Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2009, volume 119, articles 12

Superprocesses with spatial interactions in a random medium pp. 3981-4003

Hardeep S. Gill

Scaling limits for symmetric Itô-Lévy processes in random medium pp. 4004-4033

Rémi Rhodes and Vincent Vargas

Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of a torus pp. 4034-4060

Ana Bela Cruzeiro and Evelina Shamarova

A simulation approach to optimal stopping under partial information pp. 4061-4087

Michael Ludkovski

Nonparametric estimation for pure jump Lévy processes based on high frequency data pp. 4088-4123

F. Comte and V. Genon-Catalot

Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence pp. 4124-4148

Ngai Hang Chan and Rong-Mao Zhang

Modified Gaussian likelihood estimators for ARMA models on pp. 4149-4175

Chrysoula Dimitriou-Fakalou

State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains pp. 4176-4193

S.B. Connor and G. Fort

Empirical distributions in marked point processes pp. 4194-4209

Zbynek Pawlas

Theory and applications of multivariate self-normalized processes pp. 4210-4227

Victor H. de la Peña, Michael J. Klass and Tze Leung Lai

2009, volume 119, articles 11

Uniform time average consistency of Monte Carlo particle filters pp. 3835-3861

Ramon van Handel

Small-time expansions for the transition distributions of Lévy processes pp. 3862-3889

José E. Figueroa-López and Christian Houdré

Nonlinear filtering of semi-Dirichlet processes pp. 3890-3913

Ze-Chun Hu, Zhi-Ming Ma and Wei Sun

Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations pp. 3914-3938

David Nualart and Lluís Quer-Sardanyons

Bootstrap of the offspring mean in the critical process with a non-stationary immigration pp. 3939-3954

I. Rahimov

On tails of fixed points of the smoothing transform in the boundary case pp. 3955-3961

Dariusz Buraczewski

Extremes of space-time Gaussian processes pp. 3962-3980

Zakhar Kabluchko

2009, volume 119, articles 10

Some rigorous results on semiflexible polymers, I: Free and confined polymers pp. 3081-3100

O. Hryniv and Y. Velenik

Exponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in a random environment pp. 3101-3132

Quansheng Liu and Frédérique Watbled

Mean-field backward stochastic differential equations and related partial differential equations pp. 3133-3154

Rainer Buckdahn, Juan Li and Shige Peng

Local independence of fractional Brownian motion pp. 3155-3172

Ilkka Norros and Eero Saksman

Maximum likelihood drift estimation for multiscale diffusions pp. 3173-3210

A. Papavasiliou, G.A. Pavliotis and A.M. Stuart

Occupation times of subcritical branching immigration systems with Markov motions pp. 3211-3237

Piotr Milos

Stochastic representation of subdiffusion processes with time-dependent drift pp. 3238-3252

Marcin Magdziarz

Optimal stopping with irregular reward functions pp. 3253-3284

Damien Lamberton

Discrete-time random motion in a continuous random medium pp. 3285-3299

C. Boldrighini, R.A. Minlos and A. Pellegrinotti

A strictly stationary, N-tuplewise independent counterexample to the Central Limit Theorem pp. 3300-3318

Richard C. Bradley and Alexander R. Pruss

On Hölder solutions of the integro-differential Zakai equation pp. 3319-3355

R. Mikulevicius and H. Pragarauskas

Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion pp. 3356-3382

Fuqing Gao

Fluctuations in the Ising model on a sparse random graph pp. 3383-3394

Luca De Sanctis

Biased random walk in a one-dimensional percolation model pp. 3395-3415

Marina Axelson-Fisk and Olle Häggström

Correlation cascades, ergodic properties and long memory of infinitely divisible processes pp. 3416-3434

Marcin Magdziarz

A strong uniform approximation of fractional Brownian motion by means of transport processes pp. 3435-3452

J. Garzón, L.G. Gorostiza and J.A. León

White noise driven SPDEs with reflection: Existence, uniqueness and large deviation principles pp. 3453-3470

Tiange Xu and Tusheng Zhang

The swapping algorithm for the Hopfield model with two patterns pp. 3471-3493

Matthias Löwe and Franck Vermet

An empirical Central Limit Theorem in for stationary sequences pp. 3494-3515

Sophie Dede

Stochastic Cahn-Hilliard equation with singular nonlinearity and reflection pp. 3516-3548

