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Föllmer, Hans

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 Author ID: follmer.hans Published as: Föllmer, H.; Föllmer, Hans; Fölmer, Hans Homepage: http://www.math.hu-berlin.de/~foellmer/index-e.html External Links: MGP · Wikidata · dblp · GND
 Documents Indexed: 91 Publications since 1969, including 7 Books Biographic References: 1 Publication
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Co-Authors

 39 single-authored 8 Schied, Alexander 4 Knispel, Thomas 4 Penner, Irina 2 Horst, Ulrich 2 Leukert, Peter 2 Nelson, Joseph Edward 2 Protter, Philip Elliott 2 Schweizer, Martin 2 Wu, Ching-Tang 2 Yor, Marc 1 Acciaio, Beatrice 1 Airault, Hélène 1 Albeverio, Sergio A. 1 Bank, Peter 1 Biagini, Francesca 1 Buckdahn, Rainer 1 Clark, John M. C. 1 Deuschel, Jean-Dominique 1 Diaconis, Persi Warren 1 Eberlein, Ernst W. 1 El Karoui, Nicole 1 Elliott, Robert James 1 Elworthy, David 1 Engelbert, Hans Jürgen 1 Gantert, Nina 1 Gross, Leonard 1 Gundel, Anne 1 Imkeller, Peter 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Keane, Michael S. 1 Kirman, Alan P. 1 Klüppelberg, Claudia 1 Kramkov, Dmitriĭ Olegovich 1 Krengel, Ulrich 1 Küchler, Uwe 1 Majumdar, Mukul K. 1 Nedelcu, Sorin 1 Orey, Steven 1 Ort, Marianne 1 Papanicolaou, George C. 1 Schachermayer, Walter 1 Shiryaev, Al’bert Nikolaevich 1 Snell, J. Laurie 1 Sondermann, Dieter 1 Strassen, Volker 1 Varadhan, S. R. Srinivasa 1 Wakolbinger, Anton 1 Weber, Stefan 1 Zabczyk, Jerzy
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Serials

 6 Finance and Stochastics 5 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 4 The Annals of Probability 3 Journal of Mathematical Economics 3 Probability Theory and Related Fields 3 Stochastic Processes and their Applications 3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) 2 Mitteilungen der Deutschen Mathematiker-Vereinigung (DMV) 2 Bernoulli 2 De Gruyter Studies in Mathematics 1 Illinois Journal of Mathematics 1 Inventiones Mathematicae 1 Journal of Applied Probability 1 Journal of Functional Analysis 1 Mathematische Annalen 1 Probability and Mathematical Statistics 1 Statistics & Decisions 1 Nova Acta Leopoldina. Neue Folge 1 Philosophical Transactions of the Royal Society of London. Series A 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 International Journal of Theoretical and Applied Finance 1 Stochastics and Dynamics 1 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 1 Lecture Notes in Mathematics 1 Mathematics and Financial Economics 1 Statistics & Risk Modeling 1 De Gruyter Textbook 1 De Gruyter Graduate
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Fields

 70 Probability theory and stochastic processes (60-XX) 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Potential theory (31-XX) 5 Statistics (62-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 General and overarching topics; collections (00-XX) 4 History and biography (01-XX) 4 Systems theory; control (93-XX) 3 Information and communication theory, circuits (94-XX) 1 Real functions (26-XX) 1 Functions of a complex variable (30-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Operations research, mathematical programming (90-XX)

