Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2006, volume 116, articles 12

Large deviations for stochastic generalized porous media equations pp. 1677-1689

Michael Röckner, Feng-Yu Wang and Liming Wu

On the construction of Wiener integrals with respect to certain pseudo-Bessel processes pp. 1690-1711

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

Weak existence and uniqueness for forward-backward SDEs pp. 1712-1742

F. Delarue and G. Guatteri

Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps pp. 1743-1769

Yasushi Ishikawa and Hiroshi Kunita

The Wiener disorder problem with finite horizon pp. 1770-1791

P.V. Gapeev and G. Peskir

Weak convergence of censored and reflected stable processes pp. 1792-1814

Panki Kim

Duality theorem for the stochastic optimal control problem pp. 1815-1835

Toshio Mikami and Michèle Thieullen

The process of most recent common ancestors in an evolving coalescent pp. 1836-1859

P. Pfaffelhuber and A. Wakolbinger

Stratonovich covariant differential equation with jumps pp. 1860-1875

Laurence Maillard-Teyssier

On mean curvature functions of Brownian paths pp. 1876-1891

Günter Last

Sequential testing of simple hypotheses about compound Poisson processes pp. 1892-1919

Savas Dayanik and Semih O. Sezer

Existence and perfect simulation of one-dimensional loss networks pp. 1920-1931

Nancy L. Garcia and Nevena Maric

Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: approach pp. 1932-1963

B. Goldys and Fausto Gozzi

Convergence rates in strong ergodicity for Markov processes pp. 1964-1976

Yong-Hua Mao

On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences pp. 1977-1991

Pavle Mladenovic and Vladimir Piterbarg

A conceptual approach to a path result for branching Brownian motion pp. 1992-2013

Robert Hardy and Simon C. Harris

Backward stochastic differential equations with singular terminal condition pp. 2014-2056

A. Popier

2006, volume 116, articles 11

Annealed asymptotics for the parabolic Anderson model with a moving catalyst pp. 1511-1529

Jürgen Gärtner and Markus Heydenreich

Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition pp. 1530-1562

Fausto Gozzi and Francesco Russo

Weak Dirichlet processes with a stochastic control perspective pp. 1563-1583

Fausto Gozzi and Francesco Russo

Reconstruction of periodic sceneries seen along a random walk pp. 1584-1599

Heinrich Matzinger and Jüri Lember

Polymer pinning at an interface pp. 1600-1621

Nicolas Pétrélis

Asymptotic bounds for infinitely divisible sequences pp. 1622-1635

Stanislaw Kwapien and Jan Rosinski

Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise pp. 1636-1659

S.S. Sritharan and P. Sundar

Simulation of conditioned diffusion and application to parameter estimation pp. 1660-1675

Bernard Delyon and Ying Hu

2006, volume 116, articles 10

Transformation formulas for fractional Brownian motion pp. 1341-1357

Céline Jost

Backward stochastic differential equations with jumps and related non-linear expectations pp. 1358-1376

Manuela Royer

On the concentration of Sinai's walk pp. 1377-1408

Pierre Andreoletti

Delay differential equations driven by Lévy processes: Stationarity and Feller properties pp. 1409-1432

Markus Reiss, M. Riedle and O. van Gaans

Cut-off for n-tuples of exponentially converging processes pp. 1433-1446

Javiera Barrera, Béatrice Lachaud and Bernard Ycart

Computable infinite-dimensional filters with applications to discretized diffusion processes pp. 1447-1467

Mireille Chaleyat-Maurel and Valentine Genon-Catalot

Martingale problem for superprocesses with non-classical branching functional pp. 1468-1495

Guillaume Leduc

On the renewal risk process with stochastic interest pp. 1496-1510

Kam C. Yuen, Guojing Wang and Rong Wu

2006, volume 116, articles 9

Stochastic model for ultraslow diffusion pp. 1215-1235

Mark M. Meerschaert and Hans-Peter Scheffler

Self-intersection local times of additive processes: Large deviation and law of the iterated logarithm pp. 1236-1253

Xia Chen

Fluctuations of the free energy in the diluted SK-model pp. 1254-1268

Holger Kösters

Large deviations of infinite intersections of events in Gaussian processes pp. 1269-1293

Michel Mandjes, Petteri Mannersalo, Ilkka Norros and Miranda van Uitert

The self-intersections of a Gaussian random field pp. 1294-1318

Rongmao Zhang and Zhengyan Lin

Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations pp. 1319-1339

Modeste N'Zi, Youssef Ouknine and Agnès Sulem

2006, volume 116, articles 8

Discretization of backward semilinear stochastic evolution equations pp. 1097-1126

Guichang Zhang

A microscopic interpretation for adaptive dynamics trait substitution sequence models pp. 1127-1160

Nicolas Champagnat

On fractional tempered stable motion pp. 1161-1184

C. Houdré and R. Kawai

Stability of the nonlinear filter for slowly switching Markov chains pp. 1185-1194

Pavel Chigansky

The proportional hazards regression model with staggered entries: A strong martingale approach pp. 1195-1214

Murray D. Burke and Dandong Feng

2006, volume 116, articles 7

Large scale localization of a spatial version of Neveu's branching process pp. 983-1011

Klaus Fleischmann and Vitali Wachtel

Regenerative compositions in the case of slow variation pp. 1012-1047

A.D. Barbour and A.V. Gnedin

Parameter estimation and asymptotic stability in stochastic filtering pp. 1048-1065

