Edit Profile (opens in new tab) Protter, Philip Elliott Co-Author Distance Author ID: protter.philip-e Published as: Protter, Philip; Protter, P.; Protter, Philip E.; Protter, Ph. E. more...less Homepage: http://www.stat.columbia.edu/~protter/ External Links: MGP Documents Indexed: 115 Publications since 1977, including 6 Books and 5 Additional arXiv Preprints 2 Contributions as Editor · 1 Further Contribution Reviewing Activity: 16 Reviews Co-Authors: 56 Co-Authors with 88 Joint Publications 1,745 Co-Co-Authors all top 5 Co-Authors 29 single-authored 23 Jarrow, Robert Alan 15 Jacod, Jean 8 Kurtz, Thomas Gordon 5 Kchia, Younes 5 Ma, Jin 5 San Martín, Jaime 3 Dandapani, Aditi 3 Méléard, Sylvie 3 Pardoux, Etienne 3 Quintos, Alejandra 3 Shimbo, Kazuhiro 3 Talay, Denis 2 Blais, Marcel 2 Çetin, Umut 2 Föllmer, Hans 2 Larsson, Martin 2 Sharpe, Michael J. 1 Ahn, Hyungsok 1 Bally, Vlad 1 Barlow, Martin T. 1 Benth, Fred Espen 1 Bilina Falafala, Roseline 1 Burkholder, Donald L. 1 Carlen, Eric Anders 1 Cinlar, Erhan 1 Clement, Emmanuelle 1 Crisan, Dan O. 1 Del Moral, Pierre 1 Diener, Nicolas 1 Douglas, Jim jun. 1 Dritschel, Michael A. 1 Duffie, James Darrell 1 Graham, Carl 1 Guasoni, Paolo 1 Henderson, Vicky 1 Janson, Svante 1 Kohatsu-Higa, Arturo 1 Lamberton, Damien 1 Lee, Kiseop 1 León, Jorge A. 1 Manolarakis, Konstantinos 1 M’Baye, Sokhna 1 Muhle-Karbe, Johannes 1 Nee, Colm 1 Neufcourt, Léo 1 Nualart, David 1 Obayashi, Yoshiki 1 O’Cinneide, Colm Art 1 Pal, Soumik 1 Pulido, Sergio 1 Pulvirenti, Mario 1 Qiu, Lisha 1 Roch, Alexandre F. 1 Sayit, Hasanjan 1 Sezer, Ayse Deniz 1 Shiryaev, Al’bert Nikolaevich 1 Sircar, Ronnie 1 Sznitman, Alain-Sol 1 Torres, Soledad 1 Valdevenito, Andrés Riveros 1 Yang, Shihao 1 Yildirim, Yildiray 1 Yong, Jiongmin 1 Zhang, Jianfeng all top 5 Serials 12 The Annals of Probability 8 Stochastic Processes and their Applications 7 International Journal of Theoretical and Applied Finance 6 Finance and Stochastics 5 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 5 Probability Theory and Related Fields 5 Mathematical Finance 4 The Annals of Applied Probability 3 Stochastics 3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 3 Mathematics and Financial Economics 3 Annals of Finance 2 Journal of Theoretical Probability 2 Bernoulli 2 Quantitative Finance 2 Lecture Notes in Mathematics 2 SIAM Journal on Financial Mathematics 2 Numerical Algebra, Control and Optimization 2 Applications of Mathematics 2 Universitext 1 Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM) 1 Illinois Journal of Mathematics 1 Journal of Multivariate Analysis 1 Notices of the American Mathematical Society 1 Stochastic Models 1 Review of Derivatives Research 1 Enseignement des Mathématiques (Cassini) 1 Stochastic Modelling and Applied Probability 1 Communications on Stochastic Analysis 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Frontiers of Mathematical Finance all top 5 Fields 103 Probability theory and stochastic processes (60-XX) 46 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Numerical analysis (65-XX) 6 History and biography (01-XX) 4 General and overarching topics; collections (00-XX) 3 Ordinary differential equations (34-XX) 3 Statistics (62-XX) 3 Systems theory; control (93-XX) 2 Functional analysis (46-XX) 1 Potential theory (31-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 94 Publications have been cited 4,053 times in 3,179 Documents Cited by ▼ Year ▼ Stochastic integration and differential equations. 