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.

2012, volume 122, articles 12

Spectral representation of intrinsically stationary fields pp. 3837-3851

Georg Berschneider

Global alignment of molecular sequences via ancestral state reconstruction pp. 3852-3874

Alexandr Andoni, Constantinos Daskalakis, Avinatan Hassidim and Sebastien Roch

Lp solutions of reflected BSDEs under monotonicity condition pp. 3875-3900

Andrzej Rozkosz and Leszek Słomiński

Central limit theorems for realized volatility under hitting times of an irregular grid pp. 3901-3920

Masaaki Fukasawa and Mathieu Rosenbaum

An Lp-theory of a class of stochastic equations with the random fractional Laplacian driven by Lévy processes pp. 3921-3952

Kyeong-Hun Kim and Panki Kim

Geometric ergodicity of a bead–spring pair with stochastic Stokes forcing pp. 3953-3979

Jonathan C. Mattingly, Scott A. McKinley and Natesh S. Pillai

On non-Markovian forward–backward SDEs and backward stochastic PDEs pp. 3980-4004

Jin Ma, Hong Yin and Jianfeng Zhang

On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs pp. 4005-4027

Lihua Bai and Jostein Paulsen

The point process approach for fractionally differentiated random walks under heavy traffic pp. 4028-4053

Ph. Barbe and W.P. McCormick

Quasi-stationary distributions and Yaglom limits of self-similar Markov processes pp. 4054-4095

Bénédicte Haas and Víctor Rivero

The scaling limit of Poisson-driven order statistics with applications in geometric probability pp. 4096-4120

Matthias Schulte and Christoph Thäle

2012, volume 122, articles 11

On absolutely continuous compensators and nonlinear filtering equations in default risk models pp. 3619-3647

Umut Çetin

Convergence of a misanthrope process to the entropy solution of 1D problems pp. 3648-3679

R. Eymard, M. Roussignol and A. Tordeux

Linear prediction in functional data analysis pp. 3680-3700

Hyejin Shin and Tailen Hsing

Consensus in the two-state Axelrod model pp. 3701-3717

Nicolas Lanchier and Jason Schweinsberg

The rate of convergence of Hurst index estimate for the stochastic differential equation pp. 3718-3739

K. Kubilius and Y. Mishura

Total variation approximation for quasi-equilibrium distributions, II pp. 3740-3756

A.D. Barbour and P.K. Pollett

Coalescence in the recent past in rapidly growing populations pp. 3757-3766

K.B. Athreya

Asymptotic results for renewal risk models with risky investments pp. 3767-3789

Hansjoerg Albrecher, Corina Constantinescu and Enrique Thomann

Strong mixing properties of max-infinitely divisible random fields pp. 3790-3811

Clément Dombry and Frédéric Eyi-Minko

On the drawdown of completely asymmetric Lévy processes pp. 3812-3836

Aleksandar Mijatović and Martijn R. Pistorius

2012, volume 122, articles 10

Efficient rare-event simulation for perpetuities pp. 3361-3392

Jose Blanchet, Henry Lam and Bert Zwart

Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process pp. 3393-3424

Bernard Bercu, Laure Coutin and Nicolas Savy

Large deviations for invariant measures of SPDEs with two reflecting walls pp. 3425-3444

Tusheng Zhang

Affine processes on positive semidefinite d×d matrices have jumps of finite variation in dimension d>1 pp. 3445-3459

Eberhard Mayerhofer

Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes pp. 3460-3505

Daniel Harnett and David Nualart

On the Markov property of some Brownian martingales pp. 3506-3512

J.Y. Fan, K. Hamza and F.C. Klebaner

From Sturm–Liouville problems to fractional and anomalous diffusions pp. 3513-3544

D’Ovidio, Mirko

Hoeffding’s inequality for supermartingales pp. 3545-3559

Xiequan Fan, Ion Grama and Quansheng Liu

Random pinning model with finite range correlations: Disorder relevant regime pp. 3560-3579

Julien Poisat

Fractional P(ϕ)1-processes and Gibbs measures pp. 3580-3617

Kamil Kaleta and József Lőrinczi

2012, volume 122, articles 7

A contrast estimator for completely or partially observed hypoelliptic diffusion pp. 2521-2552

Adeline Samson and Michèle Thieullen

Strong and weak orders in averaging for SPDEs pp. 2553-2593

Charles-Edouard Bréhier

Subcritical branching processes in a random environment without the Cramer condition pp. 2594-2609

Vladimir Vatutin and Xinghua Zheng

On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps pp. 2610-2638

A. Kuznetsov and X. Peng

Sampling per mode for rare event simulation in switching diffusions pp. 2639-2667

Jaroslav Krystul, François Le Gland and Pascal Lezaud

Stochastic variational inequalities with oblique subgradients pp. 2668-2700

Anouar M. Gassous, Aurel Răşcanu and Eduard Rotenstein

On the number of empty boxes in the Bernoulli sieve II pp. 2701-2729

Alexander Iksanov

On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs pp. 2730-2757

R. Mikulevicius

On the semimartingale nature of Feller processes with killing pp. 2758-2780

Alexander Schnurr

2012, volume 122, articles 6

On backward stochastic differential equations and strict local martingales pp. 2265-2291

