Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2011, volume 121, articles 12

Stochastic representation for solutions of Isaacs’ type integral–partial differential equations pp. 2715-2750

Rainer Buckdahn, Ying Hu and Juan Li

On confined McKean Langevin processes satisfying the mean no-permeability boundary condition pp. 2751-2775

Mireille Bossy and Jean-Francois Jabir

Approximation of stationary solutions of Gaussian driven stochastic differential equations pp. 2776-2801

Serge Cohen and Fabien Panloup

A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time pp. 2802-2817

Martin Forde

A local limit theorem for a transient chaotic walk in a frozen environment pp. 2818-2838

Lasse Leskelä and Mikko Stenlund

On the stability and ergodicity of adaptive scaling Metropolis algorithms pp. 2839-2860

Matti Vihola

Recovery rates in investment-grade pools of credit assets: A large deviations analysis pp. 2861-2898

Konstantinos Spiliopoulos and Richard B. Sowers

Nonparametric regression with martingale increment errors pp. 2899-2924

Sylvain Delattre and Stéphane Gaïffas

Functional central limit theorems for self-normalized least squares processes in regression with possibly infinite variance data pp. 2925-2953

Miklós Csörgő and Yuliya V. Martsynyuk

2011, volume 121, articles 11

DNA approach to scenery reconstruction pp. 2455-2473

Heinrich Matzinger and Angelica Pachon Pinzon

A non-ergodic probabilistic cellular automaton with a unique invariant measure pp. 2474-2487

Philippe Chassaing and Jean Mairesse

Context tree selection: A unifying view pp. 2488-2506

A. Garivier and F. Leonardi

Convergence of a queueing system in heavy traffic with general patience-time distributions pp. 2507-2552

Chihoon Lee and Ananda Weerasinghe

Markov chain mixing time on cycles pp. 2553-2570

Gerencsér Balázs

Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems pp. 2571-2591

Carles Bretó and Edward L. Ionides

Extremes of Gaussian processes with a smooth random variance pp. 2592-2605

Jörg Hösler, Vladimir Piterbarg and Ekaterina Rumyantseva

Rearrangements of Gaussian fields pp. 2606-2628

Raphaël Lachióze-Rey and Youri Davydov

Occupation times of spectrally negative Lévy processes with applications pp. 2629-2641

David Landriault, Jean-François Renaud and Xiaowen Zhou

Multi-operator scaling random fields pp. 2642-2677

Hermine Biermé, Céline Lacaux and Hans-Peter Scheffler

On the semimartingale property of discounted asset-price processes pp. 2678-2691

Constantinos Kardaras and Eckhard Platen

Harnack inequalities for functional SDEs with multiplicative noise and applications pp. 2692-2710

Feng-Yu Wang and Chenggui Yuan

Corrigendum to âConstructions of coupling processes for Lévy processesâ pp. 2711-2714

Björn Böttcher, René L. Schilling and Jian Wang

2011, volume 121, articles 10

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients pp. 2189-2200

István Gyöngy and Miklós Rásonyi

Hybrid Monte Carlo on Hilbert spaces pp. 2201-2230

A. Beskos, F.J. Pinski, J.M. Sanz-Serna and A.M. Stuart

Convergence to type I distribution of the extremes of sequences defined by random difference equation pp. 2231-2242

Pawel Hitczenko

Large deviations for renewal processes pp. 2243-2271

Raphaël Lefevere, Mauro Mariani and Lorenzo Zambotti

Large deviations for the local fluctuations of random walks pp. 2272-2302

Julien Barral and Patrick Loiseau

Almost sure asymptotics for the local time of a diffusion in Brownian environment pp. 2303-2330

Roland Diel

Stationarity and geometric ergodicity of BEKK multivariate GARCH models pp. 2331-2360

Farid Boussama, Florian Fuchs and Robert Stelzer

Stopping of functionals with discontinuity at the boundary of an open set pp. 2361-2392

Jan Palczewski and Lukasz Stettner

Absolute continuity under flows generated by SDE with measurable drift coefficients pp. 2393-2415