2nd ed. Zbl 1041.60005 Protter, Philip E. 786 2004 Stochastic integration and differential equations. A new approach. Zbl 0694.60047 Protter, Philip 435 1990 Solving forward-backward stochastic differential equations explicitly – a four step scheme. Zbl 0794.60056 Ma, Jin; Protter, Philip; Yong, Jiongmin 325 1994 Weak limit theorems for stochastic integrals and stochastic differential equations. Zbl 0742.60053 Kurtz, Thomas G.; Protter, Philip 254 1991 Discretization of processes. Zbl 1259.60004 Jacod, Jean; Protter, Philip 190 2012 Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060 Jacod, Jean; Protter, Philip 154 1998 The Euler scheme for Lévy driven stochastic differential equations. Zbl 0876.60030 Protter, Philip; Talay, Denis 121 1997 Liquidity risk and arbitrage pricing theory. Zbl 1064.60083 Çetin, Umut; Jarrow, Robert A.; Protter, Philip 117 2004 An analysis of a least squares regression method for American option pricing. Zbl 1039.91020 Clément, Emmanuelle; Lamberton, Damien; Protter, Philip 104 2002 Numerical method for backward stochastic differential equations. Zbl 1017.60074 Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad 74 2002 Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131 Douglas, Jim jun.; Ma, Jin; Protter, Philip 73 1996 Asset price bubbles in incomplete markets. Zbl 1205.91069 Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 65 2010 Semimartingales and Markov processes. Zbl 0443.60074 Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J. 65 1980 Probability essentials. 2nd revised ed. Zbl 1014.60004 Jacod, Jean; Protter, Philip 63 2003 Wong-Zakai corrections, random evolutions, and simulation schemes for SDE’s. Zbl 0762.60047 Kurtz, Thomas G.; Protter, Philip 62 1991 Volterra equations driven by semimartingales. Zbl 0567.60065 Protter, Philip 58 1985 The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046 Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip 51 2005 On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Zbl 0363.60044 Protter, Philip E. 50 1977 Stochastic Volterra equations with anticipating coefficients. Zbl 0717.60073 Pardoux, Etienne; Protter, Philip 49 1990 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048 Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 46 1995 Stratonovich stochastic differential equations driven by general semimartingales. Zbl 0823.60046 Kurtz, Thomas G.; Pardoux, Étienne; Protter, Philip 44 1995 From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046 Duffie, Darrell; Protter, Philip 43 1992 A mathematical theory of financial bubbles. Zbl 1277.91134 Protter, Philip 41 2013 No arbitrage and general semimartingales. Zbl 1179.60022 Protter, Philip; Shimbo, Kazuhiro 40 2008 The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072 Del Moral, Pierre; Jacod, Jean; Protter, Philip 39 2001 Asset price bubbles in complete markets. Zbl 1154.91452 Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 37 2007 Risk-neutral compatibility with option prices. Zbl 1224.91156 Jacod, Jean; Protter, Philip 36 2010 Weak convergence of stochastic integrals and differential equations. I. Zbl 0862.60041 Kurtz, Thomas G.; Protter, Philip E. 36 1996 Time reversal on Lévy processes. Zbl 0646.60052 Jacod, Jean; Protter, Philip 35 1988 Analysis of continuous strict local martingales via \(h\)-transforms. Zbl 1198.60020 Pal, Soumik; Protter, Philip 33 2010 Weak convergence of stochastic integrals and differential equations. II: Infinite dimensional case. Zbl 0862.60042 Kurtz, Thomas G.; Protter, Philip E. 32 1996 Approximations of solutions of stochastic differential equations driven by semimartingales. Zbl 0578.60055 Protter, Philip 31 1985 A two-sided stochastic integral and its calculus. Zbl 0608.60058 Pardoux, E.; Protter, P. 29 1987 How to detect an asset bubble. Zbl 1239.91184 Jarrow, Robert; Kchia, Younes; Protter, Philip 