Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2013, volume 123, articles 12

The reversibility and an SPDE for the generalized Fleming–Viot processes with mutation pp. 4129-4155

Zenghu Li, Huili Liu, Jie Xiong and Xiaowen Zhou

Phase transition in equilibrium fluctuations of symmetric slowed exclusion pp. 4156-4185

Tertuliano Franco, Patrícia Gonçalves and Adriana Neumann

Fine Gaussian fluctuations on the Poisson space II: Rescaled kernels, marked processes and geometric U-statistics pp. 4186-4218

Raphaël Lachièze-Rey and Giovanni Peccati

The tug-of-war without noise and the infinity Laplacian in a wedge pp. 4219-4255

Dante DeBlassie and Robert G. Smits

Tempered stable distributions and processes pp. 4256-4293

Uwe Küchler and Stefan Tappe

Degenerate parabolic stochastic partial differential equations pp. 4294-4336

Martina Hofmanová

One-dimensional stochastic differential equations with generalized and singular drift pp. 4337-4372

Stefan Blei and Hans-Jürgen Engelbert

Vector analysis for Dirichlet forms and quasilinear PDE and SPDE on metric measure spaces pp. 4373-4406

Michael Hinz, Michael Röckner and Alexander Teplyaev

2013, volume 123, articles 9

A multiparameter Garsia–Rodemich–Rumsey inequality and some applications pp. 3359-3377

Yaozhong Hu and Khoa Le

Tail estimates for stochastic fixed point equations via nonlinear renewal theory pp. 3378-3429

Jeffrey F. Collamore and Anand N. Vidyashankar

Front progression in the East model pp. 3430-3465

Oriane Blondel

Zero-range condensation at criticality pp. 3466-3496

Inés Armendáriz, Stefan Grosskinsky and Michail Loulakis

The forest associated with the record process on a Lévy tree pp. 3497-3517

Romain Abraham and Jean-François Delmas

On asymptotics for Vaserstein coupling of Markov chains pp. 3518-3541

O.A. Butkovsky and Alexander Veretennikov

A note on the discrete Gaussian free field with disordered pinning on Zd, d≥2 pp. 3542-3559

L. Coquille and P. Miłoś

Lower deviations of branching processes in random environment with geometrical offspring distributions pp. 3560-3587

Makoto Nakashima

Subdiffusivity of random walk on the 2D invasion percolation cluster pp. 3588-3621

Michael Damron, Jack Hanson and Philippe Sosoe

2013, volume 123, articles 8

A simple constructive approach to quadratic BSDEs with or without delay pp. 2921-2939

Philippe Briand and Romuald Elie

Linear-fractional branching processes with countably many types pp. 2940-2956

Serik Sagitov

Diffusion approximation for signaling stochastic networks pp. 2957-2982

Saul C. Leite and Marcelo D. Fragoso

Exact asymptotics and limit theorems for supremum of stationary χ-processes over a random interval pp. 2983-2998

Zhongquan Tan and Enkelejd Hashorva

Two Brownian particles with rank-based characteristics and skew-elastic collisions pp. 2999-3026

E. Robert Fernholz, Tomoyuki Ichiba and Ioannis Karatzas

Potential analysis for positive recurrent Markov chains with asymptotically zero drift: Power-type asymptotics pp. 3027-3051

Denis Denisov, Dmitry Korshunov and Vitali Wachtel

Exit times for multivariate autoregressive processes pp. 3052-3063

Brita Jung

The quasiderivative method for derivative estimates of solutions to degenerate elliptic equations pp. 3064-3099

Wei Zhou

Constructing sublinear expectations on path space pp. 3100-3121

Marcel Nutz and Ramon van Handel

Weak convergence of subordinators to extremal processes pp. 3122-3131

Offer Kella and Andreas Löpker

The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges pp. 3132-3152

Kenshi Miyabe and Akimichi Takemura

Waiting times for particles in a branching Brownian motion to reach the rightmost position pp. 3153-3182

Xinxin Chen

An Itô formula for a family of stochastic integrals and related Wong–Zakai theorems pp. 3183-3200

Paolo Da Pelo, Alberto Lanconelli and Aurel I. Stan

Optimal stopping for partially observed piecewise-deterministic Markov processes pp. 3201-3238

Adrien Brandejsky, Benoîte de Saporta and François Dufour

Stochastic Burgers PDEs with random coefficients and a generalization of the Cole–Hopf transformation pp. 3239-3272

Nikolaos Englezos, Nikolaos E. Frangos, Xanthi-Isidora Kartala and Athanasios N. Yannacopoulos

On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains pp. 3273-3298

N.V. Krylov

Large deviation principles for the stochastic quasi-geostrophic equations pp. 3299-3327

