Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2010, volume 120, articles 12

Extremes of multidimensional Gaussian processes pp. 2289-2301

K. Debicki, K.M. Kosinski, M. Mandjes and T. Rolski

Long strange segments, ruin probabilities and the effect of memory on moving average processes pp. 2302-2330

Souvik Ghosh and Gennady Samorodnitsky

A wavelet analysis of the Rosenblatt process: Chaos expansion and estimation of the self-similarity parameter pp. 2331-2362

J.-M. Bardet and C.A. Tudor

[alpha]-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes pp. 2363-2389

Makoto Maejima and Yohei Ueda

Modeling and simulation with operator scaling pp. 2390-2411

Serge Cohen, Mark M. Meerschaert and Jan Rosinski

Kernel estimation for time series: An asymptotic theory pp. 2412-2431

Wei Biao Wu, Yinxiao Huang and Yibi Huang

R-positivity of nearest neighbor matrices and applications to Gibbs states pp. 2432-2446

Jorge Littin and Servet Martínez

Solving a non-linear stochastic pseudo-differential equation of Burgers type pp. 2447-2467

Niels Jacob, Alexander Potrykus and Jiang-Lun Wu

The stochastic wave equation with fractional noise: A random field approach pp. 2468-2494

Raluca M. Balan and Ciprian A. Tudor

Detection of cellular aging in a Galton-Watson process pp. 2495-2519

Jean-François Delmas and Laurence Marsalle

2010, volume 120, articles 11

Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic pp. 2103-2141

Arka P. Ghosh and Ananda P. Weerasinghe

Perfect simulation and moment properties for the Matérn type III process pp. 2142-2158

Jesper Møller, Mark L. Huber and Robert L. Wolpert

Asymptotic results for coalescent processes without proper frequencies and applications to the two-parameter Poisson-Dirichlet coalescent pp. 2159-2173

M. Möhle

Particle representations of superprocesses with dependent motions pp. 2174-2189

Kathryn E. Temple

Large deviations for self-intersection local times of stable random walks pp. 2190-2211

Clément Laurent

Large deviations for stochastic differential equations driven by G-Brownian motion pp. 2212-2240

Fuqing Gao and Hui Jiang

Backward stochastic differential equations with a uniformly continuous generator and related g-expectation pp. 2241-2257

Guangyan Jia

Jump-adapted discretization schemes for Lévy-driven SDEs pp. 2258-2285

Arturo Kohatsu-Higa and Peter Tankov

2010, volume 120, articles 10

Regularity of the sample paths of a general second order random field pp. 1879-1897

Michael Scheuerer

On convergence determining and separating classes of functions pp. 1898-1907

Douglas Blount and Michael A. Kouritzin

Ergodic theorems for extended real-valued random variables pp. 1908-1919

Christian Hess, Raffaello Seri and Christine Choirat

Uniform exponential dichotomy of stochastic cocycles pp. 1920-1928

Diana Stoica

Stochastic flows and Bismut formulas for stochastic Hamiltonian systems pp. 1929-1949

Xicheng Zhang

Poincaré inequality for linear SPDE driven by Lévy Noise pp. 1950-1965

Yingchao Xie

A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem pp. 1966-1995

Marie-Amelie Morlais

A revisit to -theory of super-parabolic backward stochastic partial differential equations in pp. 1996-2015

Kai Du and Qingxin Meng

Power utility maximization under partial information: Some convergence results pp. 2016-2036

D. Covello and M. Santacroce

On the density of log-spot in the Heston volatility model pp. 2037-2063

Sebastian del Baño Rollin, Albert Ferreiro-Castilla and Frederic Utzet

Upper large deviations of branching processes in a random environment--Offspring distributions with geometrically bounded tails pp. 2064-2077

Christian Böinghoff and Götz Kersting

Rate of escape and central limit theorem for the supercritical Lamperti problem pp. 2078-2099

Mikhail V. Menshikov and Andrew R. Wade

2010, volume 120, articles 9

Almost sure central limit theorems on the Wiener space pp. 1607-1628

Bernard Bercu, Ivan Nourdin and Murad S. Taqqu

Convergence to Lévy stable processes under some weak dependence conditions pp. 1629-1650

Marta Tyran-Kaminska

Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion pp. 1651-1679

Maria Jolis and Noèlia Viles

Regularity of semigroups generated by Lévy type operators via coupling pp. 1680-1700

