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.

2008, volume 118, articles 12

An optimal control variance reduction method for density estimation pp. 2143-2180

Ahmed Kebaier and Arturo Kohatsu-Higa

Transportation-cost inequality on path spaces with uniform distance pp. 2181-2197

Shizan Fang, Feng-Yu Wang and Bo Wu

Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234 pp. 2198-2222

Mylène Bédard

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation pp. 2223-2253

Shige Peng

Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps pp. 2254-2268

Huijie Qiao and Xicheng Zhang

Discrete-time approximation for continuously and discretely reflected BSDEs pp. 2269-2293

Bruno Bouchard and Jean-François Chassagneux

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion pp. 2294-2333

Andreas Neuenkirch

Semigroups of Upsilon transformations pp. 2334-2343

Ole Barndorff-Nielsen and Makoto Maejima

Small deviation probability via chaining pp. 2344-2368

Frank Aurzada and Mikhail Lifshits

2008, volume 118, articles 11

A coarse graining for the Fortuin-Kasteleyn measure in random media pp. 1929-1972

Marc Wouts

Continuous interfaces with disorder: Even strong pinning is too weak in two dimensions pp. 1973-1981

Christof Külske and Enza Orlandi

A zero-one law of almost sure local extinction for (1+[beta])-super-Brownian motion pp. 1982-1996

Xiaowen Zhou

Weakly dependent chains with infinite memory pp. 1997-2013

Paul Doukhan and Olivier Wintenberger

A limit theorem for the time of ruin in a Gaussian ruin problem pp. 2014-2021

Jürg Hüsler and Vladimir Piterbarg

Asymptotics of supremum distribution of [alpha](t)-locally stationary Gaussian processes pp. 2022-2037

Krzysztof De[combining cedilla]bicki, and Pawel Kisowski

Quasi-invariance properties of a class of subordinators pp. 2038-2057

Max-K. von Renesse, Marc Yor and Lorenzo Zambotti

Approximation via regularization of the local time of semimartingales and Brownian motion pp. 2058-2070

Bérard Bergery Blandine and Vallois Pierre

Uniqueness of the generators of the 2D Euler and Navier-Stokes flows pp. 2071-2084

S. Albeverio, V. Barbu and B. Ferrario

Unilateral small deviations of processes related to the fractional Brownian motion pp. 2085-2097

G. Molchan

A singular control model with application to the goodwill problem pp. 2098-2124

Andrew Jack, Timothy C. Johnson and Mihail Zervos

Implications of contrarian and one-sided strategies for the fair-coin game pp. 2125-2142

Yasunori Horikoshi and Akimichi Takemura

2008, volume 118, articles 10

Capacities in Wiener space, quasi-sure lower functions, and Kolmogorov's [epsilon]-entropy pp. 1723-1737

Davar Khoshnevisan, David A. Levin and Pedro J. Méndez-Hernández

The Ornstein-Uhlenbeck bridge and applications to Markov semigroups pp. 1738-1767

B. Goldys and B. Maslowski

Moderate deviations for a random walk in random scenery pp. 1768-1802

Klaus Fleischmann, Peter Mörters and Vitali Wachtel

An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach pp. 1803-1819

D. Nualart and S. Ortiz-Latorre

Effective branching splitting method under cost constraint pp. 1820-1851

Agnès Lagnoux-Renaudie

Assessing the number of mean square derivatives of a Gaussian process pp. 1852-1869

Delphine Blanke and Céline Vial

Generalized positive continuous additive functionals of multidimensional Brownian motion and their associated Revuz measures pp. 1870-1891

H. Uemura

Asymptotic distribution of the CLSE in a critical process with immigration pp. 1892-1908

I. Rahimov

Criteria for ergodicity of Lévy type operators in dimension one pp. 1909-1928

Jian Wang

2008, volume 118, articles 9

A general framework for simulation of fractional fields pp. 1489-1517

Serge Cohen, Céline Lacaux and Michel Ledoux

Representation theorems for quadratic -consistent nonlinear expectations pp. 1518-1551

Ying Hu, Jin Ma, Shige Peng and Song Yao

Renormalization and convergence in law for the derivative of intersection local time in pp. 1552-1585