Citations contained in zbMATH Open

76 Publications have been cited 2,499 times in 1,849 Documents Cited by Year
Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. Zbl 1126.91028
Föllmer, Hans; Schied, Alexander
2004
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
2002
Hedging of contingent claims under incomplete information. Zbl 0738.90007
Föllmer, Hans; Schweizer, Martin
1990
Stochastic finance. An introduction in discrete time. Zbl 1125.91053
Föllmer, Hans; Schied, Alexander
2002
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
1999
Hedging of non-redundant contingent claims. Zbl 0663.90006
Föllmer, Hans; Sondermann, Dieter
1986
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
2000
Optional decompositions under constraints. Zbl 0882.60063
Föllmer, H.; Kramkov, D.
1997
Convex risk measures and the dynamics of their penalty functions. Zbl 1186.91119
Föllmer, Hans; Penner, Irina
2006
Stochastic finance. An introduction in discrete time. 3rd revised and extended ed. Zbl 1213.91006
Fölmer, Hans; Schied, Alexander
2011
Random economies with many interacting agents. Zbl 0281.90021
Föllmer, Hans
1974
Calcul d’Ito sans probabilités. Zbl 0461.60074
Föllmer, Hans
1981
Large deviations for the empirical field of a Gibbs measure. Zbl 0648.60028
Föllmer, Hans; Orey, Steven
1988
Robust preferences and convex measures of risk. Zbl 1022.91045
Föllmer, Hans; Schied, Alexander
2002
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
1995
The exit measure of a supermartingale. Zbl 0231.60033
Föllmer, Hans
1971
Optional decomposition and Lagrange multipliers. Zbl 0894.90016
Föllmer, H.; Kabanov, Yu. M.
1998
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Zbl 1118.91044
Föllmer, Hans; Horst, Ulrich; Kirman, Alan
2005
Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations. Zbl 1237.91128
Föllmer, Hans; Knispel, Thomas
2011
On entropy and information gain in random fields. Zbl 0258.60029
Föllmer, Hans
1973
A microeconomic approach to diffusion models for stock prices. Zbl 0884.90027
Föllmer, Hans; Schweizer, Martin
1993
Random fields and diffusion processes. Zbl 0661.60063
Föllmer, Hans
1988
Robust preferences and robust portfolio choice. Zbl 1180.91274
Schied, Alexander; Föllmer, Hans; Weber, Stefan
2009
A covariance estimate for Gibbs measures. Zbl 0482.60052
Föllmer, Hans
1982
Phase transition and Martin boundary. Zbl 0367.60112
Föllmer, Hans
1975
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. Zbl 1262.91091
Acciaio, Beatrice; Föllmer, Hans; Penner, Irina
2012
Robust projections in the class of martingale measures. Zbl 1099.94016
Föllmer, Hans; Gundel, Anne
2006
Time reversal of infinite-dimensional diffusions. Zbl 0602.60067
Föllmer, H.; Wakolbinger, A.
1986
Shifting martingale measures and the birth of a bubble as a submartingale. Zbl 1336.91089
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin
2014
On the representation of semimartingales. Zbl 0265.60044
Föllmer, Hans
1973
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
2008
Time reversal on Wiener space. Zbl 0582.60078
Föllmer, Hans
1986
Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082
Föllmer, Hans; Imkeller, Peter
1993
American options, multi-armed bandits, and optimal consumption plans: a unifying view. Zbl 1065.91022
Bank, Peter; Föllmer, Hans
2003
Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading. Zbl 0996.60079
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
1999
Probabilistic aspects of finance. Zbl 1279.91053
Föllmer, Hans; Schied, Alexander
2013
On weak Brownian motions of arbitrary order. Zbl 0968.60069
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
2000
Dirichlet processes. Zbl 0462.60046
Föllmer, Hans
1981
On the global Markov property. Zbl 0457.60077
Föllmer, Hans
1980
Probabilistic aspects of financial risk. Zbl 1047.91041
