## Peskir, Goran

Compute Distance To:
 Author ID: peskir.goran Published as: Peskir, Goran; Peskir, G.; Peškir, Goran; Peškir, G. more...less Homepage: http://www.maths.manchester.ac.uk/~goran/ External Links: MGP
 Documents Indexed: 101 Publications since 1992, including 3 Books 6 Contributions as Editor Co-Authors: 35 Co-Authors with 60 Joint Publications 798 Co-Co-Authors
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### Co-Authors

 44 single-authored 12 Graversen, Svend Erik 8 Pedersen, Jesper Lund 8 Shiryaev, Al’bert Nikolaevich 5 Weber, Michel Jean Georges 4 du Toit, Jacques 4 Samee, Farman 3 Butković, Davor 3 Glover, Kristoffer J. 3 Kraljevic, Hrvoje 2 Bakić, Damir 2 Bernyk, Violetta 2 Dalang, Robert C. 2 De Angelis, Tiziano 2 Gapeev, Pavel V. 2 Kyprianou, Andreas E. 2 Pandžić, Pavle 1 Cox, Alexander Matthew Gordon 1 de la Rue, Thierry 1 Eisenbaum, Nathalie 1 Ekström, Erik 1 Engelbert, Hans-Jürgen 1 Ernst, Philip A. 1 Ghomrasni, Raouf 1 Hulley, Hardy 1 Jacka, Saul D. 1 Ladouceur, Stephane 1 Marcus, Michael B. 1 Matache, Ana-Maria 1 Muić, Goran 1 Rosiński, Jan 1 Schneider, Dominique 1 Shorish, Jamsheed 1 Yukich, Joseph Elliott 1 Zhou, Quan 1 Zucca, Cristina
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### Serials

 7 The Annals of Applied Probability 7 Stochastic Processes and their Applications 6 The Annals of Probability 5 Stochastics 5 Various Publications Series. Aarhus Universitet 4 Journal of Theoretical Probability 3 Teoriya Veroyatnosteĭ i eë Primeneniya 3 Theory of Probability and its Applications 3 Mathematica Scandinavica 3 Stochastic Analysis and Applications 2 Mathematical Proceedings of the Cambridge Philosophical Society 2 Bulletin of the London Mathematical Society 2 Journal of Applied Probability 2 Proceedings of the American Mathematical Society 2 SIAM Journal on Control and Optimization 2 Applied Mathematical Finance 2 Lecture Notes Series. Aarhus University 2 Mathematics and Financial Economics 1 Journal of Mathematical Analysis and Applications 1 Russian Mathematical Surveys 1 Studia Mathematica 1 The Annals of Statistics 1 Journal of Multivariate Analysis 1 Nagoya Mathematical Journal 1 Transactions of the American Mathematical Society 1 Probability and Mathematical Statistics 1 Probability Theory and Related Fields 1 Sequential Analysis 1 Journal of Integral Equations and Applications 1 Journal of Applied Mathematics and Stochastic Analysis 1 Glasnik Matematički. Serija III 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Stochastics and Stochastics Reports 1 Journal of Convex Analysis 1 Electronic Communications in Probability 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 Finance and Stochastics 1 Mathematical Finance 1 Journal of Inequalities and Applications 1 Mathematical Inequalities & Applications 1 Quantitative Finance 1 Stochastic Models 1 Oberwolfach Reports 1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences
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### Fields

 89 Probability theory and stochastic processes (60-XX) 21 Partial differential equations (35-XX) 19 Statistics (62-XX) 19 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Integral equations (45-XX) 11 Operator theory (47-XX) 10 Measure and integration (28-XX) 10 Functional analysis (46-XX) 6 General and overarching topics; collections (00-XX) 6 Systems theory; control (93-XX) 5 Ordinary differential equations (34-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 2 Real functions (26-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Approximations and expansions (41-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 History and biography (01-XX) 1 Special functions (33-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Geometry (51-XX) 1 Differential geometry (53-XX) 1 Operations research, mathematical programming (90-XX)

### Citations contained in zbMATH Open

81 Publications have been cited 1,449 times in 830 Documents Cited by Year
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
2006
A change-of-variable formula with local time on curves. Zbl 1085.60033
Peskir, Goran
2005
On the American option problem. Zbl 1109.91028
Peskir, Goran
2005
Optimal stopping of the maximum process: The maximality principle. Zbl 0935.60025
Peskir, Goran
1998
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
2000
A change-of-variable formula with local time on surfaces. Zbl 1141.60035
Peskir, Goran
2007
Selling a stock at the ultimate maximum. Zbl 1201.60037
Du Toit, Jacques; Peskir, Goran
2009
The law of the supremum of a stable Lévy process with no negative jumps. Zbl 1185.60051
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
2008
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
2002
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
2017
Optimal stopping games for Markov processes. Zbl 1163.91011
Ekström, Erik; Peskir, Goran
2008
The trap of complacency in predicting the maximum. Zbl 1120.60044
du Toit, J.; Peskir, G.
