Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2004, volume 114, articles 2

Point processes associated with stationary stable processes pp. 191-209

Sidney Resnick and Gennady Samorodnitsky

Diffusion local time storage pp. 211-229

M. Kozlova and P. Salminen

Limit theorem for maximum of the storage process with fractional Brownian motion as input pp. 231-250

Jürg Hüsler and Vladimir Piterbarg

A model of the term structure of interest rates based on Lévy fields pp. 251-263

Sergio Albeverio, Eugene Lytvynov and Andrea Mahnig

Properties of American option prices pp. 265-278

Erik Ekström

On the infinite differentiability of the right edge in the supercritical oriented percolation pp. 279-286

Yu Zhang

A central limit theorem for the optimal selection process for monotone subsequences of maximum expected length pp. 287-311

F. Thomas Bruss and Freddy Delbaen

Lq(Lp) theory and Hölder estimates for parabolic SPDEs pp. 313-330

Kyeong-Hun Kim

An approximation result for a nonlinear Neumann boundary value problem via BSDEs pp. 331-350

B. Boufoussi and J. van Casteren

2004, volume 114, articles 1

Metastability under stochastic dynamics pp. 1-26

F. den Hollander

Elementary fixed points of the BRW smoothing transforms with infinite number of summands pp. 27-50

Aleksander M. Iksanov

Modified logarithmic Sobolev inequalities for some models of random walk pp. 51-79

Sharad Goel

Recurrent lines in two-parameter isotropic stable Lévy sheets pp. 81-107

Robert C. Dalang and Davar Khoshnevisan

Explicit solutions of some utility maximization problems in incomplete markets pp. 109-125

Michael Tehranchi

Compact interface property for symbiotic branching pp. 127-160

Alison M. Etheridge and Klaus Fleischmann

Asymptotic theory of noncentered mixing stochastic differential equations pp. 161-174

Jeong-Hoon Kim

The serial harness interacting with a wall pp. 175-190

Pablo A. Ferrari, Luiz R. G. Fontes, Beat M. Niederhauser and Marina Vachkovskaia

2004, volume 113, articles 2

Approximating the Reed-Frost epidemic process pp. 173-197

A. D. Barbour and Sergey Utev

Interpolation for partly hidden diffusion processes pp. 199-216

Changsun Choi and Dougu Nam

Law of large numbers for the simple exclusion process pp. 217-233

E. Andjel, P. A. Ferrari and A. Siqueira

Stochastic averaging and asymptotic behavior of the stochastic Duffing-van der Pol equation pp. 235-272

Peter H. Baxendale

Evaluating the small deviation probabilities for subordinated Lévy processes pp. 273-287

Werner Linde and Zhan Shi

Robustness of time reversal for waves in time-dependent random media pp. 289-313

Daniel G. Alfaro Vigo, Jean-Pierre Fouque, Josselin Garnier and André Nachbin

On the ruin probability for physical fractional Brownian motion pp. 315-332

J. Hüsler and Vladimir Piterbarg

Fractional Brownian motion as a weak limit of Poisson shot noise processes--with applications to finance pp. 333-351

Claudia Klüppelberg and Christoph Kühn

2004, volume 113, articles 1

Fluctuations of the free energy in the high temperature Hopfield model pp. 1-35

Francis Comets, Irina Kurkova and José Trashorras

On weak uniqueness for some diffusions with discontinuous coefficients pp. 37-64

N. V. Krylov

An infinite stochastic model of social network formation pp. 65-80

Thomas M. Liggett and Silke W. W. Rolles

Surface order large deviations for 2D FK-percolation and Potts models pp. 81-99

Olivier Couronné and Reda Jürg Messikh

Diffusion processes on an open book and the averaging principle pp. 101-126

M. I. Freidlin and A. D. Wentzell

Approximations to generalized renewal measures pp. 127-142

Albert Vexler

Stochastic volatility and fractional Brownian motion pp. 143-172

A. Gloter and Marc Hoffmann

2004, volume 112, articles 2

Dynamic coherent risk measures pp. 185-200

Frank Riedel

Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme pp. 201-223

Emmanuel Gobet and Stephane Menozzi

Simulating the ruin probability of risk processes with delay in claim settlement pp. 225-244

G. L. Torrisi

Ergodicity of Lévy flows pp. 245-259

Anilesh Mohari

On stochastic partial differential equations with variable coefficients in C1 domains pp. 261-283

Kyeong-Hun Kim

Fluctuation exponents and large deviations for directed polymers in a random environment pp. 285-308

Philippe Carmona and Yueyun Hu

Limit behaviour for a supercritical bisexual Galton-Watson branching process with population-size-dependent mating pp. 309-317

M. Molina, M. Mota and A. Ramos

Zero-sum dynamic games and a stochastic variation of Ramsey's theorem pp. 319-329

Eran Shmaya and Eilon Solan

Anticipative stochastic integration based on time-space chaos pp. 331-355

Giovanni Peccati

2004, volume 112, articles 1

Coherent and convex monetary risk measures for bounded càdlàg processes pp. 1-22

Patrick Cheridito, Freddy Delbaen and Michael Kupper

Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coefficients pp. 23-51

Ying Hu and JinJin Ma

Ruin probabilities and penalty functions with stochastic rates of interest pp. 53-78

Jun Cai

A further remark on dynamic programming for partially observed Markov processes pp. 79-93

V.S.Vivek S. Borkar and Amarjit Budhiraja

Heat equation with strongly inhomogeneous noise pp. 95-118

Henryk Zähle

Uniqueness for a weak nonlinear evolution equation and large deviations for diffusing particles with electrostatic repulsion pp. 119-144

J. Fontbona

Further scaling exponents of random walks in random sceneries pp. 145-155

Didier Piau

Tail probabilities of subadditive functionals on stable processes with continuous and discrete time pp. 157-183

Michael Braverman

2004, volume 111, articles 2

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations pp. 175-206

Bruno Bouchard and Nizar Touzi

A regularity condition and a limit theorem for Harris ergodic Markov chains pp. 207-235

J.D.Jorge D. Samur

Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times pp. 237-258

A. Baltrunas, D. J. Daley and C. Klüppelberg

Random clouds and an application to censoring in survival analysis pp. 259-279

B.G.B. Gail Ivanoff and Ely Merzbach

On the derivation of a linear Boltzmann equation from a periodic lattice gas pp. 281-315

Valeria Ricci and Bernt Wennberg

Best choice from the planar Poisson process pp. 317-354

A.V.Alexander V. Gnedin

2004, volume 111, articles 1

Stochastic differential equations driven by stable processes for which pathwise uniqueness fails pp. 1-15

Richard F. Bass, Krzysztof Burdzy and Zhen-Qing Chen

An optimal Skorokhod embedding for diffusions pp. 17-39

A. M. G. Cox and D. G. Hobson

Rate of convergence of some self-attracting diffusions pp. 41-55

Samuel Herrmann and Michael Scheutzow

A representation formula for transition probability densities of diffusions and applications pp. 57-76

Zhongmin Qian and Weian Zheng

A new multivariate transform and the distribution of a random functional of a Ferguson-Dirichlet process pp. 77-95

Thomas J. Jiang, James M. Dickey and Kun-Lin Kuo

Large void zones and occupation times for coalescing random walks pp. 97-118

Endre Csáki, Pál Révész and Zhan Shi

On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion pp. 119-156

Antoine Ayache and Jacques Lévy Véhel

On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications pp. 157-173

B. Bercu