## Shreve, Steven E.

Compute Distance To:
 Author ID: shreve.steven-e Published as: Shreve, Steven E.; Shreve, Steven; Shreve, S. E.; Shreve, S. more...less External Links: ORCID
 Documents Indexed: 68 Publications since 1978, including 7 Books 1 Contribution as Editor Co-Authors: 35 Co-Authors with 56 Joint Publications 819 Co-Co-Authors
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### Co-Authors

 12 single-authored 18 Lehoczky, John P. 15 Karatzas, Ioannis 7 Soner, Halil Mete 6 Bertsekas, Dimitri Panteli 6 Kruk, Łukasz 4 Sethi, Suresh P. 4 Xu, Ganlin 3 Ramanan, Kavita 2 Janeček, Karel 2 Sîrbu, Mihai 2 Yeung, Shu-Ngai 1 Bélanger, Alain 1 Berkovitz, Leonard David 1 Bichuch, Maxim 1 Brunick, Gerard 1 Cvitanić, Jakša 1 Davis, Mark Herbert Ainsworth 1 Doshi, Bharat T. 1 Doytchinov, Bogdan D. 1 Duffie, James Darrell 1 El Karoui, Nicole 1 Fleming, Wendell Helms 1 Gaver, Donald Paul jun. 1 Jeanblanc, Monique 1 Lakner, Peter 1 Pikovsky, Igor 1 Pirvu, Traian A. 1 Predoiu, Silviu 1 Schmock, Uwe 1 Shaikhet, Gennady L. 1 Tütüncü, Reha H. 1 Večeř, Jan 1 Wong, Dennis Pak Shing 1 Wystup, Uwe 1 Ziemer, William Paul
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### Serials

 12 SIAM Journal on Control and Optimization 10 The Annals of Applied Probability 4 Finance and Stochastics 4 Mathematical Finance 3 Mathematics of Operations Research 3 SIAM Journal on Financial Mathematics 2 Stochastics 2 The Annals of Probability 2 Graduate Texts in Mathematics 2 Springer Finance 1 Journal of Mathematical Analysis and Applications 1 Fundamenta Mathematicae 1 Illinois Journal of Mathematics 1 Journal of Applied Probability 1 Pacific Journal of Mathematics 1 Statistics & Probability Letters 1 Communications in Partial Differential Equations 1 Naval Research Logistics Quarterly 1 The IMA Volumes in Mathematics and its Applications 1 Mathematics in Science and Engineering 1 Applications of Mathematics
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### Fields

 39 Probability theory and stochastic processes (60-XX) 35 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 33 Systems theory; control (93-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 15 Operations research, mathematical programming (90-XX) 4 Measure and integration (28-XX) 3 Computer science (68-XX) 2 Partial differential equations (35-XX) 1 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) 1 Ordinary differential equations (34-XX) 1 Functional analysis (46-XX)

### Citations contained in zbMATH Open

62 Publications have been cited 6,111 times in 5,079 Documents Cited by Year
Brownian motion and stochastic calculus. 2nd ed. Zbl 0734.60060
Karatzas, Ioannis; Shreve, Steven E.
1991
Brownian motion and stochastic calculus. Zbl 0638.60065
Karatzas, Ioannis; Shreve, Steven E.
1988
Methods of mathematical finance. Zbl 0941.91032
Karatzas, Ioannis; Shreve, Steven E.
1998
Stochastic optimal control. The discrete time case. Zbl 0471.93002
Bertsekas, Dimitri P.; Shreve, Steven E.
1978
Stochastic calculus for finance. II: Continuous-time models. Zbl 1068.91041
Shreve, Steven E.
2004
Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. Zbl 0644.93066
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
1987
Martingale and duality methods for utility maximization in an incomplete market. Zbl 0733.93085
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.; Xu, Gan-Lin
1991
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
1994
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
1998
Optimal consumption for general diffusions with absorbing and reflecting barriers. Zbl 0535.93071
Shreve, S. E.; Lehoczky, J. P.; Gaver, D. P.
1984
Explicit solution of a consumption/investment problem. Zbl 0622.90018
Karatzas, I.; Lehoczky, J.; Sethi, S.; Shreve, S.
1986
Connections between optimal stopping and singular stochastic control. I: Monotone follower problems. Zbl 0551.93078
Karatzas, Ioannis; Shreve, Steven E.
