Stochastic Processes and their Applications
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2002, Volume 97, Issue 1
- 111-145 Adaptive estimation of mean and volatility functions in (auto-)regressive models
by Comte, F. & Rozenholc, Y.
- 147-170 Rate of convergence for parametric estimation in a stochastic volatility model
by Hoffmann, Marc
2001, Volume 96, Issue 2
- 177-190 A signal-recovery system: asymptotic properties, and construction of an infinite-volume process
by van den Berg, J. & Tóth, B.
- 191-211 Annealed survival asymptotics for Brownian motion in a scaled Poissonian potential
by Merkl, Franz & Wüthrich, Mario V.
- 213-242 Coloring percolation clusters at random
by Häggström, Olle
- 243-259 Refined distributional approximations for the uncovered set in the Johnson-Mehl model
by Erhardsson, Torkel
- 261-284 Weakly pinned random walk on the wall: pathwise descriptions of the phase transition
by Isozaki, Yasuki & Yoshida, Nobuo
- 285-304 Brownian analogues of Burke's theorem
by O'Connell, Neil & Yor, Marc
- 305-312 The Azéma-Yor embedding in non-singular diffusions
by Pedersen, J. L. & Peskir, G.
- 313-342 Optimal rules for the sequential selection of monotone subsequences of maximum expected length
by Bruss, F. Thomas & Delbaen, Freddy
2001, Volume 96, Issue 1
- 1-16 A generalization of functional law of the iterated logarithm for (r,p)-capacities on the Wiener space
by Wang, Wensheng
- 17-72 Self-intersection local time of order k for Gaussian processes in
by Talarczyk, Anna
- 73-98 Local approximations of Markov random walks by diffusions
by Konakov, Valentin & Mammen, Enno
- 99-121 Convergence of locally and globally interacting Markov chains
by Föllmer, Hans & Horst, Ulrich
- 123-142 Limit theorems for iterated random functions by regenerative methods
by Alsmeyer, Gerold & Fuh, Cheng-Der
- 143-159 Large deviations for martingales
by Lesigne, Emmanuel & Volný, Dalibor
- 161-175 On estimation of time dependent spatial signal in Gaussian white noise
by Chow, P. -L. & Khasminskii, R. & Liptser, R.
2001, Volume 95, Issue 2
- 177-202 Sharp estimates and a central limit theorem for the invariant law for a large star-shaped loss network
by Graham, Carl
- 203-217 Moderate deviations for Markov chains with atom
by Djellout, H. & Guillin, A.
- 219-233 Lyapunov exponents of nilpotent Itô systems with random coefficients
by Baxendale, Peter H. & Goukasian, Levon
- 235-244 Percolation diffusion
by Lundh, Torbjörn
- 245-283 Anticipative Markovian transformations on the Poisson space
by Nicaise, Florent
- 285-309 Long-time behaviour of nonautonomous SPDE's
by Maslowski, Bohdan & Simão, Isabel
- 311-328 Strassen's law of the iterated logarithm for negatively associated random vectors
by Zhang, Li-Xin
- 329-341 Distributions for the risk process with a stochastic return on investments
by Wang, Guojing & Wu, Rong
2001, Volume 95, Issue 1
- 1-24 Ergodic properties of the nonlinear filter
by Budhiraja, A.
- 25-54 Optimal speed of detection in generalized Wiener disorder problems
by Vellekoop, M. H. & Clark, J. M. C.
- 55-61 An analytic proof of the preservation of the up-shifted likelihood ratio order under convolutions
by Hu, Taizhong & Zhu, Zegang
- 63-81 Invariance principles for adaptive self-normalized partial sums processes
by Rackauskas, Alfredas & Suquet, Charles
- 83-107 Asymptotic properties and absolute continuity of laws stable by random weighted mean
by Liu, Quansheng
- 109-132 Logarithmic Sobolev inequalities for some nonlinear PDE's
by Malrieu, F.
- 133-149 Forward and backward diffusion approximations for haploid exchangeable population models
by Möhle, M.
