Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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Functional limit theorems for multitype branching processes and generalized Pólya urns pp. 177-245: Svante Janson
Isomorphism theorems for Markov chains pp. 247-258: Nathalie Eisenbaum
Ruin probabilities for a risk process with stochastic return on investments pp. 259-274: Kam C. Yuen, Guojing Wang and Kai W. Ng
Markov chain approximations to filtering equations for reflecting diffusion processes pp. 275-294: Michael A. Kouritzin, Hongwei Long and Wei Sun
Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure pp. 295-314: S. Y. Hwang and Tae Yoon Kim
Second-order expansion for the maximum of some stationary Gaussian sequences pp. 315-342: Ph. Barbe and W. P. McCormick

On long time behavior of some coagulation processes pp. 1-17: Nicolas Fournier, Bernard Roynette and Etienne Tanré
Support properties of super-Brownian motions with spatially dependent branching rate pp. 19-44: Yan-Xia Ren
Wall repulsion and mutual interface repulsion: a harmonic crystal model in high dimensions pp. 45-66: Daniela Bertacchi and Giambattista Giacomin
From dynamic to static large deviations in boundary driven exclusion particle systems pp. 67-81: Thierry Bodineau and Giambattista Giacomin
An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale pp. 83-110: Jan Oblój and Marc Yor
Hydrodynamic limit for a Fleming-Viot type system pp. 111-143: Ilie Grigorescu and Min Kang
A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE pp. 145-176: Antoine Lejay

A constrained non-linear regular-singular stochastic control problem, with applications pp. 167-187: Xin Guo, Jun Liu and Xun Yu Zhou
Some inequalities for p-variations of martingales pp. 189-201: Ming Fan
A simple construction of the fractional Brownian motion pp. 203-223: Nathanaël Enriquez
Consistency conditions for affine term structure models pp. 225-261: Sergei Levendorskii
Strong approximations of additive functionals of a planar Brownian motion pp. 263-293: Endre Csáki, Antónia Földes and Yueyun Hu
Q-Markov random probability measures and their posterior distributions pp. 295-316: R. M. Balan
Homogenization of a bond diffusion in a locally ergodic random environment pp. 317-326: S. Olla and P. Siri
Random integral representation of operator-semi-self-similar processes with independent increments pp. 327-344: Peter Becker-Kern

Time to absorption in discounted reinforcement models pp. 1-12: Robin Pemantle and Brian Skyrms
On small masses in self-similar fragmentations pp. 13-22: Jean Bertoin
Approximation of quantiles of components of diffusion processes pp. 23-46: Denis Talay and Ziyu Zheng
Gaussian moving averages, semimartingales and option pricing pp. 47-68: Patrick Cheridito
On the martingale framework for futures prices pp. 69-77: Vladimir Pozdnyakov and J. Michael Steele
Russian and American put options under exponential phase-type Lévy models pp. 79-111: Søren Asmussen, Florin Avram and Martijn R. Pistorius
On weighted branching processes in random environment pp. 113-144: Dirk Kuhlbusch
Local empirical spectral measure of multivariate processes with long range dependence pp. 145-166: Morten Nielsen

Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences pp. 155-202: Mark Schroder and Costis Skiadas
Sample path large deviations for a class of random currents pp. 203-228: Kazumasa Kuwada
The conditional central limit theorem in Hilbert spaces pp. 229-262: Jérôme Dedecker and Florence Merlevède
A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes pp. 263-298: Marco Fuhrman
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks pp. 299-325: Qihe Tang and Gurami Tsitsiashvili
Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative pp. 327-343: B. M. Hambly, G. Kersting and A. E. Kyprianou

Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes pp. 1-26: Sylvain Rubenthaler and Magnus Wiktorsson
Heat kernel estimates for stable-like processes on d-sets pp. 27-62: Zhen-Qing Chen and Takashi Kumagai
Fatou's Theorem for censored stable processes pp. 63-92: Panki Kim
Long-time behaviour of a stochastic prey-predator model pp. 93-107: Ryszard Rudnicki
Lp solutions of backward stochastic differential equations pp. 109-129: Ph. Briand, B. Delyon, Y. Hu, E. Pardoux and L. Stoica
Linear optimal prediction and innovations representations of hidden Markov models pp. 131-149: Sofia Andersson, Tobias Rydén and Rolf Johansson

On the optimal stopping problem for one-dimensional diffusions pp. 173-212: Savas Dayanik and Ioannis Karatzas
A multidimensional bipolar theorem in pp. 213-231: B. Bouchard and L. Mazliak
The great circle epidemic model pp. 233-268: Frank Ball and Peter Neal
A Gaussian correlation inequality and its applications to the existence of small ball constant pp. 269-287: Qi-Man Shao
Reconstructing a piece of scenery with polynomially many observations pp. 289-300: Heinrich Matzinger and Silke W. W. Rolles
Super Brownian motion with interactions pp. 301-325: Jean-François Delmas and Jean-Stéphane Dhersin
Equivalence of Volterra processes pp. 327-350: Fabrice Baudoin and David Nualart

Asymptotic behavior of the local score of independent and identically distributed random sequences pp. 1-28: Jean-Jacques Daudin, Marie Pierre Etienne and Pierre Vallois
Martingales and the distribution of the time to ruin pp. 29-51: Martin Jacobsen
Conditional expansions and their applications pp. 53-81: Nakahiro Yoshida
Domains of attraction for exponential families pp. 83-103: August A. Balkema, Claudia Klüppelberg and Sidney I. Resnick
Fixed points with finite variance of a smoothing transformation pp. 105-129: Amke Caliebe and Uwe Rösler
On doubly reflected completely asymmetric Lévy processes pp. 131-143: M. R. Pistorius
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations pp. 145-169: N. El-Karoui and S. Hamadène