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Kohatsu-Higa, Arturo

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Author ID: kohatsu-higa.arturo Recent zbMATH articles by "Kohatsu-Higa, Arturo"
Published as: Kohatsu Higa, Arturo; Kohatsu-Higa, A.; Kohatsu-Higa, Arturo
Documents Indexed: 83 Publications since 1990, including 2 Books

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Citations contained in zbMATH Open

66 Publications have been cited 444 times in 318 Documents Cited by Year
Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087
Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David
26
2004
Variance reduction methods for simulation of densities on Wiener space. Zbl 1019.60055
Kohatsu-Higa, Arturo; Pettersson, Roger
21
2002
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift. Zbl 1370.65003
Kohatsu-Higa, Arturo; Lejay, Antoine; Yasuda, Kazuhiro
20
2017
Jump-adapted discretization schemes for Lévy-driven SDEs. Zbl 1202.60113
Kohatsu-Higa, Arturo; Tankov, Peter
20
2010
A probabilistic interpretation of the parametrix method. Zbl 1329.35164
Bally, Vlad; Kohatsu-Higa, Arturo
17
2015
Utility maximization in an insider influenced market. Zbl 1136.91450
Kohatsu-Higa, Arturo; Sulem, Agnès
17
2006
Computation of Greeks for barrier and look-back options using Malliavin calculus. Zbl 1061.60054
Gobet, Emmanuel; Kohatsu-Higa, Arturo
16
2003
Lower bounds for densities of uniformly elliptic random variables on Wiener space. Zbl 1022.60056
Kohatsu-Higa, Arturo
15
2003
A duality approach for the weak approximation of stochastic differential equations. Zbl 1123.60053
Clément, Emmanuelle; Kohatsu-Higa, Arturo; Lamberton, Damien
14
2006
Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. Zbl 1049.91063
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo
14
2003
Malliavin calculus in finance. Zbl 1138.91454
Kohatsu-Higa, Arturo; Montero, Miquel
12
2004
Weak approximations. A Malliavin calculus approach. Zbl 0956.60059
Kohatsu-Higa, Arturo
12
2001
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A.
11
2014
Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion. Zbl 1233.91315
Kawai, Reiichiro; Kohatsu-Higa, Arturo
11
2010
Models for insider trading with finite utility. Zbl 1152.91523
Kohatsu-Higa, Arturo
11
2007
Lower bounds for densities of Asian type stochastic differential equations. Zbl 1196.60105
Bally, Vlad; Kohatsu-Higa, Arturo
10
2010
Malliavin calculus applied to finance. Zbl 1010.91046
Montero, Miquel; Kohatsu-Higa, Arturo
10
2003
Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients. Zbl 1294.60081
Hayashi, Masafumi; Kohatsu-Higa, Arturo; Yûki, Gô
9
2013
Unbiased simulation of stochastic differential equations using parametrix expansions. Zbl 1393.60082
Andersson, Patrik; Kohatsu-Higa, Arturo
8
2017
Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions. Zbl 1341.60049
Besalú, M.; Kohatsu-Higa, A.; Tindel, S.
8
2016
A Malliavin calculus method to study densities of additive functionals of SDE’s with irregular drifts. Zbl 1248.60058
Kohatsu-Higa, Arturo; Tanaka, Akihiro
8
2012
Densities of one-dimensional backward SDEs. Zbl 1082.60047
Antonelli, Fabio; Kohatsu-Higa, Arturo
8
2005
Rate of convergence of a particle method to the solution of the McKean-Vlasov equation. Zbl 1015.60048
Antonelli, Fabio; Kohatsu-Higa, Arturo
8
2002
Filtration stability of backward SDE’s. Zbl 0953.60044
Antonelli, Fabio; Kohatsu-Higa, Arturo
8
2000
Approximations of non-smooth integral type functionals of one dimensional diffusion processes. Zbl 1297.65012
Kohatsu-Higa, A.; Makhlouf, A.; Ngo, H. L.
