# Elsevier

# Stochastic Processes and their Applications

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### December 1996, Volume 65, Issue 1

**55-68 Bounds for the accuracy of Poissonian approximations of stable laws***by*Bentkus, V. & Götze, F. & Paulauskas, V.**69-80 Strong convergence of sums of [alpha]-mixing random variables with applications to density estimation***by*Liebscher, Eckhard**81-101 Multivariate regression estimation local polynomial fitting for time series***by*Masry, Elias**103-114 Central limit theorem for linear processes with values in a Hilbert space***by*Merlevède, Florence**115-137 Central limit theorems for urn models***by*Smythe, R. T.**139-146 Conservation laws and reflection mappings with an application to multiclass mean value analysis for stochastic fluid queues***by*Konstantopoulos, Takis & Zazanis, Michael & De Veciana, Gustavo

### November 1996, Volume 64, Issue 2

**143-152 Alternative micropulses and fractional Brownian motion***by*Cioczek-Georges, R. & Mandelbrot, B. B.**153-172 On the Markov property of local time for Markov processes on graphs***by*Eisenbaum, Nathalie & Kaspi, Haya**173-186 A representation for functionals of superprocesses via particle picture***by*Feldman, Raisa E. & Iyer, Srikanth K.**187-208 Dynamics of a spin-exchange model***by*Lebowitz, Joel L. & Neuhauser, Claudia & Ravishankar, Krishnamurthi**209-235 A continuous time version of random walks in a random potential***by*Coyle, Lester N.**237-255 Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation***by*Liptser, R. Sh. & Steinberg, Y. & Bobrovsky, B. Z. & Schuss, Z.**257-271 The Gibbs principle for Markov jump processes***by*Aboulalaâ, Adnan**273-286 Weighted least squares estimates in linear regression models for processes with uncorrelated increments***by*Wu, Tiee-Jian & Wasan, M. T.

### November 1996, Volume 64, Issue 1

**1-16 The asymptotic behavior of an urn model arising in population genetics***by*Donnelly, Peter & Kurtz, Thomas G.**17-30 How many random walks correspond to a given set of return probabilities to the origin?***by*Dette, Holger & Studden, William J.**31-38 Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]***by*Lyons, T. J. & Röckner, M. & Zhang, T. S.**39-54 Conditionings and path decompositions for Lévy processes***by*Chaumont, L.**55-72 Propagation of chaos for particle systems associated with discrete Boltzmann equation***by*Rezakhanlou, Fraydoun**73-91 Simulated annealing for stochastic semilinear equations on Hilbert spaces***by*Jacquot, Sophie**93-102 Improved criteria for distributional convergence of point processes***by*Kallenberg, Olav**103-125 Large deviations results for subexponential tails, with applications to insurance risk***by*Asmussen, Søren & Klüppelberg, Claudia**127-133 A reversibility relationship for two Markovian time series models with stationary geometric tailed distribution***by*Littlejohn, R. P.**135-142 Optimal Poisson approximation of uniform empirical processes***by*Adell, JoséA. & de la Cal, Jesús

### November 1996, Volume 63, Issue 2

**139-152 Estimation for a class of positive nonlinear time series models***by*Brown, Tim C. & Feigin, Paul D. & Pallant, Diana L.**153-174 On central and non-central limit theorems in density estimation for sequences of long-range dependence***by*Hwai-Chung, Ho**175-188 Two different kinds of liminfs on the LIL for two-parameter Wiener processes***by*Zhang, Li-Xin**189-209 Bounded and compact laws of the logarithm for B-valued random variables***by*Li, Deli**211-219 A lower bound for the order parameter in the one-dimensional contact process***by*Gripenberg, Gustaf**221-233 Simulated annealing with time-dependent energy function via Sobolev inequalities***by*Löwe, Matthias**235-263 Parameter estimation and reverse martingales***by*Björk, Tomas & Johansson, Björn**265-277 Dominated families of martingale, supermartingale and quasimartingale laws***by*Frittelli, Marco