24 2011 Modeling credit risk with partial information. Zbl 1048.60048 Çetin, Umut; Jarrow, Robert; Protter, Philip; Yildirim, Yildiray 23 2004 No arbitrage without semimartingales. Zbl 1172.60027 Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan 21 2009 Probability essentials. Zbl 0968.60003 Jacod, Jean; Protter, Philip 20 2000 Explicit form and robustness of martingale representations. Zbl 1044.60042 Jacod, Jean; Méléard, Sylvie; Protter, Philip 19 2000 Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073 Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip 15 2013 Progressive filtration expansions via a process, with applications to insider trading. Zbl 1344.60037 Kchia, Younes; Protter, Philip 14 2015 Forward and futures prices with bubbles. Zbl 1195.91158 Jarrow, Robert A.; Protter, Philip 13 2009 An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197 Blais, Marcel; Protter, Philip 13 2010 On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077 Föllmer, Hans; Protter, Philip 12 2000 A comparison of stochastic integrals. Zbl 0404.60062 Protter, Philip 12 1979 Complete markets with discontinuous security price. Zbl 0930.91014 Dritschel, Michael; Protter, Philip 11 1999 Right-continuous solutions of systems of stochastic integral equations. Zbl 0363.60045 Protter, Philip 11 1977 Linking progressive and initial filtration expansions. Zbl 1317.60047 Kchia, Younes; Larsson, Martin; Protter, Philip 11 2013 A liquidity-based model for asset price bubbles. Zbl 1279.91160 Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F. 11 2012 Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056 Jacod, Jean; Protter, Philip 10 1982 Anticipating integrals for a class of martingales. Zbl 0897.60058 Ma, Jin; Protter, Philip; San Martin, Jaime 10 1998 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 10 1996 Information reduction via level crossings in a credit risk models. Zbl 1143.91031 Jarrow, Robert A.; Protter, Philip; Sezer, A. Denis 10 2007 Hedging claims with feedback jumps in the price process. Zbl 1331.91179 Lee, Kiseop; Protter, Philip 10 2008 A partial introduction to financial asset pricing theory. Zbl 1048.91067 Protter, Philip 9 2001 The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142 Kohatsu-Higa, A.; Protter, P. 9 1994 Semimartingales and measure preserving flows. Zbl 0598.60046 Protter, Philip 8 1986 Foreign currency bubbles. Zbl 1213.91173 Jarrow, Robert A.; Protter, Philip 8 2011 \(H^2\) stability of solutions of stochastic differential equations. Zbl 0378.60042 Protter, Philip 7 1978 Stochastic differential equations with jump reflection at the boundary. Zbl 0429.60057 Protter, Philip 7 1980 Absolutely continuous compensators. Zbl 1231.91465 Janson, Svante; M’Baye, Sokhna; Protter, Philip 7 2011 Positive alphas, abnormal performance, and illusory arbitrage. Zbl 1282.91117 Jarrow, Robert; Protter, Philip 7 2013 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. 6 1991 \(H^p\) stability of solutions of stochastic differential equations. Zbl 0369.60072 Protter, Philip 6 1978 Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113 Jarrow, Robert; Protter, Philip 6 2016 Strict local martingales with jumps. Zbl 1322.60048 Protter, Philip 6 2015 A short history of stochastic integration and mathematical finance: the early years, 1880–1970. Zbl 1268.01017 Jarrow, Robert; Protter, Philip 6 2004 Markov solutions of stochastic differential equations. Zbl 0349.60063 Protter, Philip 5 1977 On convergence of semimartingales. Zbl 0703.60041 Barlow, Martin T.; Protter, Philip 5 1990 On semimartingale decompositions of convex functions of semimartingales. Zbl 0741.60035 