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Author ID: peskir.goran Recent zbMATH articles by "Peskir, Goran"
Published as: Peskir, Goran; Peskir, G.; Peškir, Goran; Peškir, G.
Homepage: http://www.maths.manchester.ac.uk/~goran/
External Links: MGP
all top 5

Serials

8 The Annals of Applied Probability
7 Stochastic Processes and their Applications
6 The Annals of Probability
5 Stochastics
5 Various Publications Series. Aarhus Universitet
4 Journal of Theoretical Probability
3 Teoriya Veroyatnosteĭ i eë Primeneniya
3 Theory of Probability and its Applications
3 Mathematica Scandinavica
3 Stochastic Analysis and Applications
2 Mathematical Proceedings of the Cambridge Philosophical Society
2 Bulletin of the London Mathematical Society
2 Journal of Applied Probability
2 Proceedings of the American Mathematical Society
2 SIAM Journal on Control and Optimization
2 Applied Mathematical Finance
2 Lecture Notes Series. Aarhus University
2 Mathematics and Financial Economics
1 Journal of Mathematical Analysis and Applications
1 Russian Mathematical Surveys
1 Studia Mathematica
1 The Annals of Statistics
1 Journal of Multivariate Analysis
1 Nagoya Mathematical Journal
1 Transactions of the American Mathematical Society
1 Probability and Mathematical Statistics
1 Probability Theory and Related Fields
1 Sequential Analysis
1 Journal of Integral Equations and Applications
1 Journal of Applied Mathematics and Stochastic Analysis
1 Glasnik Matematički. Serija III
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Stochastics and Stochastics Reports
1 Journal of Convex Analysis
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka
1 Finance and Stochastics
1 Mathematical Finance
1 Journal of Inequalities and Applications
1 Mathematical Inequalities & Applications
1 Quantitative Finance
1 Stochastic Models
1 Oberwolfach Reports
1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences

Publications by Year

Citations contained in zbMATH Open

84 Publications have been cited 1,706 times in 974 Documents Cited by Year
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
467
2006
A change-of-variable formula with local time on curves. Zbl 1085.60033
Peskir, Goran
94
2005
On the American option problem. Zbl 1109.91028
Peskir, Goran
73
2005
A change-of-variable formula with local time on surfaces. Zbl 1141.60035
Peskir, Goran
49
2007
Optimal stopping of the maximum process: The maximality principle. Zbl 0935.60025
Peskir, Goran
45
1998
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
42
2000
Selling a stock at the ultimate maximum. Zbl 1201.60037
Du Toit, Jacques; Peskir, Goran
41
2009
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
41
2002
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
40
2014
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
36
2017
Optimal stopping games for Markov processes. Zbl 1163.91011
Ekström, Erik; Peskir, Goran
35
2008
The law of the supremum of a stable Lévy process with no negative jumps. Zbl 1185.60051
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
35
2008
The trap of complacency in predicting the maximum. Zbl 1120.60044
du Toit, J.; Peskir, G.
33
2007
On integral equations arising in the first-passage problem for Brownian motion. Zbl 1044.60076
Peskir, Goran
31
2002
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, S. E.; Peskir, G.; Shiryaev, A. N.
29
2000
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
29
2006
The Russian option: finite horizon. Zbl 1092.91029
Peskir, Goran
28
2005
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
27
2004
Maximal inequalities for the Ornstein-Uhlenbeck process. Zbl 0954.60062
Graversen, S. E.; Peskir, G.
26
2000
Quickest detection problems for Bessel processes. Zbl 1370.60135
Johnson, Peter; Peskir, Goran
26
2017
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
24
2016
Global \(C^1\) regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
24
2020
Optimal stopping games and Nash equilibrium. Zbl 1209.91052
Peskir, G.
20
2009
Optimal stopping and maximal inequalities for geometric Brownian motion. Zbl 0929.60027
Graversen, S. E.; Peskir, G.