### October 1996, Volume 63, Issue 1

**1-10 Asymptotic filtering for finite state Markov chains***by*Khasminskii, Rafail & Zeitouni, Ofer**11-33 Stochastic representation of diffusions corresponding to divergence form operators***by*Rozkosz, Andrzej**35-54 On martingale measures when asset returns have unpredictable jumps***by*Bardhan, Indrajit & Chao, Xiuli**55-65 Unpredictability of an exit time***by*Brassesco, S.**67-74 An excursion approach to Ray-Knight theorems for perturbed Brownian motion***by*Perman, Mihael**75-95 Gauss-Newton and M-estimation for ARMA processes with infinite variance***by*Davis, Richard A.**97-116 Extremes, rainflow cycles and damage functionals in continuous random processes***by*Rychlik, Igor**117-137 Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence***by*Horvàth, Lajos & Shao, Qi-Man

### July 1996, Volume 62, Issue 2

**191-222 High-density limits of hierarchically structured branching-diffusing populations***by*Dawson, Donald A. & Hochberg, Kenneth J. & Vinogradov, Vladimir**223-242 Fourier analysis applied to SPDEs***by*Blount, Douglas**243-262 An almost sure central limit theorem for the overlap parameters in the Hopfield model***by*Gentz, Barbara**263-276 Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane***by*Liang, Zong-xia & Zheng, Ming-li**277-298 Asymptotic singular windings of ergodic diffusions***by*Franchi, J.**299-325 Transition matrices with equal germs***by*Ribe, M.**327-345 Weak convergence of sequences of first passage processes and applications***by*Ralescu, Stefan S. & Puri, Madan L.**347-349 On a renewal process average***by*Kamps, Udo

### March 1996, Volume 62, Issue 1

**1-17 An approximation of American option prices in a jump-diffusion model***by*Mulinacci, Sabrina**19-54 Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory***by*Arnold, Ludwig & Imkeller, Peter**55-72 Markov chain convergence: From finite to infinite***by*Rosenthal, Jeffrey S.**73-86 Immigration structures associated with Dawson-Watanabe superprocesses***by*Li, Zeng-Hu**87-101 A set-indexed process in a two-region image***by*Müller, Hans-Georg & Song, Kai-Sheng**103-114 Stability of backward stochastic differential equations***by*Antonelli, Fabio**115-138 Weak convergence of stochastic processes indexed by smooth functions***by*Arcones, Miguel A.**139-168 On the Kullback-Leibler information divergence of locally stationary processes***by*Dahlhaus, R.**169-178 Analyticity of the density and exponential decay of correlations in 2-d bootstrap percolation***by*Fontes, L. R. & Isopi, M. & Sidoravicius, V.**179-189 Poisson approximations for Markov-driven point processes***by*Blasikiewicz, M. & Brown, Timothy C.

### February 1996, Volume 61, Issue 2

**181-204 Asymmetric conservative processes with random rates***by*Benjamini, I. & Ferrari, P. A. & Landim, C.**205-221 Quantum operators in classical probability theory: I. "Quantum spin" techniques and the exclusion model of diffusion***by*Lloyd, Peter & Sudbury, Aidan & Donnelly, Peter**223-248 Stochastic dynamics for an infinite system of random closed strings: A Gibbsian point of view***by*Kondratiev, Yu. G. & Roelly, S. & Zessin, H.**249-261 A nonstandard form of the rate function for the occupation measure of a Markov chain***by*Dupuis, Paul & Zeitouni, Ofer**263-275 Moderate deviations for martingales and mixing random processes***by*Gao, Fu-Qing**277-288 Simple conditions for mixing of infinitely divisible processes***by*Rosinski, Jan & Zak, Tomasz**289-304 Asymptotics for Euclidean functionals with power-weighted edges***by*Redmond, C. & Yukich, J. E.**305-310 On the distribution of a randomly discounted compound Poisson process***by*Nilsen, Trygve & Paulsen, Jostein**311-322 Superposed continuous renewal processes A Markov renewal approach***by*Alsmeyer, Gerold**323-337 Strong approximations for stochastic differential equations with boundary conditions***by*Ferrante, Marco & Kohatsu-Higa, Arturo & Sanz-Solé, Marta**339-361 Efficient estimation in a semiparametric additive regression model with autoregressive errors***by*Schick, Anton

