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Protter, Philip Elliott

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Author ID: protter.philip-e Recent zbMATH articles by "Protter, Philip Elliott"
Published as: Protter, Philip; Protter, P.; Protter, Philip E.; Protter, Ph. E.
Homepage: http://www.stat.columbia.edu/~protter/
External Links: MGP
Documents Indexed: 105 Publications since 1977, including 8 Books
Reviewing Activity: 16 Reviews

Publications by Year

Citations contained in zbMATH Open

85 Publications have been cited 3,192 times in 2,506 Documents Cited by Year
Stochastic integration and differential equations. 2nd ed. Zbl 1041.60005
Protter, Philip E.
597
2004
Stochastic integration and differential equations. A new approach. Zbl 0694.60047
Protter, Philip
380
1990
Solving forward-backward stochastic differential equations explicitly – a four step scheme. Zbl 0794.60056
Ma, Jin; Protter, Philip; Yong, Jiongmin
241
1994
Weak limit theorems for stochastic integrals and stochastic differential equations. Zbl 0742.60053
Kurtz, Thomas G.; Protter, Philip
214
1991
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
133
1998
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
126
2012
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
103
2004
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
87
2002
The Euler scheme for Lévy driven stochastic differential equations. Zbl 0876.60030
Protter, Philip; Talay, Denis
84
1997
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
54
1996
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
54
1980
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
52
2002
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
51
2010
Wong-Zakai corrections, random evolutions, and simulation schemes for SDE’s. Zbl 0762.60047
Kurtz, Thomas G.; Protter, Philip
50
1991
On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Zbl 0363.60044
Protter, Philip E.
45
1977
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
45
2003
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
43
2005
From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046
Duffie, Darrell; Protter, Philip
42
1992
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
40
1995
Volterra equations driven by semimartingales. Zbl 0567.60065
Protter, Philip
39
1985
Stratonovich stochastic differential equations driven by general semimartingales. Zbl 0823.60046
Kurtz, Thomas G.; Pardoux, Étienne; Protter, Philip
35
1995
Stochastic Volterra equations with anticipating coefficients. Zbl 0717.60073
Pardoux, Etienne; Protter, Philip
34
1990
Analysis of continuous strict local martingales via \(h\)-transforms. Zbl 1198.60020
Pal, Soumik; Protter, Philip
32
2010
Weak convergence of stochastic integrals and differential equations. I. Zbl 0862.60041
Kurtz, Thomas G.; Protter, Philip E.
31
1996
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
31
2001
No arbitrage and general semimartingales. Zbl 1179.60022
Protter, Philip; Shimbo, Kazuhiro
31
2008
A mathematical theory of financial bubbles. Zbl 1277.91134
Protter, Philip
30
2013
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
28
2010
Asset price bubbles in complete markets. Zbl 1154.91452
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
28
2007
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
26
1988
Weak convergence of stochastic integrals and differential equations. II: Infinite dimensional case. Zbl 0862.60042
Kurtz, Thomas G.; Protter, Philip E.
25
1996
Approximations of solutions of stochastic differential equations driven by semimartingales. Zbl 0578.60055
Protter, Philip
23
1985
A two-sided stochastic integral and its calculus. Zbl 0608.60058
Pardoux, E.; Protter, P.
23
1987
Modeling credit risk with partial information. Zbl 1048.60048
Çetin, Umut; Jarrow, Robert; Protter, Philip; Yildirim, Yildiray
19
2004
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
18
2000
Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073
Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip
15
2013
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
15
2011
No arbitrage without semimartingales. Zbl 1172.60027
Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
15
2009
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
13
2000
An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197
Blais, Marcel; Protter, Philip
13
2010
Complete markets with discontinuous security price. Zbl 0930.91014
Dritschel, Michael; Protter, Philip
11
1999
A comparison of stochastic integrals. Zbl 0404.60062