Dejun Luo

Nonsynchronous covariation process and limit theorems pp. 2416-2454

Takaki Hayashi and Nakahiro Yoshida

2011, volume 121, articles 9

Survival of branching random walks with absorption pp. 1901-1937

Elie Aïdékon and Bruno Jaffuel

A note on summability of ladder heights and the distributions of ladder epochs for random walks pp. 1938-1961

Kôhei Uchiyama

An overshoot approach to recurrence and transience of Markov processes pp. 1962-1981

Björn Böttcher

Local time-space calculus for symmetric Lévy processes pp. 1982-2013

Alexander Walsh

A chain of interacting particles under strain pp. 2014-2042

Michael Allman, Volker Betz and Martin Hairer

Critical point and percolation probability in a long range site percolation model on pp. 2043-2048

Bernardo N.B. de Lima, Rémy Sanchis and Roger W.C. Silva

Extremes of the time-average of stationary Gaussian processes pp. 2049-2063

Krzysztof De[combining cedilla]bicki, and Kamil Tabis

Isotropic self-similar Markov processes pp. 2064-2071

Ming Liao and Longmin Wang

On strong solutions for positive definite jump diffusions pp. 2072-2086

Eberhard Mayerhofer, Oliver Pfaffel and Robert Stelzer

Estimates for the probability that Itô processes remain near a path pp. 2087-2113

Vlad Bally, Begoña Fernández and Ana Meda

FBSDEs with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity pp. 2114-2150

Gonçalo dos Reis, Anthony Réveillac and Jianing Zhang

Neighborhood radius estimation for variable-neighborhood random fields pp. 2151-2185

Eva Löcherbach and Enza Orlandi

Corrigendum to "Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times" [Stochastic Process. Appl. 111 (2004) 237-258] pp. 2186-2187

Daryl J. Daley, Claudia Klüppelberg and Yang Yang

2011, volume 121, articles 8

Metastability of reversible finite state Markov processes pp. 1633-1677

J. Beltrán and C. Landim

An explicit model of default time with given survival probability pp. 1678-1704

Monique Jeanblanc and Shiqi Song

The asymptotic behaviour of maxima of complete and incomplete samples from stationary sequences pp. 1705-1719

Tomasz Krajka

On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes pp. 1720-1748

Remigijus Mikulevicius and Changyong Zhang

Hitting of a line or a half-line in the plane by two-dimensional symmetric stable Lévy processes pp. 1749-1769

Yasuki Isozaki

Properties of hitting times for G-martingales and their applications pp. 1770-1784

Yongsheng Song

Filtering partially observable diffusions up to the exit time from a domain pp. 1785-1815

N.V. Krylov and Teng Wang

Occupation time distributions for the telegraph process pp. 1816-1844

Leonid Bogachev and Nikita Ratanov

Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve pp. 1845-1863

Gerald Trutnau

Rough Volterra equations 2: Convolutional generalized integrals pp. 1864-1899

Aurélien Deya and Samy Tindel

2011, volume 121, articles 7

Full well-posedness of point vortex dynamics corresponding to stochastic 2D Euler equations pp. 1445-1463

F. Flandoli, M. Gubinelli and E. Priola

An approximation scheme for reflected stochastic differential equations pp. 1464-1491

Lawrence Christopher Evans and Daniel W. Stroock

Stopping times and related Itô's calculus with G-Brownian motion pp. 1492-1508

Xinpeng Li and Shige Peng

Real harmonizable multifractional stable process and its local properties pp. 1509-1523

Marco Dozzi and Georgiy Shevchenko

Transient behavior of the Halfin-Whitt diffusion pp. 1524-1545

Johan S.H. van Leeuwaarden and Charles Knessl

A Lévy input model with additional state-dependent services pp. 1546-1564

Zbigniew Palmowski and Maria Vlasiou

A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations pp. 1565-1587

Steffen Dereich and Felix Heidenreich

Martingale representation for Poisson processes with applications to minimal variance hedging pp. 1588-1606

Günter Last and Mathew D. Penrose

Asymptotic results for time-changed Lévy processes sampled at hitting times pp. 1607-1632