### January 1996, Volume 61, Issue 1

**1-23 Interface in a one-dimensional Ising spin system***by*Bodineau, Thierry**25-43 On the length of the shortest crossing in the super-critical phase of Mandelbrot's percolation process***by*Chayes, L.**45-69 Transition probabilities for the simple random walk on the Sierpinski graph***by*Jones, Owen Dafydd**71-83 Slow diffusion for a Brownian motion with random reflecting barriers***by*Chassaing, Philippe**85-108 An averaging principle for dynamical systems in Hilbert space with Markov random perturbations***by*Hoppensteadt, F. & Salehi, H. & Skorokhod, A.**109-128 On the existence of equivalent [tau]-measures in finite discrete time***by*Schürger, Klaus**129-145 An extension of Shannon-McMillan theorem and some limit properties for nonhomogeneous Markov chains***by*Wen, Liu & Weiguo, Yang**147-161 Tails of subordinated laws: The regularly varying case***by*Geluk, J. L.**163-180 Pseudo-Poisson approximation for Markov chains***by*Borovkov, K. A. & Pfeifer, D.

### December 1995, Volume 60, Issue 2

**171-190 Comparing Fleming-Viot and Dawson-Watanabe processes***by*Ethier, S. N. & Krone, Stephen M.**191-226 Self-intersection local time for Gaussian '(d)-processes: Existence, path continuity and examples***by*Bojdecki, Tomasz & Gorostiza, Luis G.**227-245 On the connected components of the support of super Brownian motion and of its exit measure***by*Abraham, Romain**247-260 A stability property of the stochastic heat equation***by*Ubøe, Jan & Zhang, Tusheng**261-286 Coupling and harmonic functions in the case of continuous time Markov processes***by*Cranston, Michael & Greven, Andreas**287-311 On the exit law from saddle points***by*Day, Martin V.**313-330 A CLT for the periodograms of a [varrho]*-mixing random field***by*Miller, Curtis**331-342 Moving-average representation of autoregressive approximations***by*Bühlmann, Peter**343-353 Strong approximation for cross-covariances of linear variables with long-range dependence***by*Kouritzin, Michael A.

### November 1995, Volume 60, Issue 1

**1-18 A class of micropulses and antipersistent fractional Brownian motion***by*Cioczek-Georges, R. & Mandelbrot, B. B.**19-47 Fractional ARIMA with stable innovations***by*Kokoszka, Piotr S. & Taqqu, Murad S.**49-63 On the asymptotic independence of the sum and rare values of weakly dependent stationary random variables***by*Hsing, Tailen**65-85 A semilinear Mckean-Vlasov stochastic evolution equation in Hilbert space***by*Ahmed, N. U. & Ding, X.**87-102 On transient Bessel processes and planar Brownian motion reflected at their future infima***by*Shi, Z.**103-111 Limit theorems for diffusions with a random potential***by*Mathieu, Pierre**113-130 Further applications of a general rate conservation law***by*Bardhan, Indrajit**131-146 On a stochastic delay difference equation with boundary conditions and its Markov property***by*Baccin, Maria C. & Ferrante, Marco**147-160 Approximations of large population epidemic models***by*Garcia, Nancy Lopes**161-169 On large increments of infinite series of Ornstein-Uhlenbeck processes***by*Lin, Z. Y.