20
1998
On the fundamental solution of the Kolmogorov-Shiryaev equation. Zbl 1101.60042
Peskir, Goran
18
2006
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
18
2019
Predicting the ultimate supremum of a stable Lévy process with no negative jumps. Zbl 1235.60036
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
16
2011
Embedding laws in diffusions by functions of time. Zbl 1335.60150
Cox, A. M. G.; Peskir, G.
16
2015
Quickest detection of a hidden target and extremal surfaces. Zbl 1338.60115
Peskir, Goran
16
2014
Maximal inequalities for Bessel processes. Zbl 0903.60074
Graversen, S. E.; Peškir, G.
15
1998
Optimal detection of a hidden target: the median rule. Zbl 1253.60055
Peskir, Goran
15
2012
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
14
1995
On reflecting Brownian motion with drift. Zbl 1196.93074
Peskir, Goran
14
2006
Three-dimensional Brownian motion and the golden ratio rule. Zbl 1408.60032
Glover, Kristoffer; Hulley, Hardy; Peskir, Goran
14
2013
Predicting the time of the ultimate maximum for Brownian motion with drift. Zbl 1149.60311
du Toit, Jacques; Peskir, Goran
13
2008
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
12
2003
The Azéma-Yor embedding in non-singular diffusions. Zbl 1059.60058
Pedersen, J. L.; Peskir, G.
12
2001
Sequential testing problems for Bessel processes. Zbl 1406.60061
Johnson, Peter; Peskir, Goran
12
2018
Limit at zero of the Brownian first-passage density. Zbl 1004.60081
Peskir, Goran
12
2002
The law of the hitting times to points by a stable Lévy process with no negative jumps. Zbl 1193.60066
Peskir, Goran
11
2008
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
10
2011
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
9
2007
Bounding the maximal height of a diffusion by the time elapsed. Zbl 0999.60076
Peskir, Goran
9
2001
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
8
2008
Designing options given the risk: The optimal Skorokhod-embedding problem. Zbl 0965.60044
Peskir, Goran
8
1999
A probabilistic solution to the Stroock-Williams equation. Zbl 1320.60127
Peskir, Goran
8
2014
A duality principle for the Legendre transform. Zbl 1252.49008
Peskir, Goran
7
2012
The British call option. Zbl 1280.91175
Peskir, Goran; Samee, Farman
7
2013
Constrained dynamic optimality and binomial terminal wealth. Zbl 1384.60088
Pedersen, J. L.; Peskir, G.
6
2018
Solving nonlinear optimal stopping problems by the method of time-change. Zbl 0968.60039
Pedersen, J. L.; Peskir, G.
6
2000
Optimal real-time detection of a drifting Brownian coordinate. Zbl 1476.60078
Ernst, P. A.; Peskir, Goran; Zhou, Q.
6
2020
On the exponential Orlicz norms of stopped Brownian motion. Zbl 0849.60039
Peškir, Goran
5
1996
From uniform laws of large numbers to uniform ergodic theorems. Zbl 0992.37004
Peskir, Goran
5
2000
On the central limit theorem for aperiodic dynamical systems and application. Zbl 0938.37007
De la Rue, T.; Ladouceur, S.; Peskir, G.; Weber, M.
4
1997
On the Russian option: The expected waiting time. Zbl 0924.60012
Graversen, S. E.; Peškir, G.
4
1997
On Wald-type optimal stopping for Brownian motion. Zbl 0876.60023
Graversen, S. E.; Peškir, G.
4
1997
Randomly weighted series of contractions in Hilbert spaces. Zbl 0881.40002
Peškir, G.; Schneider, D.; Weber, M.
4
1996
On nonlinear integral equations arising in problems of optimal stopping. Zbl 1031.60030
Pedersen, J. L.; Peskir, G.
4
2002
Detecting changes in real-time data: a user’s guide to optimal detection. Zbl 1407.62063
Johnson, P.; Moriarty, J.; Peskir, G.
4
2017
The uniform mean-square ergodic theorem for wide sense stationary processes. Zbl 0916.60039
Peškir, Goran
3
1998
Best constants in Kahane-Khintchine inequalities for complex Steinhaus functions. Zbl 0841.41024
Peškir, Goran
3
1995
The British Russian option. Zbl 1229.91308
Glover, K.; Peskir, G.; Samee, F.
