# Elsevier

# Stochastic Processes and their Applications

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### June 2006, Volume 116, Issue 6

### May 2006, Volume 116, Issue 5

**701-723 Portfolio selection under incomplete information***by*Brendle, Simon**724-756 Worst-case large-deviation asymptotics with application to queueing and information theory***by*Pandit, Charuhas & Meyn, Sean**757-778 Local time-space stochastic calculus for Lévy processes***by*Eisenbaum, Nathalie**779-795 Backward stochastic Volterra integral equations and some related problems***by*Yong, Jiongmin**796-806 Limit theorems for multipower variation in the presence of jumps***by*Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias**807-829 Markers for error-corrupted observations***by*Hart, Andrew & Matzinger, Heinrich**830-856 On bifractional Brownian motion***by*Russo, Francesco & Tudor, Ciprian A.**857-872 The Lamperti correspondence extended to Lévy processes and semi-stable Markov processes in locally compact groups***by*Chybiryakov, Oleksandr

### April 2006, Volume 116, Issue 4

**539-567 A conditional limit theorem for tree-indexed randomÂ walk***by*Le Gall, Jean-François**568-584 Filtering of a reflected Brownian motion with respect to its local time***by*Nappo, Giovanna & Torti, Barbara**585-610 Continuous time random walks and queues: Explicit forms and approximations of the conditional law with respect to local times***by*Nappo, Giovanna & Torti, Barbara**611-642 First exit times of SDEs driven by stable Lévy processes***by*Imkeller, P. & Pavlyukevich, I.**643-661 Existence of densities for jumping stochastic differentialÂ equations***by*Fournier, Nicolas & Giet, Jean-Sébastien**662-674 A probabilistic model for the 5x+1 problem and related maps***by*Volkov, Stanislav**675-689 Singular time changes of diffusions on Sierpinski carpets***by*Osada, Hirofumi**690-698 A reflection principle for correlated defaults***by*Patras, Frédéric

### March 2006, Volume 116, Issue 3

**345-369 Different aspects of a random fragmentation model***by*Bertoin, Jean**370-380 Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations***by*Peng, Shige & Zhu, Xuehong**381-406 Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type***by*Athreya, Siva R. & Bass, Richard F. & Gordina, Maria & Perkins, Edwin A.**407-422 On an approximation problem for stochastic integrals where random time nets do not help***by*Geiss, Christel & Geiss, Stefan**423-446 Regularizing mappings of Lévy measures***by*Barndorff-Nielsen, Ole E. & Thorbjørnsen, Steen**447-462 A Poisson bridge between fractional Brownian motion and stable Lévy motion***by*Gaigalas, Raimundas**463-479 Multiple fractional integral with Hurst parameter less than***by*Bardina, Xavier & Jolis, Maria**480-492 Deviations of a random walk in a random scenery with stretched exponential tails***by*Gantert, Nina & van der Hofstad, Remco & König, Wolfgang**493-538 On quadratic functionals of the Brownian sheet and related processes***by*Deheuvels, Paul & Peccati, Giovanni & Yor, Marc

### February 2006, Volume 116, Issue 2

**131-155 Activity rates with very heavy tails***by*Mikosch, Thomas & Resnick, Sidney**156-177 Tail asymptotics for exponential functionals of Lévy processes***by*Maulik, Krishanu & Zwart, Bert**178-199 Monotonicity properties of multi-dimensional reflected diffusions in random environment and applications***by*Rabehasaina, Landy**200-221 How rich is the class of multifractional Brownian motions?***by*Stoev, Stilian A. & Taqqu, Murad S.**222-243 Leroux's method for general hidden Markov models***by*Genon-Catalot, Valentine & Laredo, Catherine**244-266 On the joint distribution of surplus before and after ruin under a Markovian regime switching model***by*Ng, Andrew C.Y. & Yang, Hailiang**267-278 Ruin probability in the presence of risky investments***by*Pergamenshchikov, Serguei & Zeitouny, Omar**279-292 Another approach to Brownian motion***by*Peligrad, Magda & Utev, Sergey**293-309 Brownian sheet and reflectionless potentials***by*Taniguchi, Setsuo**310-336 Functional quantization of a class of Brownian diffusions: A constructive approach***by*Luschgy, Harald & Pagès, Gilles**337-344 Asymptotic behaviour of the empirical process for exchangeable data***by*Berti, Patrizia & Pratelli, Luca & Rigo, Pietro