### October 1995, Volume 59, Issue 2

**175-184 Logarithmic averages for the local times of recurrent random walks and Lévy processes***by*Marcus, Michael B. & Rosen, Jay**185-216 Many multivariate records***by*Goldie, Charles M. & Resnick, Sidney I.**217-233 Sample quantiles of heavy tailed stochastic processes***by*Embrechts, Paul & Samorodnitsky, Gennady**235-249 Exponential convergence for attractive reversible subcritical nearest particle systems***by*Mountford, T. S.**251-266 Supercritical behaviors in first-passage percolation***by*Zhang, Yu**267-275 Random-cluster measures and uniform spanning trees***by*Häggström, Olle**277-293 Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures***by*Xie, Yingchao**295-308 Approximations for stochastic differential equations with reflecting convex boundaries***by*Pettersson, Roger**309-320 Large deviations for moving average processes***by*Jiang, Tiefeng & Rao, M. Bhaskara & Wang, Xiangchen**321-341 Global Strassen-type theorems for iterated Brownian motions***by*Csáki, Endre & Csörgo, Miklós & Földes, Antónia & Révész, Pál**343-351 On the central limit theorem and law of the iterated logarithm for stationary processes with applications to linear processes***by*Yokoyama, Ryozo

### September 1995, Volume 59, Issue 1

**1-20 The packing measure of the support of super-Brownian motion***by*Le Gall, J.-F. & Perkins, E.A. & Taylor, S.J.**21-42 On the ultimate value of local time of one-dimensional super-Brownian motion***by*Kaj, I. & Salminen, P.**43-53 On positive solutions of some nonlinear differential equations -- A probabilistic approach***by*Sheu, Yuan-Chung**55-79 Weak convergence of stochastic integrals driven by martingale measure***by*Cho, Nhansook**81-104 The generalized covariation process and Ito formula***by*Russo, Francesco & Vallois, Pierre**105-123 Weight functions and pathwise local central limit theorems***by*Horvath, Lajos & Khoshnevisan, Davar**125-142 A Chung type law of the iterated logarithm for subsequences of a Wiener process***by*Shao, Qi-Man**143-155 Distant long-range dependent sums and regression estimation***by*Csörgo, Sándor & Mielniczuk, Jan**157-173 Upper and lower bounds on the rate of convergence for nonhomogeneous birth and death processes***by*Zeifman, A.I.

### August 1995, Volume 58, Issue 2

**187-204 Absolute continuity of one-sided random translations***by*Sato, Hiroshi & Tamashiro, Masakazu**205-216 On the first passage times for Markov processes with monotone convex transition kernels***by*Li, Haijun & Shaked, Moshe**217-245 On the law of the iterated logarithm for canonical U-statistics and processes***by*Arcones, Miguel A. & Giné, Evarist**247-265 The blockwise bootstrap for general empirical processes of stationary sequences***by*Bühlmann, Peter**267-279 The Csörgo-Révész modulus of non-differentiability of iterated Brownian motion***by*Hu, Y. & Shi, Z.**281-292 Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients***by*Mao, Xuerong**293-317 Constructing quantum measurement processes via classical stochastic calculus***by*Barchielli, A. & Holevo, A. S.**319-327 Multiplicative functionals of Lévy processes***by*Ying, Jiangang**329-360 Remarques sur l'ergodicité des algorithmes de recuit simulé sur un graphe***by*Miclo, Laurent