Ludovic Goudenège

Averaging of stochastic flows: Twist maps and escape from resonance pp. 3549-3582

Richard B. Sowers

A connection between extreme value theory and long time approximation of SDEs pp. 3583-3607

Fabien Panloup

Optimal static-dynamic hedges for exotic options under convex risk measures pp. 3608-3632

Aytaç Ilhan, Mattias Jonsson and Ronnie Sircar

Rescaled weighted random ball models and stable self-similar random fields pp. 3633-3652

Jean-Christophe Breton and Clément Dombry

Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds pp. 3653-3670

Marc Arnaudon, Anton Thalmaier and Feng-Yu Wang

Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent pp. 3671-3698

Frederi G. Viens

New techniques for empirical processes of dependent data pp. 3699-3718

Herold Dehling, Olivier Durieu and Dalibor Volny

Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions pp. 3719-3748

Roland C. Seydel

On the dependence structure of wavelet coefficients for spherical random fields pp. 3749-3766

Xiaohong Lan and Domenico Marinucci

A Central Limit Theorem for isotropic flows pp. 3767-3784

M. Cranston and Yves Le Jan

Symmetric martingales and symmetric smiles pp. 3785-3797

Michael R. Tehranchi

Tree structured independence for exponential Brownian functionals pp. 3798-3815

Hiroyuki Matsumoto, Jacek Wesolowski and Piotr Witkowski

Reflection principle and Ocone martingales pp. 3816-3833

L. Chaumont and L. Vostrikova

2009, volume 119, articles 9

Conformal covariance of the Abelian sandpile height one field pp. 2725-2743

Maximilian Dürre

On measure solutions of backward stochastic differential equations pp. 2744-2772

Stefan Ankirchner, Peter Imkeller and Alexandre Popier

Anticipating stochastic differential systems with memory pp. 2773-2802

Salah Mohammed and Tusheng Zhang

Bipower-type estimation in a noisy diffusion setting pp. 2803-2831

Mark Podolskij and Mathias Vetter

Exceptional times for the dynamical discrete web pp. 2832-2858

L.R.G. Fontes, C.M. Newman, K. Ravishankar and E. Schertzer

On exponential local martingales associated with strong Markov continuous local martingales pp. 2859-2880

Stefan Blei and Hans-Jürgen Engelbert

BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game pp. 2881-2912

S. Hamadène and H. Wang

Heterogeneous credit portfolios and the dynamics of the aggregate losses pp. 2913-2944

Paolo Dai Pra and Marco Tolotti

Ergodic BSDEs and related PDEs with Neumann boundary conditions pp. 2945-2969

Adrien Richou

Lévy driven moving averages and semimartingales pp. 2970-2991

Andreas Basse and Jan Pedersen

On the purity of the free boundary condition Potts measure on random trees pp. 2992-3005

Marco Formentin and Christof Külske

Central limit theorems for arrays of decimated linear processes pp. 3006-3041

F. Roueff and M.S. Taqqu

Coagulation, diffusion and the continuous Smoluchowski equation pp. 3042-3080

Mohammad Reza Yaghouti, Fraydoun Rezakhanlou and Alan Hammond

2009, volume 119, articles 8

Limit theorems for individual-based models in economics and finance pp. 2401-2435

Daniel Remenik

Surviving particles for subcritical branching processes in random environment pp. 2436-2464

Vincent Bansaye

Least squares estimator for Ornstein-Uhlenbeck processes driven by [alpha]-stable motions pp. 2465-2480

Yaozhong Hu and Hongwei Long

Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise pp. 2481-2500

Matthew Linn and Anna Amirdjanova

On the equivalence of the static and dynamic points of view for diffusions in a random environment pp. 2501-2522

Tom Schmitz

Progressive enlargement of filtrations with initial times pp. 2523-2543

Monique Jeanblanc and Yann Le Cam

Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process pp. 2544-2562

Damien Bankovsky and Allan Sly

Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups pp. 2563-2578

Libor Pospisil, Jan Vecer and Olympia Hadjiliadis

Weighted branching and a pathwise renewal equation pp. 2579-2597

Matthias Meiners

Quenched convergence of a sequence of superprocesses in among Poissonian obstacles pp. 2598-2624