1984
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
1995
An explicit formula for the Skorokhod map on $$[0,a]$$. Zbl 1139.60017
Kruk, Lukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
2007
Optimal execution in a general one-sided limit-order book. Zbl 1222.91062
Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven
2011
Stochastic calculus for finance. I: The binomial asset pricing model. Zbl 1068.91040
Shreve, Steven E.
2004
Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076
Soner, H. Mete; Shreve, Steven E.
1989
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
2004
Connections between optimal stopping and singular stochastic control. II: Reflected follower problems. Zbl 0573.93078
Karatzas, Ioannis; Shreve, Steven E.
1985
A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients. Zbl 0745.93083
Xu, Ganlin; Shreve, Steven E.
1992
Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model. Zbl 0707.90018
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
1990
A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients. Zbl 0773.90017
Xu, Gan-Lin; Shreve, Steven E.
1992
Real-time queues in heavy traffic with earliest-deadline-first queue discipline. Zbl 1015.60086
Doytchinov, Bogdan; Lehoczky, John; Shreve, Steven
2001
A general framework for pricing credit risk. Zbl 1134.91395
Bélanger, Alain; Shreve, Steven E.; Wong, Dennis
2004
Mimicking an Itō process by a solution of a stochastic differential equation. Zbl 1284.60109
Brunick, Gerard; Shreve, Steven
2013
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
1986
A two-person game for pricing convertible bonds. Zbl 1141.91309
Sîrbu, Mihai; Shreve, Steven E.
2006
Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control. Zbl 0544.60069
Karatzas, Ioannis; Shreve, Steven E.
1984
A decomposition of the Brownian path. Zbl 0615.60075
Karatzas, Ioannis; Shreve, Steven E.
1987
A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058
Soner, H. M.; Shreve, S. E.
1991
Heavy traffic analysis for EDF queues with reneging. Zbl 1220.60053
Kruk, Łukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
2011
Optimal consumption and investment policies allowing consumption constraints and bankruptcy. Zbl 0526.90009
Lehoczky, J.; Sethi, S.; Shreve, S.
1983
Universally measurable policies in dynamic programming. Zbl 0412.90071
Shreve, Steven E.; Bertsekas, Dimitri P.
1979
Options on a traded account: Vacation calls, vacation puts and passport options. Zbl 0997.91020
Shreve, Steven E.; Večeř, Jan
2000
Double Skorokhod map and reneging real-time queues. Zbl 1170.60314
Kruk, Łukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
2008
Perpetual convertible bonds. Zbl 1101.91048
Sîrbu, Mihai; Pikovsky, Igor; Shreve, Steven E.
2004
Utility maximization trading two futures with transaction costs. Zbl 1282.91296
Bichuch, Maxim; Shreve, Steven
2013
Alternative theoretical frameworks for finite horizon discretetime stochastic optimal control. Zbl 0405.93044
Shreve, Steven E.; Bertsekas, Dimitri P.
1978
Equilibrium models with singular asset prices. Zbl 0900.90111
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
1991
Absolutely continuous and singular stochastic control. Zbl 0564.93068
Lehoczky, J. P.; Shreve, S. E.
1986
Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061
Martins, L. F.; Shreve, S. E.; Soner, H. M.
1996
Satisfying convex risk limits by trading. Zbl 1092.91048
Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; Tütüncü, Reha
2005
Futures trading with transaction costs. Zbl 1276.91094
Janeček, Karel; Shreve, Steven E.
2010
Earliest-deadline-first service in heavy-traffic acyclic networks. Zbl 1084.60056
Kruk, Łukasz; Lehoczky, John; Shreve, Steven; Yeung, Shu-Ngai
2004
An introduction to singular stochastic control. Zbl 0850.93739
Shreve, Steven E.
1988
Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049
Shreve, S. E.; Soner, H. M.; Xu, G.-L.
1991
Reflected Brownian motion in the ”Bang-Bang” control of Brownian drift. Zbl 0462.49024
Shreve, Steven E.
1981
Accuracy of state space collapse for earliest-deadline-first queues. Zbl 1129.60084
Kruk, Łukasz; Lehoczky, John; Shreve, Steven
2006
Multiple-input heavy-traffic real-time queues. Zbl 1046.60082
Kruk, Lukasz; Lehoczky, John; Shreve, Steven; Yeung, Shu-Ngai
2003
A martingale formulation for optimal consumption/investment decision making. Zbl 0623.90001
Lehoczky, J. P.; Sethi, S. P.; Shreve, S. E.