3
2011
Best constants in Kahane-Khintchine inequalities in Orlicz spaces. Zbl 0773.41026
Peškir, Goran
3
1993
Uniform ergodic theorems for dynamical systems under VC entropy conditions. Zbl 0828.28006
Peškir, Goran; Yukich, Joseph E.
3
1994
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
3
2016
Necessary and sufficient conditions for the uniform law of large numbers in the stationary case. Zbl 0823.60024
Peškir, Goran; Weber, Michel
2
1994
Maximum process problems in optimal control theory. Zbl 1075.93047
Peskir, Goran
2
2005
On Doob’s maximal inequality for Brownian motion. Zbl 0913.60011
Graversen, S. E.; Peškir, G.
2
1997
Principles of optimal stopping and free-boundary problems. Zbl 0994.60045
Peskir, Goran
2
2002
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2
2001
Market forces and dynamic asset pricing. Zbl 1039.91018
Peskir, G.; Shorish, J.
2
2002
Detecting the presence of a random drift in Brownian motion. Zbl 1494.60044
Johnson, P.; Pedersen, J. L.; Peskir, G.; Zucca, C.
2
2022
The British Asian option. Zbl 1319.91148
Glover, Kristoffer; Peskir, Goran; Samee, Farman
2
2010
Optimal stopping in the \(L\log L\)-inequality of Hardy and Littlewood. Zbl 0949.60057
Graversen, S. E.; Peškir, G.
1
1998
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1
1997
The continuity principle in exponential type Orlicz spaces. Zbl 0820.46022
Graversen, S. E.; Peškir, Goran; Weber, Michel
1
1995
Uniform convergence of reversed martingales. Zbl 0820.60030
Peškir, Goran
1
1995
The Azéma-Yor embedding in Brownian motion with drift. Zbl 0967.60046
Peskir, Goran
1
2000
Consistency of statistical models described by families of reversed submartingales. Zbl 0985.60028
Peškir, Goran
1
1998
Extremal problems in the maximal inequalities of Khintchine. Zbl 0899.60013
Graversen, S. E.; Peškir, G.
1
1998
Optimal stopping and maximal inequalities for linear diffusions. Zbl 0905.60058
Graversen, S. E.; Peškir, G.
1
1998
Maximal inequalities of Kahane-Khintchine’s type in Orlicz spaces. Zbl 0809.60005
Peškir, Goran
1
1994
Sticky Bessel diffusions. Zbl 1491.60143
Peskir, Goran
1
2022
Quickest real-time detection of a Brownian coordinate drift. Zbl 1499.60129
Ernst, Philip A.; Peskir, Goran
1
2022
Detecting the presence of a random drift in Brownian motion. Zbl 1494.60044
Johnson, P.; Pedersen, J. L.; Peskir, G.; Zucca, C.
2
2022
Sticky Bessel diffusions. Zbl 1491.60143
Peskir, Goran
1
2022
Quickest real-time detection of a Brownian coordinate drift. Zbl 1499.60129
Ernst, Philip A.; Peskir, Goran
1
2022
Global \(C^1\) regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
24
2020
Optimal real-time detection of a drifting Brownian coordinate. Zbl 1476.60078
Ernst, P. A.; Peskir, Goran; Zhou, Q.
6
2020
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
18
2019
Sequential testing problems for Bessel processes. Zbl 1406.60061
Johnson, Peter; Peskir, Goran
12
2018
Constrained dynamic optimality and binomial terminal wealth. Zbl 1384.60088
Pedersen, J. L.; Peskir, G.
6
2018
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
36
2017
Quickest detection problems for Bessel processes. Zbl 1370.60135
Johnson, Peter; Peskir, Goran
26
2017
Detecting changes in real-time data: a user’s guide to optimal detection. Zbl 1407.62063
Johnson, P.; Moriarty, J.; Peskir, G.
4
2017
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
24
2016
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
3
2016
Embedding laws in diffusions by functions of time. Zbl 1335.60150
Cox, A. M. G.; Peskir, G.
