# zbMATH — the first resource for mathematics

## Jacka, Saul D.

Compute Distance To:
 Author ID: jacka.saul-d Published as: Jacka, S. D.; Jacka, Saul; Jacka, Saul D. External Links: MGP · Wikidata
 Documents Indexed: 51 Publications since 1983, including 2 Books
all top 5

#### Co-Authors

 16 single-authored 5 Mijatović, Aleksandar 5 Warren, Jon 4 Roberts, Gareth O. 3 Barlow, Martin T. 3 Berkaoui, Abdelkarem 3 Yor, Marc 2 Assing, Sigurd 2 Lazic, Zorana 2 Ocejo, Adriana 2 Vidmar, Matija 1 Armstrong, Seb 1 Benth, Fred Espen 1 Connor, Stephen B. 1 Croft, J. C. 1 Deshpande, Amogh 1 Di Nunno, Giulia 1 Hamza, Kais 1 Hand, David J. 1 Klebaner, Fima C. 1 Kyprianou, Andreas E. 1 Lynn, J. R. 1 Norgilas, Dominykas 1 Papavasiliou, Anastasia 1 Peskir, Goran 1 Pollett, Philip K. 1 Sheehan, Marcus 1 Širaj, Dejan 1 Tribe, Roger P. 1 Warren, John 1 Windridge, Peter
all top 5

#### Serials

 7 Journal of Applied Probability 6 Stochastic Processes and their Applications 5 Stochastics 4 Advances in Applied Probability 4 The Annals of Applied Probability 3 The Annals of Probability 3 Electronic Journal of Probability 3 Mathematical Finance 2 Stochastics 2 Proceedings of the London Mathematical Society. Third Series 1 SIAM Journal on Control and Optimization 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Stochastics and Stochastics Reports 1 Fractals 1 Journal of Convex Analysis 1 Finance and Stochastics 1 Risk and Decision Analysis
all top 5

#### Fields

 44 Probability theory and stochastic processes (60-XX) 15 Systems theory; control (93-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 General and overarching topics; collections (00-XX) 3 Statistics (62-XX) 2 Partial differential equations (35-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Operations research, mathematical programming (90-XX) 1 Mathematical logic and foundations (03-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Functional analysis (46-XX) 1 Convex and discrete geometry (52-XX) 1 Numerical analysis (65-XX)