Amandine Véber

Decomposition and convergence for tree martingales pp. 2625-2644

Tong-jun He and Yi Shen

Breaking the chain pp. 2645-2659

Michael Allman and Volker Betz

Existence and uniqueness of stationary Lévy-driven CARMA processes pp. 2660-2681

Peter J. Brockwell and Alexander Lindner

A random walk on with drift driven by its occupation time at zero pp. 2682-2710

Iddo Ben-Ari, Mathieu Merle and Alexander Roitershtein

Remarks on non-interacting conservative spin systems: The case of gamma distributions pp. 2711-2723

F. Barthe and P. Wolff

2009, volume 119, articles 7

Convergence of the increments of a stochastic integral associated to the stochastic wave equation pp. 2121-2136

Mairene Colina and Corinne Berzin

On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps pp. 2137-2157

Friedrich Hubalek and Carlo Sgarra

On the exactness of the Wu-Woodroofe approximation pp. 2158-2165

Jana Klicnarová and Dalibor Volný

Isotropic Ornstein-Uhlenbeck flows pp. 2166-2197

H. van Bargen and G. Dimitroff

Asymptotic properties of jump-diffusion processes with state-dependent switching pp. 2198-2221

Fubao Xi

Hölder regularity for operator scaling stable random fields pp. 2222-2248

Hermine Biermé and Céline Lacaux

Microstructure noise in the continuous case: The pre-averaging approach pp. 2249-2276

Jean Jacod, Yingying Li, Per A. Mykland, Mark Podolskij and Mathias Vetter

Stochastic 2-microlocal analysis pp. 2277-2311

Erick Herbin and Jacques Lévy-Véhel

The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes pp. 2312-2335

Eva Löcherbach and Dasha Loukianova

The maximum of a Lévy process reflected at a general barrier pp. 2336-2356

Niels Richard Hansen

2009, volume 119, articles 6

The alternating marked point process of h-slopes of drifted Brownian motion pp. 1765-1791

Alessandra Faggionato

Sequential tracking of a hidden Markov chain using point process observations pp. 1792-1822

Erhan Bayraktar and Michael Ludkovski

Continuity in the Hurst index of the local times of anisotropic Gaussian random fields pp. 1823-1844

Dongsheng Wu and Yimin Xiao

Power variation for Gaussian processes with stationary increments pp. 1845-1865

Ole Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij

Gibbsianness versus non-Gibbsianness of time-evolved planar rotor models pp. 1866-1888

A.C.D. van Enter and W.M. Ruszel

Asymptotic theory for the multidimensional random on-line nearest-neighbour graph pp. 1889-1911

Andrew R. Wade

Fast simulated annealing in with an application to maximum likelihood estimation in state-space models pp. 1912-1931

Sylvain Rubenthaler, Tobias Rydén and Magnus Wiktorsson

First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes pp. 1932-1951

Robert Stelzer

Stochastic integration for Lévy processes with values in Banach spaces pp. 1952-1974

Markus Riedle and Onno van Gaans

Iterated elastic Brownian motions and fractional diffusion equations pp. 1975-2003

Luisa Beghin and Enzo Orsingher

Asymptotic analysis of hedging errors in models with jumps pp. 2004-2027

Peter Tankov and Ekaterina Voltchkova

Dynamics for the Brownian web and the erosion flow pp. 2028-2051

Chris Howitt and Jon Warren

Large deviations for the Boussinesq equations under random influences pp. 2052-2081

Jinqiao Duan and Annie Millet

Poisson-Dirichlet distribution with small mutation rate pp. 2082-2094

Shui Feng

On divergence form SPDEs with VMO coefficients in a half space pp. 2095-2117

N.V. Krylov

2009, volume 119, articles 5

On permanental processes pp. 1401-1415

Nathalie Eisenbaum and Haya Kaspi

Smooth densities for solutions to stochastic differential equations with jumps pp. 1416-1435

Thomas Cass

Impulse control problem on finite horizon with execution delay pp. 1436-1469

Benjamin Bruder and Huyên Pham

Ballistic behavior for biased self-avoiding walks pp. 1470-1478

L. Chayes

The quenched critical point of a diluted disordered polymer model pp. 1479-1504

Erwin Bolthausen, Francesco Caravenna and Béatrice de Tilière

The fractional stochastic heat equation on the circle: Time regularity and potential theory pp. 1505-1540