16
2015
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
40
2014
Quickest detection of a hidden target and extremal surfaces. Zbl 1338.60115
Peskir, Goran
16
2014
A probabilistic solution to the Stroock-Williams equation. Zbl 1320.60127
Peskir, Goran
8
2014
Three-dimensional Brownian motion and the golden ratio rule. Zbl 1408.60032
Glover, Kristoffer; Hulley, Hardy; Peskir, Goran
14
2013
The British call option. Zbl 1280.91175
Peskir, Goran; Samee, Farman
7
2013
Optimal detection of a hidden target: the median rule. Zbl 1253.60055
Peskir, Goran
15
2012
A duality principle for the Legendre transform. Zbl 1252.49008
Peskir, Goran
7
2012
Predicting the ultimate supremum of a stable Lévy process with no negative jumps. Zbl 1235.60036
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
16
2011
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
10
2011
The British Russian option. Zbl 1229.91308
Glover, K.; Peskir, G.; Samee, F.
3
2011
The British Asian option. Zbl 1319.91148
Glover, Kristoffer; Peskir, Goran; Samee, Farman
2
2010
Selling a stock at the ultimate maximum. Zbl 1201.60037
Du Toit, Jacques; Peskir, Goran
41
2009
Optimal stopping games and Nash equilibrium. Zbl 1209.91052
Peskir, G.
20
2009
Optimal stopping games for Markov processes. Zbl 1163.91011
Ekström, Erik; Peskir, Goran
35
2008
The law of the supremum of a stable Lévy process with no negative jumps. Zbl 1185.60051
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
35
2008
Predicting the time of the ultimate maximum for Brownian motion with drift. Zbl 1149.60311
du Toit, Jacques; Peskir, Goran
13
2008
The law of the hitting times to points by a stable Lévy process with no negative jumps. Zbl 1193.60066
Peskir, Goran
11
2008
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
8
2008
A change-of-variable formula with local time on surfaces. Zbl 1141.60035
Peskir, Goran
49
2007
The trap of complacency in predicting the maximum. Zbl 1120.60044
du Toit, J.; Peskir, G.
33
2007
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
9
2007
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
467
2006
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
29
2006
On the fundamental solution of the Kolmogorov-Shiryaev equation. Zbl 1101.60042
Peskir, Goran
18
2006
On reflecting Brownian motion with drift. Zbl 1196.93074
Peskir, Goran
14
2006
A change-of-variable formula with local time on curves. Zbl 1085.60033
Peskir, Goran
94
2005
On the American option problem. Zbl 1109.91028
Peskir, Goran
73
2005
The Russian option: finite horizon. Zbl 1092.91029
Peskir, Goran
28
2005
Maximum process problems in optimal control theory. Zbl 1075.93047
Peskir, Goran
2
2005
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
27
2004
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
12
2003
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
41
2002
On integral equations arising in the first-passage problem for Brownian motion. Zbl 1044.60076
Peskir, Goran
31
2002
Limit at zero of the Brownian first-passage density. Zbl 1004.60081
Peskir, Goran
12
2002
On nonlinear integral equations arising in problems of optimal stopping. Zbl 1031.60030
Pedersen, J. L.; Peskir, G.
4
2002
Principles of optimal stopping and free-boundary problems. Zbl 0994.60045
Peskir, Goran
2
2002
Market forces and dynamic asset pricing. Zbl 1039.91018
Peskir, G.; Shorish, J.
2
2002
The Azéma-Yor embedding in non-singular diffusions. Zbl 1059.60058
Pedersen, J. L.; Peskir, G.
12
2001
Bounding the maximal height of a diffusion by the time elapsed. Zbl 0999.60076
Peskir, Goran
9
2001
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2
2001
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
42
2000
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, S. E.; Peskir, G.; Shiryaev, A. N.
29
2000
Maximal inequalities for the Ornstein-Uhlenbeck process. Zbl 0954.60062
Graversen, S. E.; Peskir, G.