### July 1995, Volume 58, Issue 1

**1-21 On moduli of continuity for local times of Gaussian processes***by*Csörgo, Miklós & Lin, Zheng-Yan & Shao, Qi-Man**23-34 On large deviations of empirical measures for stationary Gaussian processes***by*Bryc, Wlodzimierz & Dembo, Amir**35-55 Quite weak Bernoulli with exponential rate and percolation for random fields***by*Burton, Robert M. & Steif, Jeffrey E.**57-72 Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise***by*Gyöngy, István & Nualart, David**73-89 Occupation time distributions for Lévy bridges and excursions***by*Fitzsimmons, P. J. & Getoor, R. K.**91-103 Upper and lower classes for 2 - and p-norms of Brownian motion and norms of [alpha]-stable motion***by*Albin, J. M. P.**105-119 Ladder height distributions with marks***by*Asmussen, Søren & Schmidt, Volker**121-137 On the typical level crossing time and path***by*Nyrhinen, Harri**139-154 Excursions of the workload process in G/GI/1 queues***by*Guillemin, Fabrice M. & Mazumdar, Ravi R.**155-172 Invariance principles for semi-stationary sequence of linear processes and applications to ARMA process***by*Truong-Van, B.**173-185 Ergodic theorems for transient one-dimensional diffusions***by*Athreya, K. B. & Weerasinghe, A. P. N.

### June 1995, Volume 57, Issue 2

**191-224 Large deviations: From empirical mean and measure to partial sums process***by*Dembo, Amir & Zajic, Tim**225-245 Formule de Green, lacet brownien plan et aire de Lévy***by*Werner, Wendelin**247-271 Nonlinear master equation of multitype particle systems***by*Feng, Shui**273-284 The Benes equation and stochastic calculus of variations***by*Decreusefond, L. & Üstünel, A. S.**285-304 Limit theory and bootstrap for explosive and partially explosive autoregression***by*Datta, Somnath**305-317 Local asymptotic quadraticity of stochastic process models based on stopping times***by*Luschgy, Harald**319-337 The lifetime of conditioned diffusions associated with some degenerate elliptic operators***by*Gao, Ping**339-359 Markov branching processes regulated by emigration and large immigration***by*Chen, Anyue & Renshaw, Eric

### May 1995, Volume 57, Issue 1

**1-10 Compactness in the theory of large deviations***by*O'Brien, George L. & Vervaat, Wim**11-18 On pathwise stochastic integration***by*Karandikar, Rajeeva L.**19-38 The favorite point of a Poisson process***by*Khoshnevisan, Davar & Lewis, Thomas M.**39-71 Limit theorems for stable processes with application to spectral density estimation***by*Hsing, Tailen**73-82 Quasilinear stochastic elliptic equations with reflection***by*Nualart, David & Tindel, Samy**83-98 Stopping and set-indexed local martingales***by*Ivanoff, B. Gail & Merzbach, Ely**99-112 The contact process on a tree: Behavior near the first phase transition***by*Wu, C. Chris**113-148 Green formulas in anticipating stochastic calculus***by*Delgado, Rosario & Sanz-Solé, Marta**149-165 Synthetic replication of American contingent claims when portfolios are constrained***by*Bardhan, Indrajit**167-189 Bahadur-Kiefer representations for GM-estimators in autoregression models***by*Koul, Hira L. & Zhu, Zhiwei

### April 1995, Volume 56, Issue 2

**185-205 Critical length for semi-oriented bootstrap percolation***by*Mountford, T. S.**207-231 Functionals of infinitely divisible stochastic processes with exponential tails***by*Braverman, Michael & Samorodnitsky, Gennady**233-246 Necessary conditions for the existence of conditional moments of stable random variables***by*Cioczek-Georges, Renata & Taqqu, Murad S.**247-273 Utility maximization with partial information***by*Lakner, Peter**275-294 A modified bootstrap for branching processes with immigration***by*Datta, Somnath & Sriram, T. N.**295-305 Convergence of independent particle systems***by*Hoffman, John R. & Rosenthal, Jeffrey S.**307-319 Estimation of variance of partial sums of an associated sequence of random variables***by*Peligard, Magda & Suresh, Ram**321-335 Factorial moment expansion for stochastic systems***by*Blaszczyszyn, B.**337-349 Stochastic Volterra equations with singular kernels***by*Cochran, W. George & Lee, Jung-Soon & Potthoff, Jürgen**351-355 A note on the relationship between the rate functions for stationary dependent random sequences in [tau]-topology and the relative entropy***by*Hu, Yijun