Carlen, Eric; Protter, Philip 5 1992 Characterizing the weak convergence of stochastic integrals. Zbl 0738.60053 Kurtz, Thomas G.; Protter, Philip 5 1991 The law of the Euler scheme for stochastic differential equations. Zbl 0925.60064 Bally, V.; Protter, P.; Talay, D. 4 1996 The effect of trading futures on short sale constraints. Zbl 1320.91144 Jarrow, Robert; Protter, Philip; Pulido, Sergio 4 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 The lifetime of a financial bubble. Zbl 1404.91271 Obayashi, Yoshiki; Protter, Philip; Yang, Shihao 3 2017 A connection between the expansion of filtrations and Girsanov’s theorem. Zbl 0669.60055 Protter, Philip 2 1989 Some formulas for anticipative Girsanov transformations. Zbl 0853.60047 León, Jorge A.; Protter, Philip 2 1994 Options prices in incomplete markets. Zbl 1407.91251 Jacod, Jean; Protter, Philip 2 2017 Stochastic integration without tears (with apology to P. A. Meyer). Zbl 0597.60040 Protter, Philip 2 1986 Joseph Leo Doob, 1910–2004. Zbl 1073.01516 Burkholder, Donald; Protter, Philip 2 2005 General change of variable formulas for semimartingales in one and finite dimensions. Zbl 0792.60045 Protter, Philip; San Martin, Jaime 2 1993 Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients. Zbl 07188050 Protter, Philip; Qiu, Lisha; Martin, Jaime San 2 2020 Point process differentials with evolving intensities. Zbl 0514.60055 Protter, Philip 1 1983 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 An extension of Kazamaki’s results on BMO differentials. Zbl 0446.60042 Protter, Philip 1 1980 A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007 Jacod, Jean; Protter, Philip 1 1993 Liquidity suppliers and high frequency trading. Zbl 1320.91170 Jarrow, Robert; Protter, Philip 1 2015 A rational asset pricing model for premiums and discounts on closed-end funds: the bubble theory. Zbl 1435.91187 Jarrow, Robert; Protter, Philip 1 2019 Strict local martingales and the Khasminskii test for explosions. Zbl 1494.60046 Dandapani, Aditi; Protter, Philip 1 2022 Expansion of a filtration with a stochastic process: the information drift. Zbl 1515.60121 Neufcourt, Léo; Protter, Philip 1 2023 Relative asset price bubbles. Zbl 1398.91565 Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip 1 2016 Asset price bubbles: invariance theorems. Zbl 1498.91469 Jarrow, Robert; Protter, Philip; San Martin, Jaime 1 2022 Strict local martingales via filtration enlargement. Zbl 1462.60053 Dandapani, Aditi; Protter, Philip 1 2020 Expansion of a filtration with a stochastic process: the information drift. Zbl 1515.60121 Neufcourt, Léo; Protter, Philip 1 2023 Strict local martingales and the Khasminskii test for explosions. Zbl 1494.60046 Dandapani, Aditi; Protter, Philip 1 2022 Asset price bubbles: invariance theorems. Zbl 1498.91469 Jarrow, Robert; Protter, Philip; San Martin, Jaime 1 2022 Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients. Zbl 07188050 Protter, Philip; Qiu, Lisha; Martin, Jaime San 2 2020 Strict local martingales via filtration enlargement. Zbl 1462.60053 Dandapani, Aditi; Protter, Philip 1 2020 A rational asset pricing model for premiums and discounts on closed-end funds: the bubble theory. Zbl 1435.91187 Jarrow, Robert; Protter, Philip 1 2019 The lifetime of a financial bubble. Zbl 1404.91271 Obayashi, Yoshiki; Protter, Philip; Yang, Shihao 3 2017 Options prices in incomplete markets. Zbl 1407.91251 Jacod, Jean; Protter, Philip 2 2017 Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113 Jarrow, Robert; Protter, Philip 6 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 14 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 4 