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Fouque, Jean-Pierre

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Author ID: fouque.jean-pierre Recent zbMATH articles by "Fouque, Jean-Pierre"
Published as: Fouque, Jean-Pierre; Fouque, J. P.; Fouque, J.-P.; Fouque, Jean-pierre; Fouque, Jean Pierre
Documents Indexed: 97 Publications since 1980, including 8 Books

Publications by Year

Citations contained in zbMATH Open

74 Publications have been cited 1,276 times in 832 Documents Cited by Year
Derivatives in financial markets with stochastic volatility. Zbl 0954.91025
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
263
2000
Wave propagation and time reversal in randomly layered media. Zbl 1386.74001
Fouque, Jean-Pierre; Garnier, Josselin; Papanicolaou, George; Sølna, Knut
111
2007
Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Zbl 1248.91003
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut
107
2011
Singular perturbations in option pricing. Zbl 1039.91024
Fouque, J.-P.; Papanicolaou, G.; Sircar, R.; Solna, K.
68
2003
Multiscale stochastic volatility asymptotics. Zbl 1074.91015
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut
67
2004
Mean field games and systemic risk. Zbl 1337.91031
Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien
62
2015
Mean-reverting stochastic volatility. Zbl 1153.91497
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
33
2000
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre
27
2010
Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148
Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia
25
2017
Portfolio optimization with ambiguous correlation and stochastic volatilities. Zbl 1410.91415
Fouque, Jean-Pierre; Pun, Chi Seng; Wong, Hoi Ying
24
2016
Hydrodynamical limit for the asymmetric simple exclusion process. Zbl 0623.60120
Benassi, Albert; Fouque, Jean-Pierre
23
1987
Stochastic volatility effects on defaultable bonds. Zbl 1142.91523
Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut
23
2006
Stability in a model of interbank lending. Zbl 1295.91099
Fouque, Jean-Pierre; Ichiba, Tomoyuki
22
2013
Spreading of a pulse travelling in random media. Zbl 0814.73018
Clouet, J. F.; Fouque, J. P.
22
1994
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
21
2019
Stochastic volatility corrections for interest rate derivatives. Zbl 1124.91331
Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
21
2004
Small-time asymptotics for fast mean-reverting stochastic volatility models. Zbl 1266.60049
Feng, Jin; Fouque, Jean-Pierre; Kumar, Rohini
19
2012
Handbook on systemic risk. Zbl 1305.91014
Fouque, Jean-Pierre (ed.); Langsam, Joseph A. (ed.)
16
2013
A time-reversal method for an acoustical pulse propagating in randomly layered media. Zbl 0920.73051
Clouet, J. F.; Fouque, J. P.
14
1997
Maturity cycles in implied volatility. Zbl 1063.91066
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut
14
2004
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie
13
2016
La convergence en loi pour les processus à valeurs dans un espace nucléaire. Zbl 0545.60012
Fouque, Jean-Pierre
13
1984
Parabolic and Gaussian white noise approximation for wave propagation in random media. Zbl 0859.60061
Bailly, F.; Clouet, J. F.; Fouque, J. P.
13
1996
A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189
Fouque, Jean-Pierre; Lorig, Matthew J.
13
2011
Option pricing under hybrid stochastic and local volatility. Zbl 1281.91155
Choi, Sun-Yong; Fouque, Jean-Pierre; Kim, Jeong-Hoon
11
2013
Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Zbl 1321.91109
Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie
10
2015
Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
10
1999
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
10
2018
Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas
10
2009
Approximation for option prices under uncertain volatility. Zbl 1341.60070
Fouque, Jean-Pierre; Ren, Bin
9
2014
Time reversal for dispersive waves in random media. Zbl 1126.76011
Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André
8
2004
Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment. Zbl 1365.93542
Fouque, Jean-Pierre; Hu, Ruimeng
8
2017
From the implied volatility skew to a robust correction to Black–Scholes American option prices. Zbl 1153.91495
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
8
2001
Spectral decomposition of option prices in fast mean-reverting stochastic volatility models. Zbl 1255.91127
Fouque, Jean-Pierre; Jaimungal, Sebastian; Lorig, Matthew J.