- 151-176 Applications of the continuous-time ballot theorem to Brownian motion and related processes
by Schweinsberg, Jason
2001, Volume 94, Issue 2
- 171-197 Annealed large deviations for diffusions in a random Gaussian shear flow drift
by Castell, F. & Pradeilles, F.
- 199-239 On random perturbations of Hamiltonian systems with many degrees of freedom
by Freidlin, Mark & Weber, Matthias
- 241-270 Local hitting and conditioning in symmetric interval partitions
by Kallenberg, Olav
- 271-300 On extremes and streams of upcrossings
by Albin, J. M. P.
- 301-315 Tanaka formula for the fractional Brownian motion
by Coutin, Laure & Nualart, David & Tudor, Ciprian A.
- 317-337 Euler's approximations of solutions of SDEs with reflecting boundary
by Slominski, Leszek
- 339-354 On the existence and uniqueness of solutions to stochastic differential equations of mixed Brownian and Poissonian sheet type
by Liu, Jicheng
2001, Volume 94, Issue 1
- 1-27 Fluctuations for [backward difference][phi] interface model on a wall
by Funaki, Tadahisa & Olla, Stefano
- 29-49 Lyapunov exponents of Poisson shot-noise velocity fields
by Çaglar, Mine & Çinlar, Erhan
- 51-70 Moderate deviations for Markovian occupation times
by Chen, Xia
- 71-93 Joint distributions of the maximum and the process for higher-order diffusions
by Beghin, L. & Orsingher, E. & Ragozina, T.
- 95-103 An adaptive simulated annealing algorithm
by Gong, Guanglu & Liu, Yong & Qian, Minping
- 105-134 A universal result in almost sure central limit theory
by Berkes, István & Csáki, Endre
- 135-154 Convergence in probability and almost sure with applications
by Cohn, Harry
- 155-170 Note on the knapsack Markov chain
by Löwe, Matthias & Meise, Christian
2001, Volume 93, Issue 2
- 181-204 Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I
by Buckdahn, Rainer & Ma, Jin
- 205-228 Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part II
by Buckdahn, Rainer & Ma, Jin
- 229-240 On averaging principle for diffusion processes with null-recurrent fast component
by Khasminskii, R. & Krylov, N.
- 241-268 Burgers turbulence initialized by a regenerative impulse
by Winkel, Matthias
- 269-284 On stochastic partial differential equations with spatially correlated noise: smoothness of the law
by Márquez-Carreras, D. & Mellouk, M. & Sarrà, M.
- 285-300 Scaling limit solution of a fractional Burgers equation
by Ruiz-Medina, M. D. & Angulo, J. M. & Anh, V. V.
- 301-316 On the surviving probability of an annihilating branching process and application to a nonlinear voter model
by Alili, Smail & Ignatiouk-Robert, Irina
- 317-337 A strong invariance principle for the logarithmic average of sample maxima
by Fahrner, Ingo
- 339-348 Stationary Markov chains with linear regressions
by Bryc, Wlodzimierz
- 349-349 Acknowledgement of priority
by Wood, Andrew T. A.
2001, Volume 93, Issue 1
- 1-24 On the quantity and quality of single nucleotide polymorphisms in the human genome
by Durrett, Richard & Limic, Vlada
- 25-56 Asymptotic fluctuations of a particle system with singular interaction
by Israelsson, Stefan
- 57-85 Homogenization of random parabolic operator with large potential
by Campillo, Fabien & Kleptsyna, Marina & Piatnitski, Andrey
- 87-107 On the maximum of a subcritical branching process in a random environment
by Afanasyev, V. I.
- 109-117 On Bernstein-type inequalities for martingales
by Dzhaparidze, K. & van Zanten, J. H.