7
2014
Smoothness of the distribution of the supremum of a multi-dimensional diffusion process. Zbl 1271.60063
Hayashi, Masafumi; Kohatsu-Higa, Arturo
7
2013
Weak rate of convergence for an Euler scheme of nonlinear SDE’s. Zbl 0890.65147
Kohatsu-Higa, Arturo; Ogawa, Shigeyoshi
7
1997
The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142
Kohatsu-Higa, A.; Protter, P.
7
1994
Estimates for the density of functionals of SDEs with irregular drift. Zbl 1279.60070
Kohatsu-Higa, Arturo; Makhlouf, Azmi
6
2013
A review of recent results on approximation of solutions of stochastic differential equations. Zbl 1250.60032
Jourdain, Benjamin; Kohatsu-Higa, Arturo
6
2011
An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs. Zbl 1172.60326
Tanaka, Hideyuki; Kohatsu-Higa, Arturo
6
2009
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Zbl 06471548
Alfonsi, Aurélien; Jourdain, Benjamin; Kohatsu-Higa, Arturo
5
2015
Estimating multidimensional density functions using the Malliavin-Thalmaier formula. Zbl 1395.62082
Kohatsu-Higa, A.; Yasuda, Kazuhiro
5
2009
Insider models with finite utility in markets with jumps. Zbl 1237.91246
Kohatsu-Higa, Arturo; Yamazato, Makoto
4
2011
Lower bounds for density of uniformly elliptic non-homogeneous diffusions. Zbl 1040.60046
Kohatsu-Higa, Arturo
4
2003
Local vega index and variance reduction methods. Zbl 1049.91062
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel
4
2003
High order Itô-Taylor approximations to heat kernels. Zbl 0901.60029
Kohatsu-Higa, Arturo
4
1997
Stochastic differential equations with random coefficients. Zbl 0885.60049
Kohatsu-Higa, Arturo; León, Jorge A.; Nualart, David
4
1997
The Euler scheme for anticipating stochastic differential equations. Zbl 0857.60053
Ahn, Hyungsok; Kohatsu-Higa, Arturo
4
1995
Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients. Zbl 1350.60050
Kohatsu-Higa, Arturo; Li, Libo
3
2016
A market model with medium/long-term effects due to an insider. Zbl 1280.91151
Hata, Hiroaki; Kohatsu-Higa, Arturo
3
2013
An optimal control variance reduction method for density estimation. Zbl 1255.60088
Kebaier, Ahmed; Kohatsu-Higa, Arturo
3
2008
Estimating multidimensional density functions for random variables in Wiener space. Zbl 1134.60045
Kohatsu-Higa, A.; Yasuda, Kazuhiro
3
2008
On the simulation of some functionals of diffusion processes. Zbl 0958.60503
Kohatsu Higa, Arturo; Pettersson, Roger
3
2000
Existence and regularity of density for solutions to stochastic differential equations with boundary conditions. Zbl 0877.60037
Kohatsu-Higa, Arturo; Sanz-Solé, Marta
3
1997
Strong approximations for stochastic differential equations with boundary conditions. Zbl 0856.60060
Ferrante, Marco; Kohatsu-Higa, Arturo; Sanz-Solé, Marta
3
1996
LAN property for an ergodic diffusion with jumps. Zbl 1369.60054
Kohatsu-Higa, Arturo; Nualart, Eulalia; Tran, Ngoc Khue
2
2017
The parametrix method for skew diffusions. Zbl 1358.65009
Kohatsu-Higa, Arturo; Taguchi, Dai; Zhong, Jie
2
2016
LAN property for a simple Lévy process. Zbl 1306.60048
Kohatsu-Higa, Arturo; Nualart, Eulalia; Tran, Ngoc Khue
2
2014
Optimal simulation schemes for Lévy driven stochastic differential equations. Zbl 1310.60055
Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador; Tankov, Peter
2
2014
Statistical inference and Malliavin calculus. Zbl 1390.60256
Corcuera, José M.; Kohatsu-Higa, Arturo
2
2011
Anticipative stochastic control for Lévy processes with application to insider trading. Zbl 1180.91142
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt; Proske, Frank; Di Nunno, Giulia
2
2009
Stratonovich type SDE’s with normal reflection driven by semimartingales. Zbl 1008.60076
Kohatsu-Higa, Arturo
2
2001
Anticipating stochastic differential equations of Stratonovich type. Zbl 0904.60040
Kohatsu-Higa, A.; León, J. A.