8
2011
Time-reversal refocusing for point source in randomly layered media. Zbl 1189.76459
Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André; Sølna, Knut
8
2005
Forward and Markov approximation: The strong-intensity-fluctuations regime revisited. Zbl 0915.35119
Fouque, J. P.; Papanicolaou, G.; Samuelides, Y.
7
1998
Asian options under multiscale stochastic volatility. Zbl 1120.91013
Fouque, Jean-Pierre; Han, Chuan-Hsiang
7
2004
Perturbation analysis for investment portfolios under partial information with expert opinions. Zbl 1414.91337
Fouque, J.-P.; Papanicolaou, A.; Sircar, R.
7
2017
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. Zbl 1405.91692
Fouque, Jean-Pierre; Han, Chuan-Hsiang
7
2004
Shock structure due to stochastic forcing and the time reversal of nonlinear waves. Zbl 1054.76010
Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André
6
2004
Time-reversal aperture enhancement. Zbl 1060.76103
Fouque, J.-P.; Solna, K.
6
2003
Systemic risk and stochastic games with delay. Zbl 1418.91062
Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien
6
2018
Pricing Asian options with stochastic volatility. Zbl 1405.91615
Fouque, Jean-Pierre; Han, Chuan-Hsiang
6
2003
Hydrodynamical limit for the symmetric zero-range process. Zbl 0646.60038
Benassi, Albert; Fouque, Jean-Pierre
5
1988
The past of a stopping point and stopping for two-parameter processes. Zbl 0526.60041
Fouque, Jean-Pierre
5
1983
A martingale control variate method for option pricing with stochastic volatility. Zbl 1182.91173
Fouque, Jean-Pierre; Han, Chuan-Hsiang
5
2007
Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161
Strong, Winslow; Fouque, Jean-Pierre
5
2011
Multiscale stochastic volatility model for derivatives on futures. Zbl 1303.91176
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P.
4
2014
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
4
2019
Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047
Carmona, René A.; Fouque, Jean Pierre
4
1995
Multiname and multiscale default modeling. Zbl 1179.91264
Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut
4
2009
Perturbed Gaussian copula. Zbl 1189.91224
Fouque, Jean-Pierre; Zhou, Xianwen
4
2008
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Zbl 1400.91589
Fouque, J.-P.; Saporito, Y. F.
4
2018
Spectral analysis of randomly scattered signals using the wavelet transform. Zbl 0968.76588
Clouet, J. F.; Fouque, J. P.; Postel, M.
3
1995
Option pricing under a stressed-beta model. Zbl 1298.91164
Fouque, Jean-Pierre; Tashman, Adam P.
3
2012
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
3
2020
A diffusion approximation result for two parameter processes. Zbl 0794.60060
Carmona, René A.; Fouque, Jean Pierre
3
1994
A limit theorem for linear boundary value problems in random media. Zbl 0802.60058
Fouque, Jean-Pierre; Merzbach, Ely
3
1994
Time reversal super resolution in randomly layered media. Zbl 1231.76270
Fouque, Jean-Pierre; Garnier, Josselin; Søłna, Knut
3
2006
Robustness of time reversal for waves in time-dependent random media. Zbl 1073.35031
Vigo, Daniel G. Alfaro; Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André
3
2004
Pressure fields generated by acoustical pulses propagating in randomly layered media. Zbl 0923.73012
Chillan, J.; Fouque, J. P.
