Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2015, volume 125, articles 12

Recurrence or transience of random walks on random graphs generated by point processes in Rd pp. 4351-4374

Arnaud Rousselle

Wong–Zakai approximations of backward doubly stochastic differential equations pp. 4375-4404

Ying Hu, Anis Matoussi and Tusheng Zhang

Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals pp. 4405-4454

Qian Lin

Limit theorems for symmetric random walks and probabilistic approximation of the Cauchy problem solution for Schrödinger type evolution equations pp. 4455-4472

I.A. Ibragimov, N.V. Smorodina and M.M. Faddeev

Construction and characterization of stationary and mass-stationary random measures on Rd pp. 4473-4488

Günter Last and Hermann Thorisson

Doubly reflected BSDEs with integrable parameters and related Dynkin games pp. 4489-4542

Erhan Bayraktar and Song Yao

Robust superhedging with jumps and diffusion pp. 4543-4555

Marcel Nutz

Functional stable limit theorems for quasi-efficient spectral covolatility estimators pp. 4556-4600

Randolf Altmeyer and Markus Bibinger

Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs pp. 4601-4631

Paul Gassiat, Harald Oberhauser and Gonçalo dos Reis

Entropic repulsion of Gaussian free field on high-dimensional Sierpinski carpet graphs pp. 4632-4673

Joe P. Chen and Baris Evren Ugurcan

The uniqueness of signature problem in the non-Markov setting pp. 4674-4701

H. Boedihardjo and X. Geng

2015, volume 125, articles 11

Limit theorems and governing equations for Lévy walks pp. 4021-4038

M. Magdziarz, H.P. Scheffler, P. Straka and P. Zebrowski

Extremes of vector-valued Gaussian processes: Exact asymptotics pp. 4039-4065

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji and Kamil Tabiś

A multi-step Richardson–Romberg extrapolation method for stochastic approximation pp. 4066-4101

N. Frikha and L. Huang

Factorization formulas for 2D critical percolation, revisited pp. 4102-4116

R.P. Conijn

On the 1H-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter H<12 pp. 4117-4141

El Hassan Essaky and David Nualart

Simple examples of pure-jump strict local martingales pp. 4142-4153

Martin Keller-Ressel

Asymptotic structure and singularities in constrained directed graphs pp. 4154-4177

David Aristoff and Lingjiong Zhu

Spinning Brownian motion pp. 4178-4203

Mauricio A. Duarte

Reflected BSDEs on filtered probability spaces pp. 4204-4241

Tomasz Klimsiak

Martingale representation property in progressively enlarged filtrations pp. 4242-4271

Monique Jeanblanc and Shiqi Song

Max-stable processes and stationary systems of Lévy particles pp. 4272-4299

Sebastian Engelke and Zakhar Kabluchko

Convex hulls of random walks and their scaling limits pp. 4300-4320

Andrew R. Wade and Chang Xu

On the number of large triangles in the Brownian triangulation and fragmentation processes pp. 4321-4350

Quan Shi

2015, volume 125, articles 10

The uniform integrability of martingales. On a question by Alexander Cherny pp. 3657-3662

Johannes Ruf

On matching diffusions, Laplace transforms and partial differential equations pp. 3663-3690

Jacek Jakubowski and Maciej Wiśniewolski

Convergence of trimmed Lévy processes to trimmed stable random variables at 0 pp. 3691-3724

Yuguang Fan

Multi-scaling of moments in stochastic volatility models pp. 3725-3747

P. Dai Pra and Paolo Pigato

On degenerate linear stochastic evolution equations driven by jump processes pp. 3748-3784

James-Michael Leahy and Remigijus Mikulevičius

Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise pp. 3785-3800

Ludovic Goudenège and Luigi Manca

Infinite-dimensional stochastic differential equations related to Bessel random point fields pp. 3801-3822

Ryuichi Honda and Hirofumi Osada

Some sample path properties of multifractional Brownian motion pp. 3823-3850

Paul Balança

On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes pp. 3851-3878

Chang-Song Deng and René L. Schilling

Phase transition for the dilute clock model pp. 3879-3892

Inés Armendáriz, Pablo A. Ferrari and Nahuel Soprano-Loto

Martingale optimal transport in the Skorokhod space pp. 3893-3931

Yan Dolinsky and H. Mete Soner

Markov chain approximations to scale functions of Lévy processes pp. 3932-3957

Aleksandar Mijatović, Matija Vidmar and Saul Jacka

Maximal displacement of a branching random walk in time-inhomogeneous environment pp. 3958-4019