Föllmer, Hans
2001
On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077
Föllmer, Hans; Protter, Philip
2000
Entropy minimization and Schrödinger processes in infinite dimensions. Zbl 0876.60063
Föllmer, Hans; Gantert, Nina
1997
On the asymptotic behavior of stochastic economic processes. Two examples from intertemporal allocation under uncertainty. Zbl 0402.90026
Föllmer, Hans; Majumdar, Mukul
1978
Feine Topologie am Martinrand eines Standardprozesses. Zbl 0172.21601
Föllmer, H.
1969
Stochastic finance. An introduction in discrete time. 4th revised edition. Zbl 1343.91001
Fölmer, Hans; Schied, Alexander
2016
Stock price fluctuation as a diffusion in a random environment. Zbl 0822.90022
Föllmer, Hans
1994
On large deviations and relative entropy of Markov random fields. Zbl 0641.60040
Föllmer, H.
1987
Relative densities of semimartingales. Zbl 0281.60053
Airault, Hélène; Föllmer, Hans
1974
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
2014
A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058
El Karoui, Nicole; Föllmer, Hans
2005
Convergence of locally and globally interacting Markov chains. Zbl 1058.60087
Föllmer, Hans; Horst, Ulrich
2001
An entropy approach to the time reversal of diffusion processes. Zbl 0562.60083
Föllmer, Hans
1985
Tail structure of Markov chains on infinite product spaces. Zbl 0431.60094
Föllmer, Hans
1979
Quasimartingales à deux indices. Zbl 0397.60044
Föllmer, Hans
1979
Monetary valuation of cash flows under Knightian uncertainty. Zbl 1208.91170
Föllmer, Hans; Penner, Irina
2011
Potentials of a Markov process are expected suprema. Zbl 1184.60030
Föllmer, Hans; Knispel, Thomas
2007
Stock price fluctuation as a diffusion in a random environment. Zbl 0854.90012
Föllmer, Hans
1995
École d’été de probabilités de Saint-Flour XV-XVII, 1985-87 (2-19 Juil. 1985, 17 Août - 3 Sept. 1986, 1-18 Juil. 1987). Zbl 0649.00016
Diaconis, P.; Nelson, E.; Elworthy, D.; Papanicolaou, G.; Föllmer, H.; Varadhan, S. R. S.
1988
An ”inner” variational principle for Markov fields on a graph. Zbl 0366.60120
Föllmer, Hans; Snell, J. L.
1977
Spatial risk measures: local specification and boundary risk. Zbl 1386.91080
Föllmer, Hans; Klüppelberg, Claudia
2014
A conditional approach to the anticipating Girsanov transformation. Zbl 0791.60038
Buckdahn, Rainer; Föllmer, Hans
1993
A representation of excessive functions as expected suprema. Zbl 1127.60075
Föllmer, Hans; Knispel, Thomas
2006
Richard von Mises. Zbl 0901.01020
Föllmer, Hans; Küchler, Uwe
1998
Large deviations and surface entropy for Markov fields. Zbl 0671.60020
Föllmer, Hans; Ort, Marianne
1988
Von der Brownschen Bewegung zum Brownschen Blatt: Einige neuere Richtungen in der Theorie der stochastischen Prozesse. Zbl 0563.60070
Föllmer, Hans
1984
On the potential theory of stochastic fields. Zbl 0364.60114
Föllmer, Hans
1975
Optimal stopping of constrained Brownian motion. Zbl 0241.60034
Föllmer, Hans
1972
Convex capital requirements for large portfolio. Zbl 1308.91139
Föllmer, Hans; Knispel, Thomas
2012
Everything is right and still wrong? Zbl 1181.91358
Föllmer, Hans
2009
Randomness in economics: on the role of probability theory in the theory of financial markets. Zbl 1205.60014
Föllmer, Hans
1999
Orthogonal martingale representation. Zbl 0728.60049
Elliott, Robert J.; Föllmer, Hans
1991
Martin boundaries on Wiener space. Zbl 0726.60078
Föllmer, Hans
1990
Time reversal and smoothing of infinite-dimensional diffusion processes. Zbl 0612.60050
Deuschel, J. D.; Föllmer, Hans
1986
Almost sure convergence of multiparameter martingales for Markov random fields. Zbl 0538.60043
Föllmer, Hans
1984
Stochastic holomorphy. Zbl 0262.60032
Föllmer, Hans
1974
Ein Littlewood-Kriterium für gleichmäßig integrable Martingale und insbesondere für Dirichlet-Lösungen. Zbl 0188.41902