2
1998
Asymptotic of a two-scale stochastic volatility model. Zbl 0935.91019
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
2
1998
Time-reversed refocusing of surface water waves. Zbl 1058.76016
Fouque, Jean-Pierre; Nachbin, André
2
2003
Régularité à gauche des martingales fortes à plusieurs indices. Zbl 0434.60051
Fouque, Jean-Pierre; Millet, Annie
2
1980
Passe d’un point d’arret et arret des processus à deux indices. Zbl 0471.60054
Fouque, Jean-Pierre
2
1981
Uncertain volatility models with stochastic bounds. Zbl 1419.91615
Fouque, Jean-Pierre; Ning, Ning
2
2018
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498
Fouque, Jean-Pierre; Hu, Ruimeng
2
2018
Asymmetric variance reduction for pricing American options. Zbl 1180.91286
Han, Chuan-Hsiang; Fouque, Jean-Pierre
2
2009
Bond markets with stochastic volatility. Zbl 1189.91213
Desantiago, Rafael; Fouque, Jean-Pierre; Solna, Knut
2
2008
Stochastic volatility and epsilon-martingale decomposition. Zbl 1138.91441
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
2
2001
Calibration of stock betas from skews of implied volatilities. Zbl 1213.91150
Fouque, Jean-Pierre; Kollman, Eli
2
2011
Fluctuation field for the asymmetric simple exclusion process. Zbl 0737.60087
Benassi, Albert; Fouque, Jean-Pierre
1
1991
Directed chain stochastic differential equations. Zbl 1457.60088
Detering, Nils; Fouque, Jean-Pierre; Ichiba, Tomoyuki
1
2020
Multiscale asymptotic analysis for portfolio optimization under stochastic environment. Zbl 1458.91193
Fouque, Jean-Pierre; Hu, Ruimeng
1
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
3
2020
Directed chain stochastic differential equations. Zbl 1457.60088
Detering, Nils; Fouque, Jean-Pierre; Ichiba, Tomoyuki
1
2020
Multiscale asymptotic analysis for portfolio optimization under stochastic environment. Zbl 1458.91193
Fouque, Jean-Pierre; Hu, Ruimeng
1
2020
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
21
2019
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
4
2019
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
10
2018
Systemic risk and stochastic games with delay. Zbl 1418.91062
Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien
6
2018
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Zbl 1400.91589
Fouque, J.-P.; Saporito, Y. F.
4
2018
Uncertain volatility models with stochastic bounds. Zbl 1419.91615
Fouque, Jean-Pierre; Ning, Ning
2
2018
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498
Fouque, Jean-Pierre; Hu, Ruimeng
2
2018
Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148
Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia
25
2017
Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment. Zbl 1365.93542
Fouque, Jean-Pierre; Hu, Ruimeng
8
2017
Perturbation analysis for investment portfolios under partial information with expert opinions. Zbl 1414.91337
Fouque, J.-P.; Papanicolaou, A.; Sircar, R.
7
2017
Portfolio optimization with ambiguous correlation and stochastic volatilities. Zbl 1410.91415
Fouque, Jean-Pierre; Pun, Chi Seng; Wong, Hoi Ying
24
2016
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie
13
2016
Mean field games and systemic risk. Zbl 1337.91031
Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien
62
2015
Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Zbl 1321.91109
Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie
10
2015
Approximation for option prices under uncertain volatility. Zbl 1341.60070
Fouque, Jean-Pierre; Ren, Bin
9
2014
Multiscale stochastic volatility model for derivatives on futures. Zbl 1303.91176
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P.
4
2014
Stability in a model of interbank lending. Zbl 1295.91099
Fouque, Jean-Pierre; Ichiba, Tomoyuki
22
2013
Handbook on systemic risk. Zbl 1305.91014
Fouque, Jean-Pierre; Langsam, Joseph A.