Bastien Mallein

2015, volume 125, articles 9

Space–time fractional stochastic partial differential equations pp. 3301-3326

Jebessa B. Mijena and Erkan Nane

Well-posedness of mean-field type forward–backward stochastic differential equations pp. 3327-3354

A. Bensoussan, S.C.P. Yam and Z. Zhang

Pathwise uniqueness for the stochastic heat equation with Hölder continuous drift and noise coefficients pp. 3355-3372

Leonid Mytnik and Eyal Neuman

Superdiffusive and subdiffusive exceptional times in the dynamical discrete web pp. 3373-3400

Dan Jenkins

Moment bounds for dependent sequences in smooth Banach spaces pp. 3401-3429

J. Dedecker and F. Merlevède

Zonal polynomials and a multidimensional quantum Bessel process pp. 3430-3457

Wojciech Matysiak and Marcin Świeca

Markovianity of the invariant distribution of probabilistic cellular automata on the line pp. 3458-3483

Jérôme Casse and Jean-François Marckert

Quantile estimation for Lévy measures pp. 3484-3521

Mathias Trabs

Variance reduction for diffusions pp. 3522-3540

Chii-Ruey Hwang, Raoul Normand and Sheng-Jhih Wu

A moment problem for random discrete measures pp. 3541-3569

Yuri G. Kondratiev, Tobias Kuna and Eugene Lytvynov

Reflected rough differential equations pp. 3570-3595

Shigeki Aida

Optimal online selection of a monotone subsequence: a central limit theorem pp. 3596-3622

Alessandro Arlotto, Vinh V. Nguyen and J. Michael Steele

Convergence of switching diffusions pp. 3623-3635

Sören Christensen and Albrecht Irle

Hypercontractivity for functional stochastic differential equations pp. 3636-3656

Jianhai Bao, Feng-Yu Wang and Chenggui Yuan

2015, volume 125, articles 8

Minimal supersolutions of BSDEs under volatility uncertainty pp. 2895-2909

Samuel Drapeau, Gregor Heyne and Michael Kupper

Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method pp. 2910-2936

Jean Jacod and Per A. Mykland

Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes pp. 2937-2954

Aleksandar Mijatović and Martijn Pistorius

Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data pp. 2955-2988

Markus Reiß, Viktor Todorov and George Tauchen

A generalised Itō formula for Lévy-driven Volterra processes pp. 2989-3022

Christian Bender, Robert Knobloch and Philip Oberacker

BSDEs of counterparty risk pp. 3023-3052

Stéphane Crépey and Shiqi Song

Convergence of generalized urn models to non-equilibrium attractors pp. 3053-3074

Mathieu Faure and Sebastian J. Schreiber

The scaling limits of the non critical strip wetting model pp. 3075-3103

Julien Sohier

Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching pp. 3104-3125

Hongwei Mei and George Yin

The integrated periodogram of a dependent extremal event sequence pp. 3126-3169

Thomas Mikosch and Yuwei Zhao

Multivalued backward stochastic differential equations with oblique subgradients pp. 3170-3195

Anouar M. Gassous, Aurel Răşcanu and Eduard Rotenstein

Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model pp. 3196-3233

Zenghu Li and Chunhua Ma

A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes pp. 3234-3254

Florian Kleinert and Kees van Schaik

Strong convergence in averaging principle for stochastic hyperbolic–parabolic equations with two time-scales pp. 3255-3279

Hongbo Fu, Li Wan and Jicheng Liu

On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale pp. 3280-3300

Alexander M.G. Cox and Jan Obłój

2015, volume 125, articles 7

Optimal liquidity provision pp. 2493-2515

Christoph Kühn and Johannes Muhle-Karbe

Forward–backward stochastic differential systems associated to Navier–Stokes equations in the whole space pp. 2516-2561

Freddy Delbaen, Jinniao Qiu and Shanjian Tang

Sharp adaptive drift estimation for ergodic diffusions: The multivariate case pp. 2562-2602