2
1997
Weak convergence of a sequence of stochastic processes related with U- statistics. Zbl 0702.60025
Kohatsu-Higa, Arturo
2
1990
Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 07107402
Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo
1
2019
Stochastic formulations of the parametrix method. Zbl 1403.60047
Kohatsu-Higa, Arturo; Yûki, Gô
1
2018
An Ornstein-Uhlenbeck-type process which satisfies sufficient conditions for a simulation-based filtering procedure. Zbl 06192584
Kohatsu-Higa, Arturo; Yasuda, Kazuhiro
1
2013
Strong consistency of Bayesian estimator under discrete observations and unknown transition density. Zbl 1255.62067
Kohatsu-Higa, Arturo; Vayatis, Nicolas; Yasuda, Kazuhiro
1
2011
Modeling of financial markets with inside information in continuous time. Zbl 1237.91245
Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador
1
2011
Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. Zbl 1222.60008
Kohatsu-Higa, Arturo (ed.); Privault, Nicolas (ed.); Sheu, Shuenn-Jyi (ed.)
1
2011
Enlargement of filtrations with random times for processes with jumps. Zbl 1157.60040
Kohatsu-Higa, Arturo; Yamazato, Makoto
1
2008
On moments and tail behaviors of storage processes. Zbl 1055.60094
Kohatsu-Higa, Arturo; Yamazato, Makoto
1
2003
Logarithmic estimates for the density of hypoelliptic two-parameter diffusions. Zbl 1004.60057
Kohatsu-Higa, A.; Márquez-Carreras, D.; Sanz-Solé, M.
1
2002
An application of Malliavin calculus to finance. Zbl 0991.60513
Kohatsu-Higa, Arturo; Montero, Miquel
1
2001
Weak convergence of infinite order U-processes. Zbl 0743.60026
Kohatsu-Higa, Arturo
1
1991
Integration by parts formula for killed processes: a point of view from approximation theory. Zbl 07107402
Frikha, Noufel; Kohatsu-Higa, Arturo; Li, Libo
1
2019
Stochastic formulations of the parametrix method. Zbl 1403.60047
Kohatsu-Higa, Arturo; Yûki, Gô
1
2018
Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift. Zbl 1370.65003
Kohatsu-Higa, Arturo; Lejay, Antoine; Yasuda, Kazuhiro
20
2017
Unbiased simulation of stochastic differential equations using parametrix expansions. Zbl 1393.60082
Andersson, Patrik; Kohatsu-Higa, Arturo
8
2017
LAN property for an ergodic diffusion with jumps. Zbl 1369.60054
Kohatsu-Higa, Arturo; Nualart, Eulalia; Tran, Ngoc Khue
2
2017
Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions. Zbl 1341.60049
Besalú, M.; Kohatsu-Higa, A.; Tindel, S.
8
2016
Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients. Zbl 1350.60050
Kohatsu-Higa, Arturo; Li, Libo
3
2016
The parametrix method for skew diffusions. Zbl 1358.65009
Kohatsu-Higa, Arturo; Taguchi, Dai; Zhong, Jie
2
2016
A probabilistic interpretation of the parametrix method. Zbl 1329.35164
Bally, Vlad; Kohatsu-Higa, Arturo
17
2015
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Zbl 06471548
Alfonsi, Aurélien; Jourdain, Benjamin; Kohatsu-Higa, Arturo
5
2015
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A.
