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Editor: T. Mikosch
Description: Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests.
Series handle: RePEc:eee:spapps
ISSN: 0304-4149
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Content
September 2008, Volume 118, Issue 9
August 2008, Volume 118, Issue 8
- 1301-1321 On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
by Löcherbach, Eva & Loukianova, Dasha
- 1322-1350 Equivalence of ensembles for two-species zero-range invariant measures
by Großkinsky, Stefan
- 1351-1384 Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
by Panloup, Fabien
- 1385-1406 Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching
by Mao, Xuerong & Shen, Yi & Yuan, Chenggui
- 1407-1433 Penalizations of the Brownian motion with a functional of its local times
by Najnudel, Joseph
- 1434-1462 Estimation of the volatility persistence in a discretely observed diffusion model
by Rosenbaum, Mathieu
- 1463-1488 Isotropic stochastic flow of homeomorphisms on associated with the critical Sobolev exponent
by Luo, Dejun
July 2008, Volume 118, Issue 7
- 1107-1135 CLT for Lp moduli of continuity of Gaussian processes
by Marcus, Michael B. & Rosen, Jay
- 1136-1158 Enlargement of filtrations with random times for processes with jumps
by Kohatsu-Higa, Arturo & Yamazato, Makoto
- 1159-1189 Localization of favorite points for diffusion in a random environment
by Cheliotis, Dimitris
- 1190-1218 A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
by Azaïs, Jean-Marc & Wschebor, Mario
- 1219-1243 Extensions of Black-Scholes processes and Benford's law
by Schürger, Klaus
- 1244-1253 Local times of ranked continuous semimartingales
by Banner, Adrian D. & Ghomrasni, Raouf
- 1254-1263 A polynomial birth-death point process approximation to the Bernoulli process
by Xia, Aihua & Zhang, Fuxi
- 1264-1277 Propagation of singularities in the semi-fractional Brownian sheet
by Blath, Jochen & Martin, Andreas
- 1278-1299 Diffusion approximation for equilibrium Kawasaki dynamics in continuum
by Kondratiev, Yuri G. & Kutoviy, Oleksandr V. & Lytvynov, Eugene W.
June 2008, Volume 118, Issue 6
- 897-916 Multifractal spectra and precise rates of decay in homogeneous fragmentations
by Krell, Nathalie
- 917-937 The coding complexity of diffusion processes under supremum norm distortion
by Dereich, Steffen
- 938-951 The coding complexity of diffusion processes under Lp[0,1]-norm distortion
by Dereich, Steffen
- 952-967 Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
by Ji, Shaolin & Peng, Shige
- 968-980 Backward stochastic differential equations with reflection and weak assumptions on the coefficients
by Xu, Mingyu
- 981-1003 Upper limits of Sinai's walk in random scenery
by Zindy, Olivier
- 1004-1021 Coexistence in host-pathogen systems
by Durrett, R. & Lanchier, N.
- 1022-1042 Global fluctuations in general [beta] Dyson's Brownian motion
by Bender, Martin
- 1043-1055 Nonparametric estimation and testing time-homogeneity for processes with independent increments
by Nishiyama, Yoichi
- 1056-1070 A note on the central limit theorem for bipower variation of general functions
by Kinnebrock, Silja & Podolskij, Mark
- 1071-1105 Simulated annealing for Lévy-driven jump-diffusions
by Pavlyukevich, Ilya
May 2008, Volume 118, Issue 5
- 703-729 Conditional large deviations for a sequence of words
by Birkner, Matthias
- 730-754 Self-similarity and spectral asymptotics for the continuum random tree
by Croydon, David & Hambly, Ben
- 755-761 On the existence of some processes
by Douc, Randal & Roueff, François & Soulier, Philippe
- 762-789 On a stochastic version of Prouse model in fluid dynamics
by Ferrario, B. & Flandoli, F.
- 790-817 On dual processes of non-symmetric diffusions with measure-valued drifts
by Kim, Panki & Song, Renming
- 818-838 BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
by Briand, Philippe & Confortola, Fulvia
- 839-851 Exit asymptotics for small diffusion about an unstable equilibrium
by Bakhtin, Yuri
- 852-863 Median, concentration and fluctuations for Lévy processes
by Houdré, Christian & Marchal, Philippe
- 864-895 Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps
by Luo, Jiaowan & Liu, Kai
April 2008, Volume 118, Issue 4
- 517-559 Asymptotic properties of realized power variations and related functionals of semimartingales
by Jacod, Jean
- 560-584 Extreme value theory for space-time processes with heavy-tailed distributions
by Davis, Richard A. & Mikosch, Thomas
- 585-613 High-frequency asymptotics for subordinated stationary fields on an Abelian compact group
by Marinucci, Domenico & Peccati, Giovanni
- 614-628 Central limit theorems for multiple stochastic integrals and Malliavin calculus
by Nualart, D. & Ortiz-Latorre, S.