### March 1995, Volume 56, Issue 1

**1-34 Chaos expansions of double intersection local time of Brownian motion in and renormalization***by*Imkeller, Peter & Perez-Abreu, Victor & Vives, Josep**35-56 Conditions equivalent to consistency of approximate MLE's for stochastic processes***by*Vajda, Igor**57-75 Limit theorems for multitype epidemics***by*Andersson, Håkan & Djehiche, Boualem**77-86 Stationary regimes for inventory processes***by*Bardhan, Indrajit & Sigman, Karl**87-100 A key limit theorem for critical branching processes***by*Sagitov, Serik**101-116 Infinite divisibility of sub-stable processes. Part I. geometry of sub-spaces of L[alpha]-space***by*Misiewicz, Jolanta K.**117-132 On the maximum entropy principle for a class of stochastic processes***by*Horsthemke, Benedikt & Rüttermann, Markus**133-149 Sur l'approximation de la distribution stationnaire d'une chaîne de Markov stochastiquement monotone***by*Simonot, F.**151-158 Moment bounds for mixing random variables useful in nonparametric function estimation***by*Cox, Dennis D. & Kim, Tae Yoon**159-169 Vector-valued Markov decision processes and the systems of linear inequalities***by*Wakuta, Kazuyoshi**171-184 Extremes and clustering of nonstationary max-AR(1) sequences***by*Alpuim, M. T. & Catkan, N. A. & Hüsler, J.

### February 1995, Volume 55, Issue 2

**183-209 On time- and cycle-stationarity***by*Thorisson, Hermann**211-226 Decomposing the Brownian path via the range process***by*Vallois, P.**227-251 General framework for pricing derivative securities***by*Musiela, Marek**253-270 Almost sure weak convergence of the increments of Lévy processes***by*Wschebor, Mario**271-283 Average densities of the image and zero set of stable processes***by*Falconer, K. J. & Xiao, Y. M.**285-300 Characterization of discrete laws via mixed sums and Markov branching processes***by*Pakes, Anthony G.**301-313 Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences***by*Hüsler, J. & Kratz, M.**315-327 The best-choice secretary problem with random freeze on jobs***by*Samuel-Cahn, Ester**329-358 Almost sure approximation of Wong-Zakai type for stochastic partial differential equations***by*Brzezniak, Zdzislaw & Flandoli, Franco

### January 1995, Volume 55, Issue 1

**1-21 Strong approximations for epidemic models***by*Ball, Frank & Donnelly, Peter**23-43 The noisy voter model***by*Granovsky, Boris L. & Madras, Neal**45-55 Association of infinitely divisible random vectors***by*Samorodnitsky, Gennady**57-64 Generalised two-sample U-statistics and a two-species reaction-diffusion model***by*Penrose, Mathew D.**65-89 Large deviations from the hydrodynamical limit of mean zero asymmetric zero range processes***by*Benois, O. & Kipnis, C. & Landim, C.**91-100 On the local rate of growth of Lévy processes with no positive jumps***by*Bertoin, Jean**101-118 The rank of the present excursion***by*Scheffer, Carel L.**119-130 Ergodicity of Spitzer's renewal model***by*Sidoravicius, Vladas & Vares, Maria Eulália**131-142 Random record processes and state dependent thinning***by*Browne, Sid & Bunge, John**143-158 Nonlinear smoothing for random fields***by*Aihara, Shin Ichi & Bagchi, Arunabha**159-167 The busy periods of some queueing systems***by*Stadje, W.**169-181 A rule of thumb (not only) for gamblers***by*Kozek, Andrzej S.

### December 1994, Volume 54, Issue 2

**183-196 The Einstein relation for the displacement of a test particle in a random environment***by*Lebowitz, Joel L. & Rost, Hermann**197-213 Stochastic models and statistical methods for analysing roughness of plateau-honed surfaces***by*Hall, Peter & Matthews, David**215-232 From Feynman-Kac formula to Feynman integrals via analytic continuation***by*Yan, Jia-An