Citation analysis for Stochastic Processes and their Applications / Elsevier

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

0.2

5 Years IF

0.21

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.01	0.09	0.15	0.01	66	66	142	10	10	130	1	330	4		0		0	0.04
1991	0.01	0.08	0.05	0	66	132	202	7	17	132	1	342	1		0		0	0.04
1992	0	0.09	0.03	0	84	216	253	6	23	132		346	1		0		0	0.04
1993	0.01	0.11	0.03	0.01	103	319	276	9	32	150	1	346	2		0		0	0.05
1994	0	0.12	0.01	0	128	447	327	5	38	187		385	1		0		0	0.06
1995	0.1	0.19	0.2	0.11	119	566	390	112	150	231	24	447	48	70	62.5	2	0.02	0.08
1996	0.11	0.22	0.18	0.1	90	656	305	119	269	247	27	500	51	52	43.7		0	0.1
1997	0.13	0.22	0.2	0.11	104	760	261	154	423	209	28	524	60	69	44.8	5	0.05	0.09
1998	0.08	0.26	0.16	0.1	84	844	333	130	554	194	15	544	53	60	46.2	4	0.05	0.12
1999	0.11	0.27	0.19	0.1	104	948	417	179	733	188	20	525	52	71	39.7	1	0.01	0.13
2000	0.1	0.32	0.17	0.11	108	1056	404	183	916	188	19	501	53	73	39.9	6	0.06	0.14
2001	0.14	0.35	0.2	0.12	94	1150	277	229	1145	212	30	490	58	79	34.5	5	0.05	0.15
2002	0.1	0.37	0.14	0.1	73	1223	385	167	1312	202	21	494	49	48	28.7	1	0.01	0.19
2003	0.09	0.4	0.15	0.09	79	1302	474	198	1512	167	15	463	42	46	23.2	6	0.08	0.19
2004	0.2	0.44	0.19	0.17	92	1394	411	260	1772	152	31	458	76	73	28.1	7	0.08	0.2
2005	0.15	0.45	0.15	0.14	90	1484	344	228	2000	171	26	446	62	60	26.3	2	0.02	0.21
2006	0.18	0.46	0.17	0.19	95	1579	416	269	2269	182	32	428	81	81	30.1	8	0.08	0.2
2007	0.18	0.42	0.19	0.19	95	1674	377	320	2589	185	33	429	81	87	27.2	1	0.01	0.18
2008	0.23	0.44	0.24	0.24	103	1777	420	431	3022	190	44	451	107	89	20.6	12	0.12	0.2
2009	0.23	0.43	0.24	0.24	178	1955	701	474	3496	198	46	475	115	168	35.4	10	0.06	0.21
2010	0.24	0.43	0.23	0.25	110	2065	346	471	3967	281	67	561	141	126	26.8	9	0.08	0.18
2011	0.18	0.45	0.19	0.2	127	2192	400	418	4386	288	53	581	117	132	31.6	5	0.04	0.2
2012	0.14	0.45	0.18	0.17	119	2311	213	425	4811	237	33	613	103	127	29.9	4	0.03	0.19
2013	0.22	0.5	0.24	0.22	146	2457	426	595	5408	246	53	637	141	155	26.1	7	0.05	0.21
2014	0.22	0.51	0.24	0.26	127	2584	295	629	6037	265	58	680	178	177	28.1	16	0.13	0.2
2015	0.32	0.5	0.29	0.3	168	2752	243	807	6845	273	88	629	188	225	27.9	7	0.04	0.19
2016	0.24	0.5	0.25	0.24	147	2899	199	715	7563	295	70	687	162	152	21.3	9	0.06	0.18
2017	0.24	0.5	0.28	0.27	145	3044	185	853	8418	315	76	707	190	221	25.9	14	0.1	0.18
2018	0.21	0.54	0.26	0.21	147	3191	87	816	9234	292	61	733	155	246	30.1	6	0.04	0.21
2019	0.25	0.58	0.28	0.25	187	3378	85	934	10168	292	73	734	183	271	29	5	0.03	0.21
2020	0.2	0.75	0.27	0.21	252	3630	45	968	11136	334	67	794	169	343	35.4	6	0.02	0.29

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	1981	Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260. Full description at Econpapers \|\| Download paper	420
2	2009	Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276. Full description at Econpapers \|\| Download paper	132
3	2004	Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200. Full description at Econpapers \|\| Download paper	98
4	2008	Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers \|\| Download paper	84
5	2002	Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110. Full description at Econpapers \|\| Download paper	81
6	1999	A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342. Full description at Econpapers \|\| Download paper	78
7	2003	On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212. Full description at Econpapers \|\| Download paper	70
8	2002	Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115. Full description at Econpapers \|\| Download paper	65
9	1983	A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316. Full description at Econpapers \|\| Download paper	62
10	2006	Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806. Full description at Econpapers \|\| Download paper	60
11	1996	On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168. Full description at Econpapers \|\| Download paper	60
12	2004	Russian and American put options under exponential phase-type LÃÂ©vy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111. Full description at Econpapers \|\| Download paper	59
13	2003	Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325. Full description at Econpapers \|\| Download paper	58
14	1985	Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303. Full description at Econpapers \|\| Download paper	55
15	2000	Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120. Full description at Econpapers \|\| Download paper	55
16	1996	Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101. Full description at Econpapers \|\| Download paper	54
17	1991	Option hedging for semimartingales. (1991). Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363. Full description at Econpapers \|\| Download paper	52
18	1994	Subexponentiality of the product of independent random variables. (1994). Cline, D. B. H., ; Samorodnitsky, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:1:p:75-98. Full description at Econpapers \|\| Download paper	49