#### Citations contained in zbMATH

37 Publications have been cited 302 times in 272 Documents Cited by Year
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
1991
Weak convergence of conditioned processes on a countable state space. Zbl 0839.60069
Jacka, S. D.; Roberts, G. O.
1995
A martingale representation result and an application to incomplete financial markets. Zbl 0900.90044
Jacka, S. D.
1992
Optimal stopping and best constants for Doob-like inequalities. I: The case $$p=1$$. Zbl 0796.60050
Jacka, S. D.
1991
Inequalities for a pair of processes stopped at a random time. Zbl 0585.60055
Barlow, M. T.; Jacka, S. D.; Yor, M.
1986
Doob’s inequalities revisited: A maximal $$H^ 1$$-embedding. Zbl 0653.60038
Jacka, S. D.
1988
Local times, optimal stopping and semimartingales. Zbl 0773.60031
Jacka, S. D.
1993
Inequalities for non-moderate functions of a pair of stochastic processes. Zbl 0789.60016
Jacka, S. D.; Yor, M.
1993
Avoiding the origin: A finite-fuel stochastic control problem. Zbl 1027.93043
Jacka, Saul
2002
On strong forms of weak convergence. Zbl 0890.60005
Jacka, S. D.; Roberts, G. O.
1997
Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region. Zbl 0793.60045
Jacka, S. D.; Lynn, J. R.
1992
Keeping a satellite aloft: Two finite fuel stochastic control models. Zbl 0987.93079
Jacka, S. D.
1999
A finite fuel stochastic control problem. Zbl 0495.93068
Jacka, S. D.
1983
Monotonicity of the value function for a two-dimensional optimal stopping problem. Zbl 1316.60056
Assing, Sigurd; Jacka, Saul; Ocejo, Adriana
2014
No arbitrage and closure results for trading cones with transaction costs. Zbl 1199.91052
Jacka, Saul; Berkaoui, Abdelkarem; Warren, Jon
2008
Random orderings of the integers and card shuffling. Zbl 1118.60007
Jacka, Saul; Warren, Jon
2007
Weak convergence of conditioned birth and death processes. Zbl 0796.60077
Roberts, G. O.; Jacka, S. D.
1994
On the regularity of American options with regime-switching uncertainty. Zbl 1395.91521
2018
Markov chain approximations to scale functions of Lévy processes. Zbl 1328.60120
Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul
2015
Markov chain approximations for transition densities of Lévy processes. Zbl 1303.60038
Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul
2014
Optimal co-adapted coupling for the symmetric random walk on the hypercube. Zbl 1147.93047
Connor, Stephen; Jacka, Saul
2008
Coupling and tracking of regime-switching martingales. Zbl 1333.60085
Jacka, Saul; Mijatović, Aleksandar
2015
Conditioning an additive functional of a Markov chain to stay nonnegative. II: Hitting a high level. Zbl 1152.60340
Jacka, Saul D.; Lazic, Zorana; Warren, Jon
2005
Conditioning an additive functional of a Markov chain to stay nonnegative. I: Survival for a long time. Zbl 1101.60056
Jacka, Saul D.; Lazic, Zorana; Warren, Jon
2005
The equivalent martingale measure conditions in a general model for interest rates. Zbl 1076.60055
Hamza, Kais; Jacka, Saul; Klebaner, Fima
2005
Examples of convergence and non-convergence of Markov chains conditioned not to die. Zbl 1014.60074
Jacka, Saul; Warren, John
2002
Statistics in finance. Zbl 0923.62110
Hand, David J. (ed.); Jacka, Saul D. (ed.)
1998
Non-explosivity of limits of conditioned birth and death processes. Zbl 0874.60070
Roberts, G. O.; Jacka, S. D.; Pollett, P. K.
1997
A note on the good lambda inequalities. Zbl 0745.60041
Jacka, S. D.
1989
Tracking a diffusion, and an application to weak convergence. Zbl 0622.60058
Barlow, M. T.; Jacka, S. D.
1986
On representing and hedging claims for coherent risk measures. Zbl 1419.91371
Jacka, Saul; Armstrong, Seb; Berkaoui, Abdelkarem
2019
On the policy improvement algorithm in continuous time. Zbl 1380.93289
Jacka, Saul D.; Mijatović, Aleksandar
2017
Mirror and synchronous couplings of geometric Brownian motions. Zbl 1284.60149
Jacka, Saul D.; Mijatović, Aleksandar; Širaj, Dejan
2014
The noisy veto-voter model: a recursive distributional equation on $$[0, 1]$$. Zbl 1149.60011
Jacka, Saul; Sheehan, Marcus
2008
On the density of properly maximal claims in financial markets with transaction costs. Zbl 1219.60065
Jacka, Saul; Berkaoui, Abdelkarem
2007
Comparison for measure valued processes with interactions. Zbl 1045.60046
Jacka, Saul; Tribe, Roger
2003