Föllmer, Hans
1971
Stochastic finance. An introduction in discrete time. 4th revised edition. Zbl 1343.91001
Fölmer, Hans; Schied, Alexander
2016
Shifting martingale measures and the birth of a bubble as a submartingale. Zbl 1336.91089
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin
2014
Spatial risk measures and their local specification: the locally law-invariant case. Zbl 1345.91011
Föllmer, Hans
2014
Spatial risk measures: local specification and boundary risk. Zbl 1386.91080
Föllmer, Hans; Klüppelberg, Claudia
2014
Probabilistic aspects of finance. Zbl 1279.91053
Föllmer, Hans; Schied, Alexander
2013
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. Zbl 1262.91091
Acciaio, Beatrice; Föllmer, Hans; Penner, Irina
2012
Convex capital requirements for large portfolio. Zbl 1308.91139
Föllmer, Hans; Knispel, Thomas
2012
Stochastic finance. An introduction in discrete time. 3rd revised and extended ed. Zbl 1213.91006
Fölmer, Hans; Schied, Alexander
2011
Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations. Zbl 1237.91128
Föllmer, Hans; Knispel, Thomas
2011
Monetary valuation of cash flows under Knightian uncertainty. Zbl 1208.91170
Föllmer, Hans; Penner, Irina
2011
Robust preferences and robust portfolio choice. Zbl 1180.91274
Schied, Alexander; Föllmer, Hans; Weber, Stefan
2009
Everything is right and still wrong? Zbl 1181.91358
Föllmer, Hans
2009
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
2008
Potentials of a Markov process are expected suprema. Zbl 1184.60030
Föllmer, Hans; Knispel, Thomas
2007
Convex risk measures and the dynamics of their penalty functions. Zbl 1186.91119
Föllmer, Hans; Penner, Irina
2006
Robust projections in the class of martingale measures. Zbl 1099.94016
Föllmer, Hans; Gundel, Anne
2006
A representation of excessive functions as expected suprema. Zbl 1127.60075
Föllmer, Hans; Knispel, Thomas
2006
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Zbl 1118.91044
Föllmer, Hans; Horst, Ulrich; Kirman, Alan
2005
A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058
El Karoui, Nicole; Föllmer, Hans
2005
Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. Zbl 1126.91028
Föllmer, Hans; Schied, Alexander
2004
American options, multi-armed bandits, and optimal consumption plans: a unifying view. Zbl 1065.91022
Bank, Peter; Föllmer, Hans
2003
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
2002
Stochastic finance. An introduction in discrete time. Zbl 1125.91053
Föllmer, Hans; Schied, Alexander
2002
Robust preferences and convex measures of risk. Zbl 1022.91045
Föllmer, Hans; Schied, Alexander
2002
Probabilistic aspects of financial risk. Zbl 1047.91041
Föllmer, Hans
2001
Convergence of locally and globally interacting Markov chains. Zbl 1058.60087
Föllmer, Hans; Horst, Ulrich
2001
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
2000
On weak Brownian motions of arbitrary order. Zbl 0968.60069
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
2000
On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077
Föllmer, Hans; Protter, Philip
2000
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
1999
Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading. Zbl 0996.60079
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
1999
Randomness in economics: on the role of probability theory in the theory of financial markets. Zbl 1205.60014
Föllmer, Hans
1999
Optional decomposition and Lagrange multipliers. Zbl 0894.90016
Föllmer, H.; Kabanov, Yu. M.
1998
Richard von Mises. Zbl 0901.01020
Föllmer, Hans; Küchler, Uwe
1998
Optional decompositions under constraints. Zbl 0882.60063
Föllmer, H.; Kramkov, D.
1997
Entropy minimization and Schrödinger processes in infinite dimensions. Zbl 0876.60063
Föllmer, Hans; Gantert, Nina
1997
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