19	2003	Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers \|\| Download paper	49
20	2004	Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206. Full description at Econpapers \|\| Download paper	49
21	1998	Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286. Full description at Econpapers \|\| Download paper	48
22	1998	Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172. Full description at Econpapers \|\| Download paper	47
23	1975	Importance of system components and fault tree events. (1975). Proschan, Frank ; Barlow, Richard E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:2:p:153-173. Full description at Econpapers \|\| Download paper	46
24	1993	Risk theory in a stochastic economic environment. (1993). Paulsen, Jostein . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361. Full description at Econpapers \|\| Download paper	46
25	2007	A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812. Full description at Econpapers \|\| Download paper	45
26	1992	Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143. Full description at Econpapers \|\| Download paper	45
27	1989	Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes. (1989). de Vries, Casper ; Resnick, Sidney I. ; de Haan, Laurens ; Rootzen, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224. Full description at Econpapers \|\| Download paper	45
28	1998	Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97. Full description at Econpapers \|\| Download paper	45
29	2008	Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253. Full description at Econpapers \|\| Download paper	44
30	2005	Nonparametric regression estimation for dependent functional data: asymptotic normality. (2005). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:115:y:2005:i:1:p:155-177. Full description at Econpapers \|\| Download paper	42
31	1990	Nonparametric regression with long-range dependence. (1990). HART, Jeffrey D. ; Hall, Peter. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351. Full description at Econpapers \|\| Download paper	42
32	1992	M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180. Full description at Econpapers \|\| Download paper	39
33	2007	Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662. Full description at Econpapers \|\| Download paper	38
34	2011	Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844. Full description at Econpapers \|\| Download paper	38
35	1991	Time-dependent coefficients in a Cox-type regression model. (1991). Sen, P. K. ; Murphy, S. A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180. Full description at Econpapers \|\| Download paper	38
36	1995	Utility maximization with partial information. (1995). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273. Full description at Econpapers \|\| Download paper	36
37	1999	Stability of stochastic differential equations with Markovian switching. (1999). Mao, Xuerong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:79:y:1999:i:1:p:45-67. Full description at Econpapers \|\| Download paper	35
38	2000	Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48. Full description at Econpapers \|\| Download paper	34
39	2001	Finite and infinite time ruin probabilities in a stochastic economic environment. (2001). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:92:y:2001:i:2:p:265-285. Full description at Econpapers \|\| Download paper	34
40	2002	On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286. Full description at Econpapers \|\| Download paper	33
41	1999	On the ruin probabilities in a general economic environment. (1999). Nyrhinen, Harri . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:83:y:1999:i:2:p:319-330. Full description at Econpapers \|\| Download paper	32
42	1994	Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms. (1994). Roberts, G. O. ; Smith, A. F. M., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216. Full description at Econpapers \|\| Download paper	32
43	2013	Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499. Full description at Econpapers \|\| Download paper	31
44	2006	Backward stochastic differential equations with jumps and related non-linear expectations. (2006). Royer, Manuela . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:10:p:1358-1376. Full description at Econpapers \|\| Download paper	31
45	2013	Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121. Full description at Econpapers \|\| Download paper	31
46	1995	Fractional ARIMA with stable innovations. (1995). Taqqu, Murad S. ; Kokoszka, Piotr S.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:60:y:1995:i:1:p:19-47. Full description at Econpapers \|\| Download paper	31
47	1995	On pathwise stochastic integration. (1995). Karandikar, Rajeeva L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:57:y:1995:i:1:p:11-18. Full description at Econpapers \|\| Download paper	30