A local time inequality for martingales. Zbl 0524.60052
Jacka, S. D.
1983
On representing and hedging claims for coherent risk measures. Zbl 1419.91371
Jacka, Saul; Armstrong, Seb; Berkaoui, Abdelkarem
2019
On the regularity of American options with regime-switching uncertainty. Zbl 1395.91521
2018
On the policy improvement algorithm in continuous time. Zbl 1380.93289
Jacka, Saul D.; Mijatović, Aleksandar
2017
Markov chain approximations to scale functions of Lévy processes. Zbl 1328.60120
Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul
2015
Coupling and tracking of regime-switching martingales. Zbl 1333.60085
Jacka, Saul; Mijatović, Aleksandar
2015
Monotonicity of the value function for a two-dimensional optimal stopping problem. Zbl 1316.60056
Assing, Sigurd; Jacka, Saul; Ocejo, Adriana
2014
Markov chain approximations for transition densities of Lévy processes. Zbl 1303.60038
Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul
2014
Mirror and synchronous couplings of geometric Brownian motions. Zbl 1284.60149
Jacka, Saul D.; Mijatović, Aleksandar; Širaj, Dejan
2014
No arbitrage and closure results for trading cones with transaction costs. Zbl 1199.91052
Jacka, Saul; Berkaoui, Abdelkarem; Warren, Jon
2008
Optimal co-adapted coupling for the symmetric random walk on the hypercube. Zbl 1147.93047
Connor, Stephen; Jacka, Saul
2008
The noisy veto-voter model: a recursive distributional equation on $$[0, 1]$$. Zbl 1149.60011
Jacka, Saul; Sheehan, Marcus
2008
Random orderings of the integers and card shuffling. Zbl 1118.60007
Jacka, Saul; Warren, Jon
2007
On the density of properly maximal claims in financial markets with transaction costs. Zbl 1219.60065
Jacka, Saul; Berkaoui, Abdelkarem
2007
Conditioning an additive functional of a Markov chain to stay nonnegative. II: Hitting a high level. Zbl 1152.60340
Jacka, Saul D.; Lazic, Zorana; Warren, Jon
2005
Conditioning an additive functional of a Markov chain to stay nonnegative. I: Survival for a long time. Zbl 1101.60056
Jacka, Saul D.; Lazic, Zorana; Warren, Jon
2005
The equivalent martingale measure conditions in a general model for interest rates. Zbl 1076.60055
Hamza, Kais; Jacka, Saul; Klebaner, Fima
2005
Comparison for measure valued processes with interactions. Zbl 1045.60046
Jacka, Saul; Tribe, Roger
2003
Avoiding the origin: A finite-fuel stochastic control problem. Zbl 1027.93043
Jacka, Saul
2002
Examples of convergence and non-convergence of Markov chains conditioned not to die. Zbl 1014.60074
Jacka, Saul; Warren, John
2002
Keeping a satellite aloft: Two finite fuel stochastic control models. Zbl 0987.93079
Jacka, S. D.
1999
Statistics in finance. Zbl 0923.62110
Hand, David J. (ed.); Jacka, Saul D. (ed.)
1998
On strong forms of weak convergence. Zbl 0890.60005
Jacka, S. D.; Roberts, G. O.
1997
Non-explosivity of limits of conditioned birth and death processes. Zbl 0874.60070
Roberts, G. O.; Jacka, S. D.; Pollett, P. K.
1997
Weak convergence of conditioned processes on a countable state space. Zbl 0839.60069
Jacka, S. D.; Roberts, G. O.
1995
Weak convergence of conditioned birth and death processes. Zbl 0796.60077
Roberts, G. O.; Jacka, S. D.
1994
Local times, optimal stopping and semimartingales. Zbl 0773.60031
Jacka, S. D.
1993
Inequalities for non-moderate functions of a pair of stochastic processes. Zbl 0789.60016
Jacka, S. D.; Yor, M.
1993
A martingale representation result and an application to incomplete financial markets. Zbl 0900.90044
Jacka, S. D.
1992
Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region. Zbl 0793.60045
Jacka, S. D.; Lynn, J. R.
1992
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
1991
Optimal stopping and best constants for Doob-like inequalities. I: The case $$p=1$$. Zbl 0796.60050
Jacka, S. D.
1991
A note on the good lambda inequalities. Zbl 0745.60041
Jacka, S. D.
1989
Doob’s inequalities revisited: A maximal $$H^ 1$$-embedding. Zbl 0653.60038
Jacka, S. D.
1988
Inequalities for a pair of processes stopped at a random time. Zbl 0585.60055
Barlow, M. T.; Jacka, S. D.; Yor, M.
1986
Tracking a diffusion, and an application to weak convergence. Zbl 0622.60058
Barlow, M. T.; Jacka, S. D.
1986
A finite fuel stochastic control problem. Zbl 0495.93068
Jacka, S. D.
1983
A local time inequality for martingales. Zbl 0524.60052
Jacka, S. D.
1983
all top 5

