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## Peskir, Goran

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 Author ID: peskir.goran Published as: Peshkir, G.; Peskir, G.; Peskir, Goran; Peškir, G.; Peškir, Goran Homepage: http://www.maths.manchester.ac.uk/~goran/ External Links: MGP · Wikidata
 Documents Indexed: 104 Publications since 1992, including 8 Books
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#### Co-Authors

 43 single-authored 12 Graversen, Svend Erik 9 Shiryaev, Al’bert Nikolaevich 7 Pedersen, Jesper Lund 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 Gapeev, Pavel V. 2 Kyprianou, Andreas E. 2 Pandžić, Pavle 1 Cox, Alexander Matthew Gordon 1 De Angelis, Tiziano 1 de la Rue, Thierry 1 Eisenbaum, Nathalie 1 Ekström, Erik 1 Engelbert, Hans Jürgen 1 Ghomrasni, Raouf 1 Hulley, Hardy 1 Jacka, Saul D. 1 Johnson, Peter D. jun. 1 Johnson, Peter R. 1 Johnson, Philip J. 1 Ladouceur, Stephane 1 Marcus, Michael B. 1 Matache, Ana-Maria 1 Moriarty, John 1 Muić, Goran 1 Rosiński, Jan 1 Schneider, Dominique 1 Shorish, Jamsheed 1 Yukich, Joseph Elliott
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#### Serials

 6 The Annals of Probability 5 The Annals of Applied Probability 5 Stochastic Processes and their Applications 5 Stochastics 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 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 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 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

 86 Probability theory and stochastic processes (60-XX) 19 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Partial differential equations (35-XX) 17 Statistics (62-XX) 13 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 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