26
2000
Solving nonlinear optimal stopping problems by the method of time-change. Zbl 0968.60039
Pedersen, J. L.; Peskir, G.
6
2000
From uniform laws of large numbers to uniform ergodic theorems. Zbl 0992.37004
Peskir, Goran
5
2000
The Azéma-Yor embedding in Brownian motion with drift. Zbl 0967.60046
Peskir, Goran
1
2000
Designing options given the risk: The optimal Skorokhod-embedding problem. Zbl 0965.60044
Peskir, Goran
8
1999
Optimal stopping of the maximum process: The maximality principle. Zbl 0935.60025
Peskir, Goran
45
1998
Optimal stopping and maximal inequalities for geometric Brownian motion. Zbl 0929.60027
Graversen, S. E.; Peskir, G.
20
1998
Maximal inequalities for Bessel processes. Zbl 0903.60074
Graversen, S. E.; Peškir, G.
15
1998
The uniform mean-square ergodic theorem for wide sense stationary processes. Zbl 0916.60039
Peškir, Goran
3
1998
Optimal stopping in the \(L\log L\)-inequality of Hardy and Littlewood. Zbl 0949.60057
Graversen, S. E.; Peškir, G.
1
1998
Consistency of statistical models described by families of reversed submartingales. Zbl 0985.60028
Peškir, Goran
1
1998
Extremal problems in the maximal inequalities of Khintchine. Zbl 0899.60013
Graversen, S. E.; Peškir, G.
1
1998
Optimal stopping and maximal inequalities for linear diffusions. Zbl 0905.60058
Graversen, S. E.; Peškir, G.
1
1998
On the central limit theorem for aperiodic dynamical systems and application. Zbl 0938.37007
De la Rue, T.; Ladouceur, S.; Peskir, G.; Weber, M.
4
1997
On the Russian option: The expected waiting time. Zbl 0924.60012
Graversen, S. E.; Peškir, G.
4
1997
On Wald-type optimal stopping for Brownian motion. Zbl 0876.60023
Graversen, S. E.; Peškir, G.
4
1997
On Doob’s maximal inequality for Brownian motion. Zbl 0913.60011
Graversen, S. E.; Peškir, G.
2
1997
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1
1997
On the exponential Orlicz norms of stopped Brownian motion. Zbl 0849.60039
Peškir, Goran
5
1996
Randomly weighted series of contractions in Hilbert spaces. Zbl 0881.40002
Peškir, G.; Schneider, D.; Weber, M.
4
1996
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
14
1995
Best constants in Kahane-Khintchine inequalities for complex Steinhaus functions. Zbl 0841.41024
Peškir, Goran
3
1995
The continuity principle in exponential type Orlicz spaces. Zbl 0820.46022
Graversen, S. E.; Peškir, Goran; Weber, Michel
1
1995
Uniform convergence of reversed martingales. Zbl 0820.60030
Peškir, Goran
1
1995
Uniform ergodic theorems for dynamical systems under VC entropy conditions. Zbl 0828.28006
Peškir, Goran; Yukich, Joseph E.
3
1994
Necessary and sufficient conditions for the uniform law of large numbers in the stationary case. Zbl 0823.60024
Peškir, Goran; Weber, Michel
2
1994
Maximal inequalities of Kahane-Khintchine’s type in Orlicz spaces. Zbl 0809.60005
Peškir, Goran
1
1994
Best constants in Kahane-Khintchine inequalities in Orlicz spaces. Zbl 0773.41026
Peškir, Goran
3
1993
all top 5

Cited by 1,141 Authors