1995
Stock price fluctuation as a diffusion in a random environment. Zbl 0854.90012
Föllmer, Hans
1995
Stock price fluctuation as a diffusion in a random environment. Zbl 0822.90022
Föllmer, Hans
1994
A microeconomic approach to diffusion models for stock prices. Zbl 0884.90027
Föllmer, Hans; Schweizer, Martin
1993
Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082
Föllmer, Hans; Imkeller, Peter
1993
A conditional approach to the anticipating Girsanov transformation. Zbl 0791.60038
Buckdahn, Rainer; Föllmer, Hans
1993
Orthogonal martingale representation. Zbl 0728.60049
Elliott, Robert J.; Föllmer, Hans
1991
Hedging of contingent claims under incomplete information. Zbl 0738.90007
Föllmer, Hans; Schweizer, Martin
1990
Martin boundaries on Wiener space. Zbl 0726.60078
Föllmer, Hans
1990
Large deviations for the empirical field of a Gibbs measure. Zbl 0648.60028
Föllmer, Hans; Orey, Steven
1988
Random fields and diffusion processes. Zbl 0661.60063
Föllmer, Hans
1988
École d’été de probabilités de Saint-Flour XV-XVII, 1985-87 (2-19 Juil. 1985, 17 Août - 3 Sept. 1986, 1-18 Juil. 1987). Zbl 0649.00016
Diaconis, P.; Nelson, E.; Elworthy, D.; Papanicolaou, G.; Föllmer, H.; Varadhan, S. R. S.
1988
Large deviations and surface entropy for Markov fields. Zbl 0671.60020
Föllmer, Hans; Ort, Marianne
1988
On large deviations and relative entropy of Markov random fields. Zbl 0641.60040
Föllmer, H.
1987
Hedging of non-redundant contingent claims. Zbl 0663.90006
Föllmer, Hans; Sondermann, Dieter
1986
Time reversal of infinite-dimensional diffusions. Zbl 0602.60067
Föllmer, H.; Wakolbinger, A.
1986
Time reversal on Wiener space. Zbl 0582.60078
Föllmer, Hans
1986
Time reversal and smoothing of infinite-dimensional diffusion processes. Zbl 0612.60050
Deuschel, J. D.; Föllmer, Hans
1986
An entropy approach to the time reversal of diffusion processes. Zbl 0562.60083
Föllmer, Hans
1985
Von der Brownschen Bewegung zum Brownschen Blatt: Einige neuere Richtungen in der Theorie der stochastischen Prozesse. Zbl 0563.60070
Föllmer, Hans
1984
Almost sure convergence of multiparameter martingales for Markov random fields. Zbl 0538.60043
Föllmer, Hans
1984
A covariance estimate for Gibbs measures. Zbl 0482.60052
Föllmer, Hans
1982
Calcul d’Ito sans probabilités. Zbl 0461.60074
Föllmer, Hans
1981
Dirichlet processes. Zbl 0462.60046
Föllmer, Hans
1981
On the global Markov property. Zbl 0457.60077
Föllmer, Hans
1980
Tail structure of Markov chains on infinite product spaces. Zbl 0431.60094
Föllmer, Hans
1979
Quasimartingales à deux indices. Zbl 0397.60044
Föllmer, Hans
1979
On the asymptotic behavior of stochastic economic processes. Two examples from intertemporal allocation under uncertainty. Zbl 0402.90026
Föllmer, Hans; Majumdar, Mukul
1978
An ”inner” variational principle for Markov fields on a graph. Zbl 0366.60120
Föllmer, Hans; Snell, J. L.
1977
Phase transition and Martin boundary. Zbl 0367.60112
Föllmer, Hans
1975
On the potential theory of stochastic fields. Zbl 0364.60114
Föllmer, Hans
1975
Random economies with many interacting agents. Zbl 0281.90021
Föllmer, Hans
1974
Relative densities of semimartingales. Zbl 0281.60053
Airault, Hélène; Föllmer, Hans
1974
Stochastic holomorphy. Zbl 0262.60032
Föllmer, Hans
1974
On entropy and information gain in random fields. Zbl 0258.60029
Föllmer, Hans
1973
On the representation of semimartingales. Zbl 0265.60044
Föllmer, Hans
1973
Optimal stopping of constrained Brownian motion. Zbl 0241.60034
Föllmer, Hans
1972
The exit measure of a supermartingale. Zbl 0231.60033
Föllmer, Hans
1971
Ein Littlewood-Kriterium für gleichmäßig integrable Martingale und insbesondere für Dirichlet-Lösungen. Zbl 0188.41902
Föllmer, Hans
1971
Feine Topologie am Martinrand eines Standardprozesses. Zbl 0172.21601
Föllmer, H.
1969
all top 5