11
2014
Approximations of non-smooth integral type functionals of one dimensional diffusion processes. Zbl 1297.65012
Kohatsu-Higa, A.; Makhlouf, A.; Ngo, H. L.
7
2014
LAN property for a simple Lévy process. Zbl 1306.60048
Kohatsu-Higa, Arturo; Nualart, Eulalia; Tran, Ngoc Khue
2
2014
Optimal simulation schemes for Lévy driven stochastic differential equations. Zbl 1310.60055
Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador; Tankov, Peter
2
2014
Local Hölder continuity property of the densities of solutions of SDEs with singular coefficients. Zbl 1294.60081
Hayashi, Masafumi; Kohatsu-Higa, Arturo; Yûki, Gô
9
2013
Smoothness of the distribution of the supremum of a multi-dimensional diffusion process. Zbl 1271.60063
Hayashi, Masafumi; Kohatsu-Higa, Arturo
7
2013
Estimates for the density of functionals of SDEs with irregular drift. Zbl 1279.60070
Kohatsu-Higa, Arturo; Makhlouf, Azmi
6
2013
A market model with medium/long-term effects due to an insider. Zbl 1280.91151
Hata, Hiroaki; Kohatsu-Higa, Arturo
3
2013
An Ornstein-Uhlenbeck-type process which satisfies sufficient conditions for a simulation-based filtering procedure. Zbl 06192584
Kohatsu-Higa, Arturo; Yasuda, Kazuhiro
1
2013
A Malliavin calculus method to study densities of additive functionals of SDE’s with irregular drifts. Zbl 1248.60058
Kohatsu-Higa, Arturo; Tanaka, Akihiro
8
2012
A review of recent results on approximation of solutions of stochastic differential equations. Zbl 1250.60032
Jourdain, Benjamin; Kohatsu-Higa, Arturo
6
2011
Insider models with finite utility in markets with jumps. Zbl 1237.91246
Kohatsu-Higa, Arturo; Yamazato, Makoto
4
2011
Statistical inference and Malliavin calculus. Zbl 1390.60256
Corcuera, José M.; Kohatsu-Higa, Arturo
2
2011
Strong consistency of Bayesian estimator under discrete observations and unknown transition density. Zbl 1255.62067
Kohatsu-Higa, Arturo; Vayatis, Nicolas; Yasuda, Kazuhiro
1
2011
Modeling of financial markets with inside information in continuous time. Zbl 1237.91245
Kohatsu-Higa, Arturo; Ortiz-Latorre, Salvador
1
2011
Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. Zbl 1222.60008
Kohatsu-Higa, Arturo (ed.); Privault, Nicolas (ed.); Sheu, Shuenn-Jyi (ed.)