37 Peskir, Goran
31 Gapeev, Pavel V.
28 De Angelis, Tiziano
21 Ekström, Erik
19 Ferrari, Giorgio
18 Jeon, Junkee
16 Yan, Litan
15 Bayraktar, Erhan
14 Shiryaev, Al’bert Nikolaevich
13 Buonaguidi, Bruno
12 Christensen, Soren
11 Sezer, Semih Onur
10 Cox, Alexander Matthew Gordon
10 Dayanik, Savas
10 Kyprianou, Andreas E.
10 Yamazaki, Kazutoshi
9 Kitapbayev, Yerkin
9 Lempa, Jukka
9 Osękowski, Adam
9 Park, Kyunghyun
9 Patie, Pierre
9 Thijssen, Jacco J. J.
8 Ankirchner, Stefan
8 Glover, Kristoffer J.
8 Hobson, David Graham
8 Kruse, Thomas
8 Makasu, Cloud
8 Pedersen, Jesper Lund
8 Rodosthenous, Neofytos
8 Urusov, Mikhail A.
8 Zhitlukhin, Mikhail V.
7 Palmowski, Zbigniew
7 Salminen, Paavo H.
7 Stettner, Łukasz
7 Touzi, Nizar
6 Avram, Florin
6 Dolinsky, Yan
6 Irle, Albrecht
6 Koo, Hyeng Keun
6 Palczewski, Jan
6 Pistorius, Martijn R.
6 Strack, Philipp
6 Van Schaik, Kees
6 Xing, Jie
5 Arkin, Vadim I.
5 Baurdoux, Erik Jan
5 Dalang, Robert C.
5 Jeanblanc, Monique
5 Lindensjö, Kristoffer
5 Liu, Yue
5 Mordecki, Ernesto
5 Moriarty, John
5 Muravlev, Alexey A.
5 Nunes, Cláudia
5 Shin, Yong Hyun
5 Simon, Thomas
5 Vaicenavicius, Juozas
5 Zervos, Mihail
4 Astashkin, Sergeĭ Vladimir
4 Brown, Marlo
4 Cai, Cheng
4 Chen, Xinfu
4 Dang, Duy Minh
4 Ernst, Philip A.
4 Federico, Salvatore
4 Fischer, Simon
4 Forsyth, Peter A.
4 Guerra, Manuel
4 Henderson, Vicky
4 Ivanov, Roman V.
4 Jelito, Damian
4 Karatzas, Ioannis
4 Leung, Tim
4 Lindberg, Carl
4 Ludkovski, Michael
4 Ma, Jingtang
4 Martyr, Randall
4 Mijatović, Aleksandar
4 Muliere, Pietro
4 Polunchenko, Aleksey S.
4 Sacerdote, Laura
4 Samee, Farman
4 Saunders, David Claude
4 Stoev, Yavor I.
4 Van Staden, Pieter M.
4 Vigna, Elena
4 Yam, Sheung Chi Phillip
4 Yoshioka, Hidekazu
4 Zipkin, Paul Herbert
4 Zucca, Cristina
3 Alili, Larbi
3 Anagnostopoulos, Christos-Nikolaos
3 Armerin, Fredrik
3 Beiglböck, Mathias
3 Belak, Christoph
3 Chadam, John M.
3 Crocce, Fabián
3 de la Peña, Victor H.
3 Detemple, Jerome B.
3 Dias, José Carlos
...and 1,041 more Authors
all top 5

Cited in 202 Serials

71 Stochastic Processes and their Applications
55 The Annals of Applied Probability
38 Stochastics
36 Statistics & Probability Letters
34 Sequential Analysis
29 SIAM Journal on Control and Optimization
27 Advances in Applied Probability
27 Journal of Applied Probability
21 Applied Mathematics and Optimization
21 Mathematical Finance
20 Finance and Stochastics
20 International Journal of Theoretical and Applied Finance
19 Journal of Mathematical Analysis and Applications
17 European Journal of Operational Research
16 Mathematics of Operations Research
15 Electronic Journal of Probability
15 Mathematical Methods of Operations Research
14 The Annals of Probability
14 Quantitative Finance
13 SIAM Journal on Financial Mathematics
12 Methodology and Computing in Applied Probability
12 Mathematics and Financial Economics
10 Journal of Economic Theory
10 Insurance Mathematics & Economics
10 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
10 Bernoulli
9 Journal of Computational and Applied Mathematics
9 Journal of Theoretical Probability
9 Annals of Operations Research
9 Applied Mathematical Finance
8 Theory of Probability and its Applications
8 Stochastic Analysis and Applications
8 Journal of Economic Dynamics & Control
7 Applied Mathematics and Computation
6 Journal of Functional Analysis
6 Electronic Communications in Probability
6 Stochastics and Dynamics
5 Operations Research
5 Proceedings of the American Mathematical Society
5 Acta Applicandae Mathematicae
5 Probability Theory and Related Fields
5 Automation and Remote Control
5 Potential Analysis
5 Journal of Inequalities and Applications
5 Scandinavian Actuarial Journal