16
2013
Option pricing under hybrid stochastic and local volatility. Zbl 1281.91155
Choi, Sun-Yong; Fouque, Jean-Pierre; Kim, Jeong-Hoon
11
2013
Small-time asymptotics for fast mean-reverting stochastic volatility models. Zbl 1266.60049
Feng, Jin; Fouque, Jean-Pierre; Kumar, Rohini
19
2012
Option pricing under a stressed-beta model. Zbl 1298.91164
Fouque, Jean-Pierre; Tashman, Adam P.
3
2012
Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Zbl 1248.91003
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut
107
2011
A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189
Fouque, Jean-Pierre; Lorig, Matthew J.
13
2011
Spectral decomposition of option prices in fast mean-reverting stochastic volatility models. Zbl 1255.91127
Fouque, Jean-Pierre; Jaimungal, Sebastian; Lorig, Matthew J.
8
2011
Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161
Strong, Winslow; Fouque, Jean-Pierre
5
2011
Calibration of stock betas from skews of implied volatilities. Zbl 1213.91150
Fouque, Jean-Pierre; Kollman, Eli
2
2011
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre
27
2010
Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas
10
2009
Multiname and multiscale default modeling. Zbl 1179.91264
Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut
4
2009
Asymmetric variance reduction for pricing American options. Zbl 1180.91286
Han, Chuan-Hsiang; Fouque, Jean-Pierre
2
2009
Perturbed Gaussian copula. Zbl 1189.91224
Fouque, Jean-Pierre; Zhou, Xianwen
4
2008
Bond markets with stochastic volatility. Zbl 1189.91213
Desantiago, Rafael; Fouque, Jean-Pierre; Solna, Knut
2
2008
Wave propagation and time reversal in randomly layered media. Zbl 1386.74001
Fouque, Jean-Pierre; Garnier, Josselin; Papanicolaou, George; Sølna, Knut
111
2007
A martingale control variate method for option pricing with stochastic volatility. Zbl 1182.91173
Fouque, Jean-Pierre; Han, Chuan-Hsiang
5
2007
Stochastic volatility effects on defaultable bonds. Zbl 1142.91523
Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut
23
2006
Time reversal super resolution in randomly layered media. Zbl 1231.76270
Fouque, Jean-Pierre; Garnier, Josselin; Søłna, Knut
3
2006
Time-reversal refocusing for point source in randomly layered media. Zbl 1189.76459
Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André; Sølna, Knut
8
2005
Multiscale stochastic volatility asymptotics. Zbl 1074.91015
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut
67
2004
Stochastic volatility corrections for interest rate derivatives. Zbl 1124.91331
Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
21
2004
Maturity cycles in implied volatility. Zbl 1063.91066
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut
14
2004
Time reversal for dispersive waves in random media. Zbl 1126.76011
Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André
8
2004
Asian options under multiscale stochastic volatility. Zbl 1120.91013
Fouque, Jean-Pierre; Han, Chuan-Hsiang
7
2004
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. Zbl 1405.91692
Fouque, Jean-Pierre; Han, Chuan-Hsiang
7
2004
Shock structure due to stochastic forcing and the time reversal of nonlinear waves. Zbl 1054.76010
Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André
6
2004
Robustness of time reversal for waves in time-dependent random media. Zbl 1073.35031
Vigo, Daniel G. Alfaro; Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André
3
2004
Singular perturbations in option pricing. Zbl 1039.91024
Fouque, J.-P.; Papanicolaou, G.; Sircar, R.; Solna, K.
68
2003
Time-reversal aperture enhancement. Zbl 1060.76103
Fouque, J.-P.; Solna, K.
6
2003
Pricing Asian options with stochastic volatility. Zbl 1405.91615
Fouque, Jean-Pierre; Han, Chuan-Hsiang
6
2003
Time-reversed refocusing of surface water waves. Zbl 1058.76016
Fouque, Jean-Pierre; Nachbin, André
2
2003
From the implied volatility skew to a robust correction to Black–Scholes American option prices. Zbl 1153.91495
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
8
2001
Stochastic volatility and epsilon-martingale decomposition. Zbl 1138.91441
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
2
2001
Derivatives in financial markets with stochastic volatility. Zbl 0954.91025
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
263
2000
Mean-reverting stochastic volatility. Zbl 1153.91497
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
33
2000
Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
10
1999
Forward and Markov approximation: The strong-intensity-fluctuations regime revisited. Zbl 0915.35119
Fouque, J. P.; Papanicolaou, G.; Samuelides, Y.