Protter, Philip
11
1979
Right-continuous solutions of systems of stochastic integral equations. Zbl 0363.60045
Protter, Philip
11
1977
Forward and futures prices with bubbles. Zbl 1195.91158
Jarrow, Robert A.; Protter, Philip
11
2009
Anticipating integrals for a class of martingales. Zbl 0897.60058
Ma, Jin; Protter, Philip; San Martin, Jaime
10
1998
A liquidity-based model for asset price bubbles. Zbl 1279.91160
Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F.
9
2012
Progressive filtration expansions via a process, with applications to insider trading. Zbl 1344.60037
Kchia, Younes; Protter, Philip
9
2015
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
9
1982
A partial introduction to financial asset pricing theory. Zbl 1048.91067
Protter, Philip
9
2001
Linking progressive and initial filtration expansions. Zbl 1317.60047
Kchia, Younes; Larsson, Martin; Protter, Philip
8
2013
On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077
Föllmer, Hans; Protter, Philip
8
2000
\(H^2\) stability of solutions of stochastic differential equations. Zbl 0378.60042
Protter, Philip
8
1978
The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142
Kohatsu-Higa, A.; Protter, P.
7
1994
Hedging claims with feedback jumps in the price process. Zbl 1331.91179
Lee, Kiseop; Protter, Philip
7
2008
Information reduction via level crossings in a credit risk models. Zbl 1143.91031
Jarrow, Robert A.; Protter, Philip; Sezer, A. Denis
7
2007
Semimartingales and measure preserving flows. Zbl 0598.60046
Protter, Philip
7
1986
Absolutely continuous compensators. Zbl 1231.91465
Janson, Svante; M’Baye, Sokhna; Protter, Philip
6
2011
Strict local martingales with jumps. Zbl 1322.60048
Protter, Philip
6
2015
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
6
2011
Positive alphas, abnormal performance, and illusory arbitrage. Zbl 1282.91117
Jarrow, Robert; Protter, Philip
5
2013
A short history of stochastic integration and mathematical finance: the early years, 1880–1970. Zbl 1268.01017
Jarrow, Robert; Protter, Philip
5
2004
On convergence of semimartingales. Zbl 0703.60041
Barlow, Martin T.; Protter, Philip
5
1990
Stochastic differential equations with jump reflection at the boundary. Zbl 0429.60057
Protter, Philip
5
1980
Markov solutions of stochastic differential equations. Zbl 0349.60063
Protter, Philip
5
1977
Characterizing the weak convergence of stochastic integrals. Zbl 0738.60053
Kurtz, Thomas G.; Protter, Philip
4
1991
A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051
Jacod, J.; Protter, P.
4
1991
Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113
Jarrow, Robert; Protter, Philip
4
2016
Probabilistic models for nonlinear partial differential equations. Lectures given at the 1st session of the Centro Internazionale Matematico Estivo, Montecatini Terme, Italy, May 22-30, 1995. Zbl 0844.00022
Graham, C. (ed.); Kurtz, Th. G. (ed.); Méléard, S. (ed.); Protter, Ph. E. (ed.); Pulvirenti, M. (ed.); Talay, D. (ed.)
3
1996
The effect of trading futures on short sale constraints. Zbl 1320.91144
Jarrow, Robert; Protter, Philip; Pulido, Sergio
3
2015
Martingales with given absolute value. Zbl 0421.60041
Protter, P.; Sharpe, M. J.
3
1979
A dysfunctional role of high frequency trading in electronic markets. Zbl 1241.91116
Jarrow, Robert A.; Protter, Philip
3
2012
General change of variable formulas for semimartingales in one and finite dimensions. Zbl 0792.60045
Protter, Philip; San Martin, Jaime
2
1993
On semimartingale decompositions of convex functions of semimartingales. Zbl 0741.60035
Carlen, Eric; Protter, Philip
2
1992
The law of the Euler scheme for stochastic differential equations. Zbl 0925.60064
Bally, V.; Protter, P.; Talay, D.
2
1996
Stochastic integration without tears (with apology to P. A. Meyer). Zbl 0597.60040
Protter, Philip
2
1986
Some formulas for anticipative Girsanov transformations. Zbl 0853.60047
León, Jorge A.; Protter, Philip
1
1994
A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007
Jacod, Jean; Protter, Philip
1
1993
Explicit form and path regularity of martingale representations. Zbl 0979.60027
Ma, Jin; Protter, Philip; Zhang, Jianfeng
1
2001
Liquidity suppliers and high frequency trading. Zbl 1320.91170
Jarrow, Robert; Protter, Philip
1
2015
Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip
1
2016
An extension of Kazamaki’s results on BMO differentials. Zbl 0446.60042
Protter, Philip
1
1980
\(H^p\) stability of solutions of stochastic differential equations. Zbl 0369.60072
Protter, Philip
1
1978
Joseph Leo Doob, 1910–2004. Zbl 1073.01516