1
2011
Jump-adapted discretization schemes for Lévy-driven SDEs. Zbl 1202.60113
Kohatsu-Higa, Arturo; Tankov, Peter
20
2010
Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion. Zbl 1233.91315
Kawai, Reiichiro; Kohatsu-Higa, Arturo
11
2010
Lower bounds for densities of Asian type stochastic differential equations. Zbl 1196.60105
Bally, Vlad; Kohatsu-Higa, Arturo
10
2010
An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs. Zbl 1172.60326
Tanaka, Hideyuki; Kohatsu-Higa, Arturo
6
2009
Estimating multidimensional density functions using the Malliavin-Thalmaier formula. Zbl 1395.62082
Kohatsu-Higa, A.; Yasuda, Kazuhiro
5
2009
Anticipative stochastic control for Lévy processes with application to insider trading. Zbl 1180.91142
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt; Proske, Frank; Di Nunno, Giulia
2
2009
An optimal control variance reduction method for density estimation. Zbl 1255.60088
Kebaier, Ahmed; Kohatsu-Higa, Arturo
3
2008
Estimating multidimensional density functions for random variables in Wiener space. Zbl 1134.60045
Kohatsu-Higa, A.; Yasuda, Kazuhiro
3
2008
Enlargement of filtrations with random times for processes with jumps. Zbl 1157.60040
Kohatsu-Higa, Arturo; Yamazato, Makoto
1
2008
Models for insider trading with finite utility. Zbl 1152.91523
Kohatsu-Higa, Arturo
11
2007
Utility maximization in an insider influenced market. Zbl 1136.91450
Kohatsu-Higa, Arturo; Sulem, Agnès
17
2006
A duality approach for the weak approximation of stochastic differential equations. Zbl 1123.60053
Clément, Emmanuelle; Kohatsu-Higa, Arturo; Lamberton, Damien
14
2006
Densities of one-dimensional backward SDEs. Zbl 1082.60047
Antonelli, Fabio; Kohatsu-Higa, Arturo
8
2005
Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087
Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David
26
2004
Malliavin calculus in finance. Zbl 1138.91454
Kohatsu-Higa, Arturo; Montero, Miquel
12
2004
Computation of Greeks for barrier and look-back options using Malliavin calculus. Zbl 1061.60054
Gobet, Emmanuel; Kohatsu-Higa, Arturo
16
2003
Lower bounds for densities of uniformly elliptic random variables on Wiener space. Zbl 1022.60056
Kohatsu-Higa, Arturo
15
2003
Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. Zbl 1049.91063
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo
14
2003
Malliavin calculus applied to finance. Zbl 1010.91046
Montero, Miquel; Kohatsu-Higa, Arturo
10
2003
Lower bounds for density of uniformly elliptic non-homogeneous diffusions. Zbl 1040.60046
Kohatsu-Higa, Arturo
4
2003
Local vega index and variance reduction methods. Zbl 1049.91062
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel
4
2003
On moments and tail behaviors of storage processes. Zbl 1055.60094
Kohatsu-Higa, Arturo; Yamazato, Makoto
1
2003
Variance reduction methods for simulation of densities on Wiener space. Zbl 1019.60055
Kohatsu-Higa, Arturo; Pettersson, Roger
21
2002
Rate of convergence of a particle method to the solution of the McKean-Vlasov equation. Zbl 1015.60048
Antonelli, Fabio; Kohatsu-Higa, Arturo
8
2002
Logarithmic estimates for the density of hypoelliptic two-parameter diffusions. Zbl 1004.60057
Kohatsu-Higa, A.; Márquez-Carreras, D.; Sanz-Solé, M.
1
2002
Weak approximations. A Malliavin calculus approach. Zbl 0956.60059
Kohatsu-Higa, Arturo
12
2001
Stratonovich type SDE’s with normal reflection driven by semimartingales. Zbl 1008.60076
Kohatsu-Higa, Arturo
2
2001
An application of Malliavin calculus to finance. Zbl 0991.60513
Kohatsu-Higa, Arturo; Montero, Miquel
1
2001
Filtration stability of backward SDE’s. Zbl 0953.60044
Antonelli, Fabio; Kohatsu-Higa, Arturo
8
2000
On the simulation of some functionals of diffusion processes. Zbl 0958.60503
Kohatsu Higa, Arturo; Pettersson, Roger
3
2000
Weak rate of convergence for an Euler scheme of nonlinear SDE’s. Zbl 0890.65147
Kohatsu-Higa, Arturo; Ogawa, Shigeyoshi
7
1997
High order Itô-Taylor approximations to heat kernels. Zbl 0901.60029
Kohatsu-Higa, Arturo
4
1997
Stochastic differential equations with random coefficients. Zbl 0885.60049
Kohatsu-Higa, Arturo; León, Jorge A.; Nualart, David
4
1997
Existence and regularity of density for solutions to stochastic differential equations with boundary conditions. Zbl 0877.60037
Kohatsu-Higa, Arturo; Sanz-Solé, Marta
3
1997
Anticipating stochastic differential equations of Stratonovich type. Zbl 0904.60040
Kohatsu-Higa, A.; León, J. A.