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 41 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 11 2013 Positive alphas, abnormal performance, and illusory arbitrage. Zbl 1282.91117 Jarrow, Robert; Protter, Philip 7 2013 Discretization of processes. Zbl 1259.60004 Jacod, Jean; Protter, Philip 190 2012 A liquidity-based model for asset price bubbles. Zbl 1279.91160 Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F. 11 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 24 2011 Foreign currency bubbles. Zbl 1213.91173 Jarrow, Robert A.; Protter, Philip 8 2011 Absolutely continuous compensators. Zbl 1231.91465 Janson, Svante; M’Baye, Sokhna; Protter, Philip 7 2011 Asset price bubbles in incomplete markets. Zbl 1205.91069 Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 65 2010 Risk-neutral compatibility with option prices. Zbl 1224.91156 Jacod, Jean; Protter, Philip 36 2010 Analysis of continuous strict local martingales via \(h\)-transforms. Zbl 1198.60020 Pal, Soumik; Protter, Philip 33 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 21 2009 Forward and futures prices with bubbles. Zbl 1195.91158 Jarrow, Robert A.; Protter, Philip 13 2009 No arbitrage and general semimartingales. Zbl 1179.60022 Protter, Philip; Shimbo, Kazuhiro 40 2008 Hedging claims with feedback jumps in the price process. Zbl 1331.91179 Lee, Kiseop; Protter, Philip 10 2008 Asset price bubbles in complete markets. Zbl 1154.91452 Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 37 2007 Information reduction via level crossings in a credit risk models. Zbl 1143.91031 Jarrow, Robert A.; Protter, Philip; Sezer, A. Denis 10 2007 The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046 Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip 51 2005 Joseph Leo Doob, 1910–2004. Zbl 1073.01516 Burkholder, Donald; Protter, Philip 2 2005 Stochastic integration and differential equations. 2nd ed. Zbl 1041.60005 Protter, Philip E. 786 2004 Liquidity risk and arbitrage pricing theory. Zbl 1064.60083 Çetin, Umut; Jarrow, Robert A.; Protter, Philip 117 2004 Modeling credit risk with partial information. Zbl 1048.60048 Çetin, Umut; Jarrow, Robert; Protter, Philip; Yildirim, Yildiray 23 2004 A short history of stochastic integration and mathematical finance: the early years, 1880–1970. Zbl 1268.01017 Jarrow, Robert; Protter, Philip 6 2004 Probability essentials. 2nd revised ed. Zbl 1014.60004 Jacod, Jean; Protter, Philip 63 2003 An analysis of a least squares regression method for American option pricing. Zbl 1039.91020 Clément, Emmanuelle; Lamberton, Damien; Protter, Philip 104 2002 Numerical method for backward stochastic differential equations. Zbl 1017.60074 Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad 74 2002 The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072 Del Moral, Pierre; Jacod, Jean; Protter, Philip 39 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 Probability essentials. Zbl 0968.60003 Jacod, Jean; Protter, Philip 20 2000 Explicit form and robustness of martingale representations. Zbl 1044.60042 Jacod, Jean; Méléard, Sylvie; Protter, Philip 19 2000 On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077 Föllmer, Hans; Protter, Philip 12 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 154 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 121 1997 Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131 Douglas, Jim jun.; Ma, Jin; Protter, Philip 73 1996 Weak convergence of stochastic integrals and differential equations. I. Zbl 0862.60041 Kurtz, Thomas G.; Protter, Philip E. 36 1996 Weak convergence of stochastic integrals and differential equations. II: Infinite dimensional case. Zbl 0862.60042 