Anastasia Papavasiliou

Extremes of subexponential Lévy driven moving average processes pp. 1066-1087

Vicky Fasen

Numerical approximation of diffusions in using normal charts of a Riemannian manifold pp. 1088-1095

A.B. Cruzeiro and P. Malliavin

2006, volume 116, articles 6

Euler scheme and tempered distributions pp. 877-904

Julien Guyon

Iterated Brownian motion in bounded domains in pp. 905-916

Erkan Nane

A class of remarkable submartingales pp. 917-938

Ashkan Nikeghbali

Harness processes and harmonic crystals pp. 939-956

Pablo A. Ferrari and Beat M. Niederhauser

Regularity of the diffusion coefficient matrix for generalized exclusion process pp. 957-982

Yukio Nagahata

2006, volume 116, articles 5

Portfolio selection under incomplete information pp. 701-723

Simon Brendle

Worst-case large-deviation asymptotics with application to queueing and information theory pp. 724-756

Charuhas Pandit and Sean Meyn

Local time-space stochastic calculus for Lévy processes pp. 757-778

Nathalie Eisenbaum

Backward stochastic Volterra integral equations and some related problems pp. 779-795

Jiongmin Yong

Limit theorems for multipower variation in the presence of jumps pp. 796-806

Ole Barndorff-Nielsen, Neil Shephard and Matthias Winkel

Markers for error-corrupted observations pp. 807-829

Andrew Hart and Heinrich Matzinger

On bifractional Brownian motion pp. 830-856

Francesco Russo and Ciprian A. Tudor

The Lamperti correspondence extended to Lévy processes and semi-stable Markov processes in locally compact groups pp. 857-872

Oleksandr Chybiryakov

2006, volume 116, articles 4

A conditional limit theorem for tree-indexed random walk pp. 539-567

Jean-François Le Gall

Filtering of a reflected Brownian motion with respect to its local time pp. 568-584

Giovanna Nappo and Barbara Torti

Continuous time random walks and queues: Explicit forms and approximations of the conditional law with respect to local times pp. 585-610

Giovanna Nappo and Barbara Torti

First exit times of SDEs driven by stable Lévy processes pp. 611-642

P. Imkeller and I. Pavlyukevich

Existence of densities for jumping stochastic differential equations pp. 643-661

Nicolas Fournier and Jean-Sébastien Giet

A probabilistic model for the 5x+1 problem and related maps pp. 662-674

Stanislav Volkov

Singular time changes of diffusions on Sierpinski carpets pp. 675-689

Hirofumi Osada

A reflection principle for correlated defaults pp. 690-698

Frédéric Patras

2006, volume 116, articles 3

Different aspects of a random fragmentation model pp. 345-369

Jean Bertoin

Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations pp. 370-380

Shige Peng and Xuehong Zhu

Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type pp. 381-406

Siva R. Athreya, Richard F. Bass, Maria Gordina and Edwin A. Perkins

On an approximation problem for stochastic integrals where random time nets do not help pp. 407-422

Christel Geiss and Stefan Geiss

Regularizing mappings of Lévy measures pp. 423-446

Ole Barndorff-Nielsen and Steen Thorbjørnsen

A Poisson bridge between fractional Brownian motion and stable Lévy motion pp. 447-462

Raimundas Gaigalas

Multiple fractional integral with Hurst parameter less than pp. 463-479

Xavier Bardina and Maria Jolis

Deviations of a random walk in a random scenery with stretched exponential tails pp. 480-492

Nina Gantert, Remco van der Hofstad and Wolfgang König

On quadratic functionals of the Brownian sheet and related processes pp. 493-538

Paul Deheuvels, Giovanni Peccati and Marc Yor

2006, volume 116, articles 2

Activity rates with very heavy tails pp. 131-155

Thomas Mikosch and Sidney Resnick

Tail asymptotics for exponential functionals of Lévy processes pp. 156-177

Krishanu Maulik and Bert Zwart

Monotonicity properties of multi-dimensional reflected diffusions in random environment and applications pp. 178-199

Landy Rabehasaina

How rich is the class of multifractional Brownian motions? pp. 200-221

Stilian A. Stoev and Murad S. Taqqu

Leroux's method for general hidden Markov models pp. 222-243

Valentine Genon-Catalot and Catherine Laredo

On the joint distribution of surplus before and after ruin under a Markovian regime switching model pp. 244-266

Andrew C.Y. Ng and Hailiang Yang

Ruin probability in the presence of risky investments pp. 267-278

Sergey Pergamenshchikov and Omar Zeitouny

Another approach to Brownian motion pp. 279-292

Magda Peligrad and Sergey Utev

Brownian sheet and reflectionless potentials pp. 293-309

Setsuo Taniguchi

Functional quantization of a class of Brownian diffusions: A constructive approach pp. 310-336

Harald Luschgy and Gilles Pagès

Asymptotic behaviour of the empirical process for exchangeable data pp. 337-344

Patrizia Berti, Luca Pratelli and Pietro Rigo

2006, volume 116, articles 1

Limit theorems for occupation time fluctuations of branching systems I: Long-range dependence pp. 1-18

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

Limit theorems for occupation time fluctuations of branching systems II: Critical and large dimensions pp. 19-35

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

The exit distribution for iterated Brownian motion in cones pp. 36-69

Rodrigo Bañuelos and Dante DeBlassie

The heat equation with time-independent multiplicative stable Lévy noise pp. 70-100

Carl Mueller, Leonid Mytnik and Aurel Stan

Malliavin Monte Carlo Greeks for jump diffusions pp. 101-129

Mark H.A. Davis and Martin P. Johansson