1985
Equilibrium in a simplified dynamic, stochastic economy with heterogeneous agents. Zbl 0735.90024
Karatzas, Ioannis; Lakner, Peter; Lehoczky, John P.; Shreve, Steven E.
1991
Strong consistency of a modified maximum likelihood estimator for controlled Markov chains. Zbl 0442.93054
Doshi, Bharat; Shreve, Steven E.
1980
Stochastic optimal control. The discrete time case. (Stokhasticheskoe optimal’noe upravlenie. Sluchaj diskretnogo vremeni). Transl. from the English by V. I. Lutkov and V. A. Khavanskov. Zbl 0633.93001
Bertsekas, Dimitri P.; Shreve, Steven E.
1985
Valuation of exotic options under shortselling constraints. Zbl 1002.91021
Schmock, Uwe; Shreve, Steven E.; Wystup, Uwe
2002
Probability measures and the C-sets of Selivanovskij. Zbl 0401.60004
Shreve, Steven E.
1979
Explicit solution of a general consumption/investment problem. Zbl 0587.90012
Karatzas, Ioannis; Sethi, Suresh P.; Lehoczky, John P.; Shreve, Steven E.
1986
A free boundary problem related to singular stochastic control. Zbl 0733.93083
Shreve, S. E.; Soner, H. M.
1990
Existence of optimal stationary policies in deterministic optimal control. Zbl 0416.49007
Bertsekas, Dimitri P.; Shreve, Steven E.
1979
A tribute to Wendell H. Fleming. Zbl 0770.01012
Berkovitz, L. D.; Shreve, Steven E.; Ziemer, William P.
1993
Liquidity premium for capital asset pricing with transaction costs. Zbl 0841.90018
Shreve, S. E.
1995
Borel-approachable functions. Zbl 0387.28007
Shreve, Steven E.
1981
Resolution of measurability problems in discrete - time stochastic control. Zbl 0407.49016
Shreve, Steven E.
1979
Mimicking an Itō process by a solution of a stochastic differential equation. Zbl 1284.60109
Brunick, Gerard; Shreve, Steven
2013
Utility maximization trading two futures with transaction costs. Zbl 1282.91296
Bichuch, Maxim; Shreve, Steven
2013
Optimal execution in a general one-sided limit-order book. Zbl 1222.91062
Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven
2011
Heavy traffic analysis for EDF queues with reneging. Zbl 1220.60053
Kruk, Łukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
2011
Futures trading with transaction costs. Zbl 1276.91094
Janeček, Karel; Shreve, Steven E.
2010
Double Skorokhod map and reneging real-time queues. Zbl 1170.60314
Kruk, Łukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
2008
An explicit formula for the Skorokhod map on $$[0,a]$$. Zbl 1139.60017
Kruk, Lukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
2007
A two-person game for pricing convertible bonds. Zbl 1141.91309
Sîrbu, Mihai; Shreve, Steven E.
2006
Accuracy of state space collapse for earliest-deadline-first queues. Zbl 1129.60084
Kruk, Łukasz; Lehoczky, John; Shreve, Steven
2006
Satisfying convex risk limits by trading. Zbl 1092.91048
Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; Tütüncü, Reha
2005
Stochastic calculus for finance. II: Continuous-time models. Zbl 1068.91041
Shreve, Steven E.
2004
Stochastic calculus for finance. I: The binomial asset pricing model. Zbl 1068.91040
Shreve, Steven E.
2004
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
2004
A general framework for pricing credit risk. Zbl 1134.91395
Bélanger, Alain; Shreve, Steven E.; Wong, Dennis
2004
Perpetual convertible bonds. Zbl 1101.91048
Sîrbu, Mihai; Pikovsky, Igor; Shreve, Steven E.
