-1203

E. Gobet and P. Turkedjiev

A general non-existence result for linear BSDEs driven by Gaussian processes pp. 1204-1233

Christian Bender and Lauri Viitasaari

Conditioning subordinators embedded in Markov processes pp. 1234-1254

Andreas E. Kyprianou, Victor Rivero and Batı Şengül

Berry–Esseen’s bound and Cramér’s large deviation expansion for a supercritical branching process in a random environment pp. 1255-1281

Ion Grama, Quansheng Liu and Eric Miqueu

Exact convergence rate of the local limit theorem for branching random walks on the integer lattice pp. 1282-1296

Zhiqiang Gao

Large deviations for multi-scale jump-diffusion processes pp. 1297-1320

Rohini Kumar and Lea Popovic

Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media pp. 1321-1353

Khaled Bahlali, Abouo Elouaflin and Etienne Pardoux

Intermittency fronts for space-time fractional stochastic partial differential equations in (d+1) dimensions pp. 1354-1374

Sunday A. Asogwa and Erkan Nane

2017, volume 127, articles 3

The interplay of two mutations in a population of varying size: A stochastic eco-evolutionary model for clonal interference pp. 701-748

Sylvain Billiard and Charline Smadi

On the conditional small ball property of multivariate Lévy-driven moving average processes pp. 749-782

Mikko S. Pakkanen, Tommi Sottinen and Adil Yazigi

Equilibrium fluctuations for a discrete Atlas model pp. 783-802

Freddy Hernández, Milton Jara and Fábio Júlio Valentim

Percolation of even sites for enhanced random sequential adsorption pp. 803-830

Christopher J.E. Daniels and Mathew D. Penrose

Stochastic partial differential equations with singular terminal condition pp. 831-876

A. Matoussi, L. Piozin and A. Popier

Stochastic evolution equations with Volterra noise pp. 877-900

P. Čoupek and B. Maslowski

Polynomial diffusions on compact quadric sets pp. 901-926

Martin Larsson and Sergio Pulido

Tightness and duality of martingale transport on the Skorokhod space pp. 927-956

Gaoyue Guo, Xiaolu Tan and Nizar Touzi

Continuous state branching processes in random environment: The Brownian case pp. 957-994

S. Palau and J.C. Pardo

Functional limit theorems for the number of occupied boxes in the Bernoulli sieve pp. 995-1017

Gerold Alsmeyer, Alexander Iksanov and Alexander Marynych

Existence and estimates of moments for Lévy-type processes pp. 1018-1041

Franziska Kühn

2017, volume 127, articles 2

Continuity and Gaussian two-sided bounds of the density functions of the solutions to path-dependent stochastic differential equations via perturbation pp. 359-384

Seiichiro Kusuoka

Travelling wave solutions to the KPP equation with branching noise arising from initial conditions with compact support pp. 385-418

Sandra Kliem

Statistical inference for perturbed multiscale dynamical systems pp. 419-448

Siragan Gailus and Konstantinos Spiliopoulos

Decorated Young tableaux and the Poissonized Robinson–Schensted process pp. 449-474

Mihai Nica

On the class of distributions of subordinated Lévy processes and bases pp. 475-496

Orimar Sauri and Almut Veraart

Extremes of locally stationary chi-square processes with trend pp. 497-525

Peng Liu and Lanpeng Ji

Generalized Poland–Scheraga denaturation model and two-dimensional renewal processes pp. 526-573

Giambattista Giacomin and Maha Khatib

Time inhomogeneity in longest gap and longest run problems pp. 574-589

Søren Asmussen, Jevgenijs Ivanovs and Anders Rønn Nielsen

Common ancestor type distribution: A Moran model and its deterministic limit pp. 590-621

Fernando Cordero

Zero-sum risk-sensitive stochastic games pp. 622-642

Nicole Bäuerle and Ulrich Rieder

Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations pp. 643-656

Hansjörg Albrecher and Jevgenijs Ivanovs

A simple proof of heavy tail estimates for affine type Lipschitz recursions pp. 657-668

Dariusz Buraczewski and Ewa Damek

Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion pp. 669-700

Arturo Jaramillo and David Nualart

2017, volume 127, articles 1

A stochastic variational approach to the viscous Camassa–Holm and Leray-alpha equations pp. 1-19

Ana Bela Cruzeiro and Guoping Liu

Small ball properties and representation results pp. 20-36

Yuliya Mishura and Georgiy Shevchenko

On a class of stochastic partial differential equations pp. 37-79

Jian Song

Fractionally integrated inverse stable subordinators pp. 80-106

Alexander Iksanov, Zakhar Kabluchko, Alexander Marynych and Georgiy Shevchenko

Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion pp. 107-134

Mingshang Hu and Shaolin Ji

A boundary driven generalized contact process with exchange of particles: Hydrodynamics in infinite volume pp. 135-178

Kevin Kuoch, Mustapha Mourragui and Ellen Saada

A Glivenko–Cantelli theorem for almost additive functions on lattices pp. 179-208

Christoph Schumacher, Fabian Schwarzenberger and Ivan Veselić

An integral representation of dilatively stable processes with independent increments pp. 209-227

T. Bhatti and P. Kern

Hydrodynamic limit for the Ginzburg–Landau ∇ϕ interface model with a conservation law and Dirichlet boundary conditions pp. 228-272

Takao Nishikawa

On the Smoluchowski–Kramers approximation for a system with infinite degrees of freedom exposed to a magnetic field pp. 273-303

Sandra Cerrai and Michael Salins

Geodesic forests in last-passage percolation pp. 304-324

Sergio I. López and Leandro P.R. Pimentel

Infinite dimensional weak Dirichlet processes and convolution type processes pp. 325-357

Giorgio Fabbri and Francesco Russo