Claudia Strauch

Heat kernel estimates for Δ+Δα/2 under gradient perturbation pp. 2603-2642

Zhen-Qing Chen and Eryan Hu

Generalised particle filters with Gaussian mixtures pp. 2643-2673

D. Crisan and K. Li

A phase transition for q-TASEP with a few slower particles pp. 2674-2699

Guillaume Barraquand

On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries pp. 2700-2726

Marwa Banna, Florence Merlevède and Magda Peligrad

Optimality of doubly reflected Lévy processes in singular control pp. 2727-2751

Erik J. Baurdoux and Kazutoshi Yamazaki

Stochastic acceleration in a random time-dependent potential pp. 2752-2785

E. Soret and S. De Bièvre

Flows, currents, and cycles for Markov chains: Large deviation asymptotics pp. 2786-2819

Lorenzo Bertini, Alessandra Faggionato and Davide Gabrielli

Pathwise Taylor expansions for random fields on multiple dimensional paths pp. 2820-2855

Rainer Buckdahn, Jin Ma and Jianfeng Zhang

Mean field games via controlled martingale problems: Existence of Markovian equilibria pp. 2856-2894

Daniel Lacker

2015, volume 125, articles 6

Stochastic quadratic BSDE with two RCLL obstacles pp. 2147-2189

E.H. Essaky, M. Hassani and Y. Ouknine

An invariance principle under the total variation distance pp. 2190-2205

Ivan Nourdin and Guillaume Poly

A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations pp. 2206-2255

P.E. Chaudru de Raynal and C.A. Garcia Trillos

Scaling transition for long-range dependent Gaussian random fields pp. 2256-2271

Donata Puplinskaitė and Donatas Surgailis

Quadratic g-convexity, C-convexity and their relationships pp. 2272-2294

Guangyan Jia and Na Zhang

A probabilistic method for gradient estimates of some geometric flows pp. 2295-2315

Xin Chen, Li-Juan Cheng and Jing Mao

Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes pp. 2316-2352

Emmanuelle Clément and Arnaud Gloter

Matrix normalized convergence of a Lévy process to normality at zero pp. 2353-2382

Ross A. Maller and David M. Mason

Thick points for a Gaussian Free Field in 4 dimensions pp. 2383-2404

Alessandra Cipriani and Rajat Subhra Hazra

Inviscid limit for 2D stochastic Navier–Stokes equations pp. 2405-2426

Fernanda Cipriano and Iván Torrecilla

A class of non-ergodic probabilistic cellular automata with unique invariant measure and quasi-periodic orbit pp. 2427-2450

Benedikt Jahnel and Christof Külske

Particle systems with a singular mean-field self-excitation. Application to neuronal networks pp. 2451-2492

F. Delarue, J. Inglis, S. Rubenthaler and E. Tanré

2015, volume 125, articles 5

Convergence and convergence rate of stochastic gradient search in the case of multiple and non-isolated extrema pp. 1715-1755

Vladislav B. Tadić

Comparison theorems for some backward stochastic Volterra integral equations pp. 1756-1798

Tianxiao Wang and Jiongmin Yong

Decomposable stationary distribution of a multidimensional SRBM pp. 1799-1820

J.G. Dai, Masakiyo Miyazawa and Jian Wu

Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions pp. 1821-1860

P.Y. Madec

Branching processes for the fragmentation equation pp. 1861-1885

Lucian Beznea, Madalina Deaconu and Oana Lupaşcu

Limit theorems for random walks that avoid bounded sets, with applications to the largest gap problem pp. 1886-1910

Vladislav Vysotsky

On the multi-dimensional skew Brownian motion pp. 1911-1925

Rami Atar and Amarjit Budhiraja

Homogenization of random parabolic operators. Diffusion approximation pp. 1926-1944

M. Kleptsyna, A. Piatnitski and A. Popier

A Bismut–Elworthy formula for quadratic BSDEs pp. 1945-1979

Federica Masiero

Functional limit theorems for the Bouchaud trap model with slowly varying traps pp. 1980-2009

David Croydon and Stephen Muirhead

Laws relating runs and steps in gambler’s ruin pp. 2010-2025

Gregory J. Morrow

Convergence of long-memory discrete kth order Volterra processes pp. 2026-2053

Shuyang Bai and Murad S. Taqqu

An eco-evolutionary approach of adaptation and recombination in a large population of varying size pp. 2054-2095