2007
On integral equations arising in the first-passage problem for Brownian motion. Zbl 1044.60076
Peskir, Goran
2002
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, S. E.; Peskir, G.; Shiryaev, A. N.
2000
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
2014
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
The Russian option: finite horizon. Zbl 1092.91029
Peskir, Goran
2005
Maximal inequalities for the Ornstein-Uhlenbeck process. Zbl 0954.60062
Graversen, S. E.; Peskir, G.
2000
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
2006
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
2016
Optimal stopping and maximal inequalities for geometric Brownian motion. Zbl 0929.60027
Graversen, S. E.; Peskir, G.
1998
Quickest detection problems for Bessel processes. Zbl 1370.60135
Johnson, Peter; Peskir, Goran
2017
Optimal stopping games and Nash equilibrium. Zbl 1209.91052
Peskir, G.
2009
Optimal detection of a hidden target: the median rule. Zbl 1253.60055
Peskir, Goran
2012
Predicting the ultimate supremum of a stable Lévy process with no negative jumps. Zbl 1235.60036
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
2011
On the fundamental solution of the Kolmogorov-Shiryaev equation. Zbl 1101.60042
Peskir, Goran
2006
Quickest detection of a hidden target and extremal surfaces. Zbl 1338.60115
Peskir, Goran
2014
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
1995
Three-dimensional Brownian motion and the golden ratio rule. Zbl 1408.60032
Glover, Kristoffer; Hulley, Hardy; Peskir, Goran
2013
Embedding laws in diffusions by functions of time. Zbl 1335.60150
Cox, A. M. G.; Peskir, G.
2015
Predicting the time of the ultimate maximum for Brownian motion with drift. Zbl 1149.60311
du Toit, Jacques; Peskir, Goran
2008
Maximal inequalities for Bessel processes. Zbl 0903.60074
Graversen, S. E.; Peškir, G.
1998
Limit at zero of the Brownian first-passage density. Zbl 1004.60081
Peskir, Goran
2002
On reflecting Brownian motion with drift. Zbl 1196.93074
Peskir, Goran
2006
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
2011
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
2003
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
2019
The Azéma-Yor embedding in non-singular diffusions. Zbl 1059.60058
Pedersen, J. L.; Peskir, G.
2001
Global $$C^1$$ regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
2020
Bounding the maximal height of a diffusion by the time elapsed. Zbl 0999.60076
Peskir, Goran
2001
The law of the hitting times to points by a stable Lévy process with no negative jumps. Zbl 1193.60066
Peskir, Goran
2008
Sequential testing problems for Bessel processes. Zbl 1406.60061
Johnson, Peter; Peskir, Goran
2018
Designing options given the risk: The optimal Skorokhod-embedding problem. Zbl 0965.60044
Peskir, Goran
1999
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
2007
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
2008
The British call option. Zbl 1280.91175
Peskir, Goran; Samee, Farman
2013
Solving nonlinear optimal stopping problems by the method of time-change. Zbl 0968.60039
Pedersen, J. L.; Peskir, G.