Burkholder, Donald; Protter, Philip
1
2005
An elementary approach to naturality, predictability, and the fundamental theorem of local martingales. Zbl 0998.60041
O’Cinneide, Colm; Protter, Philip
1
2001
Options prices in incomplete markets. Zbl 1407.91251
Jacod, Jean; Protter, Philip
1
2017
Options prices in incomplete markets. Zbl 1407.91251
Jacod, Jean; Protter, Philip
1
2017
Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113
Jarrow, Robert; Protter, Philip
4
2016
Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip
1
2016
Progressive filtration expansions via a process, with applications to insider trading. Zbl 1344.60037
Kchia, Younes; Protter, Philip
9
2015
Strict local martingales with jumps. Zbl 1322.60048
Protter, Philip
6
2015
The effect of trading futures on short sale constraints. Zbl 1320.91144
Jarrow, Robert; Protter, Philip; Pulido, Sergio
3
2015
Liquidity suppliers and high frequency trading. Zbl 1320.91170
Jarrow, Robert; Protter, Philip
1
2015
A mathematical theory of financial bubbles. Zbl 1277.91134
Protter, Philip
30
2013
Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073
Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip
15
2013
Linking progressive and initial filtration expansions. Zbl 1317.60047
Kchia, Younes; Larsson, Martin; Protter, Philip
8
2013
Positive alphas, abnormal performance, and illusory arbitrage. Zbl 1282.91117
Jarrow, Robert; Protter, Philip
5
2013
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
126
2012
A liquidity-based model for asset price bubbles. Zbl 1279.91160
Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F.
9
2012
A dysfunctional role of high frequency trading in electronic markets. Zbl 1241.91116
Jarrow, Robert A.; Protter, Philip
3
2012
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
15
2011
Absolutely continuous compensators. Zbl 1231.91465
Janson, Svante; M’Baye, Sokhna; Protter, Philip
6
2011
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
6
2011
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
51
2010
Analysis of continuous strict local martingales via \(h\)-transforms. Zbl 1198.60020
Pal, Soumik; Protter, Philip
32
2010
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
28
2010
An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197
Blais, Marcel; Protter, Philip
13
2010
No arbitrage without semimartingales. Zbl 1172.60027
Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
15
2009
Forward and futures prices with bubbles. Zbl 1195.91158
Jarrow, Robert A.; Protter, Philip
11
2009
No arbitrage and general semimartingales. Zbl 1179.60022
Protter, Philip; Shimbo, Kazuhiro
31
2008
Hedging claims with feedback jumps in the price process. Zbl 1331.91179
Lee, Kiseop; Protter, Philip
7
2008
Asset price bubbles in complete markets. Zbl 1154.91452
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
28
2007
Information reduction via level crossings in a credit risk models. Zbl 1143.91031
Jarrow, Robert A.; Protter, Philip; Sezer, A. Denis
7
2007
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
43
2005
Joseph Leo Doob, 1910–2004. Zbl 1073.01516
Burkholder, Donald; Protter, Philip
1
2005
Stochastic integration and differential equations. 2nd ed. Zbl 1041.60005
Protter, Philip E.
597
2004
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
103
2004
Modeling credit risk with partial information. Zbl 1048.60048
Çetin, Umut; Jarrow, Robert; Protter, Philip; Yildirim, Yildiray
19
2004
A short history of stochastic integration and mathematical finance: the early years, 1880–1970. Zbl 1268.01017
Jarrow, Robert; Protter, Philip
5
2004
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
45
2003
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
87
2002
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
52
2002
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
31
2001
A partial introduction to financial asset pricing theory. Zbl 1048.91067
Protter, Philip
9
2001
Explicit form and path regularity of martingale representations. Zbl 0979.60027
Ma, Jin; Protter, Philip; Zhang, Jianfeng
1
2001
An elementary approach to naturality, predictability, and the fundamental theorem of local martingales. Zbl 0998.60041
O’Cinneide, Colm; Protter, Philip
1
2001
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
18
2000
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
13
2000
On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077
Föllmer, Hans; Protter, Philip
8
2000
Complete markets with discontinuous security price. Zbl 0930.91014