Wei Liu, Michael Röckner and Xiang-Chan Zhu

BSDEs with jumps, optimization and applications to dynamic risk measures pp. 3328-3357

Marie-Claire Quenez and Agnès Sulem

2013, volume 123, articles 7

Some limit theorems for Hawkes processes and application to financial statistics pp. 2475-2499

E. Bacry, S. Delattre, Marc Hoffmann and J.F. Muzy

An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility pp. 2500-2521

Emmanuelle Clément, Sylvain Delattre and Arnaud Gloter

Nonparametric estimation for stochastic differential equations with random effects pp. 2522-2551

F. Comte, V. Genon-Catalot and A. Samson

Asymptotic theory for Brownian semi-stationary processes with application to turbulence pp. 2552-2574

José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen and Mark Podolskij

Measures of serial extremal dependence and their estimation pp. 2575-2602

Richard A. Davis, Thomas Mikosch and Yuwei Zhao

Estimating the efficient price from the order flow: A Brownian Cox process approach pp. 2603-2619

Sylvain Delattre, Christian Y. Robert and Mathieu Rosenbaum

Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator pp. 2620-2647

R. Douc, P. Doukhan and E. Moulines

Optimally thresholded realized power variations for Lévy jump diffusion models pp. 2648-2677

José E. Figueroa-López and Jeffrey Nisen

Factor models in high-dimensional time series—A time-domain approach pp. 2678-2695

Marc Hallin and Marco Lippi

Volatility inference in the presence of both endogenous time and microstructure noise pp. 2696-2727

Yingying Li, Zhiyuan Zhang and Xinghua Zheng

Measuring the relevance of the microstructure noise in financial data pp. 2728-2751

Cecilia Mancini

Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes pp. 2752-2778

Hiroki Masuda

Cramér–Karhunen–Loève representation and harmonic principal component analysis of functional time series pp. 2779-2807

Victor M. Panaretos and Shahin Tavakoli

Testing the characteristics of a Lévy process pp. 2808-2828

Markus Reiß

Power variation from second order differences for pure jump semimartingales pp. 2829-2850

Viktor Todorov

Quasi likelihood analysis of volatility and nondegeneracy of statistical random field pp. 2851-2876

Masayuki Uchida and Nakahiro Yoshida

Estimation in the presence of many nuisance parameters: Composite likelihood and plug-in likelihood pp. 2877-2898

Billy Wu, Qiwei Yao and Shiwu Zhu

Asymptotic theory for maximum deviations of sample covariance matrix estimates pp. 2899-2920

Han Xiao and Wei Biao Wu

2013, volume 123, articles 6

Characterization of the finite variation property for a class of stationary increment infinitely divisible processes pp. 1871-1890

Basse-O’Connor, Andreas and Jan Rosiński

Excursions and path functionals for stochastic processes with asymptotically zero drifts pp. 1891-1921

Ostap Hryniv, Mikhail V. Menshikov and Andrew R. Wade

A Darling–Erdös type result for stationary ellipsoids pp. 1922-1946

Moritz Jirak

Heavy tailed solutions of multivariate smoothing transforms pp. 1947-1986

Dariusz Buraczewski, Ewa Damek, Sebastian Mentemeier and Mariusz Mirek

Functional limit theorems for renewal shot noise processes with increasing response functions pp. 1987-2010

Alexander Iksanov

Continuous time trading of a small investor in a limit order market pp. 2011-2053

Christoph Kühn and Maximilian Stroh

Change of measure in the lookdown particle system pp. 2054-2083

Olivier Hénard

Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise pp. 2084-2109

Sergio Albeverio, Elisa Mastrogiacomo and Boubaker Smii

Extension to infinite dimensions of a stochastic second-order model associated with shape splines pp. 2110-2157

François-Xavier Vialard

On the rate of convergence for central limit theorems of sojourn times of Gaussian fields pp. 2158-2174

Viet-Hung Pham

On finite capacity queues with time dependent arrival rates pp. 2175-2227

Xiaoqian Tan, Charles Knessl and Yang, Yongzhi (Peter)

SPDEs with polynomial growth coefficients and the Malliavin calculus method pp. 2228-2271

Qi Zhang and Huaizhong Zhao

Stationarity of multivariate particle systems pp. 2272-2285

Ilya Molchanov and Kaspar Stucki

Strong approximations for nonconventional sums and almost sure limit theorems pp. 2286-2302

Yuri Kifer

Non-commutative stochastic distributions and applications to linear systems theory pp. 2303-2322

Daniel Alpay and Guy Salomon

Block sampling under strong dependence pp. 2323-2339

Ting Zhang, Hwai-Chung Ho, Martin Wendler and Wei Biao Wu

Large deviations for optimal filtering with fractional Brownian motion pp. 2340-2352