Eulalia Nualart and Frederi Viens

Gaussian approximation of the empirical process under random entropy conditions pp. 1541-1560

Adel Settati

Constrained nonsmooth utility maximization without quadratic inf convolution pp. 1561-1579

Nicholas Westray and Harry Zheng

Parametric estimation for partially hidden diffusion processes sampled at discrete times pp. 1580-1600

Stefano Iacus, Masayuki Uchida and Nakahiro Yoshida

Boundary Harnack principle for subordinate Brownian motions pp. 1601-1631

Panki Kim, Renming Song and Zoran Vondracek

Localization for branching random walks in random environment pp. 1632-1651

Yueyun Hu and Nobuo Yoshida

Estimation of quadratic variation for two-parameter diffusions pp. 1652-1672

Anthony Réveillac

On differentiability of ruin functions under Markov-modulated models pp. 1673-1695

Jinxia Zhu and Hailiang Yang

New large deviation results for some super-Brownian processes pp. 1696-1724

Laurent Serlet

Martingale solutions and Markov selections for stochastic partial differential equations pp. 1725-1764

Benjamin Goldys, Michael Röckner and Xicheng Zhang

2009, volume 119, articles 4

A canonical setting and separating times for continuous local martingales pp. 1039-1054

H.-J. Engelbert, M.A. Urusov and M. Walther

Regularly varying multivariate time series pp. 1055-1080

Bojan Basrak and Johan Segers

A PDE approach to large deviations in Hilbert spaces pp. 1081-1123

Swie[combining cedilla]ch, Andrzej

Williams' decomposition of the Lévy continuum random tree and simultaneous extinction probability for populations with neutral mutations pp. 1124-1143

Romain Abraham and Jean-François Delmas

The martingale problem for a class of stable-like processes pp. 1144-1167

Richard F. Bass and Huili Tang

Linear fractional stable sheets: Wavelet expansion and sample path properties pp. 1168-1197

Antoine Ayache, François Roueff and Yimin Xiao

A quenched limit theorem for the local time of random walks on pp. 1198-1215

Jürgen Gärtner and Rongfeng Sun

Existence and uniqueness of solutions to the backward 2D stochastic Navier-Stokes equations pp. 1216-1234

P. Sundar and Hong Yin

Forgetting the initial distribution for Hidden Markov Models pp. 1235-1256

R. Douc, G. Fort, E. Moulines and P. Priouret

Killed Brownian motion and inequalities among solutions of the Schrodinger equation pp. 1257-1269

H. Le

Renewal theorems and stability for the reflected process pp. 1270-1297

Ron Doney, Ross Maller and Mladen Savov

Asymptotic results for the empirical process of stationary sequences pp. 1298-1324

István Berkes, Siegfried Hörmann and Johannes Schauer

Gaussian fields and Gaussian sheets with generalized Cauchy covariance structure pp. 1325-1356

Steven Lim and L.P. Teo

Markov processes invariant under a Lie group action pp. 1357-1367

Ming Liao

Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure pp. 1368-1385

Tahir Choulli and Christophe Stricker

Further results on some singular linear stochastic differential equations pp. 1386-1399

Larbi Alili and Ching-Tang Wu

2009, volume 119, articles 3

Estimation for stochastic differential equations with a small diffusion coefficient pp. 679-699

Arnaud Gloter and Michael Sørensen

Translation invariance of two-dimensional Gibbsian systems of particles with internal degrees of freedom pp. 700-736

Thomas Richthammer

Ideal gas approximation for a two-dimensional rarefied gas under Kawasaki dynamics pp. 737-774

A. Gaudillière, F. den Hollander, F.R. Nardi, E. Olivieri and E. Scoppola

Collision probability for random trajectories in two dimensions pp. 775-810

A. Gaudillière

Nonparametric adaptive estimation for integrated diffusions pp. 811-834

F. Comte, V. Genon-Catalot and Y. Rozenholc

Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise pp. 835-863

S. Albeverio, V. Mandrekar and B. Rüdiger

Ergodic behavior of diffusions with random jumps from the boundary pp. 864-881

Iddo Ben-Ari and Ross G. Pinsky

Large scale properties of the IIIC for 2D percolation pp. 882-896

L. Chayes and P. Nolin

Subgeometric rates of convergence of f-ergodic strong Markov processes pp. 897-923