78 Publications have been cited 1,175 times in 681 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
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
2000
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 of the maximum process: The maximality principle. Zbl 0935.60025
Peskir, Goran
1998
Selling a stock at the ultimate maximum. Zbl 1201.60037
Du Toit, Jacques; Peskir, Goran
2009
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
2002
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
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
Optimal stopping games for Markov processes. Zbl 1163.91011
Ekström, Erik; Peskir, Goran
2008
On integral equations arising in the first-passage problem for Brownian motion. Zbl 1044.60076
Peskir, Goran
2002
The Russian option: finite horizon. Zbl 1092.91029
Peskir, Goran
2005
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
2006
Maximal inequalities for the Ornstein-Uhlenbeck process. Zbl 0954.60062
Graversen, S. E.; Peskir, G.
2000
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
2017
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
2016
Optimal stopping games and Nash equilibrium. Zbl 1209.91052
Peskir, G.
2009
Optimal stopping and maximal inequalities for geometric Brownian motion. Zbl 0929.60027
Graversen, S. E.; Peskir, G.
1998
Stochastic differential equations for sticky Brownian motion. Zbl 1337.60120
Engelbert, Hans-Jürgen; Peskir, Goran
2014
Maximal inequalities for Bessel processes. Zbl 0903.60074
Graversen, S. E.; Peškir, G.
1998
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
1995
Quickest detection problems for Bessel processes. Zbl 1370.60135
Johnson, Peter; Peskir, Goran
2017
Predicting the ultimate supremum of a stable Lévy process with no negative jumps. Zbl 1235.60036
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran
2011
Limit at zero of the Brownian first-passage density. Zbl 1004.60081
Peskir, Goran
2002
Predicting the time of the ultimate maximum for Brownian motion with drift. Zbl 1149.60311
du Toit, Jacques; Peskir, Goran
2008
On reflecting Brownian motion with drift. Zbl 1196.93074
Peskir, Goran
2006
On the fundamental solution of the Kolmogorov-Shiryaev equation. Zbl 1101.60042
Peskir, Goran
2006
Local time-space calculus and extensions of Itô’s formula. Zbl 1051.60060
Ghomrasni, R.; Peskir, G.
2003
Embedding laws in diffusions by functions of time. Zbl 1335.60150
Cox, A. M. G.; Peskir, G.
2015
Quickest detection of a hidden target and extremal surfaces. Zbl 1338.60115
Peskir, Goran
2014
Optimal detection of a hidden target: the median rule. Zbl 1253.60055
Peskir, Goran
2012
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
2011
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
Three-dimensional Brownian motion and the golden ratio rule. Zbl 1408.60032
Glover, Kristoffer; Hulley, Hardy; Peskir, Goran
2013
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
Principle of smooth fit and diffusions with angles. Zbl 1110.60041
Peskir, Goran
2007
Designing options given the risk: The optimal Skorokhod-embedding problem. Zbl 0965.60044
Peskir, Goran
1999
Sequential testing problems for Bessel processes. Zbl 1406.60061
Johnson, Peter; Peskir, Goran
2018
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 probabilistic solution to the Stroock-Williams equation. Zbl 1320.60127
Peskir, Goran
2014
A duality principle for the Legendre transform. Zbl 1252.49008
Peskir, Goran
2012
From uniform laws of large numbers to uniform ergodic theorems. Zbl 0992.37004
Peskir, Goran
2000
On the Russian option: The expected waiting time. Zbl 0924.60012
Graversen, S. E.; Peškir, G.
1997
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
The British Russian option. Zbl 1229.91308
Glover, K.; Peskir, G.; Samee, F.
2011
On nonlinear integral equations arising in problems of optimal stopping. Zbl 1031.60030
Pedersen, J. L.; Peskir, G.
2002
The uniform mean-square ergodic theorem for wide sense stationary processes. Zbl 0916.60039
Peškir, Goran
1998
Best constants in Kahane-Khintchine inequalities for complex Steinhaus functions. Zbl 0841.41024
Peškir, Goran
1995
Uniform ergodic theorems for dynamical systems under VC entropy conditions. Zbl 0828.28006
Peškir, Goran; Yukich, Joseph E.
1994
Continuity of the optimal stopping boundary for two-dimensional diffusions. Zbl 1409.60066
Peskir, Goran
2019
Constrained dynamic optimality and binomial terminal wealth. Zbl 1384.60088
Pedersen, J. L.; Peskir, G.
2018
The British Asian option. Zbl 1319.91148
Glover, Kristoffer; Peskir, Goran; Samee, Farman
2010
Maximum process problems in optimal control theory. Zbl 1075.93047
Peskir, Goran
2005
Principles of optimal stopping and free-boundary problems. Zbl 0994.60045
Peskir, Goran
2002
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2001
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
Randomly weighted series of contractions in Hilbert spaces. Zbl 0881.40002
Peškir, G.; Schneider, D.; Weber, M.
1996
Necessary and sufficient conditions for the uniform law of large numbers in the stationary case. Zbl 0823.60024
Peškir, Goran; Weber, Michel
1994
Best constants in Kahane-Khintchine inequalities in Orlicz spaces. Zbl 0773.41026
Peškir, Goran
1993
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
2016
Market forces and dynamic asset pricing. Zbl 1039.91018
Peskir, G.; Shorish, J.
2002
The Azéma-Yor embedding in Brownian motion with drift. Zbl 0967.60046
Peskir, Goran
2000
Consistency of statistical models described by families of reversed submartingales. Zbl 0985.60028
Peškir, Goran
1998
Optimal stopping in the $$L\log L$$-inequality of Hardy and Littlewood. Zbl 0949.60057
Graversen, S. E.; Peškir, G.
1998
Optimal stopping and maximal inequalities for linear diffusions. Zbl 0905.60058
Graversen, S. E.; Peškir, G.
1998
Extremal problems in the maximal inequalities of Khintchine. Zbl 0899.60013
Graversen, S. E.; Peškir, G.
1998
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1997
Uniform convergence of reversed martingales. Zbl 0820.60030
Peškir, Goran
1995
The continuity principle in exponential type Orlicz spaces. Zbl 0820.46022
Graversen, S. E.; Peškir, Goran; Weber, Michel
1995
Maximal inequalities of Kahane-Khintchine’s type in Orlicz spaces. Zbl 0809.60005
Peškir, Goran
1994
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
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 reflecting Brownian motion with drift. Zbl 1196.93074
Peskir, Goran
2006
On the fundamental solution of the Kolmogorov-Shiryaev equation. Zbl 1101.60042
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
Optimal stopping in the $$L\log L$$-inequality of Hardy and Littlewood. Zbl 0949.60057
Graversen, S. E.; Peškir, G.
1998
Optimal stopping and maximal inequalities for linear diffusions. Zbl 0905.60058
Graversen, S. E.; Peškir, G.
1998
Extremal problems in the maximal inequalities of Khintchine. Zbl 0899.60013
Graversen, S. E.; Peškir, G.
1998
On the Russian option: The expected waiting time. Zbl 0924.60012
Graversen, S. E.; Peškir, G.
1997
On Wald-type optimal stopping for Brownian motion. Zbl 0876.60023
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
Uniform convergence of reversed martingales. Zbl 0820.60030
Peškir, Goran
1995
The continuity principle in exponential type Orlicz spaces. Zbl 0820.46022
Graversen, S. E.; Peškir, Goran; Weber, Michel
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 812 Authors

