Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2007, volume 117, articles 12

A diluted version of the perceptron model pp. 1764-1792

David Márquez-Carreras, Carles Rovira and Samy Tindel

A forward scheme for backward SDEs pp. 1793-1812

Christian Bender and Robert Denk

On convergence to the exponential utility problem pp. 1813-1834

Michael Kohlmann and Christina R. Niethammer

Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments pp. 1835-1847

Ph. Barbe, W.P. McCormick and C. Zhang

Functional limit theorems for generalized quadratic variations of Gaussian processes pp. 1848-1869

Arnaud Bégyn

Limit theorems for permutations of empirical processes with applications to change point analysis pp. 1870-1888

Lajos Horvath and Qi-Man Shao

On some transformations between positive self-similar Markov processes pp. 1889-1909

Loïc Chaumont and Víctor Rivero

Two phase transitions for the contact process on small worlds pp. 1910-1927

Rick Durrett and Paul Jung

Cumulants of the maximum of the Gaussian random walk pp. 1928-1959

A.J.E.M. Janssen and J.S.H. van Leeuwaarden

2007, volume 117, articles 11

Computing strategies for achieving acceptability: A Monte Carlo approach pp. 1587-1605

Soumik Pal

Asymptotic analysis of utility-based hedging strategies for small number of contingent claims pp. 1606-1620

D. Kramkov and Mirela Sirbu

Horizon-unbiased utility functions pp. 1621-1641

Vicky Henderson and David Hobson

Stability of utility-maximization in incomplete markets pp. 1642-1662

Kasper Larsen and Gordan Zitkovic

Robust utility maximization with limited downside risk in incomplete markets pp. 1663-1688

Anne Gundel and Stefan Weber

Malliavin Greeks without Malliavin calculus pp. 1689-1723

Nan Chen and Paul Glasserman

Restructuring risk in credit default swaps: An empirical analysis pp. 1724-1749

Antje Berndt, Robert Jarrow and ChoongOh Kang

2007, volume 117, articles 10

Large deviations for weighted empirical mean with outliers pp. 1373-1403

M. Maïda, J. Najim and S. Péché

Asymptotic results concerning the total branch length of the Bolthausen-Sznitman coalescent pp. 1404-1421

Michael Drmota, Alex Iksanov, Martin Moehle and Uwe Roesler

Finite approximation schemes for Lévy processes, and their application to optimal stopping problems pp. 1422-1447

Alex Szimayer and Ross A. Maller

The 1-d stochastic wave equation driven by a fractional Brownian sheet pp. 1448-1472

Lluís Quer-Sardanyons and Samy Tindel

Almost sure estimates for the concentration neighborhood of Sinai's walk pp. 1473-1490

Pierre Andreoletti

An adaptive scheme for the approximation of dissipative systems pp. 1491-1518

Vincent Lemaire

Senile reinforced random walks pp. 1519-1539

M. Holmes and A. Sakai

The estimates of the mean first exit time from a ball for the [alpha]-stable Ornstein-Uhlenbeck processes pp. 1540-1560

Tomasz Jakubowski

On homogenization of space-time dependent and degenerate random flows pp. 1561-1585

Rémi Rhodes

2007, volume 117, articles 9

Restricting SLE(8/3 ) to an annulus pp. 1165-1188

Robert O. Bauer

Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals pp. 1189-1207

Maria Jolis and Noèlia Viles

Upper large deviations for the maximal flow in first-passage percolation pp. 1208-1233

Marie Théret

A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations pp. 1234-1250

Juan Li and Shanjian Tang

Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps pp. 1251-1264

Guilan Cao and Kai He

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero pp. 1265-1284

Christian Francq and Jean-Michel Zakoian

Nonminimal sets, their projections and integral representations of stable processes pp. 1285-1302

Vladas Pipiras

Hitting times of Brownian motion and the Matsumoto-Yor property on trees pp. 1303-1315

Jacek Wesolowski and Piotr Witkowski

Estimation for the additive Gaussian channel and Monge-Kantorovitch measure transportation pp. 1316-1329

Ali Süleyman Üstünel

Exit times for a class of piecewise exponential Markov processes with two-sided jumps pp. 1330-1356

Martin Jacobsen and Anders Tolver Jensen

On Gittins' index theorem in continuous time pp. 1357-1371

Peter Bank and Christian Küchler

2007, volume 117, articles 8

Convergence of some time inhomogeneous Markov chains via spectral techniques pp. 961-979

L. Saloff-Coste and J. Zúñiga

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties pp. 980-1000

Daniel Hernández-Hernández and Alexander Schied

Stochastic wave equations with dissipative damping pp. 1001-1013

Viorel Barbu, Giuseppe Da Prato and Luciano Tubaro

Long time asymptotics for constrained diffusions in polyhedral domains pp. 1014-1036

Amarjit Budhiraja and Chihoon Lee

Stability of regime-switching diffusions pp. 1037-1051

R.Z. Khasminskii, C. Zhu and G. Yin

Forward and reverse representations for Markov chains pp. 1052-1075

G.N. Milstein, J.G.M. Schoenmakers and V. Spokoiny

Existence and uniqueness of an invariant measure for a chain of oscillators in contact with two heat baths pp. 1076-1092

Philippe Carmona

A Bayesian-martingale approach to the general disorder problem pp. 1093-1120

T. Kavtaradze, N. Lazrieva, M. Mania and P. Muliere

Lower bounds for transition probabilities on graphs pp. 1121-1136

Andras Telcs

A Hölderian functional central limit theorem for a multi-indexed summation process pp. 1137-1164

