Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2005, volume 115, articles 12

Representation theorems for generators of backward stochastic differential equations and their applications pp. 1883-1903

Long Jiang

Uniform large deviations for the nonlinear Schrodinger equation with multiplicative noise pp. 1904-1927

Eric Gautier

Representations of fractional Brownian motion using vibrating strings pp. 1928-1953

Kacha Dzhaparidze, Harry van Zanten and Pawel Zareba

Tail of the stationary solution of the stochastic equation Yn+1=anYn+bn with Markovian coefficients pp. 1954-1978

BenoI^te de Saporta,

The noisy voter-exclusion process pp. 1979-2005

Paul Jung

Super-replication and utility maximization in large financial markets pp. 2006-2022

Marzia De Donno, P. Guasoni and M. Pratelli

2005, volume 115, articles 11

Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps pp. 1745-1763

Anne Eyraud-Loisel

On the solutions of nonlinear stochastic fractional partial differential equations in one spatial dimension pp. 1764-1781

Latifa Debbi and Marco Dozzi

Super-Brownian motion conditioned on the total mass pp. 1782-1804

Laurent Serlet

Strong solutions of SDES with singular drift and Sobolev diffusion coefficients pp. 1805-1818

Xicheng Zhang

Distance estimates for dependent superpositions of point processes pp. 1819-1837

Dominic Schuhmacher

Decomposition of discrete time periodically correlated and multivariate stationary symmetric stable processes pp. 1838-1859

A.R. Soltani and A. Parvardeh

Simulated annealing and object point processes: Tools for analysis of spatial patterns pp. 1860-1882

R.S. Stoica, P. Gregori and J. Mateu

2005, volume 115, articles 10

Comparison of insiders' optimal strategies depending on the type of side-information pp. 1603-1627

Caroline Hillairet

A coalescent model for the effect of advantageous mutations on the genealogy of a population pp. 1628-1657

Rick Durrett and Jason Schweinsberg

Functional limit theorems for strongly subcritical branching processes in random environment pp. 1658-1676

V.I. Afanasyev, J. Geiger, G. Kersting and V.A. Vatutin

Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts pp. 1677-1700

Sylvie Roelly and Michèle Thieullen

Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes pp. 1701-1722

Alexander Lindner and Ross Maller

Regularity of digits and significant digits of random variables pp. 1723-1743

Theodore P. Hill and Klaus Schürger

2005, volume 115, articles 9

The standard Poisson disorder problem revisited pp. 1437-1450

Erhan Bayraktar, Savas Dayanik and Ioannis Karatzas

Regularity of diffusion coefficient for nearest neighbor asymmetric simple exclusion on pp. 1451-1474

Johel Beltrán

Gradient estimates and the first Neumann eigenvalue on manifolds with boundary pp. 1475-1486

Feng-Yu Wang

Reconstructing the drift of a diffusion from partially observed transition probabilities pp. 1487-1502

S. Albeverio and C. Marinelli

Frequently visited sets for random walks pp. 1503-1517

Endre Csáki, Antónia Földes, Pál Révész, Jay Rosen and Zhan Shi

Martingale approximations for continuous-time and discrete-time stationary Markov processes pp. 1518-1529

Hajo Holzmann

Hitting probabilities and hitting times for stochastic fluid flows pp. 1530-1556

Nigel G. Bean, Malgorzata M. O'Reilly and Peter G. Taylor

The L2-structures of standard and switching-regime GARCH models pp. 1557-1582

Christian Francq and ZakoI¨an, Jean-Michel

Stochastic currents pp. 1583-1601

Franco Flandoli, Massimiliano Gubinelli, Mariano Giaquinta and Vincenzo M. Tortorelli

2005, volume 115, articles 8

Random Oxford graphs pp. 1257-1278

Jonah Blasiak and Rick Durrett

Einstein relation for random walks in random environments pp. 1279-1301

T. Komorowski and S. Olla

Gravitational clustering and additive coalescence pp. 1302-1322

Christophe Giraud

Pinning by a sparse potential pp. 1323-1331

É. Janvresse, T. de la Rue and Y. Velenik

Large deviations for functionals of spatial point processes with applications to random packing and spatial graphs pp. 1332-1356

T. Schreiber and J.E. Yukich

Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise pp. 1357-1383

T.E. Duncan, B. Maslowski and B. Pasik-Duncan

Coupling for some partial differential equations driven by white noise pp. 1384-1407

Giuseppe Da Prato, Arnaud Debussche and Luciano Tubaro

Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models pp. 1408-1436

Vladislav B. Tadic and Arnaud Doucet

2005, volume 115, articles 7

On implicit and explicit discretization schemes for parabolic SPDEs in any dimension pp. 1073-1106

Annie Millet and Pierre-Luc Morien

Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient pp. 1107-1129

Khaled Bahlali, Hamadène, SaI¨d and Brahim Mezerdi

Uniform stability of autonomous linear stochastic functional differential equations in infinite dimensions pp. 1131-1165

Kai Liu

Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model pp. 1167-1186

H. Masuda and N. Yoshida

MDP for integral functionals of fast and slow processes with averaging pp. 1187-1207

A. Guillin and R. Liptser

Bad configurations for random walk in random scenery and related subshifts pp. 1209-1232