2004
Earliest-deadline-first service in heavy-traffic acyclic networks. Zbl 1084.60056
Kruk, Łukasz; Lehoczky, John; Shreve, Steven; Yeung, Shu-Ngai
2004
Multiple-input heavy-traffic real-time queues. Zbl 1046.60082
Kruk, Lukasz; Lehoczky, John; Shreve, Steven; Yeung, Shu-Ngai
2003
Valuation of exotic options under shortselling constraints. Zbl 1002.91021
Schmock, Uwe; Shreve, Steven E.; Wystup, Uwe
2002
Real-time queues in heavy traffic with earliest-deadline-first queue discipline. Zbl 1015.60086
Doytchinov, Bogdan; Lehoczky, John; Shreve, Steven
2001
Options on a traded account: Vacation calls, vacation puts and passport options. Zbl 0997.91020
Shreve, Steven E.; Večeř, Jan
2000
Methods of mathematical finance. Zbl 0941.91032
Karatzas, Ioannis; Shreve, Steven E.
1998
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
1998
Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061
Martins, L. F.; Shreve, S. E.; Soner, H. M.
1996
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
1995
Liquidity premium for capital asset pricing with transaction costs. Zbl 0841.90018
Shreve, S. E.
1995
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
1994
A tribute to Wendell H. Fleming. Zbl 0770.01012
Berkovitz, L. D.; Shreve, Steven E.; Ziemer, William P.
1993
A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients. Zbl 0745.93083
Xu, Ganlin; Shreve, Steven E.
1992
A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients. Zbl 0773.90017
Xu, Gan-Lin; Shreve, Steven E.
1992
Brownian motion and stochastic calculus. 2nd ed. Zbl 0734.60060
Karatzas, Ioannis; Shreve, Steven E.
1991
Martingale and duality methods for utility maximization in an incomplete market. Zbl 0733.93085
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.; Xu, Gan-Lin
1991
A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058
Soner, H. M.; Shreve, S. E.
1991
Equilibrium models with singular asset prices. Zbl 0900.90111
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
1991
Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049
Shreve, S. E.; Soner, H. M.; Xu, G.-L.
1991
Equilibrium in a simplified dynamic, stochastic economy with heterogeneous agents. Zbl 0735.90024
Karatzas, Ioannis; Lakner, Peter; Lehoczky, John P.; Shreve, Steven E.
1991
Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model. Zbl 0707.90018
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
1990
A free boundary problem related to singular stochastic control. Zbl 0733.93083
Shreve, S. E.; Soner, H. M.
1990
Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076
Soner, H. Mete; Shreve, Steven E.
1989
Brownian motion and stochastic calculus. Zbl 0638.60065
Karatzas, Ioannis; Shreve, Steven E.
1988
An introduction to singular stochastic control. Zbl 0850.93739
Shreve, Steven E.
1988
Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. Zbl 0644.93066
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
1987
A decomposition of the Brownian path. Zbl 0615.60075
Karatzas, Ioannis; Shreve, Steven E.
1987
Explicit solution of a consumption/investment problem. Zbl 0622.90018
Karatzas, I.; Lehoczky, J.; Sethi, S.; Shreve, S.
1986
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
1986
Absolutely continuous and singular stochastic control. Zbl 0564.93068
Lehoczky, J. P.; Shreve, S. E.
1986
Explicit solution of a general consumption/investment problem. Zbl 0587.90012
Karatzas, Ioannis; Sethi, Suresh P.; Lehoczky, John P.; Shreve, Steven E.
1986
Connections between optimal stopping and singular stochastic control. II: Reflected follower problems. Zbl 0573.93078
Karatzas, Ioannis; Shreve, Steven E.
1985
A martingale formulation for optimal consumption/investment decision making. Zbl 0623.90001
Lehoczky, J. P.; Sethi, S. P.; Shreve, S. E.
1985
Stochastic optimal control. The discrete time case. (Stokhasticheskoe optimal’noe upravlenie. Sluchaj diskretnogo vremeni). Transl. from the English by V. I. Lutkov and V. A. Khavanskov. Zbl 0633.93001
Bertsekas, Dimitri P.; Shreve, Steven E.
1985
Optimal consumption for general diffusions with absorbing and reflecting barriers. Zbl 0535.93071
Shreve, S. E.; Lehoczky, J. P.; Gaver, D. P.
1984
Connections between optimal stopping and singular stochastic control. I: Monotone follower problems. Zbl 0551.93078
Karatzas, Ioannis; Shreve, Steven E.
1984
Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control. Zbl 0544.60069
Karatzas, Ioannis; Shreve, Steven E.