Cited by 2,000 Authors

 34 Siu, Tak Kuen 26 Kupper, Michael 20 Schied, Alexander 18 Elliott, Robert James 16 Rosazza Gianin, Emanuela 16 Russo, Francesco 16 Svindland, Gregor 16 Wang, Ruodu 15 Rásonyi, Miklós 14 Föllmer, Hans 14 Mishura, Yuliya Stepanivna 14 Rudloff, Birgit 13 Carassus, Laurence 13 Delbaen, Freddy 13 Hu, Yijun 13 Ruszczyński, Andrzej 12 Nutz, Marcel 12 Shapiro, Alexander 12 Yang, Hailiang 11 Albeverio, Sergio A. 11 Cheung, Ka Chun 11 Drapeau, Samuel 11 Horst, Ulrich 11 Melnikov, Aleksander Viktorovich 11 Pennanen, Teemu 11 Protter, Philip Elliott 11 Schweizer, Martin 11 Touzi, Nizar 10 Assa, Hirbod 10 Biagini, Francesca 10 Bouchard, Bruno 10 Cheridito, Patrick 10 Karatzas, Ioannis 10 Kardaras, Constantinos 10 Kratschmer, Volker 10 Munari, Cosimo 10 Obloj, Jan K. 10 Øksendal, Bernt Karsten 10 Platen, Eckhard 10 Rüschendorf, Ludger 10 Weber, Stefan 10 Zähle, Henryk 9 Filipović, Damir 9 Hamel, Andreas H. 9 Kondrat’yev, Yuriĭ Grygorovych 9 Pflug, Georg Ch. 9 Riedel, Frank 9 Röckner, Michael 9 Schachermayer, Walter 9 Yan, Litan 8 Bellini, Fabio 8 Chi, Yichun 8 Grechuk, Bogdan 8 Hu, Feng 8 Koch Medina, Pablo 8 Molchanov, Ilya S. 8 Peng, Shige 8 Pinar, Mustafa Çelebi 8 Sulem, Agnès 7 Aguilar, Erick Treviño 7 Balbás, Alejandro 7 Bayraktar, Erhan 7 Bion-Nadal, Jocelyne 7 Chen, Yanhong 7 Cohen, Samuel N. 7 Cretarola, Alessandra 7 Frittelli, Marco 7 Laeven, Roger J. A. 7 Léonard, Christian 7 Lépinette, Emmanuel 7 Marinacci, Massimo 7 Pichler, Alois 7 Stadje, Mitja 7 Tangpi, Ludovic 7 Vicig, Paolo 7 Yao, Song 7 Zabarankin, Michael 7 Zegarlinski, Boguslaw 7 Zessin, Hans N. 6 Acciaio, Beatrice 6 Arai, Takuji 6 Bank, Peter 6 Bielecki, Tomasz R. 6 Bignozzi, Valeria 6 Chen, Zhiping 6 Cialenco, Igor 6 Cont, Rama 6 Dentcheva, Darinka 6 El Karoui, Nicole 6 Evstigneev, Igor V. 6 Feinstein, Zachary 6 Jaeger, Peter 6 Maccheroni, Fabio 6 Madan, Dilip B. 6 Meyer-Brandis, Thilo 6 Pelessoni, Renato 6 Roelly, Sylvie 6 Zhou, Xunyu 6 Žitković, Gordan 5 Bäuerle, Nicole ...and 1,900 more Authors
all top 5