2
1997
Strong approximations for stochastic differential equations with boundary conditions. Zbl 0856.60060
Ferrante, Marco; Kohatsu-Higa, Arturo; Sanz-Solé, Marta
3
1996
The Euler scheme for anticipating stochastic differential equations. Zbl 0857.60053
Ahn, Hyungsok; Kohatsu-Higa, Arturo
4
1995
The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142
Kohatsu-Higa, A.; Protter, P.
7
1994
Weak convergence of infinite order U-processes. Zbl 0743.60026
Kohatsu-Higa, Arturo
1
1991
Weak convergence of a sequence of stochastic processes related with U- statistics. Zbl 0702.60025
Kohatsu-Higa, Arturo
2
1990
all top 5

Cited by 423 Authors

29 Kohatsu-Higa, Arturo
9 Bally, Vlad
8 Gobet, Emmanuel
8 Kawai, Reiichiro
7 Nualart, Eulalia
7 Taguchi, Dai
6 Di Nunno, Giulia
5 Ankirchner, Stefan
5 Caramellino, Lucia
5 Kulik, Alexey M.
5 Touzi, Nizar
4 Choulli, Tahir
4 Crisan, Dan O.
4 Deng, Jun
4 Dereich, Steffen
4 Hillairet, Caroline
4 Khedher, Asma
4 Nakatsu, Tomonori
4 Nguyen, Tien Dung
4 Panloup, Fabien
4 Peng, Xingchun
4 Tankov, Peter
4 Yasuda, Kazuhiro
3 Baños, David R.
3 Belomestny, Denis
3 Bouleau, Nicolas
3 Bréhier, Charles-Edouard
3 Buckwar, Evelyn
3 Dalang, Robert C.
3 Ganychenko, Iurii
3 Imkeller, Peter
3 Jiao, Ying
3 Knopova, Victoria Pavlovna
3 Lee, Kiseop
3 Lejay, Antoine
3 Li, Libo
3 Mikulevicius, Remigijus
3 Ngo, Hoang-Long
3 Ortiz-Latorre, Salvador
3 Pagès, Gilles
3 Pigato, Paolo
3 Privault, Nicolas
3 Proske, Frank Norbert
3 Przybyłowicz, Paweł
3 Romito, Marco
3 Schoenmakers, John G. M.
3 Szölgyenyi, Michaela
3 Takeuchi, Atsushi
3 Tudor, Ciprian A.
3 Urusov, Mikhail A.
3 Vanmaele, Michèle
2 Aksamit, Anna
2 Alnafisah, Yousef
2 Benhamou, Eric
2 Benth, Fred Espen
2 Bermin, Hans-Peter
2 Blanchet-Scalliet, Christophette
2 Bruti-Liberati, Nicola
2 Chaudru de Raynal, P. E.
2 Corcuera, José Manuel
2 Coutin, Laure
2 Cufaro Petroni, Nicola
2 Daveloose, Catherine
2 Debussche, Arnaud
2 Nguyen Tien Dung
2 Elie, Romuald
2 Ewald, Christian-Oliver
2 Eyraud-Loisel, Anne
2 Gan, Siqing
2 Giles, Michael B.
2 Hata, Hiroaki
2 Hayashi, Masafumi
2 He, Kai
2 Heß, Markus
2 Hu, Yijun
2 Ida, Yuuki
2 Ivanenko, Dmytro O.
2 Jasra, Ajay
2 Jeanblanc, Monique
2 Jourdain, Benjamin
2 Kang, Wanmo
2 Kebaier, Ahmed
2 Kruse, Thomas
2 Lai, Yongzeng
2 Leão, Dorival
2 Leobacher, Gunther
2 Li, Sangmeng
2 Malliavin, Paul
2 Mastrolia, Thibaut
2 McMurray, Eamon
2 Menoukeu Pamen, Olivier
2 Menozzi, Stéphane
2 Meyer-Brandis, Thilo
2 Mrad, Mohamed
2 Muroi, Yoshifumi
2 Nagapetyan, Tigran
2 Ohashi, Alberto Masayoshi F.
2 Øksendal, Bernt Karsten
2 Olivera, Christian
2 Oudjane, Nadia
...and 323 more Authors
all top 5

Cited in 94 Serials

42 Stochastic Processes and their Applications
14 The Annals of Applied Probability
9 Journal of Computational and Applied Mathematics
9 Stochastic Analysis and Applications
9 Potential Analysis
9 Quantitative Finance
8 Journal of Mathematical Analysis and Applications
8 The Annals of Probability
8 Mathematical Finance
8 International Journal of Theoretical and Applied Finance
8 Stochastic and Partial Differential Equations. Analysis and Computations