Kurtz, Thomas G.; Protter, Philip E. 32 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 10 1996 The law of the Euler scheme for stochastic differential equations. Zbl 0925.60064 Bally, V.; Protter, P.; Talay, D. 4 1996 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048 Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 46 1995 Stratonovich stochastic differential equations driven by general semimartingales. Zbl 0823.60046 Kurtz, Thomas G.; Pardoux, Étienne; Protter, Philip 44 1995 Solving forward-backward stochastic differential equations explicitly – a four step scheme. Zbl 0794.60056 Ma, Jin; Protter, Philip; Yong, Jiongmin 325 1994 The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142 Kohatsu-Higa, A.; Protter, P. 9 1994 Some formulas for anticipative Girsanov transformations. Zbl 0853.60047 León, Jorge A.; Protter, Philip 2 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 43 1992 On semimartingale decompositions of convex functions of semimartingales. Zbl 0741.60035 Carlen, Eric; Protter, Philip 5 1992 Weak limit theorems for stochastic integrals and stochastic differential equations. Zbl 0742.60053 Kurtz, Thomas G.; Protter, Philip 254 1991 Wong-Zakai corrections, random evolutions, and simulation schemes for SDE’s. Zbl 0762.60047 Kurtz, Thomas G.; Protter, Philip 62 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. 6 1991 Characterizing the weak convergence of stochastic integrals. Zbl 0738.60053 Kurtz, Thomas G.; Protter, Philip 5 1991 Stochastic integration and differential equations. A new approach. Zbl 0694.60047 Protter, Philip 435 1990 Stochastic Volterra equations with anticipating coefficients. Zbl 0717.60073 Pardoux, Etienne; Protter, Philip 49 1990 On convergence of semimartingales. Zbl 0703.60041 Barlow, Martin T.; Protter, Philip 5 1990 A connection between the expansion of filtrations and Girsanov’s theorem. Zbl 0669.60055 Protter, Philip 2 1989 Time reversal on Lévy processes. Zbl 0646.60052 Jacod, Jean; Protter, Philip 35 1988 A two-sided stochastic integral and its calculus. Zbl 0608.60058 Pardoux, E.; Protter, P. 29 1987 Semimartingales and measure preserving flows. Zbl 0598.60046 Protter, Philip 8 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 58 1985 Approximations of solutions of stochastic differential equations driven by semimartingales. Zbl 0578.60055 Protter, Philip 31 1985 Point process differentials with evolving intensities. Zbl 0514.60055 Protter, Philip 1 1983 Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056 Jacod, Jean; Protter, Philip 10 1982 Semimartingales and Markov processes. Zbl 0443.60074 Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J. 65 1980 Stochastic differential equations with jump reflection at the boundary. Zbl 0429.60057 Protter, Philip 7 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 12 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 7 1978 \(H^p\) stability of solutions of stochastic differential equations. Zbl 0369.60072 Protter, Philip 6 1978 On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Zbl 0363.60044 Protter, Philip E. 50 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 cited Publications top 5 cited Publications all top 5 Cited by 3,420 Authors 44 Protter, Philip Elliott 33 Jarrow, Robert Alan 31 Ma, Jin 28 Jacod, Jean 27 Todorov, Viktor 27 Yong, Jiongmin 25 Podolskij, Mark 24 Wang, Yongjin 22 Wu, Zhen 21 Mykland, Per Aslak 21 Platen, Eckhard 20 Ji, Shaolin 18 Russo, Francesco 18 Zhao, Weidong 17 Klimsiak, Tomasz 17 Ouknine, Youssef 15 Biagini, Francesca 15 Li, Jia 15 Yu, Zhiyong 14 Vetter, Mathias 14 Zhang, Xicheng 13 Jeanblanc, Monique 13 Kohatsu-Higa, Arturo 13 Øksendal, Bernt