- 119-148 Long strange segments in a long-range-dependent moving average
by T. Rachev, Svetlozar & Samorodnitsky, Gennady
- 149-180 Stochastic optimization under constraints
by Mnif, Mohammed & Pham, Huyên
2001, Volume 92, Issue 2
- 181-200 A strong invariance principle for two-dimensional random walk in random scenery
by Csáki, Endre & Révész, Pál & Shi, Zhan
- 201-218 Polling systems in the critical regime
by Menshikov, Mikhail & Zuyev, Sergei
- 219-236 Stochastic flows of diffeomorphisms on manifolds driven by infinite-dimensional semimartingales with jumps
by Applebaum, David & Tang, Fuchang
- 237-263 On the behavior of solutions to certain parabolic SPDE's driven by wiener processes
by Bergé, Benjamin & D. Chueshov, Igor & Vuillermot, Pierre-A.
- 265-285 Finite and infinite time ruin probabilities in a stochastic economic environment
by Nyrhinen, Harri
- 287-313 Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging
by Guillin, Arnaud
- 315-343 The periodogram of an i.i.d. sequence
by Fay, Gilles & Soulier, Philippe
- 345-354 Drift conditions and invariant measures for Markov chains
by Tweedie, R. L.
2001, Volume 92, Issue 1
- 1-9 Limit distributions of some integral functionals for null-recurrent diffusions
by Khasminskii, R.
- 11-30 Non-linear functionals of the Brownian bridge and some applications
by Berzin-Joseph, Corinne & León, José R. & Ortega, Joaquín
- 31-60 Strong approximation of fractional Brownian motion by moving averages of simple random walks
by Szabados, Tamás
- 61-85 Fluctuation of the transition density for Brownian motion on random recursive Sierpinski gaskets
by Hambly, B. M. & Kumagai, Takashi
- 87-102 Small ball probabilities for Gaussian Markov processes under the Lp-norm
by V. Li, Wenbo
- 103-130 Free lunch and arbitrage possibilities in a financial market model with an insider
by Imkeller, Peter & Pontier, Monique & Weisz, Ferenc
- 131-162 Large deviations for the Fleming-Viot process with neutral mutation and selection, II
by A. Dawson, Donald & Feng, Shui
- 163-180 Generalizations of bold play in red and black
by Pendergrass, Marcus & Siegrist, Kyle
2001, Volume 91, Issue 2
- 169-203 A partial introduction to financial asset pricing theory
by Protter, Philip
- 205-238 Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems
by Wu, Liming
- 239-254 On the small time large deviations of diffusion processes on configuration spaces
by Zhang, T. S.
- 255-276 Differential equations with boundary conditions perturbed by a Poisson noise
by Alabert, Aureli & Marmolejo, Miguel A.
- 277-308 Locally adaptive fitting of semiparametric models to nonstationary time series
by Dahlhaus, Rainer & Neumann, Michael H.
- 309-336 Asymptotics of empirical processes of long memory moving averages with infinite variance
by Koul, Hira L. & Surgailis, Donatas
2001, Volume 91, Issue 1
- 1-20 Two-sided taboo limits for Markov processes and associated perfect simulation
by Glynn, Peter W. & Thorisson, Hermann
- 21-37 Recurrence and transience of multitype branching random walks
by Machado, F. P. & Menshikov, M. V. & Popov, S. Yu.
- 39-46 The CLT for Markov chains with a countable state space embedded in the space lp
by Tsai, Tsung-Hsi
- 47-55 On optional stopping of some exponential martingales for Lévy processes with or without reflection
by Asmussen, Søren & Kella, Offer
- 57-76 Rates of convergence in the functional CLT for multidimensional continuous time martingales
by Courbot, B.
- 77-98 The logarithmic average of sample extremes is asymptotically normal
by Berkes, István & Horváth, Lajos
- 99-113 Stationary self-similar random fields on the integer lattice
by Chi, Zhiyi
- 115-149 Generalization of Itô's formula for smooth nondegenerate martingales
by Moret, S. & Nualart, D.
- 151-168 On the simulation of iterated Itô integrals
by Rydén, Tobias & Wiktorsson, Magnus
2000, Volume 90, Issue 2
- 181-206 From metropolis to diffusions: Gibbs states and optimal scaling
by Breyer, L. A. & Roberts, G. O.