Jian Wang

Stochastic differential equations with jump reflection at time-dependent barriers pp. 1701-1721

Leszek Slominski and Tomasz Wojciechowski

Existence, uniqueness and approximation of the jump-type stochastic Schrodinger equation for two-level systems pp. 1722-1747

Clément Pellegrini

On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures pp. 1748-1775

Lukasz Delong and Peter Imkeller

Singularities of the matrix exponent of a Markov additive process with one-sided jumps pp. 1776-1794

Jevgenijs Ivanovs, Onno Boxma and Michel Mandjes

Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management pp. 1795-1820

Huyên Pham

Critical branching random walks with small drift pp. 1821-1836

Xinghua Zheng

Large deviations and renormalization for Riesz potentials of stable intersection measures pp. 1837-1878

Xia Chen and Jay Rosen

2010, volume 120, articles 8

Markov processes with free-Meixner laws pp. 1393-1403

Wlodek Bryc

Extremal solutions for stochastic equations indexed by negative integers and taking values in compact groups pp. 1404-1423

Takao Hirayama and Kouji Yano

Analysis of continuous strict local martingales via h-transforms pp. 1424-1443

Soumik Pal and Philip Protter

A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering pp. 1444-1472

Jérémie Unterberger

Central limit theorems for multicolor urns with dominated colors pp. 1473-1491

Patrizia Berti, Irene Crimaldi, Luca Pratelli and Pietro Rigo

A discussion on mean excess plots pp. 1492-1517

Souvik Ghosh and Sidney Resnick

On the long time behavior of the TCP window size process pp. 1518-1534

Djalil Chafaï, Florent Malrieu and Katy Paroux

Equilibrium fluctuations for exclusion processes with conductances in random environments pp. 1535-1562

Jonathan Farfan, Alexandre B. Simas and Fábio J. Valentim

Ergodic theory for a superprocess over a stochastic flow pp. 1563-1588

Zenghu Li, Jie Xiong and Mei Zhang

Periodic homogenization with an interface: The one-dimensional case pp. 1589-1605

Martin Hairer and Charles Manson

2010, volume 120, articles 7

What happens after a default: The conditional density approach pp. 1011-1032

Nicole El Karoui, Monique Jeanblanc and Ying Jiao

[pi] options pp. 1033-1059

Xin Guo and Mihail Zervos

Supermartingale decomposition with a general index set pp. 1060-1073

Gianluca Cassese

On the characteristics of a class of Gaussian processes within the white noise space setting pp. 1074-1104

Daniel Alpay, Haim Attia and David Levanony

-time regularity of BSDEs with irregular terminal functions pp. 1105-1132

Emmanuel Gobet and Azmi Makhlouf

On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights pp. 1133-1158

D. Crisan, K. Manolarakis and N. Touzi

Asymptotic results for the two-parameter Poisson-Dirichlet distribution pp. 1159-1177

Shui Feng and Fuqing Gao

On the probability that integrated random walks stay positive pp. 1178-1193

Vladislav Vysotsky

Metastability for nonlinear random perturbations of dynamical systems pp. 1194-1214

M. Freidlin and L. Koralov

Non-uniqueness of stationary measures for self-stabilizing processes pp. 1215-1246

S. Herrmann and J. Tugaut

Invariant measures and the Kolmogorov equation for the stochastic fast diffusion equation pp. 1247-1266

Viorel Barbu and Giuseppe Da Prato

Continuous LERW started from interior points pp. 1267-1316

Dapeng Zhan

On the concentration and the convergence rate with a moment condition in first passage percolation pp. 1317-1341

Yu Zhang

The evolution of a spatial stochastic network pp. 1342-1363

Philippe Robert

Evolution in predator-prey systems pp. 1364-1392

Rick Durrett and John Mayberry

2010, volume 120, articles 6

Finite-time blowup and existence of global positive solutions of a semi-linear SPDE pp. 767-776

Marco Dozzi and José Alfredo López-Mimbela

A stochastic approach to a multivalued Dirichlet-Neumann problem pp. 777-800

Lucian Maticiuc and Aurel Rascanu

An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes pp. 801-828

Ph. Barbe and W.P. McCormick

Realized volatility with stochastic sampling pp. 829-852

Masaaki Fukasawa

The Föllmer-Schweizer decomposition: Comparison and description pp. 853-872

Tahir Choulli, Nele Vandaele and Michèle Vanmaele

Law of large numbers for the maximal flow through tilted cylinders in two-dimensional first passage percolation pp. 873-900