7 Statistics & Probability Letters
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Stochastics
5 Mathematics of Computation
5 Journal of Functional Analysis
5 Journal of Theoretical Probability
5 Monte Carlo Methods and Applications
5 Bernoulli
4 Advances in Applied Probability
4 Applied Mathematics and Optimization
4 SIAM Journal on Numerical Analysis
4 Japan Journal of Industrial and Applied Mathematics
4 Finance and Stochastics
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 Theory of Probability and its Applications
3 Journal of Applied Probability
3 Insurance Mathematics & Economics
3 Statistical Inference for Stochastic Processes
3 Methodology and Computing in Applied Probability
3 Stochastics and Dynamics
3 Mathematics and Financial Economics
3 Modern Stochastics. Theory and Applications
2 Applied Mathematics and Computation
2 BIT
2 Mathematics of Operations Research
2 Statistics
2 Probability Theory and Related Fields
2 European Journal of Operational Research
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 Computational Economics
2 SIAM Journal on Scientific Computing
2 Random Operators and Stochastic Equations
2 Applied Mathematical Finance
2 Electronic Journal of Probability
2 INFORMS Journal on Computing
2 LMS Journal of Computation and Mathematics
2 Journal of Evolution Equations
2 Decisions in Economics and Finance
2 SIAM Journal on Financial Mathematics
2 Journal of Probability and Statistics
2 JSIAM Letters
1 Computers & Mathematics with Applications
1 Mathematical Methods in the Applied Sciences
1 Journal of Differential Equations
1 Journal of Multivariate Analysis
1 Journal of Optimization Theory and Applications
1 Journal of Statistical Planning and Inference
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Numerische Mathematik
1 SIAM Journal on Control and Optimization
1 Transactions of the American Mathematical Society
1 Acta Applicandae Mathematicae
1 Applied Numerical Mathematics
1 Acta Mathematicae Applicatae Sinica. English Series
1 Journal of Complexity
1 Journal of Economic Dynamics & Control
1 Journal of Scientific Computing
1 Applications of Mathematics
1 Numerical Algorithms
1 Computational Statistics
1 SIAM Journal on Mathematical Analysis
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Journal of Mathematical Sciences (New York)
1 Advances in Computational Mathematics
1 Documenta Mathematica
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Infinite Dimensional Analysis, Quantum Probability and Related Topics
1 Acta Mathematica Sinica. English Series
1 Brazilian Journal of Probability and Statistics
1 The ANZIAM Journal
1 Scandinavian Actuarial Journal
1 Discrete and Continuous Dynamical Systems. Series B
1 ASTIN Bulletin
1 Science China. Mathematics
1 International Journal of Stochastic Analysis
1 The Journal of Mathematical Neuroscience
1 SIAM/ASA Journal on Uncertainty Quantification
1 Pacific Journal of Mathematics for Industry
1 Open Mathematics
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

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