Stochastic Processes and their Applications

Stochastic Processes and their Applications
Top 25 requested papers, April 2002 - April 2004 [about]		#requests
1	A partial introduction to financial asset pricing theory Philip Protter	592
2	Conditioned stochastic differential equations: theory, examples and application to finance Fabrice Baudoin	470
3	Stochastic optimization under constraints Mohammed Mnif and Huyen Pham	359
4	Martingales and the distribution of the time to ruin Martin Jacobsen	338
5	A new covariance inequality and applications Jerome Dedecker and Paul Doukhan	298
6	Approximating some Volterra type stochastic integrals with applications to parameter estimation Henrik Hult	296
7	On the optimal stopping problem for one-dimensional diffusions Savas Dayanik and Ioannis Karatzas	294
8	A surprising Poisson process arising from a species competition model Richard Durrett and Vlada Limic	272
9	Conditional expansions and their applications Nakahiro Yoshida	241
10	Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks Qihe Tang and Gurami Tsitsiashvili	231
11	Small sets and Markov transition densities Wilfrid S. Kendall and Giovanni Montana	215
12	Linear optimal prediction and innovations representations of hidden Markov models Sofia Andersson, Tobias Ryden and Rolf Johansson	211
13	Gaussian moving averages, semimartingales and option pricing Patrick Cheridito	210
14	Concentration results for a Brownian directed percolation problem B. M. Hambly, James B. Martin and Neil O'Connell	209
15	Regular variation of GARCH processes Bojan Basrak, Richard A. Davis and Thomas Mikosch	203
16	Many visits to a single site by a transient random walk in random environment Nina Gantert and Zhan Shi	203
17	Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency Jiti Gao, Vo Anh and Chris Heyde	197
18	A simple construction of the fractional Brownian motion Nathanael Enriquez	196
19	Russian and American put options under exponential phase-type Levy models Soren Asmussen, Florin Avram and Martijn R. Pistorius	193
20	A stochastic maximum principle for processes driven by fractional Brownian motion Francesca Biagini, Yaozhong Hu, Bernt Oksendal and Agnes Sulem	191
21	On diffusion approximation with discontinuous coefficients N. V. Krylov and R. Liptser	189
22	BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations N. El-Karoui and S. Hamadene	187
23	On mixtures of distributions of Markov chains Sandra Fortini, Lucia Ladelli, Giovanni Petris and Eugenio Regazzini	186
24	Self-similar processes with independent increments associated with Levy and Bessel processes M. Jeanblanc, J. Pitman and M. Yor	183
25	On the martingale framework for futures prices Vladimir Pozdnyakov and J. Michael Steele	183