Dritschel, Michael; Protter, Philip
11
1999
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
133
1998
Anticipating integrals for a class of martingales. Zbl 0897.60058
Ma, Jin; Protter, Philip; San Martin, Jaime
10
1998
The Euler scheme for Lévy driven stochastic differential equations. Zbl 0876.60030
Protter, Philip; Talay, Denis
84
1997
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
54
1996
Weak convergence of stochastic integrals and differential equations. I. Zbl 0862.60041
Kurtz, Thomas G.; Protter, Philip E.
31
1996
Weak convergence of stochastic integrals and differential equations. II: Infinite dimensional case. Zbl 0862.60042
Kurtz, Thomas G.; Protter, Philip E.
25
1996
Probabilistic models for nonlinear partial differential equations. Lectures given at the 1st session of the Centro Internazionale Matematico Estivo, Montecatini Terme, Italy, May 22-30, 1995. Zbl 0844.00022
Graham, C.; Kurtz, Th. G.; Méléard, S.; Protter, Ph. E.; Pulvirenti, M.; Talay, D.
3
1996
The law of the Euler scheme for stochastic differential equations. Zbl 0925.60064
Bally, V.; Protter, P.; Talay, D.
2
1996
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
40
1995
Stratonovich stochastic differential equations driven by general semimartingales. Zbl 0823.60046
Kurtz, Thomas G.; Pardoux, Étienne; Protter, Philip
35
1995
Solving forward-backward stochastic differential equations explicitly – a four step scheme. Zbl 0794.60056
Ma, Jin; Protter, Philip; Yong, Jiongmin
241
1994
The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142
Kohatsu-Higa, A.; Protter, P.
7
1994
Some formulas for anticipative Girsanov transformations. Zbl 0853.60047
León, Jorge A.; Protter, Philip
1
1994
General change of variable formulas for semimartingales in one and finite dimensions. Zbl 0792.60045
Protter, Philip; San Martin, Jaime
2
1993
A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007
Jacod, Jean; Protter, Philip
1
1993
From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046
Duffie, Darrell; Protter, Philip
42
1992
On semimartingale decompositions of convex functions of semimartingales. Zbl 0741.60035
Carlen, Eric; Protter, Philip
2
1992
Weak limit theorems for stochastic integrals and stochastic differential equations. Zbl 0742.60053
Kurtz, Thomas G.; Protter, Philip
214
1991
Wong-Zakai corrections, random evolutions, and simulation schemes for SDE’s. Zbl 0762.60047
Kurtz, Thomas G.; Protter, Philip
50
1991
Characterizing the weak convergence of stochastic integrals. Zbl 0738.60053
Kurtz, Thomas G.; Protter, Philip
4
1991
A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051
Jacod, J.; Protter, P.
4
1991
Stochastic integration and differential equations. A new approach. Zbl 0694.60047
Protter, Philip
380
1990
Stochastic Volterra equations with anticipating coefficients. Zbl 0717.60073
Pardoux, Etienne; Protter, Philip
34
1990
On convergence of semimartingales. Zbl 0703.60041
Barlow, Martin T.; Protter, Philip
5
1990
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
26
1988
A two-sided stochastic integral and its calculus. Zbl 0608.60058
Pardoux, E.; Protter, P.
23
1987
Semimartingales and measure preserving flows. Zbl 0598.60046
Protter, Philip
7
1986
Stochastic integration without tears (with apology to P. A. Meyer). Zbl 0597.60040
Protter, Philip
2
1986
Volterra equations driven by semimartingales. Zbl 0567.60065
Protter, Philip
39
1985
Approximations of solutions of stochastic differential equations driven by semimartingales. Zbl 0578.60055
Protter, Philip
23
1985
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
9
1982
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
54
1980
Stochastic differential equations with jump reflection at the boundary. Zbl 0429.60057
Protter, Philip
5
1980
An extension of Kazamaki’s results on BMO differentials. Zbl 0446.60042
Protter, Philip
1
1980
A comparison of stochastic integrals. Zbl 0404.60062
Protter, Philip
11
1979
Martingales with given absolute value. Zbl 0421.60041
Protter, P.; Sharpe, M. J.
3
1979
\(H^2\) stability of solutions of stochastic differential equations. Zbl 0378.60042
Protter, Philip
8
1978
\(H^p\) stability of solutions of stochastic differential equations. Zbl 0369.60072
Protter, Philip
1
1978
On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Zbl 0363.60044
Protter, Philip E.
45
1977
Right-continuous solutions of systems of stochastic integral equations. Zbl 0363.60045
Protter, Philip
11
1977
Markov solutions of stochastic differential equations. Zbl 0349.60063
Protter, Philip
5
1977
all top 5