#### Cited by 398 Authors

 11 Jacka, Saul D. 8 Peskir, Goran 7 Cox, Alexander Matthew Gordon 7 Gapeev, Pavel V. 6 Detemple, Jerome B. 6 Palmowski, Zbigniew 6 Yan, Litan 6 Zhu, Songping 5 Ekström, Erik 5 Hobson, David G. 5 van Doorn, Erik A. 5 Zervos, Mihail 4 Berkaoui, Abdelkarem 4 Chiarella, Carl 4 Kramkov, Dmitriĭ Olegovich 4 Obloj, Jan K. 3 Ciurlia, Pierangelo 3 De Angelis, Tiziano 3 Dias, José Carlos 3 Ferrari, Giorgio 3 Jun, Doobae 3 Kuhn, Christoph 3 Mallier, Roland 3 Miclo, Laurent 3 Mijatović, Aleksandar 3 Muthuraman, Kumar 3 Nunes, João Pedro Vidal 3 Ocejo, Adriana 3 Roberts, Gareth O. 3 Rodosthenous, Neofytos 3 Ziveyi, Jonathan 2 Aitsahlia, Farid 2 Alobaidi, Ghada 2 Bayraktar, Erhan 2 Berckmoes, Ben 2 Breyer, Laird Arnault 2 Broadie, Mark N. 2 Cheang, Gerald H. L. 2 de la Peña, Victor H. 2 Delbaen, Freddy 2 Diaconis, Persi Warren 2 El Karoui, Nicole 2 Elliott, Robert James 2 Ghysels, Eric 2 Guo, Xin 2 Hart, Andrew G. 2 Henderson, Vicky 2 Ivanov, Roman V. 2 Johnson, Timothy C. 2 Kim, In Joon 2 Kitapbayev, Yerkin 2 Kruse, Thomas 2 Ku, Hyejin 2 Lai, Tze Leung 2 Lazic, Zorana 2 Le, Nhat-Tan 2 Li, Minqiang 2 Lu, Ligang 2 Lu, Xiaoping 2 Lundgren, Robin 2 Martinez Aguilera, Servet 2 Mordecki, Ernesto 2 Pistorius, Martijn R. 2 Pollett, Philip K. 2 Ren, Yaofeng 2 Ruas, João Pedro 2 Ruf, Johannes 2 Samee, Farman 2 Schachermayer, Walter 2 Shirakawa, Hiroshi 2 Silvestrov, Dmitrii 2 Sîrbu, Mihai 2 Stoev, Yavor I. 2 Strack, Philipp 2 Tian, Weidong 2 Torrès, Olivier 2 Vaicenavicius, Juozas 2 Vellekoop, Michel H. 2 Vidmar, Matija 2 Warren, Jon 2 Zhang, Jin E. 2 Zhu, Bei 2 Ziogas, Andrew 1 Ahn, Cheonghee 1 Akamatsu, Takashi 1 Al Motairi, Hessah 1 Alexander, Carol 1 Allegretto, Walter 1 Avram, Florin 1 Azevedo-Pereira, José 1 Babilua, Petre 1 Bae, Chulhan 1 Ballestra, Luca Vincenzo 1 Barlow, Martin T. 1 Barrieu, Pauline M. 1 Basso, Antonella 1 Bäumer, Boris 1 Baurdoux, Erik Jan 1 Beiglböck, Mathias 1 Bellamy, Nadine ...and 298 more Authors
all top 5