Raphaël Rossignol and Marie Théret

Asymptotics of a Brownian ratchet for protein translocation pp. 901-925

Andrej Depperschmidt and Peter Pfaffelhuber

Stability of a growth process generated by monomer filling with nearest-neighbour cooperative effects pp. 926-948

Vadim Shcherbakov and Stanislav Volkov

Spectral gap for zero-range processes with jump rate g(x)=x[gamma] pp. 949-958

Yukio Nagahata

Realizable monotonicity for continuous-time Markov processes pp. 959-982

Paolo Dai Pra, Pierre-Yves Louis and Ida Germana Minelli

Moment bounds for non-linear functionals of the periodogram pp. 983-1009

Gilles Faÿ

2010, volume 120, articles 5

From one dimensional diffusions to symmetric Markov processes pp. 590-604

Masatoshi Fukushima

The Itô-Nisio theorem, quadratic Wiener functionals, and 1-solitons pp. 605-621

Nobuyuki Ikeda and Setsuo Taniguchi

Itô's stochastic calculus: Its surprising power for applications pp. 622-652

Hiroshi Kunita

Itô's theory of excursion point processes and its developments pp. 653-677

Shinzo Watanabe

A limit theorem for trees of alleles in branching processes with rare neutral mutations pp. 678-697

Jean Bertoin

Itô's stochastic calculus and Heisenberg commutation relations pp. 698-720

Philippe Biane

Itô's excursion theory and random trees pp. 721-749

Jean-François Le Gall

Poisson point processes, excursions and stable processes in two-dimensional structures pp. 750-766

Wendelin Werner

2010, volume 120, articles 4

Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve pp. 381-402

Gerald Trutnau

Switching problem and related system of reflected backward SDEs pp. 403-426

Said Hamadène and Jianfeng Zhang

Optimal dividend payments in the stochastic Ramsey model pp. 427-441

Hiroaki Morimoto

A general theory of finite state Backward Stochastic Difference Equations pp. 442-466

Samuel N. Cohen and Robert J. Elliott

Directed polymers on hierarchical lattices with site disorder pp. 467-493

Hubert Lacoin and Gregorio Moreno

Hydrodynamic limit for two-species exclusion processes pp. 494-521

Makiko Sasada

Path and semimartingale properties of chaos processes pp. 522-540

Andreas Basse-O'Connor and Svend-Erik Graversen

On suprema of Lévy processes with light tails pp. 541-573

Michael Braverman

2010, volume 120, articles 3

Ergodic properties of max-infinitely divisible processes pp. 281-295

Zakhar Kabluchko and Martin Schlather

Ergodic theorems for random clusters pp. 296-305

Michael Björklund

Stochastic equations of non-negative processes with jumps pp. 306-330

Zongfei Fu and Zenghu Li

The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints pp. 331-347

Constantinos Kardaras

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth pp. 348-379

Peter Imkeller and Gonçalo Dos Reis

2010, volume 120, articles 2

On boundary crossing probabilities for diffusion processes pp. 105-129

K. Borovkov and A.N. Downes

Stopped diffusion processes: Boundary corrections and overshoot pp. 130-162

Emmanuel Gobet and Stephane Menozzi

Exponentially affine martingales, affine measure changes and exponential moments of affine processes pp. 163-181

Jan Kallsen and Johannes Muhle-Karbe

Heat-kernel estimates for random walk among random conductances with heavy tail pp. 182-194

Omar Boukhadra

Asymptotic expansions for functions of the increments of certain Gaussian processes pp. 195-222

Michael B. Marcus and Jay Rosen

Discretizing the fractional Lévy area pp. 223-254

A. Neuenkirch, S. Tindel and J. Unterberger

Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds pp. 255-280

Damien Bankovsky

2010, volume 120, articles 1

Transportation inequalities for stochastic differential equations with jumps pp. 2-21

Yutao Ma

Limit theorems for bipower variation of semimartingales pp. 22-38

Mathias Vetter

Weak approximation of a fractional SDE pp. 39-65

X. Bardina, I. Nourdin, C. Rovira and S. Tindel

Sample path Large Deviations and optimal importance sampling for stochastic volatility models pp. 66-83

Scott Robertson

Limit theorems and coexistence probabilities for the Curie-Weiss Potts model with an external field pp. 84-104

Daniel Gandolfo, Jean Ruiz and Marc Wouts