### January 2006, Volume 116, Issue 1

**1-18 Limit theorems for occupation time fluctuations of branching systems I: Long-range dependence***by*Bojdecki, T. & Gorostiza, L.G. & Talarczyk, A.**19-35 Limit theorems for occupation time fluctuations of branching systems II: Critical and large dimensions***by*Bojdecki, T. & Gorostiza, L.G. & Talarczyk, A.**36-69 The exit distribution for iterated Brownian motion in cones***by*Bañuelos, Rodrigo & DeBlassie, Dante**70-100 The heat equation with time-independent multiplicative stable Lévy noise***by*Mueller, Carl & Mytnik, Leonid & Stan, Aurel**101-129 Malliavin Monte Carlo Greeks for jump diffusions***by*Davis, Mark H.A. & Johansson, Martin P.

### December 2005, Volume 115, Issue 12

**1883-1903 Representation theorems for generators of backward stochastic differential equations and their applications***by*Jiang, Long**1904-1927 Uniform large deviations for the nonlinear Schrodinger equation with multiplicative noise***by*Gautier, Eric**1928-1953 Representations of fractional Brownian motion using vibrating strings***by*Dzhaparidze, Kacha & van Zanten, Harry & Zareba, Pawel**1954-1978 Tail of the stationary solution of the stochastic equation Yn+1=anYn+bn with Markovian coefficients***by*de Saporta, BenoI^te**1979-2005 The noisy voter-exclusion process***by*Jung, Paul**2006-2022 Super-replication and utility maximization in large financial markets***by*De Donno, M. & Guasoni, P. & Pratelli, M.

### November 2005, Volume 115, Issue 11

**1745-1763 Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps***by*Eyraud-Loisel, Anne**1764-1781 On the solutions of nonlinear stochastic fractional partial differential equations in one spatial dimension***by*Debbi, Latifa & Dozzi, Marco**1782-1804 Super-Brownian motion conditioned on the total mass***by*Serlet, Laurent**1805-1818 Strong solutions of SDES with singular drift and Sobolev diffusion coefficients***by*Zhang, Xicheng**1819-1837 Distance estimates for dependent superpositions of point processes***by*Schuhmacher, Dominic**1838-1859 Decomposition of discrete time periodically correlated and multivariate stationary symmetric stable processes***by*Soltani, A.R. & Parvardeh, A.**1860-1882 Simulated annealing and object point processes: Tools for analysis of spatial patterns***by*Stoica, R.S. & Gregori, P. & Mateu, J.

### October 2005, Volume 115, Issue 10

**1603-1627 Comparison of insiders' optimal strategies depending on the type of side-information***by*Hillairet, Caroline**1628-1657 A coalescent model for the effect of advantageous mutations on the genealogy of a population***by*Durrett, Rick & Schweinsberg, Jason**1658-1676 Functional limit theorems for strongly subcritical branching processes in random environment***by*Afanasyev, V.I. & Geiger, J. & Kersting, G. & Vatutin, V.A.**1677-1700 Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts***by*Roelly, Sylvie & Thieullen, Michèle**1701-1722 Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes***by*Lindner, Alexander & Maller, Ross**1723-1743 Regularity of digits and significant digits of random variables***by*Hill, Theodore P. & Schürger, Klaus