48	1986	On smoothed probability density estimation for stationary processes. (1986). Castellana, J. V. ; Leadbetter, M. R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:179-193. Full description at Econpapers \|\| Download paper	29
49	1984	Optimum portfolio diversification in a general continuous-time model. (1984). Aase, Knut. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:18:y:1984:i:1:p:81-98. Full description at Econpapers \|\| Download paper	28
50	2009	Mean-field backward stochastic differential equations and related partial differential equations. (2009). Li, Juan ; Peng, Shige ; Buckdahn, Rainer . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3133-3154. Full description at Econpapers \|\| Download paper	28

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	1981	Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260. Full description at Econpapers \|\| Download paper	50
2	2002	Environmental Brownian noise suppresses explosions in population dynamics. (2002). Renshaw, Eric ; Mao, Xuerong ; Marion, Glenn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:97:y:2002:i:1:p:95-110. Full description at Econpapers \|\| Download paper	34
3	2009	Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276. Full description at Econpapers \|\| Download paper	30
4	2004	Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200. Full description at Econpapers \|\| Download paper	23
5	1996	On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168. Full description at Econpapers \|\| Download paper	18
6	2003	Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers \|\| Download paper	17
7	2008	Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation. (2008). Peng, Shige. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:12:p:2223-2253. Full description at Econpapers \|\| Download paper	17
8	2004	Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Bouchard, Bruno ; Touzi, Nizar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206. Full description at Econpapers \|\| Download paper	15
9	2008	Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers \|\| Download paper	15
10	1998	Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286. Full description at Econpapers \|\| Download paper	14
11	2013	Constructing sublinear expectations on path space. (2013). Nutz, Marcel ; van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:8:p:3100-3121. Full description at Econpapers \|\| Download paper	13
12	2011	Locally stationary long memory estimation. (2011). Roueff, Franois ; von Sachs, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:121:y:2011:i:4:p:813-844. Full description at Econpapers \|\| Download paper	13
13	2014	Occupation times of intervals until first passage times for spectrally negative LÃÂ©vy processes. (2014). Renaud, Jean-Franois ; Zhou, Xiaowen ; Loeffen, Ronnie L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:3:p:1408-1435. Full description at Econpapers \|\| Download paper	13
14	2002	On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. (2002). Delarue, Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:2:p:209-286. Full description at Econpapers \|\| Download paper	12
15	2003	On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212. Full description at Econpapers \|\| Download paper	12
16	2003	Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325. Full description at Econpapers \|\| Download paper	12
17	2007	A forward scheme for backward SDEs. (2007). Denk, Robert ; Bender, Christian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812. Full description at Econpapers \|\| Download paper	11
18	2003	Long-time behaviour of a stochastic prey-predator model. (2003). Rudnicki, Ryszard . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:93-107. Full description at Econpapers \|\| Download paper	11
19	2006	Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806. Full description at Econpapers \|\| Download paper	11
20	2007	Horizon-unbiased utility functions. (2007). Hobson, David ; Henderson, Vicky. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1621-1641. Full description at Econpapers \|\| Download paper	11
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Citing documents used to compute impact factor: 67

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2020	On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021. Full description at Econpapers \|\| Download paper
2020	Existence, uniqueness and continuous dependence of solutions to conformable stochastic differential equations. (2020). Oregan, Donal ; Wang, Jinrong ; Xiao, Guanli. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306652. Full description at Econpapers \|\| Download paper