Karsten 13 Soner, Halil Mete 13 Yan, Litan 13 Zhang, Jianfeng 13 Zhang, Lan 12 Aït-Sahalia, Yacine 12 Bo, Lijun 12 El Otmani, Mohamed 12 Michta, Mariusz 12 Pavlyukevich, Ilya 11 Bouchard, Bruno 11 Del Moral, Pierre 11 Delarue, François 11 Högele, Michael Anton 11 Kebaier, Ahmed 11 Nualart, David 11 Słomiński, Leszek 11 Song, Shiyu 11 Tang, Shanjian 11 Tauchen, George E. 11 Touzi, Nizar 11 Yor, Marc 10 Antonelli, Fabio 10 Bank, Peter 10 Bayraktar, Erhan 10 Crisan, Dan O. 10 Fukasawa, Masaaki 10 Gobet, Emmanuel 10 Imkeller, Peter 10 Ruf, Johannes 10 Xiong, Jie 9 Bao, Feng 9 Barndorff-Nielsen, Ole Eiler 9 Basse-O’Connor, Andreas 9 Bender, Christian 9 Budhiraja, Amarjit S. 9 Dolinsky, Yan 9 Duan, Jinqiao 9 Figueroa-López, José E. 9 Hamadene, Saïd 9 Kurtz, Thomas Gordon 9 Lee, Kiseop 9 Li, Yingying 9 Pagès, Gilles 9 Schweizer, Martin 9 Shi, Yufeng 9 Žitković, Gordan 8 Belomestny, Denis 8 Carmona, René A. 8 Çetin, Umut 8 Christensen, Kim 8 Cretarola, Alessandra 8 Fontana, Claudio 8 Gloter, Arnaud 8 Hu, Ying 8 Jasra, Ajay 8 Jentzen, Arnulf 8 Kardaras, Constantinos 8 Klüppelberg, Claudia 8 Kuhn, Christoph 8 Kyprianou, Andreas E. 8 Liu, Meng 8 Liu, Xianming 8 Mishura, Yuliya Stepanivna 8 Motyl, Jerzy 8 Peng, Shige 8 Roch, Alexandre F. 8 Rosenbaum, Mathieu 8 Schilling, René Leander 8 Schmidt, Thorsten 8 Schnurr, Alexander 8 Tangpi, Ludovic 8 Tankov, Peter 8 Wei, Qingmeng 8 Wu, Jianglun 8 Yang, Xuewei 8 Yoshida, Nakahiro ...and 3,320 more Authors all top 5 Cited in 404 Serials 291 Stochastic Processes and their Applications 147 The Annals of Applied Probability 94 Journal of Econometrics 92 Stochastic Analysis and Applications 91 Finance and Stochastics 77 The Annals of Probability 71 Mathematical Finance 67 Statistics & Probability Letters 66 Bernoulli 66 Stochastics 65 International Journal of Theoretical and Applied Finance 46 Journal of Theoretical Probability 45 Probability Theory and Related Fields 45 Quantitative Finance 44 Journal of Mathematical Analysis and Applications 42 Stochastics and Dynamics 38 Insurance Mathematics & Economics 35 Econometric Theory 34 SIAM Journal on Control and Optimization 34 SIAM Journal on Financial Mathematics 33 Journal of Applied Probability 32 Electronic Journal of Probability 30 Journal of Computational and Applied Mathematics 28 The Annals of Statistics 28 Mathematics and Financial Economics 26 Journal of Functional Analysis 25 Advances in Applied Probability 25 Applied Mathematics and Computation 24 Applied Mathematics and Optimization 24 Applied Mathematical Finance 23 Journal of Differential Equations 23 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 22 Asia-Pacific Financial Markets 21 Methodology and Computing in Applied Probability 21 Annals of Finance 20 Electronic Journal of Statistics 19 Journal of Economic Dynamics & Control 18 Communications in Statistics. Theory and Methods 18 Science China. Mathematics 17 Discrete and Continuous Dynamical Systems. Series B 16 Physica A 16 Stochastics 16 Probability, Uncertainty and Quantitative Risk 15 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 15 Systems & Control Letters 14 Journal of Optimization Theory and Applications 14 Transactions of the American Mathematical Society 14 European Journal of Operational Research 14 Review of Derivatives Research 13 Journal of Mathematical Economics 13 Advances in Difference Equations 12 Random Operators and Stochastic Equations 12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 12 Mathematical Methods of Operations Research 12 Decisions in Economics and Finance 12 Stochastic Models 11 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 11 Statistical Inference for