### September 2005, Volume 115, Issue 9

**1437-1450 The standard Poisson disorder problem revisited***by*Bayraktar, Erhan & Dayanik, Savas & Karatzas, Ioannis**1451-1474 Regularity of diffusion coefficient for nearest neighbor asymmetric simple exclusion on***by*Beltrán, Johel**1475-1486 Gradient estimates and the first Neumann eigenvalue on manifolds with boundary***by*Wang, Feng-Yu**1487-1502 Reconstructing the drift of a diffusion from partially observed transition probabilities***by*Albeverio, S. & Marinelli, C.**1503-1517 Frequently visited sets for random walks***by*Csáki, Endre & Földes, Antónia & Révész, Pál & Rosen, Jay & Shi, Zhan**1518-1529 Martingale approximations for continuous-time and discrete-time stationary Markov processes***by*Holzmann, Hajo**1530-1556 Hitting probabilities and hitting times for stochastic fluid flows***by*Bean, Nigel G. & O'Reilly, Malgorzata M. & Taylor, Peter G.**1557-1582 The L2-structures of standard and switching-regime GARCH models***by*Francq, Christian & ZakoIÂ¨an, Jean-Michel**1583-1601 Stochastic currents***by*Flandoli, Franco & Gubinelli, Massimiliano & Giaquinta, Mariano & Tortorelli, Vincenzo M.

### August 2005, Volume 115, Issue 8

**1257-1278 Random Oxford graphs***by*Blasiak, Jonah & Durrett, Rick**1279-1301 Einstein relation for random walks in random environments***by*Komorowski, T. & Olla, S.**1302-1322 Gravitational clustering and additive coalescence***by*Giraud, Christophe**1323-1331 Pinning by a sparse potential***by*Janvresse, É. & de la Rue, T. & Velenik, Y.**1332-1356 Large deviations for functionals of spatial point processes with applications to random packing and spatial graphs***by*Schreiber, T. & Yukich, J.E.**1357-1383 Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise***by*Duncan, T.E. & Maslowski, B. & Pasik-Duncan, B.**1384-1407 Coupling for some partial differential equations driven by white noise***by*Da Prato, Giuseppe & Debussche, Arnaud & Tubaro, Luciano**1408-1436 Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models***by*Tadic, Vladislav B. & Doucet, Arnaud

### July 2005, Volume 115, Issue 7

**1073-1106 On implicit and explicit discretization schemes for parabolic SPDEs in any dimension***by*Millet, Annie & Morien, Pierre-Luc**1107-1129 Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient***by*Bahlali, Khaled & Hamadène, SaIÂ¨d & Mezerdi, Brahim**1131-1165 Uniform stability of autonomous linear stochastic functional differential equations in infinite dimensions***by*Liu, Kai**1167-1186 Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model***by*Masuda, H. & Yoshida, N.**1187-1207 MDP for integral functionals of fast and slow processes with averaging***by*Guillin, A. & Liptser, R.**1209-1232 Bad configurations for random walk in random scenery and related subshifts***by*den Hollander, Frank & Steif, Jeffrey E. & van der Wal, Peter**1233-1256 Exclusion processes with multiple interactions***by*Kovchegov, Yevgeniy

### June 2005, Volume 115, Issue 6

**875-889 Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions***by*Pinsky, Ross G.**891-906 Spatial coupling of neutral measure-valued population models***by*Athreya, Siva & Winter, Anita**907-925 Bismut-Elworthy's formula and random walk representation for SDEs with reflection***by*Deuschel, Jean-Dominique & Zambotti, Lorenzo**927-937 Random walks on unimodular p-adic groups***by*Mustapha, Sami**939-958 On linear processes with dependent innovations***by*Biao Wu, Wei & Min, Wanli**959-981 Joint estimators for the specific intrinsic volumes of stationary random sets***by*Schmidt, Volker & Spodarev, Evgueni**983-1016 Statistical and renewal results for the random sequential adsorption model applied to a unidirectional multicracking problem***by*Calka, Pierre & Mézin, André & Vallois, Pierre**1017-1040 The distribution of the local time for "pseudoprocesses" and its connection with fractional diffusion equations***by*Beghin, L. & Orsingher, E.**1041-1059 Low regularity solutions to a gently stochastic nonlinear wave equation in nonequilibrium statistical mechanics***by*Rey-Bellet, Luc & Thomas, Lawrence E.

### May 2005, Volume 115, Issue 5

**705-736 Optimal partially reversible investment with entry decision and general production function***by*Guo, Xin & Pham, Huyên**737-768 Conditional convergence to infinitely divisible distributions with finite variance***by*Dedecker, Jérôme & Louhichi, Sana**769-779 Sample path optimality for a Markov optimization problem***by*Hunt, F.Y.**781-796 A two-species competition model on***by*Kordzakhia, George & Lalley, Steven P.**797-826 Super optimal rates for nonparametric density estimation via projection estimators***by*Comte, F. & Merlevède, F.**827-848 Two-dimensional Gibbsian point processes with continuous spin symmetries***by*Richthammer, Thomas**849-873 Conditional limit theorems for queues with Gaussian input, a weak convergence approach***by*Dieker, A.B.