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2020	Quenched asymptotics for interacting diffusions on inhomogeneous random graphs. (2020). Luon, Eric. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6783-6842. Full description at Econpapers \|\| Download paper
2020	Optimality of Impulse Control Problem in Refracted LÃÂ©vy Model with Parisian Ruin and Transaction Costs. (2020). Czarna, Irmina ; Kaszubowski, Adam. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:185:y:2020:i:3:d:10.1007_s10957-020-01682-1. Full description at Econpapers \|\| Download paper
2020	Fine Properties of the Optimal Skorokhod Embedding Problem. (2019). Stebegg, Florian ; Nutz, Marcel ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:1903.03887. Full description at Econpapers \|\| Download paper
2020	SPDEs with linear multiplicative fractional noise: Continuity in law with respect to the Hurst index. (2020). Jolis, Maria ; Giordano, Luca M ; Quer-Sardanyons, Lluis. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7396-7430. Full description at Econpapers \|\| Download paper
2020	Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix. (2020). Di Nardo, Elvira . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:179:y:2020:i:c:s0047259x20302104. Full description at Econpapers \|\| Download paper
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2020	Existence of infinite Viterbi path for pairwise Markov models. (2020). Sova, Joonas ; Lember, Juri. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:3:p:1388-1425. Full description at Econpapers \|\| Download paper
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2020	Optimal scaling of random-walk metropolis algorithms on general target distributions. (2020). Rosenthal, Jeffrey S ; Roberts, Gareth O ; Yang, Jun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:10:p:6094-6132. Full description at Econpapers \|\| Download paper
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2020	On the closed loop Nash equilibrium strategy for a class of sampled data stochastic linear quadratic differential games. (2020). Popa, Ioan-Lucian ; Ivanov, Ivan G ; Drgan, Vasile. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302770. Full description at Econpapers \|\| Download paper
2020	Path-space moderate deviations for a class of CurieÃ¢â¬âWeiss models with dissipation. (2020). Kraaij, Richard C ; Collet, Francesca . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4028-4061. Full description at Econpapers \|\| Download paper
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2020	Markov cubature rules for polynomial processes. (2020). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1947-1971. Full description at Econpapers \|\| Download paper
2020	The monotone case approach for the solution of certain multidimensional optimal stopping problems. (2020). Irle, Albrecht ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1972-1993. Full description at Econpapers \|\| Download paper
2020	Heat kernel for non-local operators with variable order. (2020). Wang, Jian ; Chen, Zhen-Qing. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:6:p:3574-3647. Full description at Econpapers \|\| Download paper
2020	Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics. (2020). Ricciuti, Costantino ; Macci, Claudio ; Beghin, Luisa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:10:p:6364-6387. Full description at Econpapers \|\| Download paper
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2020	On the entrance at infinity of Feller processes with no negative jumps. (2020). Zhou, Xiaowen ; Li, Pei-Sen ; Foucart, Clement . In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301620. Full description at Econpapers \|\| Download paper
2020	A stochastic comparison result for the multitype contact process with unequal death rates. (2020). Stover, Joseph P. In: Statistics & Probability Letters. RePEc:eee:stapro:v:162:y:2020:i:c:s0167715220300663. Full description at Econpapers \|\| Download paper
2020	Contact process under renewals II. (2020). Fontes, Luiz Renato ; Vares, Maria Eulalia ; Mountford, Thomas S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:2:p:1103-1118. Full description at Econpapers \|\| Download paper
2020	Vertical bifacial photovoltaics Ã¢â¬â A complementary technology for the European electricity supply?. (2020). Eltrop, Ludger ; Gusewell, Joshua ; Nagel, Sylvio ; Chudinzow, Dimitrij. In: Applied Energy. RePEc:eee:appene:v:264:y:2020:i:c:s0306261920302944. Full description at Econpapers \|\| Download paper
2020	Generation expansion planning with renewable energy credit markets: A bilevel programming approach. (2020). Felder, Frank A ; Nguyen, Hieu T. In: Applied Energy. RePEc:eee:appene:v:276:y:2020:i:c:s0306261920309843. Full description at Econpapers \|\| Download paper
2020	Smoothing control of solar photovoltaic generation using building thermal loads. (2020). Moses, Paul S ; Cai, Jie ; Jiang, Zhimin. In: Applied Energy. RePEc:eee:appene:v:277:y:2020:i:c:s0306261920310357. Full description at Econpapers \|\| Download paper