5 Journal of Industrial and Management Optimization
5 Proceedings of the Steklov Institute of Mathematics
4 Computers & Mathematics with Applications
4 Moscow University Mathematics Bulletin
4 Russian Mathematical Surveys
4 Transactions of the American Mathematical Society
4 Operations Research Letters
4 Statistical Papers
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Stochastic Models
4 Annals of Finance
3 Israel Journal of Mathematics
3 Journal of Statistical Physics
3 Bulletin of the Korean Mathematical Society
3 Communications in Statistics. Theory and Methods
3 Journal of Mathematical Sciences (New York)
3 Discrete and Continuous Dynamical Systems. Series B
3 Decisions in Economics and Finance
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 ALEA. Latin American Journal of Probability and Mathematical Statistics
3 Optimization Letters
3 Journal of Physics A: Mathematical and Theoretical
2 Journal of Mathematical Physics
2 Metrika
2 Chaos, Solitons and Fractals
2 Annals of the Institute of Statistical Mathematics
2 The Annals of Statistics
2 Automatica
2 Information Sciences
2 Journal of Econometrics
2 Journal of Mathematical Economics
2 Journal of Optimization Theory and Applications
2 Journal of Statistical Planning and Inference
2 Theoretical Computer Science
2 European Journal of Applied Mathematics
2 Games and Economic Behavior
2 International Journal of Computer Mathematics
2 Journal of Statistical Computation and Simulation
2 Theory of Probability and Mathematical Statistics
2 Economic Theory
2 Mathematical Problems in Engineering
2 Doklady Mathematics
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Infinite Dimensional Analysis, Quantum Probability and Related Topics
2 Probability in the Engineering and Informational Sciences
2 The ANZIAM Journal
2 Journal of Machine Learning Research (JMLR)
2 Review of Derivatives Research
2 REVSTAT
2 Nonlinear Analysis. Hybrid Systems
2 Science China. Mathematics
2 International Journal of Stochastic Analysis
2 Theoretical Economics
2 Statistics and Computing
2 Mathematical Control and Related Fields
...and 102 more Serials
all top 5

Cited in 37 Fields

779 Probability theory and stochastic processes (60-XX)
442 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
168 Statistics (62-XX)
123 Systems theory; control (93-XX)
101 Partial differential equations (35-XX)
71 Operations research, mathematical programming (90-XX)
69 Calculus of variations and optimal control; optimization (49-XX)
57 Numerical analysis (65-XX)
29 Integral equations (45-XX)
21 Ordinary differential equations (34-XX)
16 Dynamical systems and ergodic theory (37-XX)
16 Computer science (68-XX)
16 Statistical mechanics, structure of matter (82-XX)
12 Special functions (33-XX)
12 Operator theory (47-XX)
11 Harmonic analysis on Euclidean spaces (42-XX)
10 Functional analysis (46-XX)
9 Measure and integration (28-XX)
9 Biology and other natural sciences (92-XX)
8 Real functions (26-XX)
6 Information and communication theory, circuits (94-XX)
5 Global analysis, analysis on manifolds (58-XX)
4 Functions of a complex variable (30-XX)
4 Approximations and expansions (41-XX)
3 Combinatorics (05-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
2 Number theory (11-XX)
2 Potential theory (31-XX)
2 Integral transforms, operational calculus (44-XX)
2 Convex and discrete geometry (52-XX)
2 Fluid mechanics (76-XX)
1 History and biography (01-XX)
1 Topological groups, Lie groups (22-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Difference and functional equations (39-XX)
1 General topology (54-XX)
1 Classical thermodynamics, heat transfer (80-XX)

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