Hao Xing

Asymptotic expansion and central limit theorem for multiscale piecewise-deterministic Markov processes pp. 2292-2318

Khashayar Pakdaman, Michèle Thieullen and Gilles Wainrib

Hunt’s hypothesis (H) and Getoor’s conjecture for Lévy processes pp. 2319-2328

Ze-Chun Hu and Wei Sun

On the limit distributions of continuous-state branching processes with immigration pp. 2329-2345

Martin Keller-Ressel and Aleksandar Mijatović

2-microlocal analysis of martingales and stochastic integrals pp. 2346-2382

Paul Balança and Erick Herbin

Functions of bounded variation on the classical Wiener space and an extended Ocone–Karatzas formula pp. 2383-2399

M. Pratelli and D. Trevisan

Conditions for the existence of quasi-stationary distributions for birth–death processes with killing pp. 2400-2410

Erik A. van Doorn

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory pp. 2411-2453

Markus Bibinger

Some properties of the Itô–Wiener expansion of the solution of a stochastic differential equation and local times pp. 2454-2479

Alexey Rudenko

BSDEs in utility maximization with BMO market price of risk pp. 2486-2519

Christoph Frei, Markus Mocha and Nicholas Westray

2012, volume 122, articles 5

Time discretization and quantization methods for optimal multiple switching problem pp. 2019-2052

Paul Gassiat, Idris Kharroubi and Huyên Pham

Random times and multiplicative systems pp. 2053-2077

Libo Li and Marek Rutkowski

Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition pp. 2078-2116

Christel Geiss, Stefan Geiss and Emmanuel Gobet

A sharp estimate for cover times on binary trees pp. 2117-2133

Jian Ding and Ofer Zeitouni

Particle picture interpretation of some Gaussian processes related to fractional Brownian motion pp. 2134-2154

Tomasz Bojdecki and Anna Talarczyk

Central limit theorem for Markov processes with spectral gap in the Wasserstein metric pp. 2155-2184

Tomasz Komorowski and Anna Walczuk

Harmonic deformation of Delaunay triangulations pp. 2185-2210

Pablo A. Ferrari, Rafael M. Grisi and Pablo Groisman

On the 3-D stochastic magnetohydrodynamic-α model pp. 2211-2248

Gabriel Deugoué, Paul André Razafimandimby and Mamadou Sango

Optimal detection of a hidden target: The median rule pp. 2249-2263

Goran Peskir

2012, volume 122, articles 4

Quadratic reflected BSDEs with unbounded obstacles pp. 1155-1203

Erhan Bayraktar and Song Yao

A short proof of the Doob–Meyer theorem pp. 1204-1209

Mathias Beiglböck, Walter Schachermayer and Bezirgen Veliyev

An optimal stopping problem for fragmentation processes pp. 1210-1225

Andreas E. Kyprianou and Juan Carlos Pardo

Permanental vectors pp. 1226-1247

Hana Kogan and Michael B. Marcus

Large time asymptotic problems for optimal stochastic control with superlinear cost pp. 1248-1275

Naoyuki Ichihara

Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution pp. 1276-1303

Ph. Barbe and W.P. McCormick

Fluctuations of interacting Markov chain Monte Carlo methods pp. 1304-1331

Bernard Bercu, Pierre Del Moral and Arnaud Doucet

Particle filters with random resampling times pp. 1332-1368

D. Crisan and O. Obanubi

A monotonicity property for random walk in a partially random environment pp. 1369-1396

Mark Holmes and Rongfeng Sun

Sharp critical behavior for pinning models in a random correlated environment pp. 1397-1436

Quentin Berger and Hubert Lacoin

Stochastic algorithms for computing means of probability measures pp. 1437-1455

Marc Arnaudon, Clément Dombry, Anthony Phan and Le Yang

Scalar conservation laws with fractional stochastic forcing: Existence, uniqueness and invariant measure pp. 1456-1486

Bruno Saussereau and Ion Lucretiu Stoica

Multivariate generalized Ornstein–Uhlenbeck processes pp. 1487-1518

Anita Behme and Alexander Lindner

The transition from ergodic to explosive behavior in a family of stochastic differential equations pp. 1519-1539

Jeremiah Birrell, David P. Herzog and Jan Wehr

Existence, minimality and approximation of solutions to BSDEs with convex drivers pp. 1540-1565

Patrick Cheridito and Mitja Stadje

Markov modulation of a two-sided reflected Brownian motion with application to fluid queues pp. 1566-1581

D’Auria, Bernardo and Offer Kella

On some universal σ-finite measures related to a remarkable class of submartingales pp. 1582-1600

Joseph Najnudel and Ashkan Nikeghbali

Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces pp. 1601-1626

Samuel N. Cohen

Stein’s method for invariant measures of diffusions via Malliavin calculus pp. 1627-1651