2000
A duality principle for the Legendre transform. Zbl 1252.49008
Peskir, Goran
2012
A probabilistic solution to the Stroock-Williams equation. Zbl 1320.60127
Peskir, Goran
2014
From uniform laws of large numbers to uniform ergodic theorems. Zbl 0992.37004
Peskir, Goran
2000
On nonlinear integral equations arising in problems of optimal stopping. Zbl 1031.60030
Pedersen, J. L.; Peskir, G.
2002
On Wald-type optimal stopping for Brownian motion. Zbl 0876.60023
Graversen, S. E.; Peškir, G.
1997
On the exponential Orlicz norms of stopped Brownian motion. Zbl 0849.60039
Peškir, Goran
1996
On the Russian option: The expected waiting time. Zbl 0924.60012
Graversen, S. E.; Peškir, G.
1997
Constrained dynamic optimality and binomial terminal wealth. Zbl 1384.60088
Pedersen, J. L.; Peskir, G.
2018
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
2016
Randomly weighted series of contractions in Hilbert spaces. Zbl 0881.40002
Peškir, G.; Schneider, D.; Weber, M.
1996
Uniform ergodic theorems for dynamical systems under VC entropy conditions. Zbl 0828.28006
Peškir, Goran; Yukich, Joseph E.
1994
On the central limit theorem for aperiodic dynamical systems and application. Zbl 0938.37007
De la Rue, T.; Ladouceur, S.; Peskir, G.; Weber, M.
1997
The British Russian option. Zbl 1229.91308
Glover, K.; Peskir, G.; Samee, F.
2011
Best constants in Kahane-Khintchine inequalities for complex Steinhaus functions. Zbl 0841.41024
Peškir, Goran
1995
The uniform mean-square ergodic theorem for wide sense stationary processes. Zbl 0916.60039
Peškir, Goran
1998
Optimal real-time detection of a drifting Brownian coordinate. Zbl 1476.60078
Ernst, P. A.; Peskir, Goran; Zhou, Q.
2020
Maximum process problems in optimal control theory. Zbl 1075.93047
Peskir, Goran
2005
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2001
Principles of optimal stopping and free-boundary problems. Zbl 0994.60045
Peskir, Goran
2002
Detecting changes in real-time data: a user’s guide to optimal detection. Zbl 1407.62063
Johnson, P.; Moriarty, J.; Peskir, G.
2017
Best constants in Kahane-Khintchine inequalities in Orlicz spaces. Zbl 0773.41026
Peškir, Goran
1993
Necessary and sufficient conditions for the uniform law of large numbers in the stationary case. Zbl 0823.60024
Peškir, Goran; Weber, Michel
1994
The British Asian option. Zbl 1319.91148
Glover, Kristoffer; Peskir, Goran; Samee, Farman
2010
On Doob’s maximal inequality for Brownian motion. Zbl 0913.60011
Graversen, S. E.; Peškir, G.
1997
Market forces and dynamic asset pricing. Zbl 1039.91018
Peskir, G.; Shorish, J.
2002
Consistency of statistical models described by families of reversed submartingales. Zbl 0985.60028
Peškir, Goran
1998
The Azéma-Yor embedding in Brownian motion with drift. Zbl 0967.60046
Peskir, Goran
2000
Extremal problems in the maximal inequalities of Khintchine. Zbl 0899.60013
Graversen, S. E.; Peškir, G.
1998
Optimal stopping and maximal inequalities for linear diffusions. Zbl 0905.60058
Graversen, S. E.; Peškir, G.
1998
Maximal inequalities of Kahane-Khintchine’s type in Orlicz spaces. Zbl 0809.60005
Peškir, Goran
1994
Optimal stopping in the $$L\log L$$-inequality of Hardy and Littlewood. Zbl 0949.60057
Graversen, S. E.; Peškir, G.
1998
The continuity principle in exponential type Orlicz spaces. Zbl 0820.46022
Graversen, S. E.; Peškir, Goran; Weber, Michel
1995
Uniform convergence of reversed martingales. Zbl 0820.60030
Peškir, Goran
1995
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1997
Global $$C^1$$ regularity of the value function in optimal stopping problems. Zbl 1472.60073
de Angelis, Tiziano; Peskir, Goran
2020
Optimal real-time detection of a drifting Brownian coordinate. Zbl 1476.60078
Ernst, P. A.; Peskir, Goran; Zhou, Q.