Charline Smadi

Growth rates of the population in a branching Brownian motion with an inhomogeneous breeding potential pp. 2096-2145

Julien Berestycki, Éric Brunet, John W. Harris, Simon C. Harris and Matthew I. Roberts

2015, volume 125, articles 4

High-frequency asymptotics for path-dependent functionals of Itô semimartingales pp. 1195-1217

Moritz Duembgen and Mark Podolskij

A Rademacher–Menchov approach for random coefficient bifurcating autoregressive processes pp. 1218-1243

Bernard Bercu and Vassili Blandin

Integrated density of states for Poisson–Schrödinger perturbations of subordinate Brownian motions on the Sierpiński gasket pp. 1244-1281

Kamil Kaleta and Katarzyna Pietruska-Pałuba

MRL order, log-concavity and an application to peacocks pp. 1282-1306

Antoine Marie Bogso

Intensity process for a pure jump Lévy structural model with incomplete information pp. 1307-1322

Xin Dong and Harry Zheng

The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims pp. 1323-1351

Stéphane Goutte and Armand Ngoupeyou

Strict local martingales with jumps pp. 1352-1367

Philip Protter

One-point reflection pp. 1368-1393

Zhen-Qing Chen and Masatoshi Fukushima

A fractional Brownian field indexed by L2 and a varying Hurst parameter pp. 1394-1425

Alexandre Richard

Superposition of COGARCH processes pp. 1426-1469

Anita Behme, Carsten Chong and Claudia Klüppelberg

Fractional time stochastic partial differential equations pp. 1470-1499

Zhen-Qing Chen, Kyeong-Hun Kim and Panki Kim

Time homogeneous diffusion with drift and killing to meet a given marginal pp. 1500-1540

John M. Noble

The Hausdorff spectrum of a class of multifractal processes pp. 1541-1568

Geoffrey Decrouez, Ben Hambly and Owen Dafydd Jones

Pruning of CRT-sub-trees pp. 1569-1604

Romain Abraham, Jean-François Delmas and Hui He

Moment bounds and asymptotics for the stochastic wave equation pp. 1605-1628

Le Chen and Robert C. Dalang

Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities pp. 1629-1652

Florin Avram, Nikolai Leonenko and Ludmila Sakhno

Speed of convergence for laws of rare events and escape rates pp. 1653-1687

Ana Cristina Moreira Freitas, Jorge Milhazes Freitas and Mike Todd

Two-sided bounds for Lp-norms of combinations of products of independent random variables pp. 1688-1713

Ewa Damek, Rafał Latała, Piotr Nayar and Tomasz Tkocz

2015, volume 125, articles 3

Hypothesis testing for stochastic PDEs driven by additive noise pp. 819-866

Igor Cialenco and Liaosha Xu

Derivative formulae for SDEs driven by multiplicative α-stable-like processes pp. 867-885

Linlin Wang, Longjie Xie and Xicheng Zhang

A predator–prey SIR type dynamics on large complete graphs with three phase transitions pp. 886-917

Igor Kortchemski

Hitting properties and non-uniqueness for SDEs driven by stable processes pp. 918-940

J. Berestycki, L. Döring, L. Mytnik and L. Zambotti

Dualities in population genetics: A fresh look with new dualities pp. 941-969

Gioia Carinci, Cristian Giardinà, Claudio Giberti and Frank Redig

Large deviation principle for some measure-valued processes pp. 970-993

Parisa Fatheddin and Jie Xiong

A decomposition for additive functionals of Lévy processes pp. 994-1008

Luis Acuña Valverde

Asymptotic expansions for SDE’s with small multiplicative noise pp. 1009-1031

Sergio Albeverio and Boubaker Smii

Randomly trapped random walks on Zd pp. 1032-1057

Jiří Černý and Tobias Wassmer

A topology for limits of Markov chains pp. 1058-1088

C. Landim

The Λ-lookdown model with selection pp. 1089-1126

B. Bah and E. Pardoux

Linear Multifractional Stable Motion: Representation via Haar basis pp. 1127-1147