Greg Markowsky

Asymptotic regimes for the occupancy scheme of multiplicative cascades pp. 1586-1605

Jean Bertoin

Triangular array limits for continuous time random walks pp. 1606-1633

Mark M. Meerschaert and Hans-Peter Scheffler

Canonical correlation for stochastic processes pp. 1634-1661

R.L. Eubank and Tailen Hsing

On filtration enlargements and purely discontinuous martingales pp. 1662-1678

Stefan Ankirchner

On the ergodicity and mixing of max-stable processes pp. 1679-1705

Stilian A. Stoev

Approximate martingale estimating functions for stochastic differential equations with small noises pp. 1706-1721

Masayuki Uchida

2008, volume 118, articles 8

On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions pp. 1301-1321

Eva Löcherbach and Dasha Loukianova

Equivalence of ensembles for two-species zero-range invariant measures pp. 1322-1350

Stefan Großkinsky

Computation of the invariant measure for a Lévy driven SDE: Rate of convergence pp. 1351-1384

Fabien Panloup

Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching pp. 1385-1406

Xuerong Mao, Yi Shen and Chenggui Yuan

Penalizations of the Brownian motion with a functional of its local times pp. 1407-1433

Joseph Najnudel

Estimation of the volatility persistence in a discretely observed diffusion model pp. 1434-1462

Mathieu Rosenbaum

Isotropic stochastic flow of homeomorphisms on associated with the critical Sobolev exponent pp. 1463-1488

Dejun Luo

2008, volume 118, articles 7

CLT for Lp moduli of continuity of Gaussian processes pp. 1107-1135

Michael B. Marcus and Jay Rosen

Enlargement of filtrations with random times for processes with jumps pp. 1136-1158

Arturo Kohatsu-Higa and Makoto Yamazato

Localization of favorite points for diffusion in a random environment pp. 1159-1189

Dimitris Cheliotis

A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail pp. 1190-1218

Jean-Marc Azaïs and Mario Wschebor

Extensions of Black-Scholes processes and Benford's law pp. 1219-1243

Klaus Schürger

Local times of ranked continuous semimartingales pp. 1244-1253

Adrian D. Banner and Raouf Ghomrasni

A polynomial birth-death point process approximation to the Bernoulli process pp. 1254-1263

Aihua Xia and Fuxi Zhang

Propagation of singularities in the semi-fractional Brownian sheet pp. 1264-1277

Jochen Blath and Andreas Martin

Diffusion approximation for equilibrium Kawasaki dynamics in continuum pp. 1278-1299

Yuri G. Kondratiev, Oleksandr V. Kutoviy and Eugene W. Lytvynov

2008, volume 118, articles 6

Multifractal spectra and precise rates of decay in homogeneous fragmentations pp. 897-916

Nathalie Krell

The coding complexity of diffusion processes under supremum norm distortion pp. 917-937

Steffen Dereich

The coding complexity of diffusion processes under Lp[0,1]-norm distortion pp. 938-951

Steffen Dereich

Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection pp. 952-967

Shaolin Ji and Shige Peng

Backward stochastic differential equations with reflection and weak assumptions on the coefficients pp. 968-980

Mingyu Xu

Upper limits of Sinai's walk in random scenery pp. 981-1003

Olivier Zindy

Coexistence in host-pathogen systems pp. 1004-1021

R. Durrett and N. Lanchier

Global fluctuations in general [beta] Dyson's Brownian motion pp. 1022-1042

Martin Bender

Nonparametric estimation and testing time-homogeneity for processes with independent increments pp. 1043-1055

Yoichi Nishiyama

A note on the central limit theorem for bipower variation of general functions pp. 1056-1070

Silja Kinnebrock and Mark Podolskij

Simulated annealing for Lévy-driven jump-diffusions pp. 1071-1105

Ilya Pavlyukevich

2008, volume 118, articles 5

Conditional large deviations for a sequence of words pp. 703-729

Matthias Birkner

Self-similarity and spectral asymptotics for the continuum random tree pp. 730-754