 32 Peskir, Goran 22 Gapeev, Pavel V. 15 Ekström, Erik 15 Yan, Litan 14 De Angelis, Tiziano 14 Shiryaev, Al’bert Nikolaevich 13 Bayraktar, Erhan 13 Ferrari, Giorgio 12 Christensen, Soren 10 Cox, Alexander Matthew Gordon 9 Kyprianou, Andreas E. 9 Patie, Pierre 9 Sezer, Semih Onur 8 Buonaguidi, Bruno 8 Dayanik, Savas 8 Kitapbayev, Yerkin 8 Osękowski, Adam 7 Jeon, Junkee 7 Lempa, Jukka 7 Pedersen, Jesper Lund 7 Yamazaki, Kazutoshi 6 Avram, Florin 6 Dolinsky, Yan 6 Hobson, David G. 6 Kruse, Thomas 6 Makasu, Cloud 6 Pistorius, Martijn R. 6 Salminen, Paavo H. 6 Zhitlukhin, Mikhail V. 5 Ankirchner, Stefan 5 Dalang, Robert C. 5 Irle, Albrecht 5 Moriarty, John 5 Palmowski, Zbigniew 5 Rodosthenous, Neofytos 5 Strack, Philipp 5 Thijssen, Jacco J. J. 5 Touzi, Nizar 5 Urusov, Mikhail A. 5 Vaicenavicius, Juozas 5 Van Schaik, Kees 4 Astashkin, Sergeĭ Vladimir 4 Baurdoux, Erik Jan 4 Egami, Masahiko 4 Glover, Kristoffer J. 4 Ivanov, Roman V. 4 Jeanblanc, Monique 4 Leung, Tim 4 Lindberg, Carl 4 Ludkovski, Michael 4 Muliere, Pietro 4 Polunchenko, Aleksey S. 4 Sacerdote, Laura 4 Samee, Farman 4 Simon, Thomas 4 Stettner, Łukasz 4 Stoev, Yavor I. 4 Yam, Sheung Chi Phillip 4 Yi, Fahuai 4 Zervos, Mihail 4 Zipkin, Paul Herbert 3 Alili, Larbi 3 Arkin, Vadim I. 3 Beiglböck, Mathias 3 Belak, Christoph 3 Chen, Xinfu 3 de la Peña, Victor H. 3 Detemple, Jerome B. 3 du Toit, Jacques 3 Fotopoulos, Stergios B. 3 Henderson, Vicky 3 Jacka, Saul D. 3 Jia, Chen 3 Karatzas, Ioannis 3 Klein, Maike 3 Li, Xun 3 Lindensjö, Kristoffer 3 Linetsky, Vadim 3 Liu, Junfeng 3 Liu, Yue 3 Mijatović, Aleksandar 3 Miller, Christopher W. 3 Mordecki, Ernesto 3 Muravlev, Alexey A. 3 Obloj, Jan K. 3 Ott, Curdin 3 Pardo, Juan Carlos 3 Poor, Harold Vincent 3 Privault, Nicolas 3 Ren, Yaofeng 3 Silvestrov, Dmitrii 3 Stockbridge, Richard H. 3 Surya, Budhi Arta 3 Xu, Yinfeng 3 Yung, Siu Pang 3 Zhang, Wenming 3 Zheng, Feifeng 3 Zhou, Wei 3 Zucca, Cristina 2 Abundo, Mario ...and 712 more Authors
all top 5