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2020	About atomless random measures on ÃÂ´-rings. (2020). Scheffler, H.-P., ; Kremer, D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301085. Full description at Econpapers \|\| Download paper
2020	On non-stationary solutions to MSDDEs: Representations and the cointegration space. (2020). Nielsen, Mikkel Slot. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:3154-3173. Full description at Econpapers \|\| Download paper
2020	Gradient estimates and ergodicity for SDEs driven by multiplicative LÃÂ©vy noises via coupling. (2020). Wang, Jian ; Liang, Mingjie. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:3053-3094. Full description at Econpapers \|\| Download paper
2020	Well-posedness of HamiltonÃ¢â¬âJacobi equations in population dynamics and applications to large deviations. (2020). Mahe, Louis ; Kraaij, Richard C. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:9:p:5453-5491. Full description at Econpapers \|\| Download paper
2020	Continuous-Time Mean Field Games with Finite StateSpace and Common Noise. (2020). Hoffmann, Daniel ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:202005. Full description at Econpapers \|\| Download paper
2020	Regular variation of fixed points of the smoothing transform. (2020). Liu, Quansheng ; Liang, Xingang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4104-4140. Full description at Econpapers \|\| Download paper
2020	Likelihood ratio tests for many groups in high dimensions. (2020). Dornemann, Nina ; Dette, Holger. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x1930346x. Full description at Econpapers \|\| Download paper
2020	Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion. (2020). Bibinger, Markus. In: Statistics & Probability Letters. RePEc:eee:stapro:v:161:y:2020:i:c:s0167715220300286. Full description at Econpapers \|\| Download paper
2020	Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2019). Fujii, Masaaki. In: Papers. RePEc:arx:papers:1911.11501. Full description at Econpapers \|\| Download paper
2020	A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1156. Full description at Econpapers \|\| Download paper
2020	A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf495. Full description at Econpapers \|\| Download paper
2020	Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2020). Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf497. Full description at Econpapers \|\| Download paper
2020	Filtration shrinkage, the structure of deflators, and failure of market completeness. (2019). Ruf, Johannes ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1912.04652. Full description at Econpapers \|\| Download paper
2020	The value of informational arbitrage. (2020). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00418-3. Full description at Econpapers \|\| Download paper
2020	Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2. Full description at Econpapers \|\| Download paper
2020	Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. (2019). Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1809.01972. Full description at Econpapers \|\| Download paper
2020	Efficient willow tree method for variable annuities valuation and risk managementÃ¢Ëâ . (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149. Full description at Econpapers \|\| Download paper
2020	Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis. (2020). Pang, Guodong ; Arapostathis, Ari ; Zheng, YI. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6733-6756. Full description at Econpapers \|\| Download paper
2020	Non-equilibrium and stationary fluctuations for the SSEP with slow boundary. (2020). Neumann, A ; Menezes, O ; Jara, M ; Gonalves, P. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4326-4357. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document
2020	A non-homogeneous Markov early epidemic growth dynamics model. Application to the SARS-CoV-2 pandemic. (2020). Moreno, Veronica ; Pena, Gabriel ; Barraza, Nestor Ruben. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306937. Full description at Econpapers \|\| Download paper
2020	Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043. Full description at Econpapers \|\| Download paper
2020	Semigroup properties of solutions of SDEs driven by LÃ©vy processes with independent coordinates. (2020). Ryznar, Micha ; Kulczycki, Tadeusz. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7185-7217. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers \|\| Download paper
2020	Optimal dividends and capital injection under dividend restrictions. (2020). Lindskog, Filip ; Lindensjo, Kristoffer. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:92:y:2020:i:3:d:10.1007_s00186-020-00720-y. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty. (2019). Christensen, Soren ; Luis , . In: Papers. RePEc:arx:papers:1907.04046. Full description at Econpapers \|\| Download paper