Mathieu Rosenbaum and Peter Tankov

2011, volume 121, articles 6

Itô prize 2011 pp. 1177-1177

Elena Griniari

Multivariate operator-self-similar random fields pp. 1178-1200

Yuqiang Li and Yimin Xiao

Constructions of coupling processes for Lévy processes pp. 1201-1216

Björn Böttcher, René L. Schilling and Jian Wang

Spectral estimation of the Lévy density in partially observed affine models pp. 1217-1244

Denis Belomestny

Transition density estimates for jump Lévy processes pp. 1245-1265

Pawel Sztonyk

The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process pp. 1266-1289

E.J. Baurdoux, A.E. Kyprianou and J.C. Pardo

On the local time of random walk on the 2-dimensional comb pp. 1290-1314

Endre Csáki, Miklós Csörgo, Antónia Földes and Pál Révész

The prolific backbone for supercritical superprocesses pp. 1315-1331

J. Berestycki, A.E. Kyprianou and A. Murillo-Salas

Riesz transform and integration by parts formulas for random variables pp. 1332-1355

Vlad Bally and Lucia Caramellino

Systems of stochastic partial differential equations with reflection: Existence and uniqueness pp. 1356-1372

Tusheng Zhang

Quasi-invariant stochastic flows of SDEs with non-smooth drifts on compact manifolds pp. 1373-1388

Xicheng Zhang

Random times with given survival probability and their -martingale decomposition formula pp. 1389-1410

Monique Jeanblanc and Shiqi Song

Smoluchowski's equation: Rate of convergence of the Marcus-Lushnikov process pp. 1411-1444

Eduardo Cepeda and Nicolas Fournier

2011, volume 121, articles 5

Exit time and invariant measure asymptotics for small noise constrained diffusions pp. 899-924

Anup Biswas and Amarjit Budhiraja

The small world effect on the coalescing time of random walks pp. 925-956

Daniela Bertacchi and Davide Borrello

Convergence of a stochastic particle approximation for fractional scalar conservation laws pp. 957-988

Benjamin Jourdain and Raphaël Roux

Intrinsic volumes of the maximal polytope process in higher dimensional STIT tessellations pp. 989-1012

Tomasz Schreiber and Christoph Thäle

Rates of convergence in the central limit theorem for linear statistics of martingale differences pp. 1013-1043

Jérôme Dedecker and Florence Merlevède

Asymptotic and spectral properties of exponentially [phi]-ergodic Markov processes pp. 1044-1075

Alexey M. Kulik

Empirical processes of multidimensional systems with multiple mixing properties pp. 1076-1096

Herold Dehling and Olivier Durieu

Limit theorems in the Fourier transform method for the estimation of multivariate volatility pp. 1097-1124

Emmanuelle Clément and Arnaud Gloter

Ruin probability in the Cramér-Lundberg model with risky investments pp. 1125-1137

Sheng Xiong and Wei-Shih Yang

Conditional distribution of heavy tailed random variables on large deviations of their sum pp. 1138-1147

Inés Armendáriz and Michail Loulakis

Green function estimates for relativistic stable processes in half-space-like open sets pp. 1148-1172

Zhen-Qing Chen, Panki Kim and Renming Song

2011, volume 121, articles 4

Ergodicity of the 3D stochastic Navier-Stokes equations driven by mildly degenerate noise pp. 673-700

Marco Romito and Lihu Xu

Parameter estimation for the stochastically perturbed Navier-Stokes equations pp. 701-724

Igor Cialenco and Nathan Glatt-Holtz

Hydrostatics and dynamical large deviations of boundary driven gradient symmetric exclusion processes pp. 725-758

J. Farfan, C. Landim and M. Mourragui

Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions pp. 759-792

Fabrice Baudoin and Cheng Ouyang

Quantitative Breuer-Major theorems pp. 793-812

Ivan Nourdin, Giovanni Peccati and Mark Podolskij

Locally stationary long memory estimation pp. 813-844

François Roueff and Rainer von Sachs

The speed of convergence of the Threshold estimator of integrated variance pp. 845-855