Frank den Hollander, Jeffrey E. Steif and Peter van der Wal

Exclusion processes with multiple interactions pp. 1233-1256

Yevgeniy Kovchegov

2005, volume 115, articles 6

Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions pp. 875-889

Ross G. Pinsky

Spatial coupling of neutral measure-valued population models pp. 891-906

Siva Athreya and Anita Winter

Bismut-Elworthy's formula and random walk representation for SDEs with reflection pp. 907-925

Jean-Dominique Deuschel and Lorenzo Zambotti

Random walks on unimodular p-adic groups pp. 927-937

Sami Mustapha

On linear processes with dependent innovations pp. 939-958

Wei Biao Wu and Wanli Min

Joint estimators for the specific intrinsic volumes of stationary random sets pp. 959-981

Volker Schmidt and Evgueni Spodarev

Statistical and renewal results for the random sequential adsorption model applied to a unidirectional multicracking problem pp. 983-1016

Pierre Calka, André Mézin and Pierre Vallois

The distribution of the local time for "pseudoprocesses" and its connection with fractional diffusion equations pp. 1017-1040

L. Beghin and E. Orsingher

Low regularity solutions to a gently stochastic nonlinear wave equation in nonequilibrium statistical mechanics pp. 1041-1059

Luc Rey-Bellet and Lawrence E. Thomas

2005, volume 115, articles 5

Optimal partially reversible investment with entry decision and general production function pp. 705-736

Xin Guo and Huyên Pham

Conditional convergence to infinitely divisible distributions with finite variance pp. 737-768

Jérôme Dedecker and Sana Louhichi

Sample path optimality for a Markov optimization problem pp. 769-779

F.Y. Hunt

A two-species competition model on pp. 781-796

George Kordzakhia and Steven P. Lalley

Super optimal rates for nonparametric density estimation via projection estimators pp. 797-826

F. Comte and F. Merlevède

Two-dimensional Gibbsian point processes with continuous spin symmetries pp. 827-848

Thomas Richthammer

Conditional limit theorems for queues with Gaussian input, a weak convergence approach pp. 849-873

A.B. Dieker

2005, volume 115, articles 4

Representations and regularities for solutions to BSDEs with reflections pp. 539-569

Jin Ma and Jianfeng Zhang

Convergence results for multivariate martingales pp. 571-577

Irene Crimaldi and Luca Pratelli

The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails pp. 579-591

Niels Richard Hansen and Anders Tolver Jensen

On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance pp. 593-607

Pierre Patie

Finite expiry Russian options pp. 609-638

J.J. Duistermaat, A.E. Kyprianou and K. van Schaik

Time-inhomogeneous affine processes pp. 639-659

Damir Filipovic

Partially exchangeable processes indexed by the vertices of a k-tree constructed via reinforcement pp. 661-677

Pietro Muliere, Piercesare Secchi and Stephen Walker

Upper-lower class tests and frequency results along subsequences pp. 679-700

István Berkes and Michel Weber

2005, volume 115, articles 3

Level crossings of a two-parameter random walk pp. 359-380

Davar Khoshnevisan, Pál Révész and Zhan Shi

A filtered no arbitrage model for term structures from noisy data pp. 381-400

Andrea Gombani, Stefan R. Jaschke and Wolfgang J. Runggaldier

On the ergodic decomposition for a class of Markov chains pp. 401-415

O.L.V. Costa and F. Dufour

Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations pp. 417-434

M. Scotto

Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients pp. 435-448

Xicheng Zhang

Particle picture approach to the self-intersection local time of density processes in pp. 449-479

Tomasz Bojdecki and Anna Talarczyk

An extension of the divergence operator for Gaussian processes pp. 481-492

Jorge A. León and David Nualart

Inner rates of coverage of Strassen type sets by increments of the uniform empirical and quantile processes pp. 493-537

Philippe Berthet

2005, volume 115, articles 2

Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals pp. 179-206

Iddo Ben-Ari and Ross G. Pinsky

Extremes of Gaussian processes over an infinite horizon pp. 207-248

A.B. Dieker

Extremal behavior of regularly varying stochastic processes pp. 249-274

Henrik Hult and Filip Lindskog

Large deviations of kernel density estimator in L1(Rd) for uniformly ergodic Markov processes pp. 275-298

Liangzhen Lei and Liming Wu

Minimal entropy preserves the Lévy property: how and why pp. 299-327

Felix Esche and Martin Schweizer

Harnesses, Lévy bridges and Monsieur Jourdain pp. 329-338

Roger Mansuy and Marc Yor

Uniform CLT for empirical process pp. 339-358

Samir Ben Hariz

2005, volume 115, articles 1

Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income pp. 1-30

Mark Schroder and Costis Skiadas

Equivalence of floating and fixed strike Asian and lookback options pp. 31-40

Ernst Eberlein and Antonis Papapantoleon

A comonotonic theorem for BSDEs pp. 41-54

Zengjing Chen, Reg Kulperger and Gang Wei

Dimension results for sample paths of operator stable Lévy processes pp. 55-75

Mark M. Meerschaert and Yimin Xiao

A construction of catalytic super-Brownian motion via collision local time pp. 77-90

Peter Mörters and Pascal Vogt

The 1/H-variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes pp. 91-115

João M.E. Guerra and David Nualart

Designing a contact process: the piecewise-homogeneous process on a finite set with applications pp. 117-153

Aaron B. Wagner and Venkat Anantharam

Nonparametric regression estimation for dependent functional data: asymptotic normality pp. 155-177

Elias Masry