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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 781 - 790 of 3,461
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Sharp phase transition and critical behaviour in 2D divide and colour models
Bálint, András; Camia, Federico; Meester, Ronald - In: Stochastic Processes and their Applications 119 (2009) 3, pp. 937-965
We study a natural dependent percolation model introduced by Häggström. Consider subcritical Bernoulli bond percolation with a fixed parameter ppc. We define a dependent site percolation model by the following procedure: for each bond cluster, we colour all vertices in the cluster black with...
Persistent link: https://www.econbiz.de/10008875294
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On the purity of the free boundary condition Potts measure on random trees
Formentin, Marco; Külske, Christof - In: Stochastic Processes and their Applications 119 (2009) 9, pp. 2992-3005
We consider the free boundary condition Gibbs measure of the Potts model on a random tree. We provide an explicit temperature interval below the ferromagnetic transition temperature for which this measure is extremal, improving older bounds of Mossel and Peres. In information theoretic language...
Persistent link: https://www.econbiz.de/10008875295
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Occupation times of subcritical branching immigration systems with Markov motions
Milos, Piotr - In: Stochastic Processes and their Applications 119 (2009) 10, pp. 3211-3237
We consider a branching system consisting of particles moving according to a Markov family in and undergoing subcritical branching with a constant rate V0. New particles immigrate to the system according to a homogeneous space-time Poisson random field. The process of the fluctuations of the...
Persistent link: https://www.econbiz.de/10008875303
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Large scale properties of the IIIC for 2D percolation
Chayes, L.; Nolin, P. - In: Stochastic Processes and their Applications 119 (2009) 3, pp. 882-896
We reinvestigate the 2D problem of the inhomogeneous incipient infinite cluster where, in an independent percolation model, the density decays to pc with an inverse power, [lambda], of the distance to the origin. Assuming the existence of critical exponents (as is known in the case of the...
Persistent link: https://www.econbiz.de/10008875315
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Tree structured independence for exponential Brownian functionals
Matsumoto, Hiroyuki; Wesolowski, Jacek; Witkowski, Piotr - In: Stochastic Processes and their Applications 119 (2009) 10, pp. 3798-3815
The product of GIG and gamma distributions is preserved under the transformation (x,y)|-((x+y)-1,x-1-(x+y)-1). It is also known that this independence property may be reformulated and extended to an analogous property on trees. The purpose of this article is to show the independence property on...
Persistent link: https://www.econbiz.de/10008875317
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New techniques for empirical processes of dependent data
Dehling, Herold; Durieu, Olivier; Volny, Dalibor - In: Stochastic Processes and their Applications 119 (2009) 10, pp. 3699-3718
We present a new technique for proving the empirical process invariance principle for stationary processes (Xn)n=0. The main novelty of our approach lies in the fact that we only require the central limit theorem and a moment bound for a restricted class of functions (f(Xn))n=0, not containing...
Persistent link: https://www.econbiz.de/10008875359
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First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
Stelzer, Robert - In: Stochastic Processes and their Applications 119 (2009) 6, pp. 1932-1951
The first jump approximation of a pure jump Lévy process, which converges to the Lévy process in the Skorokhod topology in probability, is generalised to a multivariate setting and an infinite time horizon. It is shown that it can generally be used to obtain "first jump approximations" of...
Persistent link: https://www.econbiz.de/10008875364
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Collision probability for random trajectories in two dimensions
Gaudillière, A. - In: Stochastic Processes and their Applications 119 (2009) 3, pp. 775-810
We give a lower bound for the non-collision probability up to a long time T in a system of n independent random walks with fixed obstacles on . By 'collision' we mean collision between the random walks as well as collision with the fixed obstacles. We give an analogous result for Brownian...
Persistent link: https://www.econbiz.de/10008875380
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Special examples of diffusions in random environment
del Tenno, Ivan - In: Stochastic Processes and their Applications 119 (2009) 3, pp. 924-936
In this note we present some examples of diffusions in random environment whose asymptotic behavior is rather surprising. We construct a family of diffusions that are small perturbations of Brownian motion with non-vanishing expected local drift under the static measure of the environment but...
Persistent link: https://www.econbiz.de/10008875394
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The martingale problem for a class of stable-like processes
Bass, Richard F.; Tang, Huili - In: Stochastic Processes and their Applications 119 (2009) 4, pp. 1144-1167
Let [alpha][set membership, variant](0,2) and consider the operator for , where the [backward difference]f(x)[dot operator]h term is omitted if [alpha]1. We consider the martingale problem corresponding to the operator and under mild conditions on the function A prove that there exists a unique...
Persistent link: https://www.econbiz.de/10008875429
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