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International Journal of Stochastic Analysis

1988 - 2018

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Volume 2018, issue July, 2018

Regime-Switching Temperature Dynamics Model for Weather Derivatives pp. 1-15 Downloads
Samuel Asante Gyamerah, Dennis Ikpe and Philip Ngare

Volume 2017, issue July, 2017

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications pp. 1-16 Downloads
Raúl Merino and Josep Vives

Volume 2017, issue March, 2017

Malliavin Differentiability of Solutions of SPDEs with Lévy White Noise pp. 1-9 Downloads
Raluca M. Balan and Cheikh B. Ndongo

Volume 2017, issue February, 2017

Semigroup Solution of Path-Dependent Second-Order Parabolic Partial Differential Equations pp. 1-12 Downloads
Sixian Jin and Henry Schellhorn

Volume 2017, issue January, 2017

Global Stability of Nonlinear Stochastic SEI Epidemic Model with Fluctuations in Transmission Rate of Disease pp. 1-7 Downloads
Olusegun Michael Otunuga

Volume 2016, issue September, 2016

Asymptotic Time Averages and Frequency Distributions pp. 1-10 Downloads
Muhammad El-Taha
Generalisation of Hajek’s Stochastic Comparison Results to Stochastic Sums pp. 1-6 Downloads
Jörg Kampen

Volume 2016, issue August, 2016

A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization pp. 1-11 Downloads
Francesco Cordoni and Luca Di Persio

Volume 2016, issue July, 2016

Optimal Bounds for the Variance of Self-Intersection Local Times pp. 1-10 Downloads
George Deligiannidis and Sergey Utev
Stochastic Analysis of Gaussian Processes via Fredholm Representation pp. 1-15 Downloads
Tommi Sottinen and Lauri Viitasaari
Analysis of a Priority Queue with Phase-Type Service and Failures pp. 1-11 Downloads
Alexander Dudin and Sergei Dudin

Volume 2016, issue March, 2016

Multiserver Queue with Guard Channel for Priority and Retrial Customers pp. 1-23 Downloads
Kazuki Kajiwara and Tuan Phung-Duc

Volume 2015, issue October, 2015

Large Deviation Analysis of a Droplet Model Having a Poisson Equilibrium Distribution pp. 1-15 Downloads
Richard S. Ellis and Shlomo Ta’asan

Volume 2015, issue July, 2015

Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes pp. 1-15 Downloads
Rehez Ahlip and Ante Prodan
On Continuous Selection Sets of Non-Lipschitzian Quantum Stochastic Evolution Inclusions pp. 1-5 Downloads
Sheila Bishop

Volume 2015, issue June, 2015

A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models pp. 1-11 Downloads
Raúl Merino and Josep Vives

Volume 2015, issue April, 2015

Stochastic Nonlinear Equations Describing the Mesoscopic Voltage-Gated Ion Channels pp. 1-13 Downloads
Mauricio Tejo

Volume 2015, issue February, 2015

Asymptotic Stabilizability of a Class of Stochastic Nonlinear Hybrid Systems pp. 1-9 Downloads
Ewelina Seroka
A Comparative Numerical Study of the Spectral Theory Approach of Nishimura and the Roots Method Based on the Analysis of BDMMAP/G/1 Queue pp. 1-9 Downloads
Arunava Maity and U. C. Gupta
A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility pp. 1-21 Downloads
Daniel Bonetti, Dorival Leão, Alberto Ohashi and Vinícius Siqueira

Volume 2015, issue January, 2015

A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment pp. 1-11 Downloads
Tak Kuen Siu
Yamada-Watanabe Results for Stochastic Differential Equations with Jumps pp. 1-23 Downloads
Mátyás Barczy, Zenghu Li and Gyula Pap

Volume 2014, issue December, 2014

Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations pp. 1-5 Downloads
Alimorad Mahmoudi
Strong Law of Large Numbers for Hidden Markov Chains Indexed by an Infinite Tree with Uniformly Bounded Degrees pp. 1-6 Downloads
Huilin Huang
On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale pp. 1-7 Downloads
Haifeng Yang and Tin Lam Toh

Volume 2014, issue November, 2014

A Note on the Distribution of Multivariate Brownian Extrema pp. 1-6 Downloads
Marcos Escobar and Julio Hernandez
Optimal Foreign Exchange Rate Intervention in Lévy Markets pp. 1-8 Downloads
Masimba Aspinas Mutakaya, Eriyoti Chikodza and Edward T. Chiyaka

Volume 2014, issue October, 2014

A Discrete-Time Queue with Balking, Reneging, and Working Vacations pp. 1-8 Downloads
Veena Goswami
Limit Properties of Transition Functions of Continuous-Time Markov Branching Processes pp. 1-10 Downloads
Azam A. Imomov

Volume 2014, issue September, 2014

A Semigroup Expansion for Pricing Barrier Options pp. 1-15 Downloads
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems pp. 1-11 Downloads
Francesco Cordoni and Luca Di Persio