Cited by 2,686 Authors

40 Protter, Philip Elliott
29 Jarrow, Robert Alan
27 Jacod, Jean
27 Ma, Jin
24 Wang, Yongjin
24 Yong, Jiongmin
20 Podolskij, Mark
20 Todorov, Viktor
18 Mykland, Per Aslak
18 Platen, Eckhard
15 Russo, Francesco
15 Wu, Zhen
14 Klimsiak, Tomasz
13 Ji, Shaolin
13 Soner, Halil Mete
13 Zhang, Jianfeng
12 Aït-Sahalia, Yacine
12 Kohatsu-Higa, Arturo
12 Michta, Mariusz
12 Ouknine, Youssef
12 Vetter, Mathias
12 Zhang, Xicheng
12 Zhao, Weidong
11 Bo, Lijun
11 Øksendal, Bernt Karsten
11 Yan, Litan
11 Yor, Marc
11 Zhang, Lan
10 Biagini, Francesca
10 Jeanblanc, Monique
10 Nualart, David
10 Słomiński, Leszek
10 Tauchen, George E.
10 Touzi, Nizar
9 Bank, Peter
9 Barndorff-Nielsen, Ole Eiler
9 Dolinsky, Yan
9 Figueroa-López, José E.
9 Gobet, Emmanuel
9 Imkeller, Peter
9 Kebaier, Ahmed
9 Pagès, Gilles
9 Ruf, Johannes
9 Schweizer, Martin
9 Shi, Yufeng
9 Song, Shiyu
9 Xiong, Jie
9 Yu, Zhiyong
8 Antonelli, Fabio
8 Bayraktar, Erhan
8 Bender, Christian
8 Bouchard, Bruno
8 Delarue, François
8 Hu, Ying
8 Klüppelberg, Claudia
8 Kurtz, Thomas Gordon
8 Lee, Kiseop
8 Mishura, Yuliya Stepanivna
8 Motyl, Jerzy
8 Peng, Shige
8 Rosenbaum, Mathieu
8 Tang, Shanjian
8 Yang, Xuewei
8 Zhang, Tusheng S.
8 Žitković, Gordan
7 Alvarez, Luis H. R.
7 Arai, Takuji
7 Behme, Anita Diana
7 Bibinger, Markus
7 Budhiraja, Amarjit S.
7 Carmona, René A.
7 Çetin, Umut
7 Cretarola, Alessandra
7 Crisan, Dan O.
7 Duan, Jinqiao
7 El Otmani, Mohamed
7 Fontana, Claudio
7 Gloter, Arnaud
7 Hamadene, Saïd
7 Högele, Michael Anton
7 Kardaras, Constantinos
7 Kouritzin, Michael A.
7 Kuhn, Christoph
7 Li, Yingying
7 Norberg, Ragnar
7 Pavlyukevich, Ilya
7 Roch, Alexandre F.
7 Schmidt, Thorsten
7 Tankov, Peter
7 Wei, Qingmeng
7 Yoshida, Nakahiro
7 Zeng, Yong
6 Ankirchner, Stefan
6 Atar, Rami
6 Bañuelos, Rodrigo
6 Belomestny, Denis
6 Benth, Fred Espen
6 Burdzy, Krzysztof
6 Carr, Peter P.
6 Chong, Carsten
...and 2,586 more Authors
all top 5