- 207-222 Absence of mutual unbounded growth for almost all parameter values in the two-type Richardson model
by Häggström, Olle & Pemantle, Robin
- 223-241 A one-dimensional Poisson growth model with non-overlapping intervals
by Daley, D. J. & Mallows, C. L. & Shepp, L. A.
- 243-262 The necessary and sufficient conditions for various self-similar sets and their dimension
by Hu, Dihe
- 263-275 Individual behaviors of oriented walks
by Fan, Aihua
- 277-300 Weak convergence to the multiple Stratonovich integral
by Bardina, Xavier & Jolis, Maria
- 301-325 Approximation of optimal stopping problems
by Kühne, Robert & Rüschendorf, Ludger
- 327-334 A new method for proving weak convergence results applied to nonparametric estimators in survival analysis
by Dauxois, Jean-Yves
- 335-346 The characteristic polynomial of a random permutation matrix
by Hambly, B. M. & Keevash, P. & O'Connell, N. & Stark, D.
2000, Volume 90, Issue 1
- 1-18 Boundary crossings and the distribution function of the maximum of Brownian sheet
by Csáki, Endre & Khoshnevisan, Davar & Shi, Zhan
- 19-42 A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market
by Mania, M.
- 43-66 An infinite system of Brownian balls with infinite range interaction
by Fradon, Myriam & Roelly, Sylvie & Tanemura, Hideki
- 67-81 Convergence to the maximal invariant measure for a zero-range process with random rates
by Andjel, E. D. & Ferrari, P. A. & Guiol, H. & Landim *, C.
- 83-108 On Lp-solutions of semilinear stochastic partial differential equations
by Gyöngy, István & Rovira, Carles
- 109-122 Chaotic and predictable representations for Lévy processes
by Nualart, David & Schoutens, Wim
- 123-144 Multiplicative ergodicity and large deviations for an irreducible Markov chain
by Balaji, S. & Meyn, S. P.
- 145-156 Suprema of compound Poisson processes with light tails
by Braverman, Michael
- 157-174 Convergence of weighted sums of random variables with long-range dependence
by Pipiras, Vladas & Taqqu, Murad S.
- 175-180 The expected wet period of finite dam with exponential inputs
by Lee, Eui Yong & Kinateder, Kimberly K. J.
2000, Volume 89, Issue 2
- 175-191 Empirical law of the iterated logarithm for Markov chains with a countable state space
by Tsai, Tsung-Hsi
- 193-211 Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains
by Senoussi, R.
- 213-226 Yang-Mills fields and stochastic parallel transport in small geodesic balls
by Bauer, Robert Otto
- 227-237 Absolute continuity of catalytic measure-valued branching processes
by Klenke, Achim
- 239-260 Reflecting Brownian snake and a Neumann-Dirichlet problem
by Abraham, Romain
- 261-268 Diffusive clustering of interacting Brownian motions on
by Klenke, Achim
- 269-285 Capacitary moduli for Lévy processes and intersections
by Rosen, Jay
- 287-303 Asymptotic behaviour of Gaussian processes with integral representation
by Garet, Olivier
- 305-313 Non-coincidence probabilities and the time-dependent behavior of tandem queues with deterministic input
by Böhm, W.
- 315-331 Measurements of ordinary and stochastic differential equations
by Ubøe, Jan
- 333-354 Entropic repulsion for massless fields
by Deuschel, Jean-Dominique & Giacomin, Giambattista
2000, Volume 89, Issue 1
- 1-30 Support theorem for jump processes
by Simon, Thomas
- 31-48 Optimal portfolios for logarithmic utility
by Goll, Thomas & Kallsen, Jan
- 49-68 Characterization of stochastic processes which stabilize linear companion form systems
by Kao, John & Wihstutz, Volker
- 69-79 On large deviations for SDEs with small diffusion and averaging
by Veretennikov, A. Yu.
- 81-99 Probabilistic approximation for a porous medium equation
by Jourdain, B.