Volume 2014, issue July, 2014

Efficient Variable Step Size Approximations for Strong Solutions of Stochastic Differential Equations with Additive Noise and Time Singularity pp. 1-6 Downloads
Harry Randolph Hughes and Pathiranage Lochana Siriwardena

Volume 2014, issue May, 2014

A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet pp. 1-16 Downloads
Boualem Djehiche and Ali Hamdi

Volume 2014, issue April, 2014

Influence of Gestation Delay and Predator’s Interference in Predator-Prey Interaction under Stochastic Environment pp. 1-9 Downloads
Debaldev Jana

Volume 2014, issue March, 2014

Diffusion Processes Satisfying a Conservation Law Constraint pp. 1-9 Downloads
J. Bakosi and J. R. Ristorcelli
with Setup Time, Bernoulli Vacation, Break Down, and Delayed Repair pp. 1-12 Downloads
G. Ayyappan and S. Shyamala
From Pseudorandom Walk to Pseudo-Brownian Motion: First Exit Time from a One-Sided or a Two-Sided Interval pp. 1-49 Downloads
Aimé Lachal

Volume 2014, issue February, 2014

SPDEs with -Stable Lévy Noise: A Random Field Approach pp. 1-22 Downloads
Raluca M. Balan

Volume 2014, issue January, 2014

The Relationship between the Stochastic Maximum Principle and the Dynamic Programming in Singular Control of Jump Diffusions pp. 1-17 Downloads
Farid Chighoub and Brahim Mezerdi

Volume 2013, issue December, 2013

Measure-Dependent Stochastic Nonlinear Beam Equations Driven by Fractional Brownian Motion pp. 1-16 Downloads
Mark A. McKibben
Sharp Large Deviation for the Energy of -Brownian Bridge pp. 1-4 Downloads
Shoujiang Zhao, Qiaojing Liu, Fuxiang Liu and Hong Yin
Some Limit Properties of the Harmonic Mean of Transition Probabilities for Markov Chains in Markovian Environments Indexed by Cayley's Trees pp. 1-5 Downloads
Huilin Huang

Volume 2013, issue November, 2013

Online Stochastic Convergence Analysis of the Kalman Filter pp. 1-9 Downloads
Matthew B. Rhudy and Yu Gu
Foundations of the Theory of Semilinear Stochastic Partial Differential Equations pp. 1-25 Downloads
Stefan Tappe
Analysis of Queue-Length Dependent Vacations and P-Limited Service in BMAP/G/1/ N Systems: Stationary Distributions and Optimal Control pp. 1-14 Downloads
A. D. Banik

Volume 2013, issue September, 2013

The BALM Copula pp. 1-6 Downloads
Boyan Dimitrov and Nikolai Kolev
Stability Analysis of a Stochastic SIR Epidemic Model with Specific Nonlinear Incidence Rate pp. 1-4 Downloads
Jihad Adnani, Khalid Hattaf and Noura Yousfi

Volume 2013, issue August, 2013

The LMI Approach for Stabilizing of Linear Stochastic Systems pp. 1-5 Downloads
Ivan Ivanov

Volume 2013, issue April, 2013

The Itô Integral with respect to an Infinite Dimensional Lévy Process: A Series Approach pp. 1-14 Downloads
Stefan Tappe
A Stochastic Diffusion Process for the Dirichlet Distribution pp. 1-7 Downloads
J. Bakosi and J. R. Ristorcelli

Volume 2013, issue March, 2013

Applications of Stochastic Processes in Biology and Medicine pp. 1-2 Downloads
Charles J. Mode, Rick Durrett, Fima Klebaner and Peter Olofsson
Modeling Neutral Evolution Using an Infinite-Allele Markov Branching Process pp. 1-10 Downloads
Xiaowei Wu and Marek Kimmel
Simulating the Emergence of Mutations and Their Subsequent Evolution in an Age-Structured Stochastic Self-Regulating Process with Two Sexes pp. 1-23 Downloads
Charles J. Mode, Candace K. Sleeman and Towfique Raj
Filtering for Discrete-Time Stochastic Systems with Nonlinear Sensor and Time-Varying Delay pp. 1-9 Downloads
Mingang Hua, Pei Cheng, Juntao Fei, Jianyong Zhang and Junfeng Chen
Risk of Infectious Disease Outbreaks by Imported Cases with Application to the European Football Championship 2012 pp. 1-9 Downloads
Attila Dénes, Péter Kevei, Hiroshi Nishiura and Gergely Röst

Volume 2013, issue February, 2013

Asymptotic Behavior of Densities for Stochastic Functional Differential Equations pp. 1-17 Downloads
Akihiro Kitagawa and Atsushi Takeuchi
Time Reversal of Volterra Processes Driven Stochastic Differential Equations pp. 1-13 Downloads
L. Decreusefond
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