2019	The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969. Full description at Econpapers \|\| Download paper
2019	A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus. (2019). Toshihiro, Yamada ; Riu, Naito. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:25:y:2019:i:4:p:341-361:n:6. Full description at Econpapers \|\| Download paper
2019	What fuels the adoption of alternative fuels? Examining preferences of German car drivers for fuel innovations. (2019). Arning, Katrin ; Linzenich, Anika ; Ziefle, Martina ; Mitsos, Alexander ; Bongartz, Dominik. In: Applied Energy. RePEc:eee:appene:v:249:y:2019:i:c:p:222-236. Full description at Econpapers \|\| Download paper
2019	. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442. Full description at Econpapers \|\| Download paper
2018	On optimal periodic dividend strategies for LÃÂ©vy risk processes. (2018). Noba, Kei ; Yano, Kouji ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:29-44. Full description at Econpapers \|\| Download paper
2018	Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104. Full description at Econpapers \|\| Download paper
2018	American options under periodic exercise opportunities. (2018). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:92-101. Full description at Econpapers \|\| Download paper
2018	Singular integrals of stable subordinator. (2018). Xu, Lihu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:115-118. Full description at Econpapers \|\| Download paper
2018	On the Bail-Out Optimal Dividend Problem. (2018). Perez, Jose-Luis ; Yu, Xiang ; Yamazaki, Kazutoshi. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1340-3. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831. Full description at Econpapers \|\| Download paper
2017	The geometry of multi-marginal Skorokhod Embedding. (2017). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers \|\| Download paper
2017	Sequence Classification of the Limit Order Book using Recurrent Neural Networks. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1707.05642. Full description at Econpapers \|\| Download paper
2017	No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854. Full description at Econpapers \|\| Download paper
2017	HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, Francesco. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2017003. Full description at Econpapers \|\| Download paper
2017	Parisian ruin for a refracted LÃÂ©vy process. (2017). Lkabous, Mohamed Amine ; Renaud, Jean-Franois ; Czarna, Irmina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:153-163. Full description at Econpapers \|\| Download paper
2017	Weak Dirichlet processes with jumps. (2017). Russo, Francesco ; Bandini, Elena. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:12:p:4139-4189. Full description at Econpapers \|\| Download paper
2017	A law of the iterated logarithm for the number of occupied boxes in the Bernoulli sieve. (2017). Iksanov, Alexander ; Bouzeffour, Fethi ; Jedidi, Wissem . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:244-252. Full description at Econpapers \|\| Download paper
2017	On the concept of subcriticality and criticality and a ratio theorem for a branching process in a random environment. (2017). Wang, Yuejiao ; Liu, Quansheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:97-103. Full description at Econpapers \|\| Download paper
2017	HÃÂ¶lder continuity for stochastic fractional heat equation with colored noise. (2017). Li, Kexue . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:34-41. Full description at Econpapers \|\| Download paper
2017	HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition. (2017). Fabbri, Giorgio ; Russo, F. In: Working Papers. RePEc:gbl:wpaper:2017-07. Full description at Econpapers \|\| Download paper
2017	Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767. Full description at Econpapers \|\| Download paper
2017	TukeyÃ¢â¬â¢s transformational ladder for portfolio management. (2017). Ernst, Philip A ; Miao, Yinsen ; Thompson, James R. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0292-1. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Stochastic Processes and their Applications / Elsevier	36	1378
2	Papers / arXiv.org	65	681
3	Statistics & Probability Letters / Elsevier	30	431
4	Journal of Econometrics / Elsevier	203	179
5	Finance and Stochastics / Springer	47	162
6	Physica A: Statistical Mechanics and its Applications / Elsevier	62	138
7	Statistical Inference for Stochastic Processes / Springer	10	120
8	Insurance: Mathematics and Economics / Elsevier	48	116
9	Applied Mathematics and Computation / Elsevier	23	91
10	Journal of Multivariate Analysis / Elsevier	46	85
11			83