International Journal of Stochastic Analysis

1987 - 2018

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Volume 2012, month December, 2012

Some Refinements of Existence Results for SPDEs Driven by Wiener Processes and Poisson Random Measures pp. 1-24

Stefan Tappe

A Decomposable Branching Process in a Markovian Environment pp. 1-24

Vladimir Vatutin, Elena Dyakonova, Peter Jagers and Serik Sagitov

Optimal Geometric Mean Returns of Stocks and Their Options pp. 1-8

Guoyi Zhang

Stochastic Methodology for the Study of an Epidemic Decay Phase, Based on a Branching Model pp. 1-32

Sophie Pénisson and Christine Jacob

Probabilistic Solution of the General Robin Boundary Value Problem on Arbitrary Domains pp. 1-17

Khalid Akhlil

A Stability Result for Stochastic Differential Equations Driven by Fractional Brownian Motions pp. 1-13

Bruno Saussereau

Birth and Death Processes with Neutral Mutations pp. 1-20

Nicolas Champagnat, Amaury Lambert and Mathieu Richard

A Feedback Retrial Queueing System with Two Types of Batch Arrivals pp. 1-20

R. Kalyanaraman

Performance Analysis of Production Systems with Correlated Demand via Diffusion Approximations pp. 1-12

Yingdong Lu

Volume 2012, month November, 2012

Survival Exponents for Some Gaussian Processes pp. 1-20

G. Molchan

Asymptotic Normality of a Hurst Parameter Estimator Based on the Modified Allan Variance pp. 1-20

Alessandra Bianchi, Massimo Campanino and Irene Crimaldi

Hypothesis Testing in a Fractional Ornstein-Uhlenbeck Model pp. 1-23

Michael Moers

Volume 2012, month October, 2012

The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers pp. 1-15

Chuancun Yin and Huiqing Wang

General LQG Homing Problems in One Dimension pp. 1-20

Mario Lefebvre and Foued Zitouni

Generalized Fractional Master Equation for Self-Similar Stochastic Processes Modelling Anomalous Diffusion pp. 1-14

Gianni Pagnini, Antonio Mura and Francesco Mainardi

Volume 2012, month September, 2012

Relations between Stochastic and Partial Differential Equations in Hilbert Spaces pp. 1-9

I. V. Melnikova and V. S. Parfenenkova

Volume 2012, month August, 2012

Consistent Price Systems in Multiasset Markets pp. 1-14

Florian Maris and Hasanjan Sayit

Bayes' Model of the Best-Choice Problem with Disorder pp. 1-8

Vladimir Mazalov and Evgeny Ivashko

A Dependent Hidden Markov Model of Credit Quality pp. 1-13

Małgorzata Wiktoria Korolkiewicz

An M/M/2 Queueing System with Heterogeneous Servers Including One with Working Vacation pp. 1-16

A. Krishnamoorthy and C. Sreenivasan

Asymptotic Stability of Semi-Markov Modulated Jump Diffusions pp. 1-17

Amogh Deshpande

Volume 2012, month June, 2012

Application of Stochastic Sensitivity Analysis to Integrated Force Method pp. 1-14

X. F. Wei and S. N. Patnaik

Volume 2012, month April, 2012

Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps pp. 1-50

Jingtao Shi

Volume 2012, month January, 2012

On Stochastic Equations with Measurable Coefficients Driven by Symmetric Stable Processes pp. 1-17

V. P. Kurenok

Volume 2011, month December, 2011

Optimal Selling of an Asset under Incomplete Information pp. 1-17

Erik Ekström and Bing Lu

A Class of Bridges of Iterated Integrals of Brownian Motion Related to Various Boundary Value Problems Involving the One-Dimensional Polyharmonic Operator pp. 1-32

Aimé Lachal

Regime-Switching Risk: To Price or Not to Price? pp. 1-14

Tak Kuen Siu

Volume 2011, month November, 2011

Existence Results for Stochastic Semilinear Differential Inclusions with Nonlocal Conditions pp. 1-17

A. Vinodkumar and A. Boucherif

Volume 2011, month September, 2011

Mild Solutions of Neutral Stochastic Partial Functional Differential Equations pp. 1-13

T. E. Govindan

Control of Dams Using Policies When the Input Process Is a Nonnegative Lévy Process pp. 1-17

