Stochastic Processes and their Applications

1973 - 2025

Current editor(s): T. Mikosch

From Elsevier
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volume 100, articles 1-2

Scaling exponents of random walks in random sceneries pp. 3-25

Didier Piau

Liouville theorem and coupling on negatively curved Riemannian manifolds pp. 27-39

Feng-Yu Wang

On sequential estimation for branching processes with immigration pp. 41-51

Yongcheng Qi and Jaxk Reeves

Almost sure exponential behaviour for a parabolic SPDE on a manifold pp. 53-74

Samy Tindel and Frederi Viens

On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts pp. 75-107

Florin Avram, Terence Chan and Miguel Usabel

Conditioned stochastic differential equations: theory, examples and application to finance pp. 109-145

Fabrice Baudoin

On mixtures of distributions of Markov chains pp. 147-165

Sandra Fortini, Lucia Ladelli, Giovanni Petris and Eugenio Regazzini

On AR(1) models with periodic and almost periodic coefficients pp. 167-185

H. Hurd, A. Makagon and A. G. Miamee

Whittle estimation in a heavy-tailed GARCH(1,1) model pp. 187-222

Thomas Mikosch and Daniel Straumann

Self-similar processes with independent increments associated with Lévy and Bessel processes pp. 223-231

M. Jeanblanc, Jim Pitman and M. Yor

A stochastic maximum principle for processes driven by fractional Brownian motion pp. 233-253

Francesca Biagini, Yaozhong Hu, Bernt Øksendal and Agnès Sulem

Stable limits of empirical processes of moving averages with infinite variance pp. 255-274

Donatas Surgailis

ARCH-type bilinear models with double long memory pp. 275-300

Liudas Giraitis and Donatas Surgailis

Solution of a roulette-type ruin problem--a correction to: a rule of thumb (not only) for gamblers pp. 301-311

Andrzej S. Kozek