7
1998
Pressure fields generated by acoustical pulses propagating in randomly layered media. Zbl 0923.73012
Chillan, J.; Fouque, J. P.
2
1998
Asymptotic of a two-scale stochastic volatility model. Zbl 0935.91019
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
2
1998
A time-reversal method for an acoustical pulse propagating in randomly layered media. Zbl 0920.73051
Clouet, J. F.; Fouque, J. P.
14
1997
Parabolic and Gaussian white noise approximation for wave propagation in random media. Zbl 0859.60061
Bailly, F.; Clouet, J. F.; Fouque, J. P.
13
1996
Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047
Carmona, René A.; Fouque, Jean Pierre
4
1995
Spectral analysis of randomly scattered signals using the wavelet transform. Zbl 0968.76588
Clouet, J. F.; Fouque, J. P.; Postel, M.
3
1995
Spreading of a pulse travelling in random media. Zbl 0814.73018
Clouet, J. F.; Fouque, J. P.
22
1994
A diffusion approximation result for two parameter processes. Zbl 0794.60060
Carmona, René A.; Fouque, Jean Pierre
3
1994
A limit theorem for linear boundary value problems in random media. Zbl 0802.60058
Fouque, Jean-Pierre; Merzbach, Ely
3
1994
Fluctuation field for the asymmetric simple exclusion process. Zbl 0737.60087
Benassi, Albert; Fouque, Jean-Pierre
1
1991
Hydrodynamical limit for the symmetric zero-range process. Zbl 0646.60038
Benassi, Albert; Fouque, Jean-Pierre
5
1988
Hydrodynamical limit for the asymmetric simple exclusion process. Zbl 0623.60120
Benassi, Albert; Fouque, Jean-Pierre
23
1987
La convergence en loi pour les processus à valeurs dans un espace nucléaire. Zbl 0545.60012
Fouque, Jean-Pierre
13
1984
The past of a stopping point and stopping for two-parameter processes. Zbl 0526.60041
Fouque, Jean-Pierre
5
1983
Passe d’un point d’arret et arret des processus à deux indices. Zbl 0471.60054
Fouque, Jean-Pierre
2
1981
Régularité à gauche des martingales fortes à plusieurs indices. Zbl 0434.60051
Fouque, Jean-Pierre; Millet, Annie
2
1980
all top 5

Cited by 1,082 Authors