Mohamed Abdel-Hameed

Volume 2011, month August, 2011

Blackwell Spaces and 𠜖 -Approximations of Markov Chains pp. 1-23

Giacomo Aletti and Diane Saada

Yule-Walker Estimation for the Moving-Average Model pp. 1-20

Chrysoula Dimitriou-Fakalou

Impulse Control of Proportional Reinsurance with Constraints pp. 1-13

Hui Meng and Tak Kuen Siu

Volume 2011, month July, 2011

Nonconservative Diffusions on [ 0, 1 ] with Killing and Branching: Applications to Wright-Fisher Models with or without Selection pp. 1-37

Thierry E. Huillet

Weather Derivatives and Stochastic Modelling of Temperature pp. 1-21

Fred Espen Benth and Jūratė Šaltytė Benth

Study of Thermodynamically Inspired Quantities for Both Thermal and External Colored Non-Gaussian Noises Driven Dynamical System pp. 1-25

Monoj Kumar Sen, Alendu Baura and Bidhan Chandra Bag

Volume 2011, month June, 2011

The Cauchy-Dirichlet Problem for a Class of Linear Parabolic Differential Equations with Unbounded Coefficients in an Unbounded Domain pp. 1-35

Gerardo Rubio

Asymptotics of Negative Exponential Moments for Annealed Brownian Motion in a Renormalized Poisson Potential pp. 1-43

Xia Chen and Alexey Kulik

Volume 2011, month May, 2011

Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps pp. 1-27

Anatoliy Swishchuk and Li Xu

Volume 2011, month April, 2011

A Stochastic Analysis of Hard Disk Drives pp. 1-21

Field Cady, Yi Zhuang and Mor Harchol-Balter

Maximizing the Mean Exit Time of a Brownian Motion from an Interval pp. 1-5

Mario Lefebvre

A Stochastic Two Species Competition Model: Nonequilibrium Fluctuation and Stability pp. 1-7

G. P. Samanta

Volume 2011, month March, 2011

A -Weibull Counting Process through a Fractional Differential Operator pp. 1-14

Kunnummal Muralidharan and Seema S. Nair

First Passage Time Moments of Jump-Diffusions with Markovian Switching pp. 1-11

Jun Peng and Zaiming Liu

Volume 2011, month February, 2011

Multiresolution Hilbert Approach to Multidimensional Gauss-Markov Processes pp. 1-89

Thibaud Taillefumier and Jonathan Touboul

Volume 2011, month January, 2011

Large Deviations for Stochastic Differential Equations on Associated with the Critical Sobolev Brownian Vector Fields pp. 1-19

Qinghua Wang

Optimal Harvesting When the Exchange Rate Is a Semimartingale pp. 1-19

E. R. Offen and E. M. Lungu

Volume 2010, month December, 2010

Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas pp. 1-21

Anatoliy Swishchuk and M. Shafiqul Islam

A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk pp. 1-18

Tak Kuen Siu

Volume 2010, month August, 2010

Stochastic Integration in Abstract Spaces pp. 1-7

J. K. Brooks and J. T. Kozinski

Volume 2010, month July, 2010

Portfolio Selection with Jumps under Regime Switching pp. 1-22

Lin Zhao

Volume 2010, month June, 2010

Optimal Control with Partial Information for Stochastic Volterra Equations pp. 1-25

Bernt øksendal and Tusheng Zhang

Stochastic Navier-Stokes Equations with Artificial Compressibility in Random Durations pp. 1-24

Hong Yin

Volume 2010, month May, 2010

Level Sets of Random Fields and Applications: Specular Points and Wave Crests pp. 1-22

Esteban Flores and José R. León R

Volume 2010, month March, 2010

Optimal Portfolios in Lévy Markets under State-Dependent Bounded Utility Functions pp. 1-27

José E. Figueroa-López and Jin Ma

The Rothe's Method to a Parabolic Integrodifferential Equation with a Nonclassical Boundary Conditions pp. 1-16

Abdelfatah Bouziani and Rachid Mechri

Random Trigonometric Polynomials with Nonidentically Distributed Coefficients pp. 1-10

K. Farahmand and T. Li

Volume 2010, month February, 2010

General Decay Stability for Stochastic Functional Differential Equations with Infinite Delay pp. 1-17

Yue Liu, Xuejing Meng and Fuke Wu

Synchronization of Dissipative Dynamical Systems Driven by Non-Gaussian Lévy Noises pp. 1-13

Xianming Liu, Jinqiao Duan, Jicheng Liu and Peter E. Kloeden