Cecilia Mancini

Lévy random bridges and the modelling of financial information pp. 856-884

Edward Hoyle, Lane P. Hughston and Andrea Macrina

Phase transition on the degree sequence of a random graph process with vertex copying and deletion pp. 885-895

Kai-Yuan Cai, Zhao Dong, Ke Liu and Xian-Yuan Wu

2011, volume 121, articles 3

Ergodic BSDEs under weak dissipative assumptions pp. 407-426

Arnaud Debussche, Ying Hu and Gianmario Tessitore

One-dimensional BSDEs with finite and infinite time horizons pp. 427-440

ShengJun Fan, Long Jiang and Dejian Tian

Bessel processes and hyperbolic Brownian motions stopped at different random times pp. 441-465

Mirko D'Ovidio and Enzo Orsingher

Gradient estimate for Ornstein-Uhlenbeck jump processes pp. 466-478

Feng-Yu Wang

Fluctuations of the empirical quantiles of independent Brownian motions pp. 479-514

Jason Swanson

Extremes of the standardized Gaussian noise pp. 515-533

Zakhar Kabluchko

Dynamic Markov bridges motivated by models of insider trading pp. 534-567

Luciano Campi, Umut Çetin and Albina Danilova

A characterization of the martingale property of exponentially affine processes pp. 568-582

Eberhard Mayerhofer, Johannes Muhle-Karbe and Alexander G. Smirnov

Asymptotic behavior of unstable INAR(p) processes pp. 583-608

M. Barczy, M. Ispány and G. Pap

The contact process on the complete graph with random vertex-dependent infection rates pp. 609-629

Jonathon Peterson

Multiscale diffusion approximations for stochastic networks in heavy traffic pp. 630-656

Amarjit Budhiraja and Xin Liu

Free quadratic harness pp. 657-671

Wlodzimierz Bryc, Wojciech Matysiak and Jacek Wesolowski

2011, volume 121, articles 2

Optimal stopping for non-linear expectations--Part I pp. 185-211

Erhan Bayraktar and Song Yao

Optimal stopping for non-linear expectations--Part II pp. 212-264

Erhan Bayraktar and Song Yao

Martingale representation theorem for the G-expectation pp. 265-287

H. Mete Soner, Nizar Touzi and Jianfeng Zhang

On the limit law of a random walk conditioned to reach a high level pp. 288-313

Sergey G. Foss and Anatolii A. Puhalskii

Hitting and returning to rare events for all alpha-mixing processes pp. 314-323

Miguel Abadi and Benoit Saussol

Lagging and leading coupled continuous time random walks, renewal times and their joint limits pp. 324-336

P. Straka and B.I. Henry

Some new almost sure results on the functional increments of the uniform empirical process pp. 337-356

Davit Varron

Long-term behaviour of a cyclic catalytic branching system pp. 357-377

S. Kliem

Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- Their characteristics and applications pp. 378-393

Rafal Marcin Lochowski

A lift of spatially inhomogeneous Markov process to extensions of the field of p-adic numbers pp. 394-405

Hiroshi Kaneko and Yoichi Tsuzuki

2011, volume 121, articles 1

Boundary homogenization in domains with randomly oscillating boundary pp. 1-23

Youcef Amirat, Olivier Bodart, Gregory A. Chechkin and Andrey L. Piatnitski

Scaling limit for the diffusion exit problem in the Levinson case pp. 24-37

Sergio Angel Almada Monter and Yuri Bakhtin

Stability of Feynman-Kac formulae with path-dependent potentials pp. 38-60

Nicolas Chopin, P. Del Moral and S. Rubenthaler

Large deviations for random dynamical systems and applications to hidden Markov models pp. 61-90

Shulan Hu and Liming Wu

Stationary solutions of the stochastic differential equation with Lévy noise pp. 91-108

Anita Behme, Alexander Lindner and Ross Maller

The tail empirical process for long memory stochastic volatility sequences pp. 109-134

Rafal Kulik and Philippe Soulier

Martingales and rates of presence in homogeneous fragmentations pp. 135-154

N. Krell and A. Rouault

Sequential optimizing strategy in multi-dimensional bounded forecasting games pp. 155-183

Masayuki Kumon, Akimichi Takemura and Kei Takeuchi