- 629-648 Approximation to the mean curve in the LCS problem
by Durringer, Clement & Hauser, Raphael & Matzinger, Heinrich
- 649-680 Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
by Olsson, Jimmy & Rydén, Tobias
- 681-702 Hausdorff dimension of the image of additive processes
by Yang, Ming
March 2008, Volume 118, Issue 3
- 319-332 A contact process with mutations on a tree
by Liggett, Thomas M. & Schinazi, Rinaldo B. & Schweinsberg, Jason
- 333-345 Tail behavior of random products and stochastic exponentials
by Cohen, Serge & Mikosch, Thomas
- 346-367 Monte-Carlo simulation of stochastic differential systems -- a geometrical approach
by Alves, C.J.S. & Cruzeiro, A.B.
- 368-388 Hypoelliptic heat kernel inequalities on Lie groups
by Melcher, Tai
- 389-416 Logarithmic speeds for one-dimensional perturbed random walks in random environments
by Menshikov, M.V. & Wade, Andrew R.
- 417-451 Spatially homogeneous solutions of 3D stochastic Navier-Stokes equations and local energy inequality
by Basson, Arnaud
- 452-473 Moderate deviations and law of the iterated logarithm in for kernel density estimators
by Gao, Fuqing
- 474-502 Central limit theorem for a tagged particle in asymmetric simple exclusion
by Gonçalves, Patrícia
- 503-515 Solvability of backward stochastic differential equations with quadratic growth
by Tevzadze, Revaz
February 2008, Volume 118, Issue 2
- 153-170 Non-regular estimation theory for piecewise continuous spectral densities
by Taniguchi, Masanobu
- 171-198 Nonhomogeneous fractional integration and multifractional processes
by Surgailis, Donatas
- 199-212 On a formula on the potential operators of absorbing Lévy processes in the half space
by Tamura, Yozo & Tanaka, Hiroshi
- 213-231 On the estimation of intrinsic volume densities of stationary random closed sets
by Mrkvicka, T. & Rataj, J.
- 232-260 Nonparametric estimation of the stationary density and the transition density of a Markov chain
by Lacour, Claire
- 261-283 Bilateral gamma distributions and processes in financial mathematics
by Küchler, Uwe & Tappe, Stefan
- 284-318 A wavelet particle approximation for McKean-Vlasov and 2D-Navier-Stokes statistical solutions
by Tran, Viet Chi
January 2008, Volume 118, Issue 1
December 2007, Volume 117, Issue 12
- 1764-1792 A diluted version of the perceptron model
by Márquez-Carreras, David & Rovira, Carles & Tindel, Samy
- 1793-1812 A forward scheme for backward SDEs
by Bender, Christian & Denk, Robert
- 1813-1834 On convergence to the exponential utility problem
by Kohlmann, Michael & Niethammer, Christina R.
- 1835-1847 Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
by Barbe, Ph. & McCormick, W.P. & Zhang, C.
- 1848-1869 Functional limit theorems for generalized quadratic variations of Gaussian processes
by Bégyn, Arnaud
- 1870-1888 Limit theorems for permutations of empirical processes with applications to change point analysis
by Horváth, Lajos & Shao, Qi-Man
- 1889-1909 On some transformations between positive self-similar Markov processes
by Chaumont, Loïc & Rivero, Víctor
- 1910-1927 Two phase transitions for the contact process on small worlds
by Durrett, Rick & Jung, Paul
- 1928-1959 Cumulants of the maximum of the Gaussian random walk
by Janssen, A.J.E.M. & van Leeuwaarden, J.S.H.
November 2007, Volume 117, Issue 11
- 1587-1605 Computing strategies for achieving acceptability: A Monte Carlo approach
by Pal, Soumik
- 1606-1620 Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
by Kramkov, D. & Sîrbu, M.