46 Garnier, Josselin
36 Fouque, Jean-Pierre
33 Sølna, Knut
25 Kim, Jeong-Hoon
21 Sircar, Ronnie
15 Wong, Hoi Ying
11 Bal, Guillaume
10 Papanicolaou, George C.
10 Spiliopoulos, Konstantinos V.
10 Yoon, Ji-Hun
9 Borcea, Liliana
9 Lorig, Matthew J.
9 Nachbin, André
9 Pun, Chi Seng
9 Zhu, Songping
8 Bayraktar, Erhan
8 Jacquier, Antoine
8 Lee, Min-Ku
8 Meyer-Brandis, Thilo
8 Pinaud, Olivier
8 Yin, Gang George
7 Carmona, René A.
7 Chen, Wenting
7 Delarue, François
7 Han, Chuan-Hsiang
7 Pagliarani, Stefano
7 Pascucci, Andrea
7 Pham, Huyên
7 Saporito, Yuri F.
7 Takahashi, Akihiko
7 Viens, Frederi G.
7 Zhang, Qing
6 Bormetti, Giacomo
6 Escobar, Marcos
6 Fannjiang, Albert C.
6 Gulisashvili, Archil
6 Jaimungal, Sebastian
6 Komorowski, Tomasz
6 Lacker, Daniel
6 Ma, Yong-Ki
6 Papanicolaou, Andrew
6 Ryzhik, Lenya
6 Vives, Josep
6 Zagst, Rudi
5 Alòs, Elisa
5 Choi, Sun-Yong
5 Feinstein, Zachary
5 Ferrari, Pablo Augusto
5 Gibson, Peter C.
5 Gobet, Emmanuel
5 Mishura, Yuliya Stepanivna
5 Rudloff, Birgit
4 Ammari, Habib M.
4 Bensoussan, Alain
4 Biagini, Francesca
4 Chiu, Mei Choi
4 Del Moral, Pierre
4 Ewald, Christian-Oliver
4 Figueroa-López, José E.
4 Frittelli, Marco
4 Gomez, Christophe
4 Helin, Tapio
4 Hu, Ruimeng
4 Kumar, Rohini
4 Lassas, Matti J.
4 Mehrdoust, Farshid
4 Muñoz Grajales, Juan Carlos
4 Neufeld, Ariel David
4 Neykova, Daniela
4 Pang, Tao
4 Park, Chang-Rae
4 Roome, Patrick
4 Yang, Sung-Jin
4 Young, Virginia R.
4 Zubelli, Jorge P.
3 Andjel, Enrique Daniel
3 Ararat, Çağın
3 Bardi, Martino
3 Benhamou, Eric
3 Bichuch, Maxim
3 Bouchaud, Jean-Philippe
3 Cao, Jiling
3 Capponi, Agostino
3 Cazzola, Valentina
3 Cesaroni, Annalisa
3 Chronopoulou, Alexandra
3 Debussche, Arnaud
3 Deng, Guohe
3 Detering, Nils
3 Di Persio, Luca
3 Feng, Xiaobing
3 Forde, Martin
3 Foroush Bastani, Ali
3 Gailus, Siragan
3 Gorostiza, Luis G.
3 Götz, Barbara
3 Han, Bingyan
3 Howison, Sam D.
3 Huang, Zhongyi
3 Ikonen, Samuli
...and 982 more Authors
all top 5

Cited in 197 Serials

53 International Journal of Theoretical and Applied Finance
48 Quantitative Finance
44 SIAM Journal on Financial Mathematics
27 Stochastic Processes and their Applications
25 Finance and Stochastics
24 Applied Mathematical Finance
22 The Annals of Applied Probability
21 Mathematical Finance
18 SIAM Journal on Control and Optimization
15 Wave Motion
15 Insurance Mathematics & Economics
14 Multiscale Modeling & Simulation
14 Mathematics and Financial Economics
13 Applied Mathematics and Optimization
11 Journal of Statistical Physics
10 Journal of Computational and Applied Mathematics
10 Annals of Finance
9 Communications in Mathematical Physics
9 Journal of Mathematical Analysis and Applications
9 Chaos, Solitons and Fractals
9 Stochastic Analysis and Applications
9 Stochastics and Dynamics
8 Journal of Computational Physics
8 Journal of Optimization Theory and Applications
8 Applied Mathematics Letters
7 Inverse Problems
7 Applied Mathematics and Computation
7 SIAM Journal on Applied Mathematics
7 Mathematical Methods of Operations Research
6 Physica A
6 Journal of Differential Equations
6 Statistics & Probability Letters
6 Journal of Economic Dynamics & Control
6 European Journal of Operational Research
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
5 Archive for Rational Mechanics and Analysis
5 The Annals of Probability
5 Mathematics and Computers in Simulation
5 Probability Theory and Related Fields
5 Communications in Partial Differential Equations
5 Comptes Rendus. Mathématique. Académie des Sciences, Paris
5 Asia-Pacific Financial Markets
5 Inverse Problems and Imaging
4 Stochastics
4 Automatica
4 Journal of Econometrics
4 Operations Research Letters
4 Physica D
4 Journal of Scientific Computing
4 Statistical Inference for Stochastic Processes