2020
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
2019
Sequential testing problems for Bessel processes. Zbl 1406.60061
Johnson, Peter; Peskir, Goran
2018
Constrained dynamic optimality and binomial terminal wealth. Zbl 1384.60088
Pedersen, J. L.; Peskir, G.
2018
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
2017
Quickest detection problems for Bessel processes. Zbl 1370.60135
Johnson, Peter; Peskir, Goran
2017
Detecting changes in real-time data: a user’s guide to optimal detection. Zbl 1407.62063
Johnson, P.; Moriarty, J.; Peskir, G.
2017
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
2016
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
2016
Embedding laws in diffusions by functions of time. Zbl 1335.60150
Cox, A. M. G.; Peskir, G.
2015
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
2014
Quickest detection of a hidden target and extremal surfaces. Zbl 1338.60115
Peskir, Goran
2014
A probabilistic solution to the Stroock-Williams equation. Zbl 1320.60127
Peskir, Goran
2014
Three-dimensional Brownian motion and the golden ratio rule. Zbl 1408.60032
Glover, Kristoffer; Hulley, Hardy; Peskir, Goran
2013
The British call option. Zbl 1280.91175
Peskir, Goran; Samee, Farman
2013
Optimal detection of a hidden target: the median rule. Zbl 1253.60055
Peskir, Goran
2012
A duality principle for the Legendre transform. Zbl 1252.49008
Peskir, Goran
2012
Predicting the ultimate supremum of a stable Lévy process with no negative jumps. Zbl 1235.60036
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
2011
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
2011
The British Russian option. Zbl 1229.91308
Glover, K.; Peskir, G.; Samee, F.
2011
The British Asian option. Zbl 1319.91148
Glover, Kristoffer; Peskir, Goran; Samee, Farman
2010
Selling a stock at the ultimate maximum. Zbl 1201.60037
Du Toit, Jacques; Peskir, Goran
2009
Optimal stopping games and Nash equilibrium. Zbl 1209.91052
Peskir, G.
2009
The law of the supremum of a stable Lévy process with no negative jumps. Zbl 1185.60051
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
2008
Optimal stopping games for Markov processes. Zbl 1163.91011
Ekström, Erik; Peskir, Goran
2008
Predicting the time of the ultimate maximum for Brownian motion with drift. Zbl 1149.60311
du Toit, Jacques; Peskir, Goran
2008
The law of the hitting times to points by a stable Lévy process with no negative jumps. Zbl 1193.60066
Peskir, Goran
2008
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
2008
A change-of-variable formula with local time on surfaces. Zbl 1141.60035
Peskir, Goran
2007
The trap of complacency in predicting the maximum. Zbl 1120.60044
du Toit, J.; Peskir, G.
2007
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
2007
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
2006
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
2006
On the fundamental solution of the Kolmogorov-Shiryaev equation. Zbl 1101.60042
Peskir, Goran
2006
On reflecting Brownian motion with drift. Zbl 1196.93074
Peskir, Goran
2006
A change-of-variable formula with local time on curves. Zbl 1085.60033
Peskir, Goran
2005
On the American option problem. Zbl 1109.91028
Peskir, Goran
2005
The Russian option: finite horizon. Zbl 1092.91029
Peskir, Goran
2005
Maximum process problems in optimal control theory. Zbl 1075.93047
Peskir, Goran
2005
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
2003
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
2002
On integral equations arising in the first-passage problem for Brownian motion. Zbl 1044.60076
Peskir, Goran
2002
Limit at zero of the Brownian first-passage density. Zbl 1004.60081
Peskir, Goran
2002
On nonlinear integral equations arising in problems of optimal stopping. Zbl 1031.60030
Pedersen, J. L.; Peskir, G.
2002
Principles of optimal stopping and free-boundary problems. Zbl 0994.60045
Peskir, Goran
2002
Market forces and dynamic asset pricing. Zbl 1039.91018
Peskir, G.; Shorish, J.
2002
The Azéma-Yor embedding in non-singular diffusions. Zbl 1059.60058
Pedersen, J. L.; Peskir, G.