Stochastic Processes 11 Mathematical Control and Related Fields 10 Journal of Mathematical Physics 10 Journal of Statistical Physics 10 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 10 Journal of Time Series Analysis 10 Acta Mathematicae Applicatae Sinica. English Series 10 Potential Analysis 9 Lithuanian Mathematical Journal 9 Automatica 9 Monte Carlo Methods and Applications 9 Electronic Communications in Probability 9 Comptes Rendus. Mathématique. Académie des Sciences, Paris 8 Queueing Systems 8 Computational Statistics and Data Analysis 8 Stochastics and Stochastics Reports 8 Theory of Probability and Mathematical Statistics 8 Communications in Nonlinear Science and Numerical Simulation 8 Journal of Systems Science and Complexity 8 Frontiers of Mathematical Finance 7 Computers & Mathematics with Applications 7 Journal of Computational Physics 7 Annals of the Institute of Statistical Mathematics 7 Econometric Reviews 7 Journal of Applied Mathematics and Stochastic Analysis 7 Annals of Operations Research 7 NoDEA. Nonlinear Differential Equations and Applications 7 Abstract and Applied Analysis 7 Scandinavian Actuarial Journal 7 ASTIN Bulletin 7 ALEA. Latin American Journal of Probability and Mathematical Statistics 7 SIAM/ASA Journal on Uncertainty Quantification 6 Scandinavian Journal of Statistics 6 Journal of Economic Theory 6 Journal of Multivariate Analysis 6 Mathematics and Computers in Simulation 6 Mathematics of Operations Research 6 Journal of Scientific Computing 6 International Journal of Computer Mathematics 6 Journal of Dynamics and Differential Equations 6 SIAM Journal on Scientific Computing 6 Bulletin des Sciences Mathématiques 6 Mathematical Problems in Engineering ...and 304 more Serials all top 5 Cited in 52 Fields 2,450 Probability theory and stochastic processes (60-XX) 1,165 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 532 Statistics (62-XX) 380 Numerical analysis (65-XX) 366 Systems theory; control (93-XX) 289 Partial differential equations (35-XX) 201 Calculus of variations and optimal control; optimization (49-XX) 131 Ordinary differential equations (34-XX) 85 Operations research, mathematical programming (90-XX) 85 Biology and other natural sciences (92-XX) 72 Dynamical systems and ergodic theory (37-XX) 49 Integral equations (45-XX) 41 Statistical mechanics, structure of matter (82-XX) 40 Operator theory (47-XX) 33 Global analysis, analysis on manifolds (58-XX) 29 Computer science (68-XX) 26 Functional analysis (46-XX) 25 Quantum theory (81-XX) 23 Measure and integration (28-XX) 22 Real functions (26-XX) 18 Fluid mechanics (76-XX) 16 Harmonic analysis on Euclidean spaces (42-XX) 15 Approximations and expansions (41-XX) 11 Difference and functional equations (39-XX) 10 Mechanics of particles and systems (70-XX) 8 History and biography (01-XX) 8 Integral transforms, operational calculus (44-XX) 8 Information and communication theory, circuits (94-XX) 7 Potential theory (31-XX) 6 Combinatorics (05-XX) 6 Number theory (11-XX) 6 Functions of a complex variable (30-XX) 6 Special functions (33-XX) 4 General and overarching topics; collections (00-XX) 4 Topological groups, Lie groups (22-XX) 4 Geophysics (86-XX) 3 Convex and discrete geometry (52-XX) 3 Mechanics of deformable solids (74-XX) 3 Mathematics education (97-XX) 2 Mathematical logic and foundations (03-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Abstract harmonic analysis (43-XX) 2 Optics, electromagnetic theory (78-XX) 1 Algebraic geometry (14-XX) 1 Associative rings and algebras (16-XX) 1 Group theory and generalizations (20-XX) 1 Differential geometry (53-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