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Top Articles

#TitleJournalYearPR Citations
1Weak convergence and optimal scaling of random walk Metropolis algorithmsAnnals of Applied Probability1997896
2Affine processes and applications in financeAnnals of Applied Probability2003520
3The asymptotic elasticity of utility functions and optimal investment in incomplete marketsAnnals of Applied Probability1999505
4On Positive Harris Recurrence of Multiclass Queueing Networks: A Unified Approach Via Fluid Limit ModelsAnnals of Applied Probability1995493
5Geometric Bounds for Eigenvalues of Markov ChainsAnnals of Applied Probability1991461
6Loss NetworksAnnals of Applied Probability1991380
7Implicit Renewal Theory and Tails of Solutions of Random EquationsAnnals of Applied Probability1991367
8Epidemics with two levels of mixingAnnals of Applied Probability1997360
9Estimating Variance From High, Low and Closing PricesAnnals of Applied Probability1991335
10Convex Duality in Constrained Portfolio OptimizationAnnals of Applied Probability1992324
11Optimal Investment and Consumption with Transaction CostsAnnals of Applied Probability1994320
12Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficientsAnnals of Applied Probability2012308
13Logarithmic Sobolev inequalities for finite Markov chainsAnnals of Applied Probability1996289
14On minimizing the ruin probability by investment and reinsuranceAnnals of Applied Probability2002269
15A regression-based Monte Carlo method to solve backward stochastic differential equationsAnnals of Applied Probability2005241
16Utility maximization in incomplete marketsAnnals of Applied Probability2005232
17Backward-Forward Stochastic Differential EquationsAnnals of Applied Probability1993230
18A numerical scheme for BSDEsAnnals of Applied Probability2004221
19The longest edge of the random minimal spanning treeAnnals of Applied Probability1997217
20MaxWeight scheduling in a generalized switch: State space collapse and workload minimization in heavy trafficAnnals of Applied Probability2004217
21A theoretical framework for the pricing of contingent claims in the presence of model uncertaintyAnnals of Applied Probability2006213
22Mean-Variance Hedging in Continuous TimeAnnals of Applied Probability1991211
23On the optimal dividend problem for a spectrally negative Lévy processAnnals of Applied Probability2007210
24Comparison Theorems for Reversible Markov ChainsAnnals of Applied Probability1993208
25Differential Equations for Random Processes and Random GraphsAnnals of Applied Probability1995195
26A note on Metropolis-Hastings kernels for general state spacesAnnals of Applied Probability1998192
27Computable Bounds for Geometric Convergence Rates of Markov ChainsAnnals of Applied Probability1994188
28Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion?Annals of Applied Probability2002185
29A New Class of Random Number GeneratorsAnnals of Applied Probability1991184
30Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian optionsAnnals of Applied Probability2004178
31Dynamic Scheduling with Convex Delay Costs: The Generalized $c|mu$ RuleAnnals of Applied Probability1995177
32Fluid Models in Queueing Theory and Wiener-Hopf Factorization of Markov ChainsAnnals of Applied Probability1994174
33Eigenvalue Bounds on Convergence to Stationarity for Nonreversible Markov Chains, with an Application to the Exclusion ProcessAnnals of Applied Probability1991173
34The Russian Option: Reduced RegretAnnals of Applied Probability1993166
35Pricing contingent claims on stocks driven by Lévy processesAnnals of Applied Probability1999166
36Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: asymptotic optimality of a threshold policyAnnals of Applied Probability2001166
37Trailing the Dovetail Shuffle to its LairAnnals of Applied Probability1992165
38Analysis of a nonreversible Markov chain samplerAnnals of Applied Probability2000164
39The Pricing of the American OptionAnnals of Applied Probability1992161
40A microscopic probabilistic description of a locally regulated population and macroscopic approximationsAnnals of Applied Probability2004161
41Exact simulation of diffusionsAnnals of Applied Probability2005155
42On the ergodicity properties of some adaptive MCMC algorithmsAnnals of Applied Probability2006154
43A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback optionsAnnals of Applied Probability2014151
44Coexistence and extinction for stochastic Kolmogorov systemsAnnals of Applied Probability2018149
45On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processesAnnals of Applied Probability2008147
46Ruin probabilities and overshoots for general Lévy insurance risk processesAnnals of Applied Probability2004145
47Random graphs with a given degree sequenceAnnals of Applied Probability2011145
48Nonasymptotic convergence analysis for the unadjusted Langevin algorithmAnnals of Applied Probability2017145
49Modelling Heterogeneity in Survival Analysis by the Compound Poisson DistributionAnnals of Applied Probability1992142
50A Khasminskii type averaging principle for stochastic reaction–diffusion equationsAnnals of Applied Probability2009141