Seiichiro Kusuoka and Ciprian A. Tudor

Random walks on Galton–Watson trees with random conductances pp. 1652-1671

Nina Gantert, Sebastian Müller, Serguei Popov and Marina Vachkovskaia

A one-dimensional coagulation–fragmentation process with a dynamical phase transition pp. 1672-1708

Cédric Bernardin and Fabio Lucio Toninelli

Positivity and explosion in mean Lp-norm of stochastic functional parabolic equations of retarded type pp. 1709-1729

Pao-Liu Chow and Kai Liu

Large systems of diffusions interacting through their ranks pp. 1730-1747

Mykhaylo Shkolnikov

On nodal domains and higher-order Cheeger inequalities of finite reversible Markov processes pp. 1748-1776

Amir Daneshgar, Ramin Javadi and Laurent Miclo

Tail behavior of solutions of linear recursions on trees pp. 1777-1807

Mariana Olvera-Cravioto

Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps pp. 1808-1839

José E. Figueroa-López, Ruoting Gong and Christian Houdré

Linear variance bounds for particle approximations of time-homogeneous Feynman–Kac formulae pp. 1840-1865

Nick Whiteley, Nikolas Kantas and Ajay Jasra

Percolation of even sites for random sequential adsorption pp. 1866-1886

Mathew D. Penrose and Tom Rosoman

The Burgers equation with affine linear noise: Dynamics and stability pp. 1887-1916

Salah Mohammed and Tusheng Zhang

A BSDE approach to stochastic differential games with incomplete information pp. 1917-1946

Christine Grün

Large deviations for multiscale diffusion via weak convergence methods pp. 1947-1987

Paul Dupuis and Konstantinos Spiliopoulos

On Lundh’s percolation diffusion pp. 1988-1997

Tom Carroll, O’Donovan, Julie and Joaquim Ortega-Cerdà

Convergence of invariant measures for singular stochastic diffusion equations pp. 1998-2017

Ioana Ciotir and Jonas M. Tölle

2012, volume 122, articles 3

Functional convergence of stochastic integrals with application to statistical inference pp. 725-757

Richard A. Davis and Li Song

Scaling analysis of multiple-try MCMC methods pp. 758-786

Mylène Bédard, Randal Douc and Eric Moulines

U-processes, U-quantile processes and generalized linear statistics of dependent data pp. 787-807

Martin Wendler

On generalized Malliavin calculus pp. 808-843

S.V. Lototsky, B.L. Rozovskii and D. Seleši

Long time asymptotics of a Brownian particle coupled with a random environment with non-diffusive feedback force pp. 844-884

Michela Ottobre

Berry–Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables pp. 885-909

Mark S. Veillette and Murad S. Taqqu

Asymptotics for statistical functionals of long-memory sequences pp. 910-929

Eric Beutner, Wei Biao Wu and Henryk Zähle

Study of dependence for some stochastic processes: Symbolic Markov copulae pp. 930-951

Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewȩgłowski

Stochastic order for alpha-permanental point processes pp. 952-967

Nathalie Eisenbaum

The exact packing measure of Lévy trees pp. 968-1002

Thomas Duquesne

Splitting trees with neutral Poissonian mutations I: Small families pp. 1003-1033

Nicolas Champagnat and Amaury Lambert

Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options pp. 1034-1067

Sonia Fourati

Estimation for the change point of volatility in a stochastic differential equation pp. 1068-1092

Stefano Iacus and Nakahiro Yoshida

Decomposability for stable processes pp. 1093-1109

Yizao Wang, Stilian A. Stoev and Parthanil Roy

Sojourn times and the fragility index pp. 1110-1128

Michael Falk and Martin Hofmann

k-independent percolation on trees pp. 1129-1153

Pierre Mathieu and Christoph Temmel

2012, volume 122, articles 2

The central limit theorem for sums of trimmed variables with heavy tails pp. 449-465

István Berkes and Lajos Horvath

Pathwise definition of second-order SDEs pp. 466-497

Lluís Quer-Sardanyons and Samy Tindel

Properties of the limit shape for some last-passage growth models in random environments pp. 498-521

Hao Lin and Timo Seppäläinen

Moments, moderate and large deviations for a branching process in a random environment pp. 522-545

Chunmao Huang and Quansheng Liu

Large deviations of realized volatility pp. 546-581

Shin Kanaya and Taisuke Otsu

On exceedances of high levels pp. 582-599

S.Y. Novak and A. Xia

Hedging electricity swaptions using partial integro-differential equations pp. 600-622

Peter Hepperger

Effect of truncation on large deviations for heavy-tailed random vectors pp. 623-653

Arijit Chakrabarty

On the distribution of exponential functionals for Lévy processes with jumps of rational transform pp. 654-663

A. Kuznetsov

Weak approximation of G-expectations pp. 664-675

Yan Dolinsky, Marcel Nutz and H. Mete Soner

Flying randomly in Rd with Dirichlet displacements pp. 676-713

Alessandro De Gregorio and Enzo Orsingher