- 1621-1641 Horizon-unbiased utility functions
by Henderson, Vicky & Hobson, David
- 1642-1662 Stability of utility-maximization in incomplete markets
by Larsen, Kasper & Zitkovic, Gordan
- 1663-1688 Robust utility maximization with limited downside risk in incomplete markets
by Gundel, Anne & Weber, Stefan
- 1689-1723 Malliavin Greeks without Malliavin calculus
by Chen, Nan & Glasserman, Paul
- 1724-1749 Restructuring risk in credit default swaps: An empirical analysis
by Berndt, Antje & Jarrow, Robert A. & Kang, ChoongOh
October 2007, Volume 117, Issue 10
- 1373-1403 Large deviations for weighted empirical mean with outliers
by Maïda, M. & Najim, J. & Péché, S.
- 1404-1421 Asymptotic results concerning the total branch length of the Bolthausen-Sznitman coalescent
by Drmota, Michael & Iksanov, Alex & Moehle, Martin & Roesler, Uwe
- 1422-1447 Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
by Szimayer, Alex & Maller, Ross A.
- 1448-1472 The 1-d stochastic wave equation driven by a fractional Brownian sheet
by Quer-Sardanyons, Lluís & Tindel, Samy
- 1473-1490 Almost sure estimates for the concentration neighborhood of Sinai's walk
by Andreoletti, Pierre
- 1491-1518 An adaptive scheme for the approximation of dissipative systems
by Lemaire, Vincent
- 1519-1539 Senile reinforced random walks
by Holmes, M. & Sakai, A.
- 1540-1560 The estimates of the mean first exit time from a ball for the [alpha]-stable Ornstein-Uhlenbeck processes
by Jakubowski, Tomasz
- 1561-1585 On homogenization of space-time dependent and degenerate random flows
by Rhodes, Rémi
September 2007, Volume 117, Issue 9
- 1165-1188 Restricting SLE(8/3 ) to an annulus
by Bauer, Robert O.
- 1189-1207 Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals
by Jolis, Maria & Viles, Noèlia
- 1208-1233 Upper large deviations for the maximal flow in first-passage percolation
by Théret, Marie
- 1234-1250 A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
by Li, Juan & Tang, Shanjian
- 1251-1264 Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps
by Cao, Guilan & He, Kai
- 1265-1284 Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
by Francq, Christian & Zakoian, Jean-Michel
- 1285-1302 Nonminimal sets, their projections and integral representations of stable processes
by Pipiras, Vladas
- 1303-1315 Hitting times of Brownian motion and the Matsumoto-Yor property on trees
by Wesolowski, Jacek & Witkowski, Piotr
- 1316-1329 Estimation for the additive Gaussian channel and Monge-Kantorovitch measure transportation
by Üstünel, Ali Süleyman
- 1330-1356 Exit times for a class of piecewise exponential Markov processes with two-sided jumps
by Jacobsen, Martin & Jensen, Anders Tolver
- 1357-1371 On Gittins' index theorem in continuous time
by Bank, Peter & Küchler, Christian
August 2007, Volume 117, Issue 8
- 961-979 Convergence of some time inhomogeneous Markov chains via spectral techniques
by Saloff-Coste, L. & Zúñiga, J.
- 980-1000 A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
by Hernández-Hernández, Daniel & Schied, Alexander
- 1001-1013 Stochastic wave equations with dissipative damping
by Barbu, Viorel & Da Prato, Giuseppe & Tubaro, Luciano
- 1014-1036 Long time asymptotics for constrained diffusions in polyhedral domains
by Budhiraja, Amarjit & Lee, Chihoon
- 1037-1051 Stability of regime-switching diffusions
by Khasminskii, R.Z. & Zhu, C. & Yin, G.
- 1052-1075 Forward and reverse representations for Markov chains
by Milstein, G.N. & Schoenmakers, J.G.M. & Spokoiny, V.
- 1076-1092 Existence and uniqueness of an invariant measure for a chain of oscillators in contact with two heat baths
by Carmona, Philippe
- 1093-1120 A Bayesian-martingale approach to the general disorder problem
by Kavtaradze, T. & Lazrieva, N. & Mania, M. & Muliere, P.
- 1121-1136 Lower bounds for transition probabilities on graphs
by Telcs, András
- 1137-1164 A Hölderian functional central limit theorem for a multi-indexed summation process
by Rackauskas, Alfredas & Suquet, Charles & Zemlys, Vaidotas
July 2007, Volume 117, Issue 7
- 803-829 Error expansion for the discretization of backward stochastic differential equations
by Gobet, Emmanuel & Labart, Céline
- 830-839 Uniform concentration inequality for ergodic diffusion processes
by Galtchouk, L. & Pergamenshchikov, S.