Alfredas Rackauskas, Charles Suquet and Vaidotas Zemlys

2007, volume 117, articles 7

Error expansion for the discretization of backward stochastic differential equations pp. 803-829

Emmanuel Gobet and Céline Labart

Uniform concentration inequality for ergodic diffusion processes pp. 830-839

L. Galtchouk and Sergey Pergamenshchikov

Regular variation of order 1 nonlinear AR-ARCH models pp. 840-861

Daren B.H. Cline

Asymptotic theory for curve-crossing analysis pp. 862-877

Zhibiao Zhao and Wei Biao Wu

Probability and moment inequalities for sums of weakly dependent random variables, with applications pp. 878-903

Paul Doukhan and Michael H. Neumann

A large deviation principle for 2D stochastic Navier-Stokes equation pp. 904-927

Mathieu Gourcy

Estimation of the offspring mean in a controlled branching process with a random control function pp. 928-946

T.N. Sriram, A. Bhattacharya, M. González, R. Martínez and I. del Puerto

Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory pp. 947-959

Harri Nyrhinen

2007, volume 117, articles 6

Tempering stable processes pp. 677-707

Jan Rosinski

Random orderings of the integers and card shuffling pp. 708-719

Saul Jacka and Jon Warren

Some results on strong solutions of SDEs with applications to interest rate models pp. 720-741

Johannes Wissel

Pricing and hedging in the presence of extraneous risks pp. 742-765

Pierre Collin Dufresne and Julien Hugonnier

A limit theorem for quadratic fluctuations in symmetric simple exclusion pp. 766-790

Sigurd Assing

Log-concavity and the maximum entropy property of the Poisson distribution pp. 791-802

Oliver Johnson

2007, volume 117, articles 5

Reflected Brownian motion in generic triangles and wedges pp. 539-549

Wouter Kager

Operators associated with a stochastic differential equation driven by fractional Brownian motions pp. 550-574

Fabrice Baudoin and Laure Coutin

The dynamic of entropic repulsion pp. 575-595

Jean-Dominique Deuschel and Takao Nishikawa

Large deviations and phase transition for random walks in random nonnegative potentials pp. 596-612

Markus Flury

Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity pp. 613-628

Fulvia Confortola

The influence of a power law drift on the exit time of Brownian motion from a half-line pp. 629-654

Dante DeBlassie and Robert Smits

Explicit characterization of the super-replication strategy in financial markets with partial transaction costs pp. 655-672

Imen Bentahar and Bruno Bouchard

2007, volume 117, articles 4

An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes pp. 409-431

Jan Oblój

Extremal behaviour of models with multivariate random recurrence representation pp. 432-456

Claudia Klüppelberg and Serguei Pergamenchtchikov

Non-stopping times and stopping theorems pp. 457-475

Ashkan Nikeghbali

Quadratic variations of spherical fractional Brownian motions pp. 476-486

Jacques Istas

Hydrodynamics for a system of harmonic oscillators perturbed by a conservative noise pp. 487-513

Cédric Bernardin

Percolation for the stable marriage of Poisson and Lebesgue pp. 514-525

M.V. Freire, S. Popov and M. Vachkovskaia

Interacting diffusions approximating the porous medium equation and propagation of chaos pp. 526-538

Robert Philipowski

2007, volume 117, articles 3

Limits for weighted p-variations and likewise functionals of fractional diffusions with drift pp. 271-296

José León and Carenne Ludeña

Fragmentation at height associated with Lévy processes pp. 297-311

Jean-François Delmas

Operator scaling stable random fields pp. 312-332

Hermine Biermé, Mark M. Meerschaert and Hans-Peter Scheffler

The effects of implementation delay on decision-making under uncertainty pp. 333-358

Erhan Bayraktar and Masahiko Egami

Markov jump random c.d.f.'s and their posterior distributions pp. 359-374

R.M. Balan

Local asymptotic mixed normality of transformed Gaussian models for random fields pp. 375-398

Tomonari Sei

Homeomorphism of solutions to backward SDEs and applications pp. 399-408

Huijie Qiao and Xicheng Zhang

2007, volume 117, articles 2

The Burgers superprocess pp. 143-164

Guillaume Bonnet and Robert J. Adler

Canonical Lévy process and Malliavin calculus pp. 165-187

Josep Lluís Solé, Frederic Utzet and Josep Vives

A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic pp. 188-201

Rosario Delgado

Gradient estimates for positive harmonic functions by stochastic analysis pp. 202-220

Marc Arnaudon, Bruce K. Driver and Anton Thalmaier

Deviations bounds and conditional principles for thin sets pp. 221-250

Patrick Cattiaux and Nathael Gozlan

Local asymptotic powers of nonparametric and semiparametric tests for fractional integration pp. 251-261

Xiaofeng Shao and Wei Biao Wu

Moments and distribution of the local time of a two-dimensional random walk pp. 262-270

Jirí Cerný

2007, volume 117, articles 1

On some Fourier aspects of the construction of certain Wiener integrals pp. 1-22

T. Funaki, Y. Hariya, F. Hirsch and M. Yor

Entropic repulsion for a class of Gaussian interface models in high dimensions pp. 23-34

Noemi Kurt

Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps pp. 35-56

Hiroki Masuda

When is a linear combination of independent fBm's equivalent to a single fBm? pp. 57-70

Harry van Zanten

Approximations and limit theory for quadratic forms of linear processes pp. 71-95

R.J. Bhansali, Liudas Giraitis and P.S. Kokoszka

Multivariate CARMA processes pp. 96-120

Tina Marquardt and Robert Stelzer

An empirical central limit theorem for dependent sequences pp. 121-142

Jérôme Dedecker and Clémentine Prieur