Vasileios Maroulas and Jie Xiong

Random variables as pathwise integrals with respect to fractional Brownian motion pp. 2353-2369

Yuliya Mishura, Georgiy Shevchenko and Esko Valkeila

Muller’s ratchet clicks in finite time pp. 2370-2397

Julien Audiffren and Etienne Pardoux

Large deviations and related problems for absorbing Markov chains pp. 2398-2418

Jinwen Chen and Xiaoxue Deng

Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices pp. 2419-2445

Chulmin Kang and Wanmo Kang

Overlaps and pathwise localization in the Anderson polymer model pp. 2446-2471

Francis Comets and Michael Cranston

2013, volume 123, articles 5

Second order backward stochastic differential equations under a monotonicity condition pp. 1521-1545

Dylan Possamaï

Asymptotic normality of the principal components of functional time series pp. 1546-1562

Piotr Kokoszka and Matthew Reimherr

Lp and almost sure convergence of a Milstein scheme for stochastic partial differential equations pp. 1563-1587

Andrea Barth and Annika Lang

Coupling and strong Feller for jump processes on Banach spaces pp. 1588-1615

Feng-Yu Wang and Jian Wang

Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations pp. 1616-1637

Kai Du and Qi Zhang

The set-indexed Lévy process: Stationarity, Markov and sample paths properties pp. 1638-1670

Erick Herbin and Ely Merzbach

Stability of exponential utility maximization with respect to market perturbations pp. 1671-1690

Erhan Bayraktar and Ross Kravitz

On the length of an external branch in the Beta-coalescent pp. 1691-1715

Jean-Stéphane Dhersin, Fabian Freund, Arno Siri-Jégousse and Linglong Yuan

Estimates for the density of functionals of SDEs with irregular drift pp. 1716-1728

Arturo Kohatsu-Higa and Azmi Makhlouf

Characterization of infinite divisibility by duality formulas. Application to Lévy processes and random measures pp. 1729-1749

Rüdiger Murr

Random walks in random environments without ellipticity pp. 1750-1764

Marco Lenci

Self-dual continuous processes pp. 1765-1779

Thorsten Rheinländer and Michael Schmutz

Self-stabilizing processes in multi-wells landscape in Rd-convergence pp. 1780-1801

Julian Tugaut

Lebesgue approximation of (2,β)-superprocesses pp. 1802-1819

Xin He

First passage times for subordinate Brownian motions pp. 1820-1850

Mateusz Kwaśnicki, Jacek Małecki and Michał Ryznar

Backward uniqueness and the existence of the spectral limit for linear parabolic SPDEs pp. 1851-1870

Zdzisław Brzeźniak and Misha Neklyudov

2013, volume 123, articles 4

Law of large numbers for super-Brownian motions with a single point source pp. 1183-1212

Robert Grummt and Martin Kolb

Derivative formulas and gradient estimates for SDEs driven by α-stable processes pp. 1213-1228

Xicheng Zhang

Fluctuations in an evolutional model of two-dimensional Young diagrams pp. 1229-1275

Tadahisa Funaki, Makiko Sasada, Martin Sauer and Bin Xie

Long-time behavior of stable-like processes pp. 1276-1300

Nikola Sandrić

Girsanov’s formula for G-Brownian motion pp. 1301-1318

Emi Osuka

A fractional credit model with long range dependent default rate pp. 1319-1347

Francesca Biagini, Holger Fink and Claudia Klüppelberg

Quenched central limit theorems for random walks in random scenery pp. 1348-1367

Nadine Guillotin-Plantard and Julien Poisat

Splitting trees with neutral Poissonian mutations II: Largest and oldest families pp. 1368-1414

Nicolas Champagnat and Amaury Lambert

Advanced MCMC methods for sampling on diffusion pathspace pp. 1415-1453

Alexandros Beskos, Konstantinos Kalogeropoulos and Erik Pazos

Marginal densities of the “true” self-repelling motion pp. 1454-1471

Laure Dumaz and Bálint Tóth

A mean-reverting SDE on correlation matrices pp. 1472-1520

Abdelkoddousse Ahdida and Aurélien Alfonsi

2013, volume 123, articles 3

Time homogeneous diffusions with a given marginal at a deterministic time pp. 675-718

John M. Noble

Time regularity of solutions to linear equations with Lévy noise in infinite dimensions pp. 719-751

S. Peszat and J. Zabczyk

Weak and strong approximations of reflected diffusions via penalization methods pp. 752-763

Leszek Słomiński

Potential theory of subordinate Brownian motions with Gaussian components pp. 764-795

Panki Kim, Renming Song and Zoran Vondraček

Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes pp. 796-812

A. Barczyk and P. Kern

Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials II: Airy random point field pp. 813-838

