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  • Search: isPartOf:"Stochastic Processes and their Applications"
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Subject
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Malliavin calculus 17 Large deviations 16 Lévy process 16 Lévy processes 16 Fractional Brownian motion 15 Central limit theorem 13 Backward stochastic differential equations 11 Stochastic differential equation 10 Stochastic differential equations 9 Weak convergence 9 Brownian motion 8 Random walk 8 Branching process 7 Coupling 7 Invariance principle 7 Limit theorems 7 Local time 7 Markov chain 7 Martingales 7 Stochastic partial differential equations 7 Branching processes 6 Comparison theorem 6 Percolation 6 Regular variation 6 Scale function 6 Scaling limit 6 Stable convergence 6 Stochastic partial differential equation 6 Viscosity solution 6 Feynman–Kac formula 5 G-expectation 5 Gaussian process 5 Gaussian processes 5 Harmonic function 5 Large deviation 5 Long memory 5 Markov chains 5 Optimal stopping 5 Poisson point process 5 Wiener chaos 5
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Undetermined 3,458 Free 2
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Article 3,458 Book / Working Paper 3
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Undetermined 3,458 English 3
Author
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Nualart, David 21 Taqqu, Murad S. 17 Horváth, Lajos 15 Samorodnitsky, Gennady 15 Csáki, Endre 13 Khoshnevisan, Davar 13 Shi, Zhan 13 Csörgo, Miklós 12 Shao, Qi-Man 12 Davis, Richard A. 11 Hall, Peter 11 Imkeller, Peter 11 Kim, Panki 11 Mikosch, Thomas 11 Hsing, Tailen 10 Klüppelberg, Claudia 10 Peng, Shige 10 Révész, Pál 10 Wang, Feng-Yu 10 Zhang, Xicheng 10 Asmussen, Søren 9 Heyde, C. C. 9 Mao, Xuerong 9 Rosen, Jay 9 Surgailis, Donatas 9 Yor, Marc 9 Adler, Robert J. 8 Albeverio, Sergio 8 Albin, J. M. P. 8 Berkes, István 8 Braverman, Michael 8 Fleischmann, Klaus 8 Fournier, Nicolas 8 Hu, Ying 8 Last, Günter 8 Masry, Elias 8 Orsingher, Enzo 8 Pakes, Anthony G. 8 Podolskij, Mark 8 Thorisson, Hermann 8
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Stochastic Processes and their Applications 3,458 38th Conference on Stochastic Processes and their Applications, Oxford, UK 1 Forthcoming publication in Stochastic Processes and their Applications 1 Research paper series / Swiss Finance Institute 1 Stochastic Processes and their Applications, 2018, 128(10): 3353-3386 1
Source
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RePEc 3,458 ECONIS (ZBW) 3
Showing 1,291 - 1,300 of 3,461
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Random Oxford graphs
Blasiak, Jonah; Durrett, Rick - In: Stochastic Processes and their Applications 115 (2005) 8, pp. 1257-1278
Inspired by a concept in comparative genomics, we investigate properties of randomly chosen members of G1(m,n,t), the set of bipartite graphs with m left vertices, n right vertices, t edges, and each vertex of degree at least one. We give asymptotic results for the number of such graphs and the...
Persistent link: https://www.econbiz.de/10008874232
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Frequently visited sets for random walks
Csáki, Endre; Földes, Antónia; Révész, Pál; Rosen, Jay - In: Stochastic Processes and their Applications 115 (2005) 9, pp. 1503-1517
We study the occupation measure of various sets for a symmetric transient random walk in Zd with finite variances. Let denote the occupation time of the set A up to time n. It is shown that tends to a finite limit as n--[infinity]. The limit is expressed in terms of the largest eigenvalue of a...
Persistent link: https://www.econbiz.de/10008874282
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Distance estimates for dependent superpositions of point processes
Schuhmacher, Dominic - In: Stochastic Processes and their Applications 115 (2005) 11, pp. 1819-1837
In this article, superpositions of possibly dependent point processes on a general space are considered. Using Stein's method for Poisson process approximation, an estimate is given for the Wasserstein distance d2 between the distribution of such a superposition and an appropriate Poisson...
Persistent link: https://www.econbiz.de/10008874340
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MDP for integral functionals of fast and slow processes with averaging
Guillin, A.; Liptser, R. - In: Stochastic Processes and their Applications 115 (2005) 7, pp. 1187-1207
We establish the moderate deviation principle (MDP) for the family ofwhere 0[kappa]0.5 and are slow and fast diffusion processes. We embed the original problem in the MDP study for the pair . The main tool for the MDP analysis is the Poisson equation technique, borrowed from the recent papers of...
Persistent link: https://www.econbiz.de/10008874401
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Minimal entropy preserves the Lévy property: how and why
Esche, Felix; Schweizer, Martin - In: Stochastic Processes and their Applications 115 (2005) 2, pp. 299-327
Let L be a multidimensional Lévy process under P in its own filtration and consider all probability measures Q turning L into a local martingale. The minimal entropy martingale measure QE is the unique Q which minimizes the relative entropy with respect to P. We prove that L is still a Lévy...
Persistent link: https://www.econbiz.de/10008874419
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Modified logarithmic Sobolev inequalities for some models of random walk
Goel, Sharad - In: Stochastic Processes and their Applications 114 (2004) 1, pp. 51-79
Logarithmic Sobolev inequalities are a well-studied technique for estimating rates of convergence of Markov chains to their stationary distributions. In contrast to continuous state spaces, discrete settings admit several distinct log Sobolev inequalities, one of which is the subject of this...
Persistent link: https://www.econbiz.de/10008874483
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Surface order large deviations for 2D FK-percolation and Potts models
Couronné, Olivier; Messikh, Reda Jürg - In: Stochastic Processes and their Applications 113 (2004) 1, pp. 81-99
By adapting the renormalization techniques of Pisztora (Probab. Theory Relat. Fields 104 (1996) 427), we establish surface order large deviations estimates for FK-percolation on with parameter q[greater-or-equal, slanted]1 and for the corresponding Potts models. Our results are valid up to the...
Persistent link: https://www.econbiz.de/10008875037
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The serial harness interacting with a wall
Ferrari, Pablo A.; Fontes, Luiz R. G.; Niederhauser, Beat M. - In: Stochastic Processes and their Applications 114 (2004) 1, pp. 175-190
The serial harnesses introduced by Hammersley describe the motion of a hypersurface of dimension d embedded in a space of dimension d+1. The height assigned to each site i of is updated by taking a weighted average of the heights of some of the neighbors of i plus a "noise" (a centered random...
Persistent link: https://www.econbiz.de/10008875216
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A representation formula for transition probability densities of diffusions and applications
Qian, Zhongmin; Zheng, Weian - In: Stochastic Processes and their Applications 111 (2004) 1, pp. 57-76
We establish a representation formula for the transition probability density of a diffusion perturbed by a vector field, which takes a form of Cameron-Martin's formula for pinned diffusions. As an application, by carefully estimating the mixed moments of a Gaussian process, we deduce explicit,...
Persistent link: https://www.econbiz.de/10008875765
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Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
Braverman, Michael - In: Stochastic Processes and their Applications 112 (2004) 1, pp. 157-183
For symmetric stable processes with negative drift and continuous or discrete time the probabilistic tails of the subadditive functionals, acting on sample paths, are investigated. We prove a general result and applying it to examples show how the rate of decay can vary. The proof is based on...
Persistent link: https://www.econbiz.de/10008872719
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