Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

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2001, volume 93, articles 2

Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I pp. 181-204

Rainer Buckdahn and Jin Ma

Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part II pp. 205-228

Rainer Buckdahn and Jin Ma

On averaging principle for diffusion processes with null-recurrent fast component pp. 229-240

R. Khasminskii and N. Krylov

Burgers turbulence initialized by a regenerative impulse pp. 241-268

Matthias Winkel

On stochastic partial differential equations with spatially correlated noise: smoothness of the law pp. 269-284

D. Márquez-Carreras, M. Mellouk and M. Sarrà

Scaling limit solution of a fractional Burgers equation pp. 285-300

M. D. Ruiz-Medina, J. M. Angulo and V. V. Anh

On the surviving probability of an annihilating branching process and application to a nonlinear voter model pp. 301-316

Smail Alili and Irina Ignatiouk-Robert

A strong invariance principle for the logarithmic average of sample maxima pp. 317-337

Ingo Fahrner

Stationary Markov chains with linear regressions pp. 339-348

Wlodzimierz Bryc

Acknowledgement of priority pp. 349-349

Andrew T. A. Wood

2001, volume 93, articles 1

On the quantity and quality of single nucleotide polymorphisms in the human genome pp. 1-24

Richard Durrett and Vlada Limic

Asymptotic fluctuations of a particle system with singular interaction pp. 25-56

Stefan Israelsson

Homogenization of random parabolic operator with large potential pp. 57-85

Fabien Campillo, Marina Kleptsyna and Andrey Piatnitski

On the maximum of a subcritical branching process in a random environment pp. 87-107

V. I. Afanasyev

On Bernstein-type inequalities for martingales pp. 109-117

K. Dzhaparidze and J. H. van Zanten

Long strange segments in a long-range-dependent moving average pp. 119-148

Svetlozar T. Rachev and Gennady Samorodnitsky

Stochastic optimization under constraints pp. 149-180

Mohammed Mnif and Huyên Pham

2001, volume 92, articles 2

A strong invariance principle for two-dimensional random walk in random scenery pp. 181-200

Endre Csáki, Pál Révész and Zhan Shi

Polling systems in the critical regime pp. 201-218

Mikhail Menshikov and Sergei Zuyev

Stochastic flows of diffeomorphisms on manifolds driven by infinite-dimensional semimartingales with jumps pp. 219-236

David Applebaum and Fuchang Tang

On the behavior of solutions to certain parabolic SPDE's driven by wiener processes pp. 237-263

Benjamin Bergé, Igor D. Chueshov and Pierre-A. Vuillermot

Finite and infinite time ruin probabilities in a stochastic economic environment pp. 265-285

Harri Nyrhinen

Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging pp. 287-313

Arnaud Guillin

The periodogram of an i.i.d. sequence pp. 315-343

Gilles Fay and Philippe Soulier

Drift conditions and invariant measures for Markov chains pp. 345-354

R. L. Tweedie

2001, volume 92, articles 1

Limit distributions of some integral functionals for null-recurrent diffusions pp. 1-9

R. Khasminskii

Non-linear functionals of the Brownian bridge and some applications pp. 11-30

Corinne Berzin-Joseph, José R. León and Joaquín Ortega

Strong approximation of fractional Brownian motion by moving averages of simple random walks pp. 31-60

Tamás Szabados

Fluctuation of the transition density for Brownian motion on random recursive Sierpinski gaskets pp. 61-85

B. M. Hambly and Takashi Kumagai

Small ball probabilities for Gaussian Markov processes under the Lp-norm pp. 87-102

Wenbo V. Li

Free lunch and arbitrage possibilities in a financial market model with an insider pp. 103-130

Peter Imkeller, Monique Pontier and Ferenc Weisz

Large deviations for the Fleming-Viot process with neutral mutation and selection, II pp. 131-162

Donald A. Dawson and Shui Feng

Generalizations of bold play in red and black pp. 163-180

Marcus Pendergrass and Kyle Siegrist

2001, volume 91, articles 2

A partial introduction to financial asset pricing theory pp. 169-203

Philip Protter

Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems pp. 205-238

Liming Wu

On the small time large deviations of diffusion processes on configuration spaces pp. 239-254

