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Stochastics is a peer-reviewed journal published by Taylor & Francis, covering Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Stochastic processes and statistical mechanics.
| Publisher | Taylor & Francis |
|---|---|
| Reference style | Author–year (Chicago, T&F) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Stochastics 12 (3): 45–58.
Formats any DOI in Stochastics style. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Financial Risk and Volatility Modeling Stochastic processes and statistical mechanics Probability and Risk Models Insurance, Mortality, Demography, Risk Management |
| ISSN | 1744-2508 |
| Citation impact (2-yr) | 1.06 |
| h-index | 39 |
| i10-index | 251 |
| Total citations | 9,209 |
| Top institutions publishing here | University of Oslo |
| Journal website | www.tandfonline.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
In this paper, we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth in a jump diffusion market. We formulate the problem as a two player (zero-sum) stochastic differential game. To help us find a solution, we prove a theorem giving the Hamilton–Jacobi–Bellman–Isaacs (HJBI) conditions for…
This paper considers a mean-field type stochastic control problem where the dynamics is governed by a controlled Itô–Lévy process and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive…
Abstract. In this note we present an elementary and self-contained proof of the stochastic Fubini theorem, which states that one can interchange a Lebesgue integral and a stochastic integral. The integrability conditions we use are weaker and more natural than the usual conditions in the literature. In particular, we do not need integrability in Ω,…
We study several properties of the sub-fractional Brownian motion (fBm) introduced by Bojdecki et al. related to those of the fBm. This process is a self-similar Gaussian process depending on a parameter H ∈ (0, 2) with non stationary increments and is a generalization of the Brownian motion (Bm). The strong variation of the indefinite…
In this work, we generalize the current theory of strong convergence rates for the backward Euler–Maruyama scheme for highly non-linear stochastic differential equations, which appear in both mathematical finance and bio-mathematics. More precisely, we show that under a dissipative condition on the drift coefficient and super-linear growth condition on the diffusion coefficient the BEM scheme…