4 The ANZIAM Journal
4 Stochastics
4 Waves in Random and Complex Media
4 International Journal of Stochastic Analysis
4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
3 Advances in Applied Probability
3 Computer Methods in Applied Mechanics and Engineering
3 Journal of Applied Probability
3 Journal of Functional Analysis
3 Journal of Multivariate Analysis
3 Operations Research
3 Journal de Mathématiques Pures et Appliquées. Neuvième Série
3 Computational Statistics and Data Analysis
3 Electronic Journal of Probability
3 Bernoulli
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Discrete Dynamics in Nature and Society
3 Methodology and Computing in Applied Probability
3 Applied Stochastic Models in Business and Industry
3 Discrete and Continuous Dynamical Systems. Series B
3 Mathematical Control and Related Fields
3 Modern Stochastics. Theory and Applications
2 Journal of Mathematical Physics
2 Mathematics of Computation
2 Theory of Probability and its Applications
2 Mathematics of Operations Research
2 Numerische Mathematik
2 Quarterly of Applied Mathematics
2 Studies in Applied Mathematics
2 Transactions of the American Mathematical Society
2 Numerical Methods for Partial Differential Equations
2 Journal of Theoretical Probability
2 Journal of Applied Mathematics and Stochastic Analysis
2 European Journal of Applied Mathematics
2 Japan Journal of Industrial and Applied Mathematics
2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
2 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
2 Communications in Statistics. Theory and Methods
2 International Journal of Computer Mathematics
2 Journal of Statistical Computation and Simulation
2 Annales de l’Institut Henri Poincaré. Physique Théorique
2 SIAM Journal on Scientific Computing
2 Theory of Probability and Mathematical Statistics
2 Physics of Fluids
2 Monte Carlo Methods and Applications
2 Complexity
2 Discrete and Continuous Dynamical Systems
2 Abstract and Applied Analysis
2 M2AN. Mathematical Modelling and Numerical Analysis. ESAIM, European Series in Applied and Industrial Mathematics
2 Annales Henri Poincaré
...and 97 more Serials
all top 5

Cited in 39 Fields

545 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
403 Probability theory and stochastic processes (60-XX)
168 Partial differential equations (35-XX)
95 Systems theory; control (93-XX)
93 Numerical analysis (65-XX)
73 Statistics (62-XX)
58 Calculus of variations and optimal control; optimization (49-XX)
46 Fluid mechanics (76-XX)
43 Operations research, mathematical programming (90-XX)
30 Mechanics of deformable solids (74-XX)
29 Optics, electromagnetic theory (78-XX)
26 Statistical mechanics, structure of matter (82-XX)
20 Ordinary differential equations (34-XX)
13 Approximations and expansions (41-XX)
12 Geophysics (86-XX)
10 Dynamical systems and ergodic theory (37-XX)
9 Quantum theory (81-XX)
7 Functional analysis (46-XX)
7 Biology and other natural sciences (92-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Information and communication theory, circuits (94-XX)
5 Combinatorics (05-XX)
5 Integral equations (45-XX)
5 Computer science (68-XX)
4 Integral transforms, operational calculus (44-XX)
3 Real functions (26-XX)
3 Measure and integration (28-XX)
3 Special functions (33-XX)
2 General and overarching topics; collections (00-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Difference and functional equations (39-XX)
2 Operator theory (47-XX)
2 Differential geometry (53-XX)
2 Mechanics of particles and systems (70-XX)
2 Classical thermodynamics, heat transfer (80-XX)
2 Relativity and gravitational theory (83-XX)
1 Topological groups, Lie groups (22-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Astronomy and astrophysics (85-XX)

Citations by Year