#### Cited in 99 Serials

 23 Stochastic Processes and their Applications 15 The Annals of Applied Probability 14 Stochastics 10 Mathematical Finance 9 Statistics & Probability Letters 9 Journal of Economic Dynamics & Control 8 Advances in Applied Probability 8 The Annals of Probability 8 International Journal of Theoretical and Applied Finance 8 Quantitative Finance 8 Review of Derivatives Research 7 Probability Theory and Related Fields 6 Journal of Mathematical Analysis and Applications 6 Journal of Applied Probability 6 Insurance Mathematics & Economics 6 European Journal of Operational Research 6 Finance and Stochastics 5 Applied Mathematics and Optimization 5 Applied Mathematical Finance 4 Stochastic Analysis and Applications 4 SIAM Journal on Financial Mathematics 3 Journal of Computational and Applied Mathematics 3 Journal of Theoretical Probability 2 Mathematics of Operations Research 2 SIAM Journal on Control and Optimization 2 Mathematical and Computer Modelling 2 Stochastics and Stochastics Reports 2 Electronic Journal of Probability 2 Bernoulli 2 Mathematical Methods of Operations Research 2 The ANZIAM Journal 2 Decisions in Economics and Finance 2 Stochastic Models 2 Stochastics and Dynamics 2 Asia-Pacific Financial Markets 2 Mathematics and Financial Economics 1 Computers & Mathematics with Applications 1 Israel Journal of Mathematics 1 Journal of Mathematical Physics 1 Journal of Statistical Physics 1 Mathematical Notes 1 Physica A 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Inventiones Mathematicae 1 Journal of Differential Equations 1 Journal of Economic Theory 1 Journal of Econometrics 1 Journal of Functional Analysis 1 Journal of Mathematical Economics 1 Mathematische Annalen 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Proceedings of the American Mathematical Society 1 Topology and its Applications 1 Advances in Applied Mathematics 1 Acta Applicandae Mathematicae 1 Applied Numerical Mathematics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Asia-Pacific Journal of Operational Research 1 Applied Mathematics Letters 1 Queueing Systems 1 Journal of Scientific Computing 1 European Journal of Applied Mathematics 1 Annals of Operations Research 1 International Journal of Foundations of Computer Science 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Journal of Statistical Computation and Simulation 1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 1 Computational Economics 1 Applied Categorical Structures 1 Applied Mathematics. Series B (English Edition) 1 Theory of Probability and Mathematical Statistics 1 Journal of Mathematical Sciences (New York) 1 Georgian Mathematical Journal 1 Electronic Communications in Probability 1 INFORMS Journal on Computing 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Journal of Applied Mathematics and Decision Sciences 1 Journal of Interdisciplinary Mathematics 1 Acta Mathematica Sinica. English Series 1 Methodology and Computing in Applied Probability 1 Applied Stochastic Models in Business and Industry 1 Discrete and Continuous Dynamical Systems. Series B 1 North American Actuarial Journal 1 Computational Management Science 1 Advances in Difference Equations 1 Boundary Value Problems 1 Journal of Zhejiang University. Science A 1 Proceedings of the Steklov Institute of Mathematics 1 Journal of Fixed Point Theory and Applications 1 Nonlinear Analysis. Hybrid Systems 1 Financial Engineering and the Japanese Markets 1 Probability Surveys 1 Science China. Mathematics 1 International Journal of Stochastic Analysis 1 Arabian Journal of Mathematics 1 East Asian Journal on Applied Mathematics 1 Korean Journal of Mathematics
all top 5

#### Cited in 22 Fields

 194 Probability theory and stochastic processes (60-XX) 168 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 31 Systems theory; control (93-XX) 26 Partial differential equations (35-XX) 23 Numerical analysis (65-XX) 19 Statistics (62-XX) 13 Calculus of variations and optimal control; optimization (49-XX) 11 Operations research, mathematical programming (90-XX) 10 Integral equations (45-XX) 8 Ordinary differential equations (34-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 3 Combinatorics (05-XX) 3 Biology and other natural sciences (92-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Measure and integration (28-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Operator theory (47-XX) 1 Category theory; homological algebra (18-XX) 1 Potential theory (31-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Information and communication theory, circuits (94-XX)

#### Wikidata Timeline

The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.