- 101-116 Martingale representation theorems for initially enlarged filtrations
by Amendinger, Jürgen
- 117-130 The Markov approximation of the sequences of N-valued random variables and a class of small deviation theorems
by Liu, Wen & Yang, Weiguo
- 131-139 A test for randomness against ARMA alternatives
by Dette, Holger & Spreckelsen, Ingrid
- 141-173 Rare events for stationary processes
by Baccelli, F. & McDonald, D. R.
2000, Volume 88, Issue 2
- 177-193 Existence, recurrence and equilibrium properties of Markov branching processes with instantaneous immigration
by Chen, Anyue & Renshaw, Eric
- 195-211 On stationary solutions of delay differential equations driven by a Lévy process
by Gushchin, Alexander A. & Küchler, Uwe
- 213-224 On a weighted embedding for generalized pontograms
by Zhang, Hanqin
- 225-243 On the volume of the supercritical super-Brownian sausage conditioned on survival
by Engländer, János
- 245-258 Multifractal structure of a general subordinator
by Hu, Xiaoyu & Taylor, S. James
- 259-290 Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions
by Peng, Shige
- 291-304 Entropy inequalities and the Central Limit Theorem
by Johnson, Oliver
- 305-328 Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints
by Touzi, Nizar
- 329-345 Strong approximation of spatial random walk in random scenery
by Révész, Pál & Shi, Zhan
2000, Volume 88, Issue 1
- 1-36 A possible definition of a stationary tangent
by Keich, U.
- 37-58 Extinction properties of super-Brownian motions with additional spatially dependent mass production
by Engländer, János & Fleischmann, Klaus
- 59-78 Urn schemes and reinforced random walks
by Muliere, P. & Secchi, P. & Walker, S. G.
- 79-124 Phase segregation dynamics for the Blume-Capel model with Kac interaction
by Marra, R. & Mourragui, M.
- 125-134 Projection scheme for stochastic differential equations with convex constraints
by Pettersson, Roger
- 135-159 Distributional limit theorems over a stationary Gaussian sequence of random vectors
by Arcones, Miguel A.
- 161-174 A class of spatially inhomogeneous Dirichlet spaces on the p-adic number field
by Kaneko, Hiroshi
2000, Volume 87, Issue 2
- 167-197 Weak approximation of killed diffusion using Euler schemes
by Gobet, Emmanuel
- 199-234 Extremes and upcrossing intensities for P-differentiable stationary processes
by Albin, J. M. P.
- 235-254 Population-size-dependent and age-dependent branching processes
by Jagers, Peter & Klebaner, Fima C.
- 255-279 Moderate deviations for degenerate U-processes
by Eichelsbacher, Peter
- 281-297 Equivalence of exponential ergodicity and L2-exponential convergence for Markov chains
by Chen, Mu-Fa
- 299-309 On the central limit theorem for negatively correlated random variables with negatively correlated squares
by Pruss, Alexander R. & Szynal, Dominik
- 311-337 Observation sampling and quantisation for continuous-time estimators
by Newton, Nigel J.
2000, Volume 87, Issue 1
- 1-23 Applications of geometric bounds to the convergence rate of Markov chains on
by Yuen, Wai Kong
- 25-52 Non-degenerate conditionings of the exit measures of super Brownian motion
by Salisbury, Thomas S. & Verzani, John
- 53-67 Poisson equation, moment inequalities and quick convergence for Markov random walks
by Fuh, Cheng-Der & Zhang, Cun-Hui
- 69-91 Smoothness of harmonic functions for processes with jumps
by Picard, Jean & Savona, Catherine
- 93-106 Forward-backward stochastic differential equations with nonsmooth coefficients
by Hu, Ying & Yong, Jiongmin
- 107-113 A note on wetting transition for gradient fields
by Caputo, P. & Velenik, Y.
- 115-147 Malliavin calculus for parabolic SPDEs with jumps
by Fournier, Nicolas
- 149-165 Removing logarithms from Poisson process error bounds
by Brown, Timothy C. & Weinberg, Graham V. & Xia, Aihua
2000, Volume 86, Issue 2
- 177-182 Stochastic integral representation and properties of the wavelet coefficients of linear fractional stable motion
by Delbeke, Lieve & Abry, Patrice
- 183-191 Inhomogeneous birth-death and birth-death-immigration processes and the logarithmic series distribution. Part 2
by Branson, David
- 193-216 A Moran particle system approximation of Feynman-Kac formulae
by Moral, P. Del & Miclo, L.