- 840-861 Regular variation of order 1 nonlinear AR-ARCH models
by Cline, Daren B.H.
- 862-877 Asymptotic theory for curve-crossing analysis
by Zhao, Zhibiao & Wu, Wei Biao
- 878-903 Probability and moment inequalities for sums of weakly dependent random variables, with applications
by Doukhan, Paul & Neumann, Michael H.
- 904-927 A large deviation principle for 2D stochastic Navier-Stokes equation
by Gourcy, Mathieu
- 928-946 Estimation of the offspring mean in a controlled branching process with a random control function
by Sriram, T.N. & Bhattacharya, A. & González, M. & Martínez, R. & del Puerto, I.
- 947-959 Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
by Nyrhinen, Harri
June 2007, Volume 117, Issue 6
May 2007, Volume 117, Issue 5
- 539-549 Reflected Brownian motion in generic triangles and wedges
by Kager, Wouter
- 550-574 Operators associated with a stochastic differential equation driven by fractional Brownian motions
by Baudoin, Fabrice & Coutin, Laure
- 575-595 The dynamic of entropic repulsion
by Deuschel, Jean-Dominique & Nishikawa, Takao
- 596-612 Large deviations and phase transition for random walks in random nonnegative potentials
by Flury, Markus
- 613-628 Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity
by Confortola, Fulvia
- 629-654 The influence of a power law drift on the exit time of Brownian motion from a half-line
by DeBlassie, Dante & Smits, Robert
- 655-672 Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
by Bentahar, Imen & Bouchard, Bruno
April 2007, Volume 117, Issue 4
- 409-431 An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
by Oblój, Jan
- 432-456 Extremal behaviour of models with multivariate random recurrence representation
by Klüppelberg, Claudia & Pergamenchtchikov, Serguei
- 457-475 Non-stopping times and stopping theorems
by Nikeghbali, Ashkan
- 476-486 Quadratic variations of spherical fractional Brownian motions
by Istas, Jacques
- 487-513 Hydrodynamics for a system of harmonic oscillators perturbed by a conservative noise
by Bernardin, Cédric
- 514-525 Percolation for the stable marriage of Poisson and Lebesgue
by Freire, M.V. & Popov, S. & Vachkovskaia, M.
- 526-538 Interacting diffusions approximating the porous medium equation and propagation of chaos
by Philipowski, Robert
March 2007, Volume 117, Issue 3
- 271-296 Limits for weighted p-variations and likewise functionals of fractional diffusions with drift
by León, José & Ludeña, Carenne
- 297-311 Fragmentation at height associated with Lévy processes
by Delmas, Jean-François
- 312-332 Operator scaling stable random fields
by Biermé, Hermine & Meerschaert, Mark M. & Scheffler, Hans-Peter
- 333-358 The effects of implementation delay on decision-making under uncertainty
by Bayraktar, Erhan & Egami, Masahiko
- 359-374 Markov jump random c.d.f.'s and their posterior distributions
by Balan, R.M.
- 375-398 Local asymptotic mixed normality of transformed Gaussian models for random fields
by Sei, Tomonari
- 399-408 Homeomorphism of solutions to backward SDEs and applications
by Qiao, Huijie & Zhang, Xicheng
February 2007, Volume 117, Issue 2
- 143-164 The Burgers superprocess
by Bonnet, Guillaume & Adler, Robert J.
- 165-187 Canonical Lévy process and Malliavin calculus
by Solé, Josep Lluís & Utzet, Frederic & Vives, Josep
- 188-201 A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic
by Delgado, Rosario
- 202-220 Gradient estimates for positive harmonic functions by stochastic analysis
by Arnaudon, Marc & Driver, Bruce K. & Thalmaier, Anton
- 221-250 Deviations bounds and conditional principles for thin sets
by Cattiaux, Patrick & Gozlan, Nathael
- 251-261 Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
by Shao, Xiaofeng & Wu, Wei Biao
- 262-270 Moments and distribution of the local time of a two-dimensional random walk
by Cerný, Jirí
January 2007, Volume 117, Issue 1
- 1-22 On some Fourier aspects of the construction of certain Wiener integrals
by Funaki, T. & Hariya, Y. & Hirsch, F. & Yor, M.
- 23-34 Entropic repulsion for a class of Gaussian interface models in high dimensions
by Kurt, Noemi
- 35-56 Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps
by Masuda, Hiroki
- 57-70 When is a linear combination of independent fBm's equivalent to a single fBm?
by van Zanten, Harry
- 71-95 Approximations and limit theory for quadratic forms of linear processes
by Bhansali, R.J. & Giraitis, L. & Kokoszka, P.S.