David Croydon and Ben Hambly

On the existence of some processes pp. 755-761

Randal Douc, François Roueff and Philippe Soulier

On a stochastic version of Prouse model in fluid dynamics pp. 762-789

B. Ferrario and F. Flandoli

On dual processes of non-symmetric diffusions with measure-valued drifts pp. 790-817

Panki Kim and Renming Song

BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces pp. 818-838

Philippe Briand and Fulvia Confortola

Exit asymptotics for small diffusion about an unstable equilibrium pp. 839-851

Yuri Bakhtin

Median, concentration and fluctuations for Lévy processes pp. 852-863

Christian Houdré and Philippe Marchal

Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps pp. 864-895

Jiaowan Luo and Kai Liu

2008, volume 118, articles 4

Asymptotic properties of realized power variations and related functionals of semimartingales pp. 517-559

Jean Jacod

Extreme value theory for space-time processes with heavy-tailed distributions pp. 560-584

Richard A. Davis and Thomas Mikosch

High-frequency asymptotics for subordinated stationary fields on an Abelian compact group pp. 585-613

Domenico Marinucci and Giovanni Peccati

Central limit theorems for multiple stochastic integrals and Malliavin calculus pp. 614-628

D. Nualart and S. Ortiz-Latorre

Approximation to the mean curve in the LCS problem pp. 629-648

Clement Durringer, Raphael Hauser and Heinrich Matzinger

Asymptotic properties of particle filter-based maximum likelihood estimators for state space models pp. 649-680

Jimmy Olsson and Tobias Rydén

Hausdorff dimension of the image of additive processes pp. 681-702

Ming Yang

2008, volume 118, articles 3

A contact process with mutations on a tree pp. 319-332

Thomas M. Liggett, Rinaldo B. Schinazi and Jason Schweinsberg

Tail behavior of random products and stochastic exponentials pp. 333-345

Serge Cohen and Thomas Mikosch

Monte-Carlo simulation of stochastic differential systems -- a geometrical approach pp. 346-367

C.J.S. Alves and A.B. Cruzeiro

Hypoelliptic heat kernel inequalities on Lie groups pp. 368-388

Tai Melcher

Logarithmic speeds for one-dimensional perturbed random walks in random environments pp. 389-416

M.V. Menshikov and Andrew R. Wade

Spatially homogeneous solutions of 3D stochastic Navier-Stokes equations and local energy inequality pp. 417-451

Arnaud Basson

Moderate deviations and law of the iterated logarithm in for kernel density estimators pp. 452-473

Fuqing Gao

Central limit theorem for a tagged particle in asymmetric simple exclusion pp. 474-502

Patrícia Gonçalves

Solvability of backward stochastic differential equations with quadratic growth pp. 503-515

Revaz Tevzadze

2008, volume 118, articles 2

Non-regular estimation theory for piecewise continuous spectral densities pp. 153-170

Masanobu Taniguchi

Nonhomogeneous fractional integration and multifractional processes pp. 171-198

Donatas Surgailis

On a formula on the potential operators of absorbing Lévy processes in the half space pp. 199-212

Yozo Tamura and Hiroshi Tanaka

On the estimation of intrinsic volume densities of stationary random closed sets pp. 213-231

T. Mrkvicka and J. Rataj

Nonparametric estimation of the stationary density and the transition density of a Markov chain pp. 232-260

Claire Lacour

Bilateral gamma distributions and processes in financial mathematics pp. 261-283

Uwe Küchler and Stefan Tappe

A wavelet particle approximation for McKean-Vlasov and 2D-Navier-Stokes statistical solutions pp. 284-318

Viet Chi Tran

2008, volume 118, articles 1

First hitting time and place for pseudo-processes driven by the equation subject to a linear drift pp. 1-27

Aimé Lachal

Occupation time limits of inhomogeneous Poisson systems of independent particles pp. 28-52

T. Bojdecki, L.G. Gorostiza and A. Talarczyk

Discrete-time approximation of decoupled Forward-Backward SDE with jumps pp. 53-75

Bruno Bouchard and Romuald Elie

Annealing diffusions in a potential function with a slow growth pp. 76-119

Pierre-André Zitt

A stochastic linear-quadratic problem with Lévy processes and its application to finance pp. 120-152

Ken-ichi Mitsui and Yoshio Tabata