Cited in 342 Serials

245 Stochastic Processes and their Applications
133 The Annals of Applied Probability
85 Stochastic Analysis and Applications
81 Finance and Stochastics
77 Journal of Econometrics
73 The Annals of Probability
63 Mathematical Finance
60 Statistics & Probability Letters
56 Bernoulli
54 International Journal of Theoretical and Applied Finance
42 Probability Theory and Related Fields
36 Stochastics
35 Quantitative Finance
33 Insurance Mathematics & Economics
32 Journal of Mathematical Analysis and Applications
32 Journal of Applied Probability
32 Journal of Theoretical Probability
32 Econometric Theory
27 Stochastics and Dynamics
27 Mathematics and Financial Economics
27 SIAM Journal on Financial Mathematics
26 Journal of Computational and Applied Mathematics
25 The Annals of Statistics
25 Journal of Functional Analysis
23 SIAM Journal on Control and Optimization
22 Asia-Pacific Financial Markets
21 Applied Mathematical Finance
20 Applied Mathematics and Computation
19 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
19 Annals of Finance
18 Advances in Applied Probability
17 Journal of Economic Dynamics & Control
17 Science China. Mathematics
16 Stochastics
16 Electronic Journal of Statistics
15 Journal of Differential Equations
15 Methodology and Computing in Applied Probability
14 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
14 Review of Derivatives Research
13 Applied Mathematics and Optimization
13 Journal of Mathematical Economics
13 Communications in Statistics. Theory and Methods
13 Discrete and Continuous Dynamical Systems. Series B
12 Transactions of the American Mathematical Society
12 Electronic Journal of Probability
12 Mathematical Methods of Operations Research
11 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
11 Decisions in Economics and Finance
10 Journal of Statistical Physics
10 Potential Analysis
10 Random Operators and Stochastic Equations
10 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
10 Probability, Uncertainty and Quantitative Risk
9 Journal of Optimization Theory and Applications
9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
9 Systems & Control Letters
9 Acta Mathematicae Applicatae Sinica. English Series
9 European Journal of Operational Research
9 Statistical Inference for Stochastic Processes
9 Stochastic Models
9 Comptes Rendus. Mathématique. Académie des Sciences, Paris
9 Mathematical Control and Related Fields
8 Journal of Mathematical Physics
8 Lithuanian Mathematical Journal
8 Queueing Systems
8 Stochastics and Stochastics Reports
8 Advances in Difference Equations
7 Journal of Time Series Analysis
7 Journal of Applied Mathematics and Stochastic Analysis
7 Computational Statistics and Data Analysis
7 Abstract and Applied Analysis
7 Journal of Systems Science and Complexity
6 Computers & Mathematics with Applications
6 Automatica
6 Journal of Economic Theory
6 Journal of Multivariate Analysis
6 Mathematics and Computers in Simulation
6 Theory of Probability and Mathematical Statistics
6 Bulletin des Sciences Mathématiques
6 Monte Carlo Methods and Applications
6 Mathematical Problems in Engineering
5 Scandinavian Journal of Statistics
5 Annals of the Institute of Statistical Mathematics
5 Mathematics of Operations Research
5 SIAM Journal on Numerical Analysis
5 Econometric Reviews
5 Journal of Scientific Computing
5 Annals of Operations Research
5 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
5 NoDEA. Nonlinear Differential Equations and Applications
5 Electronic Communications in Probability
5 International Journal of Stochastic Analysis
5 SIAM/ASA Journal on Uncertainty Quantification
4 Physica A
4 Ukrainian Mathematical Journal
4 Mathematics of Computation
4 Chaos, Solitons and Fractals
4 Osaka Journal of Mathematics
4 Applied Numerical Mathematics
4 Mathematical and Computer Modelling
...and 242 more Serials
all top 5

Cited in 50 Fields

1,949 Probability theory and stochastic processes (60-XX)
969 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
426 Statistics (62-XX)
293 Numerical analysis (65-XX)
283 Systems theory; control (93-XX)
212 Partial differential equations (35-XX)
142 Calculus of variations and optimal control; optimization (49-XX)
102 Ordinary differential equations (34-XX)
68 Operations research, mathematical programming (90-XX)
53 Biology and other natural sciences (92-XX)
51 Dynamical systems and ergodic theory (37-XX)
34 Operator theory (47-XX)
28 Integral equations (45-XX)
27 Statistical mechanics, structure of matter (82-XX)
25 Global analysis, analysis on manifolds (58-XX)
24 Quantum theory (81-XX)
18 Functional analysis (46-XX)
17 Measure and integration (28-XX)
15 Real functions (26-XX)
14 Approximations and expansions (41-XX)
13 Harmonic analysis on Euclidean spaces (42-XX)
11 Fluid mechanics (76-XX)
9 Computer science (68-XX)
8 Difference and functional equations (39-XX)
7 Potential theory (31-XX)
7 Information and communication theory, circuits (94-XX)
5 Integral transforms, operational calculus (44-XX)
5 Mechanics of particles and systems (70-XX)
4 History and biography (01-XX)
4 Combinatorics (05-XX)
4 Functions of a complex variable (30-XX)
3 General and overarching topics; collections (00-XX)
3 Number theory (11-XX)
3 Topological groups, Lie groups (22-XX)
3 Special functions (33-XX)
3 Convex and discrete geometry (52-XX)
3 Mechanics of deformable solids (74-XX)
2 Mathematical logic and foundations (03-XX)
2 Abstract harmonic analysis (43-XX)
2 Optics, electromagnetic theory (78-XX)
2 Geophysics (86-XX)
2 Mathematics education (97-XX)
1 Algebraic geometry (14-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Group theory and generalizations (20-XX)
1 Several complex variables and analytic spaces (32-XX)
1 General topology (54-XX)
1 Manifolds and cell complexes (57-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Relativity and gravitational theory (83-XX)

Citations by Year