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## Protter, Philip Elliott

Compute Distance To:
 Author ID: protter.philip-e 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
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#### Co-Authors

 26 single-authored 21 Jarrow, Robert Alan 15 Jacod, Jean 8 Kurtz, Thomas Gordon 5 Ma, Jin 4 Kchia, Younes 4 San Martín, Jaime 3 Méléard, Sylvie 3 Pardoux, Etienne 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 Bilina Falafala, Roseline 1 Burkholder, Donald L. 1 Carlen, Eric Anders 1 Cinlar, Erhan 1 Clement, Emmanuelle 1 Dandapani, Aditi 1 Del Moral, Pierre 1 Diener, Nicolas 1 Douglas, Jim jun. 1 Dritschel, Michael A. 1 Duffie, James Darrell 1 Graham, Carl 1 Janson, Svante 1 Kohatsu-Higa, Arturo 1 Lamberton, Damien 1 Lee, Kiseop 1 León, Jorge A. 1 M’Baye, Sokhna 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 Sznitman, Alain-Sol 1 Torres, Soledad 1 Yang, Shihao 1 Yildirim, Yildiray 1 Yong, Jiongmin 1 Zhang, Jianfeng
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#### Serials

 12 The Annals of Probability 7 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 2 Journal of Theoretical Probability 2 Bernoulli 2 SIAM Journal on Financial Mathematics 2 Annals of Finance 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 Quantitative Finance 1 Stochastic Models 1 Review of Derivatives Research 1 Lecture Notes in Mathematics 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
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#### Fields

 95 Probability theory and stochastic processes (60-XX) 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Numerical analysis (65-XX) 4 History and biography (01-XX) 3 Ordinary differential equations (34-XX) 3 Statistics (62-XX) 3 Systems theory; control (93-XX) 2 General and overarching topics; collections (00-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)

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