# Elsevier

# Stochastic Processes and their Applications

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### 2002, Volume 101, Issue 2

### 2002, Volume 101, Issue 1

**1-41 Continuum limit for some growth models***by*Rezakhanlou, Fraydoun**43-68 Regularity of the diffusion coefficient for lattice gas reversible under Bernoulli measures***by*Bernardin, Cédric**69-82 The threshold regime of finite volume bootstrap percolation***by*Cerf, R. & Manzo, F.**83-111 Probabilistic approach of some discrete and continuous coagulation equations with diffusion***by*Deaconu, Madalina & Fournier, Nicolas**113-125 Simulation of stochastic integrals with respect to Lévy processes of type G***by*Wiktorsson, Magnus**127-142 The set-indexed bandit problem***by*Aletti, Giacomo & Merzbach, Ely**143-160 Functional limit theorems for U-statistics indexed by a random walk***by*Cabus, Patricia & Guillotin-Plantard, Nadine

### 2002, Volume 99, Issue 2

**159-176 Many visits to a single site by a transient random walk in random environment***by*Gantert, Nina & Shi, Zhan**177-194 Small sets and Markov transition densities***by*Kendall, Wilfrid S. & Montana, Giovanni**195-208 One-shot coupling for certain stochastic recursive sequences***by*Roberts, Gareth O. & Rosenthal, Jeffrey S.**209-286 On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case***by*Delarue, François**287-293 About boundedness of stable sequences***by*Braverman, Michael**295-321 Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency***by*Gao, Jiti & Anh, Vo & Heyde, Chris**323-348 Bivariate occupation measure dimension of multidimensional processes***by*Bardet, Jean-Marc

### 2002, Volume 99, Issue 1

**1-30 A constructive approach to Euler hydrodynamics for attractive processes. Application to k-step exclusion***by*Bahadoran, C. & Guiol, H. & Ravishankar, K. & Saada, E.**31-51 A leavable bounded-velocity stochastic control problem***by*Karatzas, Ioannis & Ocone, Daniel**53-80 Truncation and augmentation of level-independent QBD processes***by*Latouche, Guy & Taylor, Peter**81-94 Integrability of infinite weighted sums of heavy-tailed i.i.d. random variables***by*Zerner, Martin P. W.**95-115 Regular variation of GARCH processes***by*Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas**117-135 Weak convergence for the covariance operators of a Hilbertian linear process***by*Mas, André**137-157 Poisson limits for U-statistics***by*Dabrowski, André R. & Dehling, Herold G. & Mikosch, Thomas & Sharipov, Olimjon

### 2002, Volume 98, Issue 2

**175-197 Limit theorems for monotonic particle systems and sequential deposition***by*Penrose, Mathew D.**199-209 Necessary conditions in limit theorems for cumulative processes***by*Glynn, Peter W. & Whitt, Ward**211-228 Power tailed ruin probabilities in the presence of risky investments***by*Kalashnikov, Vladimir & Norberg, Ragnar**229-252 Rates of convergence for the Nummelin conditional weak law of large numbers***by*Kuelbs, J. & Meda, A.**253-287 A time-reversed representation for the tail probabilities of stationary reflected Brownian motion***by*Dupuis, Paul & Ramanan, Kavita**289-315 The existence and uniqueness of the solution of an integral equation driven by a p-semimartingale of special type***by*Kubilius, K.**317-330 Jumping SDEs: absolute continuity using monotonicity***by*Fournier, Nicolas**331-339 How many processes have Poisson counts?***by*Brown, Timothy C. & Xia, Aihua

### 2002, Volume 98, Issue 1

**1-22 Ergodicity of one-dimensional resource sharing systems***by*Andjel, Enrique & López, F. Javier & Sanz, Gerardo**23-41 Interacting diffusions in a random medium: comparison and longtime behavior***by*Greven, A. & Klenke, A. & Wakolbinger, A.**43-66 Linear growth for greedy lattice animals***by*Martin, James B.**67-76 Prediction with incomplete past of a stationary process***by*Bondon, Pascal**77-112 Markov renewal theory for stationary (m+1)-block factors: convergence rate results***by*Alsmeyer, Gerold & Hoefs, Volker**113-130 Random Markov-self-similar measures***by*Liang, Jin-Rong**131-149 Pathwise uniqueness for a SDE with non-Lipschitz coefficients***by*Swart, J. M.**151-174 Ruin probability for Gaussian integrated processes***by*Debicki, Krzysztof

### 2002, Volume 97, Issue 2

**171-198 Lagrangian dynamics for a passive tracer in a class of Gaussian Markovian flows***by*Fannjiang, Albert & Komorowski, Tomasz & Peszat, Szymon**199-227 The coalescent in population models with time-inhomogeneous environment***by*Möhle, M.**229-253 On the robustness of backward stochastic differential equations***by*Briand, Philippe & Delyon, Bernard & Mémin, Jean**255-288 Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging***by*Kohlmann, Michael & Tang, Shanjian**289-306 Asymptotic stability of the bootstrap sample mean***by*del Barrio, Eustasio & Cuesta-Albertos, Juan A. & Matrán, Carlos**307-340 The FEXP estimator for potentially non-stationary linear time series***by*Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe

### 2002, Volume 97, Issue 1

**1-39 BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization***by*Lejay, Antoine**41-58 Robustness of the nonlinear filter: the correlated case***by*Bhatt, Abhay G. & Karandikar, Rajeeva L.**59-75 Multilevel clustering of extremes***by*Novak, S. Y.**77-93 Occupation times and beyond***by*Yang, Ming**95-110 Environmental Brownian noise suppresses explosions in population dynamics***by*Mao, Xuerong & Marion, Glenn & Renshaw, Eric**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