Cited in 265 Serials

 107 Insurance Mathematics & Economics 99 Stochastic Processes and their Applications 97 Finance and Stochastics 65 Mathematical Finance 63 The Annals of Applied Probability 63 Mathematics and Financial Economics 50 European Journal of Operational Research 44 International Journal of Theoretical and Applied Finance 42 Quantitative Finance 40 The Annals of Probability 40 Journal of Mathematical Economics 33 Journal of Economic Dynamics & Control 30 SIAM Journal on Financial Mathematics 29 Journal of Mathematical Analysis and Applications 28 Statistics & Probability Letters 26 Probability Theory and Related Fields 26 Annals of Operations Research 25 Mathematical Methods of Operations Research 22 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 22 Stochastics 21 Annals of Finance 20 Journal of Functional Analysis 20 Mathematical Programming. Series A. Series B 18 Stochastic Analysis and Applications 18 Decisions in Economics and Finance 17 Mathematics of Operations Research 17 Applied Mathematical Finance 16 Scandinavian Actuarial Journal 15 Communications in Mathematical Physics 15 Journal of Statistical Physics 15 Journal of Applied Probability 15 Journal of Optimization Theory and Applications 15 Operations Research Letters 14 ASTIN Bulletin 13 Journal of Economic Theory 13 Acta Mathematicae Applicatae Sinica. English Series 13 Bernoulli 12 Journal of Computational and Applied Mathematics 12 Journal of Multivariate Analysis 11 Applied Mathematics and Optimization 11 SIAM Journal on Optimization 10 International Journal of Approximate Reasoning 10 European Actuarial Journal 9 Journal of Theoretical Probability 9 Theory of Probability and Mathematical Statistics 9 Methodology and Computing in Applied Probability 9 Statistics & Risk Modeling 9 Dependence Modeling 8 Advances in Applied Probability 8 Transactions of the American Mathematical Society 8 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 8 Review of Derivatives Research 8 Science China. Mathematics 8 Probability, Uncertainty and Quantitative Risk 7 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 7 Operations Research 7 SIAM Journal on Control and Optimization 7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 7 Positivity 7 North American Actuarial Journal 7 Asia-Pacific Financial Markets 6 Chaos, Solitons and Fractals 6 Journal of Econometrics 6 Optimization 6 Stochastics and Dynamics 6 Formalized Mathematics 5 Lithuanian Mathematical Journal 5 Systems & Control Letters 5 Applied Mathematics. Series B (English Edition) 5 Mathematical Problems in Engineering 5 Macroeconomic Dynamics 5 Acta Mathematica Sinica. English Series 4 Physica A 4 Theory of Probability and its Applications 4 Applied Mathematics and Computation 4 Kybernetika 4 Proceedings of the American Mathematical Society 4 Journal of Applied Mathematics and Stochastic Analysis 4 Automation and Remote Control 4 Stochastics and Stochastics Reports 4 Computational Economics 4 Journal of Mathematical Sciences (New York) 4 Economic Theory 4 Discrete and Continuous Dynamical Systems 4 OR Spectrum 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Advances in Complex Systems 4 Computational Management Science 4 Journal of Industrial and Management Optimization 4 Optimization Letters 4 International Journal of Stochastic Analysis 3 Journal of Mathematical Physics 3 Reviews in Mathematical Physics 3 The Annals of Statistics 3 Inventiones Mathematicae 3 Journal of Statistical Planning and Inference 3 Mathematical Social Sciences 3 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire 3 Science in China. Series A 3 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences ...and 165 more Serials
all top 5

Cited in 43 Fields

 1,308 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 916 Probability theory and stochastic processes (60-XX) 199 Operations research, mathematical programming (90-XX) 194 Statistics (62-XX) 144 Systems theory; control (93-XX) 112 Calculus of variations and optimal control; optimization (49-XX) 87 Functional analysis (46-XX) 85 Statistical mechanics, structure of matter (82-XX) 50 Measure and integration (28-XX) 46 Partial differential equations (35-XX) 38 Dynamical systems and ergodic theory (37-XX) 38 Numerical analysis (65-XX) 21 Operator theory (47-XX) 19 Real functions (26-XX) 15 Convex and discrete geometry (52-XX) 14 Global analysis, analysis on manifolds (58-XX) 13 Potential theory (31-XX) 13 Computer science (68-XX) 12 Ordinary differential equations (34-XX) 10 Mathematical logic and foundations (03-XX) 10 Quantum theory (81-XX) 10 Information and communication theory, circuits (94-XX) 8 Difference and functional equations (39-XX) 6 Combinatorics (05-XX) 6 Fluid mechanics (76-XX) 6 Biology and other natural sciences (92-XX) 5 General and overarching topics; collections (00-XX) 5 Integral equations (45-XX) 3 History and biography (01-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Differential geometry (53-XX) 2 Special functions (33-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 General topology (54-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Geophysics (86-XX) 1 Algebraic geometry (14-XX) 1 Group theory and generalizations (20-XX) 1 Topological groups, Lie groups (22-XX) 1 Sequences, series, summability (40-XX) 1 Abstract harmonic analysis (43-XX)

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