### April 2005, Volume 115, Issue 4

**539-569 Representations and regularities for solutions to BSDEs with reflections***by*Ma, Jin & Zhang, Jianfeng**571-577 Convergence results for multivariate martingales***by*Crimaldi, Irene & Pratelli, Luca**579-591 The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails***by*Hansen, Niels Richard & Jensen, Anders Tolver**593-607 On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance***by*Patie, Pierre**609-638 Finite expiry Russian options***by*Duistermaat, J.J. & Kyprianou, A.E. & van Schaik, K.**639-659 Time-inhomogeneous affine processes***by*Filipovic, Damir**661-677 Partially exchangeable processes indexed by the vertices of a k-tree constructed via reinforcement***by*Muliere, Pietro & Secchi, Piercesare & Walker, Stephen**679-700 Upper-lower class tests and frequency results along subsequences***by*Berkes, István & Weber, Michel

### March 2005, Volume 115, Issue 3

**359-380 Level crossings of a two-parameter random walk***by*Khoshnevisan, Davar & Révész, Pál & Shi, Zhan**381-400 A filtered no arbitrage model for term structures from noisy data***by*Gombani, Andrea & Jaschke, Stefan R. & Runggaldier, Wolfgang J.**401-415 On the ergodic decomposition for a class of Markov chains***by*Costa, O.L.V. & Dufour, F.**417-434 Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations***by*Scotto, M.**435-448 Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients***by*Zhang, Xicheng**449-479 Particle picture approach to the self-intersection local time of density processes in***by*Bojdecki, Tomasz & Talarczyk, Anna**481-492 An extension of the divergence operator for Gaussian processes***by*León, Jorge A. & Nualart, David**493-537 Inner rates of coverage of Strassen type sets by increments of the uniform empirical and quantile processes***by*Berthet, Philippe

### February 2005, Volume 115, Issue 2

**179-206 Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals***by*Ben-Ari, Iddo & Pinsky, Ross G.**207-248 Extremes of Gaussian processes over an infinite horizon***by*Dieker, A.B.**249-274 Extremal behavior of regularly varying stochastic processes***by*Hult, Henrik & Lindskog, Filip**275-298 Large deviations of kernel density estimator in L1(Rd) for uniformly ergodic Markov processes***by*Lei, Liangzhen & Wu, Liming**299-327 Minimal entropy preserves the Lévy property: how and why***by*Esche, Felix & Schweizer, Martin**329-338 Harnesses, Lévy bridges and Monsieur Jourdain***by*Mansuy, Roger & Yor, Marc**339-358 Uniform CLT for empirical process***by*Ben Hariz, Samir

### January 2005, Volume 115, Issue 1

**1-30 Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income***by*Schroder, Mark & Skiadas, Costis**31-40 Equivalence of floating and fixed strike Asian and lookback options***by*Eberlein, Ernst & Papapantoleon, Antonis**41-54 A comonotonic theorem for BSDEs***by*Chen, Zengjing & Kulperger, Reg & Wei, Gang**55-75 Dimension results for sample paths of operator stable Lévy processes***by*Meerschaert, Mark M. & Xiao, Yimin**77-90 A construction of catalytic super-Brownian motion via collision local time***by*Mörters, Peter & Vogt, Pascal**91-115 The 1/H-variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes***by*Guerra, João M.E. & Nualart, David**117-153 Designing a contact process: the piecewise-homogeneous process on a finite set with applications***by*Wagner, Aaron B. & Anantharam, Venkat**155-177 Nonparametric regression estimation for dependent functional data: asymptotic normality***by*Masry, Elias