- 217-230 Pairs of renewal processes whose superposition is a renewal process
by Ferreira, J. A.
- 231-261 The loop erased exit path and the metastability of a biased vote process
by Catoni, Olivier & Chen, Dayue & Xie, Jun
- 263-286 On generalized multiplicative cascades
by Liu, Quansheng
- 287-305 Ray-Knight theorems related to a stochastic flow
by Hu, Yueyun & Warren, Jon
- 307-322 Maxima of increments of partial sums for certain subexponential distributions
by Lanzinger, H. & Stadtmüller, U.
- 323-343 Singular stochastic control in the presence of a state-dependent yield structure
by Alvarez, Luis H. R.
2000, Volume 86, Issue 1
- 1-27 Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems
by Gyllenberg, Mats & Silvestrov, Dmitrii S.
- 29-47 A statistically and computationally efficient method for frequency estimation
by Song, Kai-Sheng & Li, Ta-Hsin
- 49-79 The periodogram at the Fourier frequencies
by Kokoszka, Piotr & Mikosch, Thomas
- 81-101 Tightness of localization and return time in random environment
by Hu, Yueyun
- 103-120 Weak convergence of multivariate fractional processes
by Marinucci, D. & Robinson, P. M.
- 121-139 Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than
by Alòs, Elisa & Mazet, Olivier & Nualart, David
- 141-162 On a stochastic wave equation in two space dimensions: regularity of the solution and its density
by Millet, Annie & Morien, Pierre-Luc
- 163-176 Rate of convergence of power-weighted Euclidean minimal spanning trees
by Lee, Sungchul
2000, Volume 85, Issue 2
- 177-188 Reflected BSDEs and mixed game problem
by Hamadène, S. & Lepeltier, J. -P.
- 189-207 Extremal behavior of the autoregressive process with ARCH(1) errors
by Borkovec, Milan
- 209-223 Conditional maximal distributions of processes related to higher-order heat-type equations
by Beghin, Luisa & Hochberg, Kenneth J. & Orsingher, Enzo
- 225-235 Large deviations for Brownian motion on the Sierpinski gasket
by Arous, Gerard Ben & Kumagai, Takashi
- 237-247 Renewal equation on the whole line
by Yengibarian, Norair B.
- 249-254 Embedding in Brownian motion with drift and the Azéma-Yor construction
by Grandits, Peter & Falkner, Neil
- 255-277 Invariance principles for sums of extreme sequential order statistics attracted to Lévy processes
by Janssen, Arnold
- 279-293 Large deviations for martingales via Cramér's method
by Grama, Ion & Haeusler, Erich
- 295-320 Central limit theorems for k-nearest neighbour distances
by Penrose, Mathew D.
- 321-339 Growth rates of sample covariances of stationary symmetric [alpha]-stable processes associated with null recurrent Markov chains
by Resnick, Sidney & Samorodnitsky, Gennady & Xue, Fang
- 341-361 Geometric ergodicity of Metropolis algorithms
by Jarner, Søren Fiig & Hansen, Ernst
2000, Volume 85, Issue 1
- 1-17 Almost sure behaviour of the perturbed Brownian motion on the Sierpinski gasket
by Pietruska-Paluba, Katarzyna
- 19-28 Exact packing measure on a Galton-Watson tree
by Liu, Quansheng
- 29-44 On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes
by Kakizawa, Yoshihide
- 45-60 On exponentials of additive functionals of Markov processes
by Stummer, W. & Sturm, K. -Th.
- 61-74 Some calculations for doubly perturbed Brownian motion
by Chaumont, L. & Doney, R. A.
- 75-92 Infinite horizon forward-backward stochastic differential equations
by Peng, Shige & Shi, Yufeng