2001
Bounding the maximal height of a diffusion by the time elapsed. Zbl 0999.60076
Peskir, Goran
2001
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2001
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
2000
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, S. E.; Peskir, G.; Shiryaev, A. N.
2000
Maximal inequalities for the Ornstein-Uhlenbeck process. Zbl 0954.60062
Graversen, S. E.; Peskir, G.
2000
Solving nonlinear optimal stopping problems by the method of time-change. Zbl 0968.60039
Pedersen, J. L.; Peskir, G.
2000
From uniform laws of large numbers to uniform ergodic theorems. Zbl 0992.37004
Peskir, Goran
2000
The Azéma-Yor embedding in Brownian motion with drift. Zbl 0967.60046
Peskir, Goran
2000
Designing options given the risk: The optimal Skorokhod-embedding problem. Zbl 0965.60044
Peskir, Goran
1999
Optimal stopping of the maximum process: The maximality principle. Zbl 0935.60025
Peskir, Goran
1998
Optimal stopping and maximal inequalities for geometric Brownian motion. Zbl 0929.60027
Graversen, S. E.; Peskir, G.
1998
Maximal inequalities for Bessel processes. Zbl 0903.60074
Graversen, S. E.; Peškir, G.
1998
The uniform mean-square ergodic theorem for wide sense stationary processes. Zbl 0916.60039
Peškir, Goran
1998
Consistency of statistical models described by families of reversed submartingales. Zbl 0985.60028
Peškir, Goran
1998
Extremal problems in the maximal inequalities of Khintchine. Zbl 0899.60013
Graversen, S. E.; Peškir, G.
1998
Optimal stopping and maximal inequalities for linear diffusions. Zbl 0905.60058
Graversen, S. E.; Peškir, G.
1998
Optimal stopping in the $$L\log L$$-inequality of Hardy and Littlewood. Zbl 0949.60057
Graversen, S. E.; Peškir, G.
1998
On Wald-type optimal stopping for Brownian motion. Zbl 0876.60023
Graversen, S. E.; Peškir, G.
1997
On the Russian option: The expected waiting time. Zbl 0924.60012
Graversen, S. E.; Peškir, G.
1997
On the central limit theorem for aperiodic dynamical systems and application. Zbl 0938.37007
De la Rue, T.; Ladouceur, S.; Peskir, G.; Weber, M.
1997
On Doob’s maximal inequality for Brownian motion. Zbl 0913.60011
Graversen, S. E.; Peškir, G.
1997
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1997
On the exponential Orlicz norms of stopped Brownian motion. Zbl 0849.60039
Peškir, Goran
1996
Randomly weighted series of contractions in Hilbert spaces. Zbl 0881.40002
Peškir, G.; Schneider, D.; Weber, M.
1996
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
1995
Best constants in Kahane-Khintchine inequalities for complex Steinhaus functions. Zbl 0841.41024
Peškir, Goran
1995
The continuity principle in exponential type Orlicz spaces. Zbl 0820.46022
Graversen, S. E.; Peškir, Goran; Weber, Michel
1995
Uniform convergence of reversed martingales. Zbl 0820.60030
Peškir, Goran
1995
Uniform ergodic theorems for dynamical systems under VC entropy conditions. Zbl 0828.28006
Peškir, Goran; Yukich, Joseph E.