### December 2004, Volume 114, Issue 2

**191-209 Point processes associated with stationary stable processes***by*Resnick, Sidney & Samorodnitsky, Gennady**211-229 Diffusion local time storage***by*Kozlova, M. & Salminen, P.**231-250 Limit theorem for maximum of the storage process with fractional Brownian motion as input***by*Hüsler, Jürg & Piterbarg, Vladimir**251-263 A model of the term structure of interest rates based on Lévy fields***by*Albeverio, Sergio & Lytvynov, Eugene & Mahnig, Andrea**265-278 Properties of American option prices***by*Ekström, Erik**279-286 On the infinite differentiability of the right edge in the supercritical oriented percolation***by*Zhang, Yu**287-311 A central limit theorem for the optimal selection process for monotone subsequences of maximum expected length***by*Bruss, F. Thomas & Delbaen, Freddy**313-330 Lq(Lp) theory and Hölder estimates for parabolic SPDEs***by*Kim, Kyeong-Hun**331-350 An approximation result for a nonlinear Neumann boundary value problem via BSDEs***by*Boufoussi, B. & van Casteren, J.

### November 2004, Volume 114, Issue 1

**1-26 Metastability under stochastic dynamics***by*den Hollander, F.**27-50 Elementary fixed points of the BRW smoothing transforms with infinite number of summands***by*Iksanov, Aleksander M.**51-79 Modified logarithmic Sobolev inequalities for some models of random walk***by*Goel, Sharad**81-107 Recurrent lines in two-parameter isotropic stable Lévy sheets***by*Dalang, Robert C. & Khoshnevisan, Davar**109-125 Explicit solutions of some utility maximization problems in incomplete markets***by*Tehranchi, Michael**127-160 Compact interface property for symbiotic branching***by*Etheridge, Alison M. & Fleischmann, Klaus**161-174 Asymptotic theory of noncentered mixing stochastic differential equations***by*Kim, Jeong-Hoon**175-190 The serial harness interacting with a wall***by*Ferrari, Pablo A. & Fontes, Luiz R. G. & Niederhauser, Beat M. & Vachkovskaia, Marina

### October 2004, Volume 113, Issue 2

**173-197 Approximating the Reed-Frost epidemic process***by*Barbour, A. D. & Utev, Sergey**199-216 Interpolation for partly hidden diffusion processes***by*Choi, Changsun & Nam, Dougu**217-233 Law of large numbers for the simple exclusion process***by*Andjel, E. & Ferrari, P. A. & Siqueira, A.**235-272 Stochastic averaging and asymptotic behavior of the stochastic Duffing-van der Pol equation***by*Baxendale, Peter H.**273-287 Evaluating the small deviation probabilities for subordinated Lévy processes***by*Linde, Werner & Shi, Zhan**289-313 Robustness of time reversal for waves in time-dependent random media***by*Alfaro Vigo, Daniel G. & Fouque, Jean-Pierre & Garnier, Josselin & Nachbin, André**315-332 On the ruin probability for physical fractional Brownian motion***by*Hüsler, J. & Piterbarg, V.**333-351 Fractional Brownian motion as a weak limit of Poisson shot noise processes--with applications to finance***by*Klüppelberg, Claudia & Kühn, Christoph

### September 2004, Volume 113, Issue 1

**1-35 Fluctuations of the free energy in the high temperature Hopfield model***by*Comets, Francis & Kurkova, Irina & Trashorras, José**37-64 On weak uniqueness for some diffusions with discontinuous coefficients***by*Krylov, N. V.**65-80 An infinite stochastic model of social network formation***by*Liggett, Thomas M. & Rolles, Silke W. W.**81-99 Surface order large deviations for 2D FK-percolation and Potts models***by*Couronné, Olivier & Messikh, Reda Jürg**101-126 Diffusion processes on an open book and the averaging principle***by*Freidlin, M. I. & Wentzell, A. D.**127-142 Approximations to generalized renewal measures***by*Vexler, Albert**143-172 Stochastic volatility and fractional Brownian motion***by*Gloter, A. & Hoffmann, M.