Julien Hamonier

Brownian net with killing pp. 1148-1194

C.M. Newman, K. Ravishankar and E. Schertzer

2015, volume 125, articles 2

Energy of taut strings accompanying Wiener process pp. 401-427

Mikhail Lifshits and Eric Setterqvist

Central limit theorems for supercritical superprocesses pp. 428-457

Yan-Xia Ren, Renming Song and Rui Zhang

Extreme slowdowns for one-dimensional excited random walks pp. 458-481

Jonathon Peterson

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises pp. 482-512

Rong-Mao Zhang, Chor-yiu (CY) Sin and Shiqing Ling

Sharpness versus robustness of the percolation transition in 2d contact processes pp. 513-537

J. van den Berg, J.E. Björnberg and M. Heydenreich

On the local fluctuations of last-passage percolation models pp. 538-551

Eric Cator and Leandro P.R. Pimentel

Conformal restriction: The radial case pp. 552-570

Hao Wu

Reflected BSDEs in time-dependent convex regions pp. 571-596

Tomasz Klimsiak, Andrzej Rozkosz and Leszek Słomiński

Reflected BSDEs with nonpositive jumps, and controller-and-stopper games pp. 597-633

Sébastien Choukroun, Andrea Cosso and Huyên Pham

Varadhan estimates for rough differential equations driven by fractional Brownian motions pp. 634-652

Fabrice Baudoin, Cheng Ouyang and Xuejing Zhang

On non-standard limits of Brownian semi-stationary processes pp. 653-677

Kerstin Gärtner and Mark Podolskij

Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model pp. 678-707

Maria B. Chiarolla and Tiziano De Angelis

Rate of convergence in the law of large numbers for supercritical general multi-type branching processes pp. 708-738

Alexander Iksanov and Matthias Meiners

Ergodicity of regime-switching diffusions in Wasserstein distances pp. 739-758

Jinghai Shao

On reflected Stratonovich stochastic differential equations pp. 759-779

Leszek Słomiński

Extremal behavior of squared Bessel processes attracted by the Brown–Resnick process pp. 780-796

Bikramjit Das, Sebastian Engelke and Enkelejd Hashorva

High order heat-type equations and random walks on the complex plane pp. 797-818

Stefano Bonaccorsi and Sonia Mazzucchi

2015, volume 125, articles 1

Games of singular control and stopping driven by spectrally one-sided Lévy processes pp. 1-38

Daniel Hernández-Hernández and Kazutoshi Yamazaki

Derandomization in game-theoretic probability pp. 39-59

Kenshi Miyabe and Akimichi Takemura

Deviation inequalities for separately Lipschitz functionals of iterated random functions pp. 60-90

Jérôme Dedecker and Xiequan Fan

Homogenization of parabolic equations with large time-dependent random potential pp. 91-115

Yu Gu and Guillaume Bal

Fourier transform methods for pathwise covariance estimation in the presence of jumps pp. 116-160

Christa Cuchiero and Josef Teichmann

A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations pp. 161-181

Joscha Diehl, Harald Oberhauser and Sebastian Riedel

Nourdin–Peccati analysis on Wiener and Wiener–Poisson space for general distributions pp. 182-216

Richard Eden and Juan Víquez

Maximums on trees pp. 217-232

Predrag R. Jelenković and Mariana Olvera-Cravioto

Nonparametric estimation of the service time distribution in the discrete-time GI/G/∞ queue with partial information pp. 233-253

Sebastian Schweer and Cornelia Wichelhaus

Approximating the value functions for stochastic differential games with the ones having bounded second derivatives pp. 254-271

N.V. Krylov

The distribution of the quasispecies for the Wright–Fisher model on the sharp peak landscape pp. 272-293

Joseba Dalmau

Robust model selection for a semimartingale continuous time regression from discrete data pp. 294-326

Konev Victor and Pergamenchtchikov Serguei

Continuous-time limit of repeated interactions for a system in a confining potential pp. 327-342

Julien Deschamps

Quadratic covariation estimates in non-smooth stochastic calculus pp. 343-361

Sergio Angel Almada Monter

Phase transition for finite-speed detection among moving particles pp. 362-370

Vladas Sidoravicius and Alexandre Stauffer

Gibbs-non-Gibbs dynamical transitions for mean-field interacting Brownian motions pp. 371-400

F. den Hollander, F. Redig and W. van Zuijlen