1994
Necessary and sufficient conditions for the uniform law of large numbers in the stationary case. Zbl 0823.60024
Peškir, Goran; Weber, Michel
1994
Maximal inequalities of Kahane-Khintchine’s type in Orlicz spaces. Zbl 0809.60005
Peškir, Goran
1994
Best constants in Kahane-Khintchine inequalities in Orlicz spaces. Zbl 0773.41026
Peškir, Goran
1993
all top 5

### Cited by 945 Authors

 35 Peskir, Goran 31 Gapeev, Pavel V. 21 De Angelis, Tiziano 19 Ekström, Erik 16 Yan, Litan 15 Ferrari, Giorgio 14 Bayraktar, Erhan 14 Jeon, Junkee 14 Shiryaev, Al’bert Nikolaevich 12 Christensen, Soren 10 Buonaguidi, Bruno 10 Cox, Alexander Matthew Gordon 10 Kyprianou, Andreas E. 9 Kitapbayev, Yerkin 9 Patie, Pierre 9 Sezer, Semih Onur 8 Ankirchner, Stefan 8 Dayanik, Savas 8 Kruse, Thomas 8 Osękowski, Adam 8 Pedersen, Jesper Lund 8 Urusov, Mikhail A. 8 Zhitlukhin, Mikhail V. 7 Glover, Kristoffer J. 7 Hobson, David Graham 7 Lempa, Jukka 7 Park, Kyunghyun 7 Yamazaki, Kazutoshi 6 Avram, Florin 6 Dolinsky, Yan 6 Irle, Albrecht 6 Makasu, Cloud 6 Pistorius, Martijn R. 6 Rodosthenous, Neofytos 6 Salminen, Paavo H. 6 Stettner, Łukasz 6 Thijssen, Jacco J. J. 6 Van Schaik, Kees 5 Dalang, Robert C. 5 Jeanblanc, Monique 5 Koo, Hyeng Keun 5 Lindensjö, Kristoffer 5 Moriarty, John 5 Muravlev, Alexey A. 5 Nunes, Cláudia 5 Palmowski, Zbigniew 5 Shin, Yong Hyun 5 Simon, Thomas 5 Strack, Philipp 5 Touzi, Nizar 5 Vaicenavicius, Juozas 4 Arkin, Vadim I. 4 Astashkin, Sergeĭ Vladimir 4 Baurdoux, Erik Jan 4 Chen, Xinfu 4 Dang, Duy Minh 4 Forsyth, Peter A. 4 Guerra, Manuel 4 Ivanov, Roman V. 4 Leung, Tim 4 Lindberg, Carl 4 Ludkovski, Michael 4 Mijatović, Aleksandar 4 Muliere, Pietro 4 Palczewski, Jan 4 Polunchenko, Aleksey S. 4 Sacerdote, Laura 4 Samee, Farman 4 Saunders, David Claude 4 Stoev, Yavor I. 4 Van Staden, Pieter M. 4 Vigna, Elena 4 Yam, Sheung Chi Phillip 4 Zervos, Mihail 4 Zipkin, Paul Herbert 4 Zucca, Cristina 3 Alili, Larbi 3 Beiglböck, Mathias 3 Belak, Christoph 3 Chadam, John M. 3 de la Peña, Victor H. 3 Detemple, Jerome B. 3 du Toit, Jacques 3 Egami, Masahiko 3 Ernst, Philip A. 3 Fauß, Michael 3 Federico, Salvatore 3 Fotopoulos, Stergios B. 3 Gassiat, Paul 3 Henderson, Vicky 3 Jacka, Saul D. 3 Jelito, Damian 3 Jia, Chen 3 Karatzas, Ioannis 3 Klein, Maike 3 Kwak, Minsuk 3 Li, Libo 3 Li, Lingfei 3 Li, Xun 3 Linetsky, Vadim ...and 845 more Authors
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### Cited in 177 Serials

 61 Stochastic Processes and their Applications 49 The Annals of Applied Probability 38 Stochastics 35 Statistics & Probability Letters 29 Sequential Analysis 24 Advances in Applied Probability 23 Journal of Applied Probability 22 SIAM Journal on Control and Optimization 20 International Journal of Theoretical and Applied Finance 19 Finance and Stochastics 17 Journal of Mathematical Analysis and Applications 16 Applied Mathematics and Optimization 14 The Annals of Probability 14 Mathematics of Operations Research 14 Quantitative Finance 13 European Journal of Operational Research 13 Mathematical Methods of Operations Research 12 Mathematical Finance 12 Mathematics and Financial Economics 12 SIAM Journal on Financial Mathematics 11 Electronic Journal of Probability 9 Insurance Mathematics & Economics 9 Journal of Theoretical Probability 9 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 9 Applied Mathematical Finance 9 Methodology and Computing in Applied Probability 8 Theory of Probability and its Applications 8 Stochastic Analysis and Applications 8 Annals of Operations Research 7 Journal of Computational and Applied Mathematics 7 Journal of Economic Theory 7 Journal of Economic Dynamics & Control 6 Applied Mathematics and Computation 6 Bernoulli 5 Journal of Functional Analysis 5 Proceedings of the American Mathematical Society 