### August 2004, Volume 112, Issue 2

**185-200 Dynamic coherent risk measures***by*Riedel, Frank**201-223 Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme***by*Gobet, Emmanuel & Menozzi, Stéphane**225-244 Simulating the ruin probability of risk processes with delay in claim settlement***by*Torrisi, G. L.**245-259 Ergodicity of Lévy flows***by*Mohari, Anilesh**261-283 On stochastic partial differential equations with variable coefficients in C1 domains***by*Kim, Kyeong-Hun**285-308 Fluctuation exponents and large deviations for directed polymers in a random environment***by*Carmona, Philippe & Hu, Yueyun**309-317 Limit behaviour for a supercritical bisexual Galton-Watson branching process with population-size-dependent mating***by*Molina, M. & Mota, M. & Ramos, A.**319-329 Zero-sum dynamic games and a stochastic variation of Ramsey's theorem***by*Shmaya, Eran & Solan, Eilon**331-355 Anticipative stochastic integration based on time-space chaos***by*Peccati, Giovanni

### July 2004, Volume 112, Issue 1

**1-22 Coherent and convex monetary risk measures for bounded càdlàg processes***by*Cheridito, Patrick & Delbaen, Freddy & Kupper, Michael**23-51 Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coefficients***by*Hu, Ying & Ma, JinJin**53-78 Ruin probabilities and penalty functions with stochastic rates of interest***by*Cai, Jun**79-93 A further remark on dynamic programming for partially observed Markov processes***by*Borkar, V.S.Vivek S. & Budhiraja, Amarjit**95-118 Heat equation with strongly inhomogeneous noise***by*Zähle, Henryk**119-144 Uniqueness for a weak nonlinear evolution equation and large deviations for diffusing particles with electrostatic repulsion***by*Fontbona, J.**145-155 Further scaling exponents of random walks in random sceneries***by*Piau, Didier**157-183 Tail probabilities of subadditive functionals on stable processes with continuous and discrete time***by*Braverman, Michael

### June 2004, Volume 111, Issue 2

**175-206 Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations***by*Bouchard, Bruno & Touzi, Nizar**207-235 A regularity condition and a limit theorem for Harris ergodic Markov chains***by*Samur, J.D.Jorge D.**237-258 Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times***by*Baltrunas, A. & Daley, D. J. & Klüppelberg, C.**259-279 Random clouds and an application to censoring in survival analysis***by*Ivanoff, B.G.B. Gail & Merzbach, Ely**281-315 On the derivation of a linear Boltzmann equation from a periodic lattice gas***by*Ricci, Valeria & Wennberg, Bernt**317-354 Best choice from the planar Poisson process***by*Gnedin, A.V.Alexander V.

### May 2004, Volume 111, Issue 1

**1-15 Stochastic differential equations driven by stable processes for which pathwise uniqueness fails***by*Bass, Richard F. & Burdzy, Krzysztof & Chen, Zhen-Qing**17-39 An optimal Skorokhod embedding for diffusions***by*Cox, A. M. G. & Hobson, D. G.**41-55 Rate of convergence of some self-attracting diffusions***by*Herrmann, Samuel & Scheutzow, Michael**57-76 A representation formula for transition probability densities of diffusions and applications***by*Qian, Zhongmin & Zheng, Weian**77-95 A new multivariate transform and the distribution of a random functional of a Ferguson-Dirichlet process***by*Jiang, Thomas J. & Dickey, James M. & Kuo, Kun-Lin**97-118 Large void zones and occupation times for coalescing random walks***by*Csáki, Endre & Révész, Pál & Shi, Zhan**119-156 On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion***by*Ayache, Antoine & Lévy Véhel, Jacques**157-173 On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications***by*Bercu, B.

### April 2004, Volume 110, Issue 2

**177-245 Functional limit theorems for multitype branching processes and generalized Pólya urns***by*Janson, Svante**247-258 Isomorphism theorems for Markov chains***by*Eisenbaum, Nathalie**259-274 Ruin probabilities for a risk process with stochastic return on investments***by*Yuen, Kam C. & Wang, Guojing & Ng, Kai W.**275-294 Markov chain approximations to filtering equations for reflecting diffusion processes***by*Kouritzin, Michael A. & Long, Hongwei & Sun, Wei**295-314 Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure***by*Hwang, S. Y. & Kim, Tae Yoon**315-342 Second-order expansion for the maximum of some stationary Gaussian sequences***by*Barbe, Ph. & McCormick, W. P.