#### Cited in 157 Serials

 55 Stochastic Processes and their Applications 44 The Annals of Applied Probability 31 Statistics & Probability Letters 31 Stochastics 27 Sequential Analysis 21 SIAM Journal on Control and Optimization 19 Journal of Applied Probability 18 Finance and Stochastics 17 Advances in Applied Probability 15 Journal of Mathematical Analysis and Applications 14 The Annals of Probability 14 International Journal of Theoretical and Applied Finance 12 Mathematical Finance 11 Applied Mathematics and Optimization 10 Mathematics of Operations Research 10 Mathematical Methods of Operations Research 10 Quantitative Finance 9 Insurance Mathematics & Economics 9 Journal of Theoretical Probability 9 Mathematics and Financial Economics 8 Journal of Economic Dynamics & Control 8 Applied Mathematical Finance 7 Theory of Probability and its Applications 7 Journal of Economic Theory 7 Stochastic Analysis and Applications 7 European Journal of Operational Research 7 SIAM Journal on Financial Mathematics 6 Journal of Computational and Applied Mathematics 6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 6 Bernoulli 5 Journal of Functional Analysis 5 Annals of Operations Research 5 Potential Analysis 5 Methodology and Computing in Applied Probability 4 Moscow University Mathematics Bulletin 4 Russian Mathematical Surveys 4 Applied Mathematics and Computation 4 Proceedings of the American Mathematical Society 4 Acta Applicandae Mathematicae 4 Probability Theory and Related Fields 4 Automation and Remote Control 4 Journal of Inequalities and Applications 4 Scandinavian Actuarial Journal 4 Proceedings of the Steklov Institute of Mathematics 3 Journal of Statistical Physics 3 Transactions of the American Mathematical Society 3 Statistical Papers 3 Electronic Journal of Probability 3 Electronic Communications in Probability 3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 3 Comptes Rendus. Mathématique. Académie des Sciences, Paris 3 Stochastics and Dynamics 3 Optimization Letters 3 Annals of Finance 2 Computers & Mathematics with Applications 2 Israel Journal of Mathematics 2 Journal of Mathematical Physics 2 Metrika 2 The Annals of Statistics 2 Automatica 2 Journal of Mathematical Economics 2 Journal of Statistical Planning and Inference 2 Operations Research 2 Theoretical Computer Science 2 Operations Research Letters 2 Communications in Statistics. Theory and Methods 2 Theory of Probability and Mathematical Statistics 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 Stochastic Models 2 Journal of Machine Learning Research (JMLR) 2 Review of Derivatives Research 2 Journal of Industrial and Management Optimization 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 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 1 Scandinavian Journal of Statistics 1 Chaos, Solitons and Fractals 1 Advances in Mathematics 1 Annals of the Institute of Statistical Mathematics 1 Illinois Journal of Mathematics 1 Information Sciences 1 Inventiones Mathematicae 1 Journal of Differential Equations 1 Journal of Econometrics 1 Nagoya Mathematical Journal 1 Siberian Mathematical Journal 1 Mathematical Social Sciences ...and 57 more Serials
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#### Cited in 33 Fields

 548 Probability theory and stochastic processes (60-XX) 307 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 118 Statistics (62-XX) 80 Systems theory; control (93-XX) 64 Partial differential equations (35-XX) 44 Calculus of variations and optimal control; optimization (49-XX) 44 Operations research, mathematical programming (90-XX) 37 Numerical analysis (65-XX) 21 Integral equations (45-XX) 18 Ordinary differential equations (34-XX) 10 Dynamical systems and ergodic theory (37-XX) 10 Functional analysis (46-XX) 9 Computer science (68-XX) 8 Special functions (33-XX) 8 Harmonic analysis on Euclidean spaces (42-XX) 8 Biology and other natural sciences (92-XX) 7 Real functions (26-XX) 7 Operator theory (47-XX) 6 Measure and integration (28-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Global analysis, analysis on manifolds (58-XX) 4 Approximations and expansions (41-XX) 4 Information and communication theory, circuits (94-XX) 3 Functions of a complex variable (30-XX) 2 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Potential theory (31-XX) 1 History and biography (01-XX) 1 Number theory (11-XX) 1 Difference and functional equations (39-XX) 1 General topology (54-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX)

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