5 Acta Applicandae Mathematicae 5 Probability Theory and Related Fields 5 Potential Analysis 5 Electronic Communications in Probability 5 Journal of Inequalities and Applications 5 Stochastics and Dynamics 5 Journal of Industrial and Management Optimization 5 Proceedings of the Steklov Institute of Mathematics 4 Moscow University Mathematics Bulletin 4 Russian Mathematical Surveys 4 Transactions of the American Mathematical Society 4 Automation and Remote Control 4 Statistical Papers 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Scandinavian Actuarial Journal 3 Computers & Mathematics with Applications 3 Journal of Statistical Physics 3 Operations Research Letters 3 Communications in Statistics. Theory and Methods 3 Stochastic Models 3 Comptes Rendus. Mathématique. Académie des Sciences, Paris 3 Optimization Letters 3 Annals of Finance 2 Israel Journal of Mathematics 2 Journal of Mathematical Physics 2 Metrika 2 Chaos, Solitons and Fractals 2 The Annals of Statistics 2 Automatica 2 Journal of Econometrics 2 Journal of Mathematical Economics 2 Journal of Statistical Planning and Inference 2 Operations Research 2 Theoretical Computer Science 2 Bulletin of the Korean Mathematical Society 2 European Journal of Applied Mathematics 2 Theory of Probability and Mathematical Statistics 2 Journal of Mathematical Sciences (New York) 2 Doklady Mathematics 2 Infinite Dimensional Analysis, Quantum Probability and Related Topics 2 Probability in the Engineering and Informational Sciences 2 The ANZIAM Journal 2 Discrete and Continuous Dynamical Systems. Series B 2 Decisions in Economics and Finance 2 Journal of Machine Learning Research (JMLR) 2 Review of Derivatives Research 2 REVSTAT 2 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Science China. Mathematics 2 International Journal of Stochastic Analysis 2 Statistics and Computing 2 Mathematical Control and Related Fields 1 Archive for Rational Mechanics and Analysis 1 Biological Cybernetics 1 Bulletin of the Australian Mathematical Society 1 International Journal of Control 1 Journal of Computational Physics 1 Lithuanian Mathematical Journal 1 Mathematical Methods in the Applied Sciences 1 Mathematical Notes 1 Mathematical Proceedings of the Cambridge Philosophical Society 1 Nonlinearity 1 Periodica Mathematica Hungarica 1 Rocky Mountain Journal of Mathematics ...and 77 more Serials
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### Cited in 36 Fields

 672 Probability theory and stochastic processes (60-XX) 376 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 141 Statistics (62-XX) 104 Systems theory; control (93-XX) 84 Partial differential equations (35-XX) 56 Operations research, mathematical programming (90-XX) 54 Calculus of variations and optimal control; optimization (49-XX) 50 Numerical analysis (65-XX) 24 Integral equations (45-XX) 20 Ordinary differential equations (34-XX) 14 Dynamical systems and ergodic theory (37-XX) 12 Special functions (33-XX) 10 Harmonic analysis on Euclidean spaces (42-XX) 10 Operator theory (47-XX) 10 Computer science (68-XX) 10 Statistical mechanics, structure of matter (82-XX) 9 Functional analysis (46-XX) 9 Biology and other natural sciences (92-XX) 7 Real functions (26-XX) 7 Measure and integration (28-XX) 5 Global analysis, analysis on manifolds (58-XX) 5 Information and communication theory, circuits (94-XX) 4 Approximations and expansions (41-XX) 3 Combinatorics (05-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Functions of a complex variable (30-XX) 2 Potential theory (31-XX) 1 History and biography (01-XX) 1 Number theory (11-XX) 1 Topological groups, Lie groups (22-XX) 1 Difference and functional equations (39-XX) 1 Integral transforms, operational calculus (44-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX)