Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2014, volume 124, articles 12

Infinite horizon stopping problems with (nearly) total reward criteria pp. 3887-3920

Jan Palczewski and Łukasz Stettner

Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations pp. 3921-3947

Zhen Wu and Zhiyong Yu

Probabilistic approach for semi-linear stochastic fractal equations pp. 3948-3964

Yingchao Xie, Qi Zhang and Xicheng Zhang

Resolvent metric and the heat kernel estimate for random walks pp. 3965-3985

Andras Telcs and Vincenzo Vespri

A class of asymptotically self-similar stable processes with stationary increments pp. 3986-4011

Sami Umut Can

An invariance principle for stationary random fields under Hannan’s condition pp. 4012-4029

Dalibor Volný and Yizao Wang

New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients pp. 4030-4049

Guangqiang Lan and Jiang-Lun Wu

Optimal expulsion and optimal confinement of a Brownian particle with a switching cost pp. 4050-4079

Robert C. Dalang and Laura Vinckenbosch

A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis pp. 4080-4119

Tiziano De Angelis and Giorgio Ferrari

The coalescent point process of multi-type branching trees pp. 4120-4148

Lea Popovic and Mariolys Rivas

Exponential bounds for convergence of entropy rate approximations in hidden Markov models satisfying a path-mergeability condition pp. 4149-4170

Nicholas F. Travers

Embedding binary sequences into Bernoulli site percolation on Z3 pp. 4171-4181

M.R. Hilário, B.N.B. de Lima, P. Nolin and V. Sidoravicius

On the hitting times of continuous-state branching processes with immigration pp. 4182-4201

Xan Duhalde, Clément Foucart and Chunhua Ma

Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score pp. 4202-4223

Claudie Chabriac, Agnès Lagnoux, Sabine Mercier and Pierre Vallois

On the independence of the value function for stochastic differential games of the probability space pp. 4224-4243

N.V. Krylov

Robustness of exponential dichotomies in mean pp. 4244-4265

Luis Barreira and Claudia Valls

On the eigenvalue process of a matrix fractional Brownian motion pp. 4266-4282

David Nualart and Victor Pérez-Abreu

2014, volume 124, articles 11

Cylindrical fractional Brownian motion in Banach spaces pp. 3507-3534

E. Issoglio and M. Riedle

A stochastic approach to the harmonic map heat flow on manifolds with time-dependent Riemannian metric pp. 3535-3552

Hongxin Guo, Robert Philipowski and Anton Thalmaier

Limit theorems for strongly and intermediately supercritical branching processes in random environment with linear fractional offspring distributions pp. 3553-3577

Christian Böinghoff

Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models pp. 3578-3611

Anja Richter

Dirichlet heat kernel for unimodal Lévy processes pp. 3612-3650

Krzysztof Bogdan, Tomasz Grzywny and Michał Ryznar

A conditionally sure ergodic theorem with an application to percolation pp. 3651-3660

Michael Keane and Masato Takei

Escape times for branching processes with random mutational fitness effects pp. 3661-3697

Jasmine Foo, Kevin Leder and Junfeng Zhu

Front velocity and directed polymers in random medium pp. 3698-3723

Aser Cortines

Determinantal martingales and noncolliding diffusion processes pp. 3724-3768

Makoto Katori

A strictly stationary β-mixing process satisfying the central limit theorem but not the weak invariance principle pp. 3769-3781

Davide Giraudo and Dalibor Volný

Central limit theorem for functionals of two independent fractional Brownian motions pp. 3782-3806

David Nualart and Fangjun Xu

Singularity of full scaling limits of planar nearcritical percolation pp. 3807-3818

Simon Aumann

Measurability of semimartingale characteristics with respect to the probability law pp. 3819-3845

Ariel Neufeld and Marcel Nutz

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion pp. 3846-3868

Paul Jung and Greg Markowsky

Stochastic differential equations driven by G-Brownian motion and ordinary differential equations pp. 3869-3885

Peng Luo and Falei Wang

2014, volume 124, articles 9

Ergodicity for time-changed symmetric stable processes pp. 2799-2823

Zhen-Qing Chen and Jian Wang

Limiting distribution for the maximal standardized increment of a random walk pp. 2824-2867

Zakhar Kabluchko and Yizao Wang

Hedging of defaultable claims in a structural model using a locally risk-minimizing approach pp. 2868-2891

Ramin Okhrati, Alejandro Balbás and José Garrido

Backward SDEs driven by Gaussian processes pp. 2892-2916

Christian Bender

A general study of extremes of stationary tessellations with examples pp. 2917-2953

Nicolas Chenavier

Quasi-likelihood analysis for nonsynchronously observed diffusion processes pp. 2954-3008

Teppei Ogihara and Nakahiro Yoshida

Information, no-arbitrage and completeness for asset price models with a change point pp. 3009-3030

Claudio Fontana, Zorana Grbac, Monique Jeanblanc and Qinghua Li

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps pp. 3031-3054

Marie-Claire Quenez and Agnès Sulem

Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in C1,η open sets pp. 3055-3083

Kyung-Youn Kim and Panki Kim

Generalized Gaussian bridges pp. 3084-3105

Tommi Sottinen and Adil Yazigi

An excursion approach to maxima of the Brownian bridge pp. 3106-3120

Mihael Perman and Jon A. Wellner

The multifractal nature of Volterra–Lévy processes pp. 3121-3145

Eyal Neuman

2014, volume 124, articles 8

Localization of Wiener functionals of fractional regularity and applications pp. 2543-2582

Kai He, Jiagang Ren and Hua Zhang

Solvability of forward–backward stochastic partial differential equations pp. 2583-2604

Hong Yin

Operator self-similar processes and functional central limit theorems pp. 2605-2627

Vaidotas Characiejus and Alfredas Račkauskas

BSDEs under partial information and financial applications pp. 2628-2653

Claudia Ceci, Alessandra Cretarola and Francesco Russo

Splitting multidimensional BSDEs and finding local equilibria pp. 2654-2671

Christoph Frei

Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection pp. 2672-2698

Tianyang Nie and Marek Rutkowski

Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling pp. 2699-2753

Yuta Koike

Scenery reconstruction on finite abelian groups pp. 2754-2770

Hilary Finucane, Omer Tamuz and Yariv Yaari

Asymptotic behaviour of an infinitely-many-alleles diffusion with symmetric overdominance pp. 2771-2798

Youzhou Zhou

2014, volume 124, articles 5

The stochastic fluid–fluid model: A stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself pp. 1741-1772

Nigel G. Bean and O’Reilly, Małgorzata M.

Two population models with constrained migrations pp. 1773-1812

Raoul Normand

Forward–backward systems for expected utility maximization pp. 1813-1848

Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Réveillac and Jianing Zhang

Intersection local times for interlacements pp. 1849-1880

Jay Rosen

Approximations of non-smooth integral type functionals of one dimensional diffusion processes pp. 1881-1909

A. Kohatsu-Higa, A. Makhlouf and H.L. Ngo

Representation of Gaussian isotropic spin random fields pp. 1910-1941

Paolo Baldi and Maurizia Rossi

Limit theorems for power variations of ambit fields driven by white noise pp. 1942-1973

Mikko S. Pakkanen

Local existence and non-explosion of solutions for stochastic fractional partial differential equations driven by multiplicative noise pp. 1974-2002

Michael Röckner, Rongchan Zhu and Xiangchan Zhu

2014, volume 124, articles 4

Level set percolation for random interlacements and the Gaussian free field pp. 1469-1502

Pierre-François Rodriguez

Random walks in cones: The case of nonzero drift pp. 1503-1518

Jetlir Duraj

Stochastic equations of super-Lévy processes with general branching mechanism pp. 1519-1565

Hui He, Zenghu Li and Xu Yang

Comparison inequalities on Wiener space pp. 1566-1581

Ivan Nourdin, Giovanni Peccati and Frederi G. Viens

Lp estimates for fully coupled FBSDEs with jumps pp. 1582-1611

Juan Li and Qingmeng Wei

A general correlation inequality and the Almost Sure Local Limit Theorem for random sequences in the domain of attraction of a stable law pp. 1612-1626

Rita Giuliano and Zbigniew S. Szewczak

Well-posedness of the stochastic KdV–Burgers equation pp. 1627-1647

Geordie Richards

On geometric and algebraic transience for discrete-time Markov chains pp. 1648-1678

Yong-Hua Mao and Yan-Hong Song

BSDEs driven by time-changed Lévy noises and optimal control pp. 1679-1709

Giulia Di Nunno and Steffen Sjursen

Generalized Hermite processes, discrete chaos and limit theorems pp. 1710-1739

Shuyang Bai and Murad S. Taqqu

2014, volume 124, articles 3

Approximation of stationary solutions to SDEs driven by multiplicative fractional noise pp. 1197-1225

Serge Cohen, Fabien Panloup and Samy Tindel

Riemann-integration and a new proof of the Bichteler–Dellacherie theorem pp. 1226-1235

M. Beiglböck and P. Siorpaes

Estimation for stochastic damping hamiltonian systems under partial observation—I. Invariant density pp. 1236-1260

Patrick Cattiaux, José R. León and Clémentine Prieur

Log-Harnack inequality for mild solutions of SPDEs with multiplicative noise pp. 1261-1274

Feng-Yu Wang and Tusheng Zhang

Some results on general quadratic reflected BSDEs driven by a continuous martingale pp. 1275-1302

Arnaud Lionnet

Unavoidable collections of balls for isotropic Lévy processes pp. 1303-1334

Ante Mimica and Zoran Vondraček

Fractional diffusion limit for a stochastic kinetic equation pp. 1335-1367

Sylvain De Moor

Monotonicity of the reflected Bessel transition density on the diagonal pp. 1368-1407

Van Vo

Occupation times of intervals until first passage times for spectrally negative Lévy processes pp. 1408-1435

Ronnie L. Loeffen, Jean-François Renaud and Xiaowen Zhou

Fluid limits of many-server queues with abandonments, general service and continuous patience time distributions pp. 1436-1468

Alexander Walsh Zuñiga

2014, volume 124, articles 2

Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation pp. 985-1010

A. Ferreiro-Castilla, A.E. Kyprianou, R. Scheichl and G. Suryanarayana

Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes pp. 1011-1035

Vytautė Pilipauskaitė and Donatas Surgailis

The Quicksort process pp. 1036-1054

Mahmoud Ragab and Uwe Roesler

Mirror and synchronous couplings of geometric Brownian motions pp. 1055-1069

Saul D. Jacka, Aleksandar Mijatović and Dejan Širaj

A limit theorem for moving averages in the α-stable domain of attraction pp. 1070-1083

Bojan Basrak and Danijel Krizmanić

First exit time from a bounded interval for pseudo-processes driven by the equation ∂/∂t=(−1)N−1∂2N/∂x2N pp. 1084-1111

Aimé Lachal

A numerical algorithm for a class of BSDEs via the branching process pp. 1112-1140

Pierre Henry-Labordère, Xiaolu Tan and Nizar Touzi

Diffusions of multiplicative cascades pp. 1141-1169

Tom Alberts and Ben Rifkind

Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion pp. 1170-1195

Mingshang Hu, Shaolin Ji, Shige Peng and Yongsheng Song

2014, volume 124, articles 1

Invariance principles for generalized domains of semistable attraction pp. 1-17

Wensheng Wang

Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails pp. 18-50

Richard A. Davis, Oliver Pfaffel and Robert Stelzer

Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient pp. 51-80

Romain Guy, Catherine Larédo and Elisabeta Vergu

Integral representation of martingales motivated by the problem of endogenous completeness in financial economics pp. 81-100