Hirofumi Osada

Central Limit Theorems for approximate quadratic variations of pure jump Itô semimartingales pp. 839-886

Assane Diop, Jean Jacod and Viktor Todorov

Martingale expansion in mixed normal limit pp. 887-933

Nakahiro Yoshida

Existence and convergence results for infinite dimensional nonlinear stochastic equations with multiplicative noise pp. 934-951

Viorel Barbu, Zdzisław Brzeźniak, Erika Hausenblas and Luciano Tubaro

Unified asymptotic theory for nearly unstable AR(p) processes pp. 952-985

Boris Buchmann and Ngai Hang Chan

On the density of the supremum of a stable process pp. 986-1003

A. Kuznetsov

Nonparametric estimation of the local Hurst function of multifractional Gaussian processes pp. 1004-1045

Jean-Marc Bardet and Donatas Surgailis

Asymptotic analysis for a downside risk minimization problem under partial information pp. 1046-1082

Yûsuke Watanabe

A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution pp. 1083-1103

Yaozhong Hu, David Nualart and Jian Song

Maximum principle for quasilinear SPDE’s on a bounded domain without regularity assumptions pp. 1104-1137

Laurent Denis and Anis Matoussi

Optimal stopping of strong Markov processes pp. 1138-1159

Sören Christensen, Paavo Salminen and Bao Quoc Ta

On a stochastic differential equation arising in a price impact model pp. 1160-1175

Peter Bank and Dmitry Kramkov

2013, volume 123, articles 2

A converse comparison theorem for anticipated BSDEs and related non-linear expectations pp. 275-299

Zhe Yang and Robert J. Elliott

Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton–Jacobi–Bellman type pp. 300-328

Shuai Jing

Some examples of Skorokhod embeddings obtained from the Azéma–Yor algorithm pp. 329-346

Adrian P.C. Lim, Ju-Yi Yen and Marc Yor

Default swap games driven by spectrally negative Lévy processes pp. 347-384

Masahiko Egami, Tim Leung and Kazutoshi Yamazaki

Weak invariance principles for sums of dependent random functions pp. 385-403

István Berkes, Lajos Horvath and Gregory Rice

A new proof for the conditions of Novikov and Kazamaki pp. 404-421

Johannes Ruf

Oscillation of harmonic functions for subordinate Brownian motion and its applications pp. 422-445

Panki Kim and Yunju Lee

On truncated variation, upward truncated variation and downward truncated variation for diffusions pp. 446-474

Rafał M. Łochowski and Piotr Miłoś

An empirical process interpretation of a model of species survival pp. 475-489

Iddo Ben-Ari

Randomly weighted self-normalized Lévy processes pp. 490-522

Péter Kevei and David M. Mason

Large deviations for stochastic partial differential equations driven by a Poisson random measure pp. 523-560

Amarjit Budhiraja, Jiang Chen and Paul Dupuis

A first order phase transition in the threshold θ≥2 contact process on random r-regular graphs and r-trees pp. 561-578

Shirshendu Chatterjee and Rick Durrett

Stochastic optimal multi-modes switching with a viscosity solution approach pp. 579-602

Brahim El Asri

Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs pp. 603-628

Y. Pokern, A.M. Stuart and J.H. van Zanten

Analysis of jump processes with nondegenerate jumping kernels pp. 629-650

Moritz Kassmann and Ante Mimica

Convergence in total variation on Wiener chaos pp. 651-674

Ivan Nourdin and Guillaume Poly

2013, volume 123, articles 1

A central limit theorem for stationary random fields pp. 1-14

Mohamed El Machkouri, Dalibor Volný and Wei Biao Wu

Abelian theorems for stochastic volatility models with application to the estimation of jump activity pp. 15-44

Denis Belomestny and Vladimir Panov

Small mass asymptotic for the motion with vanishing friction pp. 45-75

Mark Freidlin, Wenqing Hu and Alexander Wentzell

A note on Wpγ-theory of linear stochastic parabolic partial differential systems pp. 76-90

Kyeong-Hun Kim and Kijung Lee

Uniform concentration inequality for ergodic diffusion processes observed at discrete times pp. 91-109

L. Galtchouk and Sergey Pergamenshchikov

Hitting times for the perturbed reflecting random walk pp. 110-130

Laurent Serlet

Limit theorems with asymptotic expansions for stochastic processes pp. 131-155

Xiangfeng Yang

Law of large numbers for non-elliptic random walks in dynamic random environments pp. 156-190

F. den Hollander, R. dos Santos and V. Sidoravicius

The expected area of the Wiener sausage swept by a disc pp. 191-211

Kôhei Uchiyama

Large volatility-stabilized markets pp. 212-228

Mykhaylo Shkolnikov

On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes pp. 229-273

Vicky Fasen and Florian Fuchs