Randal Douc, Gersende Fort and Arnaud Guillin

Special examples of diffusions in random environment pp. 924-936

Ivan del Tenno

Sharp phase transition and critical behaviour in 2D divide and colour models pp. 937-965

András Bálint, Federico Camia and Ronald Meester

Existence of an infinite particle limit of stochastic ranking process pp. 966-979

Kumiko Hattori and Tetsuya Hattori

Some explicit identities associated with positive self-similar Markov processes pp. 980-1000

L. Chaumont, A.E. Kyprianou and J.C. Pardo

Smoothness of Gaussian local times beyond the local nondeterminism pp. 1001-1014

Brahim Boufoussi and Raby Guerbaz

Optimal reinsurance strategy under fixed cost and delay pp. 1015-1034

Masahiko Egami and Virginia R. Young

2009, volume 119, articles 2

A stochastic heat equation with the distributions of Lévy processes as its invariant measures pp. 307-326

Tadahisa Funaki and Bin Xie

Homogenization of random transport along periodic two-dimensional flows pp. 327-346

Brice Franke

Occupation time theorems for one-dimensional random walks and diffusion processes in random environments pp. 347-372

Yuji Kasahara and Shinzo Watanabe

Learning to signal: Analysis of a micro-level reinforcement model pp. 373-390

Raffaele Argiento, Robin Pemantle, Brian Skyrms and Stanislav Volkov

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion pp. 391-409

David Nualart and Bruno Saussereau

Invariant measures for stochastic evolution equations of pure jump type pp. 410-427

Zhao Dong, Tiange Xu and Tusheng Zhang

The Skorokhod problem in a time-dependent interval pp. 428-452

Krzysztof Burdzy, Weining Kang and Kavita Ramanan

An asymptotic theory for sample covariances of Bernoulli shifts pp. 453-467

Wei Biao Wu

Weak convergence of the tail empirical process for dependent sequences pp. 468-490

Holger Rootzén

Importance sampling for a Markov modulated queuing network pp. 491-517

Ali Devin Sezer

Large deviations for statistics of the Jacobi process pp. 518-533

N. Demni and M. Zani

The effect of memory on functional large deviations of infinite moving average processes pp. 534-561

Souvik Ghosh and Gennady Samorodnitsky

Splitting for rare event simulation: A large deviation approach to design and analysis pp. 562-587

Thomas Dean and Paul Dupuis

Dispersion of volume under the action of isotropic Brownian flows pp. 588-601

G. Dimitroff and M. Scheutzow

Exponential ergodicity of the solutions to SDE's with a jump noise pp. 602-632

Alexey M. Kulik

Time consistent dynamic risk processes pp. 633-654

Jocelyne Bion-Nadal

Approximation of the tail probability of randomly weighted sums and applications pp. 655-675

Yi Zhang, Xinmei Shen and Chengguo Weng

2009, volume 119, articles 1

Distributional limits for the symmetric exclusion process pp. 1-15

Thomas M. Liggett

Sobolev space theory of SPDEs with continuous or measurable leading coefficients pp. 16-44

Kyeong-Hun Kim

Stochastic coalescence with homogeneous-like interaction rates pp. 45-73

Nicolas Fournier and Eva Löcherbach

COGARCH as a continuous-time limit of GARCH(1,1) pp. 74-98

Jan Kallsen and Bernhard Vesenmayer

Continuum random trees and branching processes with immigration pp. 99-129

Thomas Duquesne

Discontinuous superprocesses with dependent spatial motion pp. 130-166

Hui He

Marcus-Lushnikov processes, Smoluchowski's and Flory's models pp. 167-189

Nicolas Fournier and Philippe Laurençot

Poisson type approximations for the Markov binomial distribution pp. 190-207

Vydas Cekanavicius and Bero Roos

Laplace approximation of transition densities posed as Brownian expectations pp. 208-231

Bo Markussen

Martingale characterization of G-Brownian motion pp. 232-248

Jing Xu and Bo Zhang

Strong approximation for a class of stationary processes pp. 249-280

Weidong Liu and Zhengyan Lin

On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes pp. 281-304

J.M.P. Albin and Mattias Sundén