- 96-120 Multivariate CARMA processes
by Marquardt, Tina & Stelzer, Robert
- 121-142 An empirical central limit theorem for dependent sequences
by Dedecker, Jérôme & Prieur, Clémentine
December 2006, Volume 116, Issue 12
- 1677-1689 Large deviations for stochastic generalized porous media equations
by Röckner, Michael & Wang, Feng-Yu & Wu, Liming
- 1690-1711 On the construction of Wiener integrals with respect to certain pseudo-Bessel processes
by Funaki, T. & Hariya, Y. & Hirsch, F. & Yor, M.
- 1712-1742 Weak existence and uniqueness for forward-backward SDEs
by Delarue, F. & Guatteri, G.
- 1743-1769 Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
by Ishikawa, Yasushi & Kunita, Hiroshi
- 1770-1791 The Wiener disorder problem with finite horizon
by Gapeev, P.V. & Peskir, G.
- 1792-1814 Weak convergence of censored and reflected stable processes
by Kim, Panki
- 1815-1835 Duality theorem for the stochastic optimal control problem
by Mikami, Toshio & Thieullen, Michèle
- 1836-1859 The process of most recent common ancestors in an evolving coalescent
by Pfaffelhuber, P. & Wakolbinger, A.
- 1860-1875 Stratonovich covariant differential equation with jumps
by Maillard-Teyssier, Laurence
- 1876-1891 On mean curvature functions of Brownian paths
by Last, Günter
- 1892-1919 Sequential testing of simple hypotheses about compound Poisson processes
by Dayanik, Savas & Sezer, Semih O.
- 1920-1931 Existence and perfect simulation of one-dimensional loss networks
by Garcia, Nancy L. & Maric, Nevena
- 1932-1963 Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: approach
by Goldys, B. & Gozzi, F.
- 1964-1976 Convergence rates in strong ergodicity for Markov processes
by Mao, Yong-Hua
- 1977-1991 On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
by Mladenovic, Pavle & Piterbarg, Vladimir
- 1992-2013 A conceptual approach to a path result for branching Brownian motion
by Hardy, Robert & Harris, Simon C.
- 2014-2056 Backward stochastic differential equations with singular terminal condition
by Popier, A.
November 2006, Volume 116, Issue 11
- 1511-1529 Annealed asymptotics for the parabolic Anderson model with a moving catalyst
by Gärtner, Jürgen & Heydenreich, Markus
- 1530-1562 Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition
by Gozzi, Fausto & Russo, Francesco
- 1563-1583 Weak Dirichlet processes with a stochastic control perspective
by Gozzi, Fausto & Russo, Francesco
- 1584-1599 Reconstruction of periodic sceneries seen along a random walk
by Matzinger, Heinrich & Lember, Jüri
- 1600-1621 Polymer pinning at an interface
by Pétrélis, Nicolas
- 1622-1635 Asymptotic bounds for infinitely divisible sequences
by Kwapien, Stanislaw & Rosinski, Jan
- 1636-1659 Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise
by Sritharan, S.S. & Sundar, P.
- 1660-1675 Simulation of conditioned diffusion and application to parameter estimation
by Delyon, Bernard & Hu, Ying
October 2006, Volume 116, Issue 10
- 1341-1357 Transformation formulas for fractional Brownian motion
by Jost, Céline
- 1358-1376 Backward stochastic differential equations with jumps and related non-linear expectations
by Royer, Manuela
- 1377-1408 On the concentration of Sinai's walk
by Andreoletti, Pierre
- 1409-1432 Delay differential equations driven by Lévy processes: Stationarity and Feller properties
by Reiß, M. & Riedle, M. & van Gaans, O.
- 1433-1446 Cut-off for n-tuples of exponentially converging processes
by Barrera, Javiera & Lachaud, Béatrice & Ycart, Bernard
- 1447-1467 Computable infinite-dimensional filters with applications to discretized diffusion processes
by Chaleyat-Maurel, Mireille & Genon-Catalot, Valentine
- 1468-1495 Martingale problem for superprocesses with non-classical branching functional
by Leduc, Guillaume
- 1496-1510 On the renewal risk process with stochastic interest
by Yuen, Kam C. & Wang, Guojing & Wu, Rong
September 2006, Volume 116, Issue 9
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