T. S. Zhang

Differential equations with boundary conditions perturbed by a Poisson noise pp. 255-276

Aureli Alabert and Miguel A. Marmolejo

Locally adaptive fitting of semiparametric models to nonstationary time series pp. 277-308

Rainer Dahlhaus and Michael H. Neumann

Asymptotics of empirical processes of long memory moving averages with infinite variance pp. 309-336

Hira L. Koul and Donatas Surgailis

2001, volume 91, articles 1

Two-sided taboo limits for Markov processes and associated perfect simulation pp. 1-20

Peter W. Glynn and Hermann Thorisson

Recurrence and transience of multitype branching random walks pp. 21-37

F. P. Machado, M. V. Menshikov and S. Yu. Popov

The CLT for Markov chains with a countable state space embedded in the space lp pp. 39-46

Tsung-Hsi Tsai

On optional stopping of some exponential martingales for Lévy processes with or without reflection pp. 47-55

Søren Asmussen and Offer Kella

Rates of convergence in the functional CLT for multidimensional continuous time martingales pp. 57-76

B. Courbot

The logarithmic average of sample extremes is asymptotically normal pp. 77-98

István Berkes and Lajos Horvath

Stationary self-similar random fields on the integer lattice pp. 99-113

Zhiyi Chi

Generalization of Itô's formula for smooth nondegenerate martingales pp. 115-149

S. Moret and D. Nualart

On the simulation of iterated Itô integrals pp. 151-168

Tobias Rydén and Magnus Wiktorsson

2000, volume 90, articles 2

From metropolis to diffusions: Gibbs states and optimal scaling pp. 181-206

L. A. Breyer and G. O. Roberts

Absence of mutual unbounded growth for almost all parameter values in the two-type Richardson model pp. 207-222

Olle Häggström and Robin Pemantle

A one-dimensional Poisson growth model with non-overlapping intervals pp. 223-241

D. J. Daley, C. L. Mallows and L. A. Shepp

The necessary and sufficient conditions for various self-similar sets and their dimension pp. 243-262

Dihe Hu

Individual behaviors of oriented walks pp. 263-275

Aihua Fan

Weak convergence to the multiple Stratonovich integral pp. 277-300

Xavier Bardina and Maria Jolis

Approximation of optimal stopping problems pp. 301-325

Robert Kühne and Ludger Rüschendorf

A new method for proving weak convergence results applied to nonparametric estimators in survival analysis pp. 327-334

Jean-Yves Dauxois

The characteristic polynomial of a random permutation matrix pp. 335-346

B. M. Hambly, P. Keevash, N. O'Connell and D. Stark

2000, volume 90, articles 1

Boundary crossings and the distribution function of the maximum of Brownian sheet pp. 1-18

Endre Csáki, Davar Khoshnevisan and Zhan Shi

A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market pp. 19-42

M. Mania

An infinite system of Brownian balls with infinite range interaction pp. 43-66

Myriam Fradon, Sylvie Roelly and Hideki Tanemura

Convergence to the maximal invariant measure for a zero-range process with random rates pp. 67-81

E. D. Andjel, P. A. Ferrari, H. Guiol and Landim *, C.

On Lp-solutions of semilinear stochastic partial differential equations pp. 83-108

István Gyöngy and Carles Rovira

Chaotic and predictable representations for Lévy processes pp. 109-122

David Nualart and Wim Schoutens

Multiplicative ergodicity and large deviations for an irreducible Markov chain pp. 123-144

S. Balaji and S. P. Meyn

Suprema of compound Poisson processes with light tails pp. 145-156

Michael Braverman

Convergence of weighted sums of random variables with long-range dependence pp. 157-174

Vladas Pipiras and Murad S. Taqqu

The expected wet period of finite dam with exponential inputs pp. 175-180

Eui Yong Lee and Kimberly K. J. Kinateder