Dmitry Kramkov and Silviu Predoiu

On signed measure valued solutions of stochastic evolution equations pp. 101-122

Bruno Rémillard and Jean Vaillancourt

Functional inequalities for nonlocal Dirichlet forms with finite range jumps or large jumps pp. 123-153

Xin Chen and Jian Wang

Multi-dimensional smoothing transformations: Existence, regularity and stability of fixed points pp. 154-198

Federico Bassetti and Daniel Matthes

On a stochastic Leray-α model of Euler equations pp. 199-219

David Barbato, Hakima Bessaih and Benedetta Ferrario

Harnack inequality on configuration spaces: The coupling approach and a unified treatment pp. 220-234

Chang-Song Deng

Global uniform boundary Harnack principle with explicit decay rate and its application pp. 235-267

Panki Kim, Renming Song and Zoran Vondraček

Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment pp. 268-288

Francis Comets, Mikael Falconnet, Oleg Loukianov, Dasha Loukianova and Catherine Matias

Backward stochastic differential equations associated to jump Markov processes and applications pp. 289-316

Fulvia Confortola and Marco Fuhrman

Upper escape rate of Markov chains on weighted graphs pp. 317-347

Xueping Huang and Yuichi Shiozawa

Asymptotic behavior of central order statistics from stationary processes pp. 348-372

Anna Dembińska

On the characterisation of honest times that avoid all stopping times pp. 373-384

Constantinos Kardaras

A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process pp. 385-410

Enrico Scalas and Noèlia Viles

The characteristic polynomial of a random permutation matrix at different points pp. 411-439

K. Dang and D. Zeindler

A Sobolev space theory for parabolic stochastic PDEs driven by Lévy processes on C1-domains pp. 440-474

Kyeong-Hun Kim

Weak approximation of averaged diffusion processes pp. 475-504

Emmanuel Gobet and Mohammed Miri

A strong law of large numbers for super-stable processes pp. 505-521

Michael A. Kouritzin and Yan-Xia Ren

A mixed-step algorithm for the approximation of the stationary regime of a diffusion pp. 522-565

Gilles Pagès and Fabien Panloup

Loop-erased random walk on the Sierpinski gasket pp. 566-585

Kumiko Hattori and Michiaki Mizuno

Moment boundedness of linear stochastic delay differential equations with distributed delay pp. 586-612

Zhen Wang, Xiong Li and Jinzhi Lei

Approximating Markov chains and V-geometric ergodicity via weak perturbation theory pp. 613-638

Loïc Hervé and James Ledoux

Almost sure explosion of solutions to stochastic differential equations pp. 639-645

Pao-Liu Chow and Rafail Khasminskii

A martingale decomposition for quadratic forms of Markov chains (with applications) pp. 646-677

Yves Atchade and Matias Cattaneo

Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions pp. 678-708

Joachim Lebovits, Jacques Lévy Véhel and Erick Herbin

On the solution of general impulse control problems using superharmonic functions pp. 709-729

Sören Christensen

Adaptive nonparametric estimation for Lévy processes observed at low frequency pp. 730-758

Johanna Kappus

Backward stochastic differential equations driven by G-Brownian motion pp. 759-784

Mingshang Hu, Shaolin Ji, Shige Peng and Yongsheng Song

Stochastic variational inequalities with jumps pp. 785-811

Adrian Zălinescu

On stochastic integration for volatility modulated Lévy-driven Volterra processes pp. 812-847

Ole Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen and Almut Veraart

Spectral computations for birth and death chains pp. 848-882

Guan-Yu Chen and Laurent Saloff-Coste

Non-parametric adaptive estimation of the drift for a jump diffusion process pp. 883-914

Émeline Schmisser

Infinitesimal generators of q-Meixner processes pp. 915-926

Wlodzimierz Bryc and Jacek Wesołowski

Weak solutions of backward stochastic differential equations with continuous generator pp. 927-960

Nadira Bouchemella and Paul Raynaud de Fitte

Zero-sum risk-sensitive stochastic games on a countable state space pp. 961-983

Arnab Basu and Mrinal Kanti Ghosh