1984
Optimal consumption and investment policies allowing consumption constraints and bankruptcy. Zbl 0526.90009
Lehoczky, J.; Sethi, S.; Shreve, S.
1983
Reflected Brownian motion in the ”Bang-Bang” control of Brownian drift. Zbl 0462.49024
Shreve, Steven E.
1981
Borel-approachable functions. Zbl 0387.28007
Shreve, Steven E.
1981
Strong consistency of a modified maximum likelihood estimator for controlled Markov chains. Zbl 0442.93054
Doshi, Bharat; Shreve, Steven E.
1980
Universally measurable policies in dynamic programming. Zbl 0412.90071
Shreve, Steven E.; Bertsekas, Dimitri P.
1979
Probability measures and the C-sets of Selivanovskij. Zbl 0401.60004
Shreve, Steven E.
1979
Existence of optimal stationary policies in deterministic optimal control. Zbl 0416.49007
Bertsekas, Dimitri P.; Shreve, Steven E.
1979
Resolution of measurability problems in discrete - time stochastic control. Zbl 0407.49016
Shreve, Steven E.
1979
Stochastic optimal control. The discrete time case. Zbl 0471.93002
Bertsekas, Dimitri P.; Shreve, Steven E.
1978
Alternative theoretical frameworks for finite horizon discretetime stochastic optimal control. Zbl 0405.93044
Shreve, Steven E.; Bertsekas, Dimitri P.
1978
all top 5

### Cited by 5,441 Authors

 46 Karatzas, Ioannis 45 Bayraktar, Erhan 29 Touzi, Nizar 29 Young, Virginia R. 28 Shin, Yong Hyun 27 Ekström, Erik 24 Nowak, Andrzej S. 23 Ferrari, Giorgio 23 Muhle-Karbe, Johannes 23 Schachermayer, Walter 22 Platen, Eckhard 22 Soner, Halil Mete 21 Piunovskiĭ, Alekseĭ Borisovich 21 Russo, Francesco 19 Jaśkiewicz, Anna 19 Pham, Huyên 18 Bo, Lijun 18 Kruk, Łukasz 17 Bouchard, Bruno 17 Zheng, Harry H. 16 Budhiraja, Amarjit S. 16 Burdzy, Krzysztof 16 De Angelis, Tiziano 16 El Karoui, Nicole 16 Guasoni, Paolo 16 Ma, Jin 16 Shreve, Steven E. 15 Cvitanić, Jakša 15 Hamadene, Saïd 15 Pap, Gyula 15 Siu, Tak Kuen 15 Taksar, Michael I. 14 Dolinsky, Yan 14 Feinberg, Eugene Aleksandrovich 14 Fukasawa, Masaaki 14 Jeanblanc, Monique 14 Korn, Ralf 14 Urusov, Mikhail A. 14 Weerasinghe, Ananda P. N. 14 Yang, Zhou 14 Yi, Fahuai 14 Yong, Jiongmin 13 Ankirchner, Stefan 13 Barczy, Mátyás 13 Chen, An 13 Dokuchaev, Nikolai G. 13 Elliott, Robert James 13 Hobson, David Graham 13 Nutz, Marcel 13 Ruf, Johannes 13 Shkolnikov, Mykhaylo 13 Yang, Hailiang 13 Zhang, Jianfeng 13 Zhang, Yi 13 Zhu, Chao 13 Žitković, Gordan 12 Atar, Rami 12 Bank, Peter 12 Bielecki, Tomasz R. 12 Jeon, Junkee 12 Koo, Hyeng Keun 12 Kurano, Masami 12 Liang, Zongxia 12 Mykland, Per Aslak 12 Ouknine, Youssef 12 Zhang, Qing 11 Capponi, Agostino 11 Detemple, Jerome B. 11 Dufour, François 11 Federico, Salvatore 11 Fei, Weiyin 11 Grandits, Peter 11 Guo, Xin 11 Peskir, Goran 11 Wang, Yongjin 11 Yin, George Gang 11 Zariphopoulou, Thaleia 10 Alvarez, Luis H. R. 10 Criens, David 10 Guo, Xianping 10 Ichiba, Tomoyuki 10 Imkeller, Peter 10 Jourdain, Benjamin 10 Kardaras, Constantinos 10 Kruse, Thomas 10 Kupper, Michael 10 Lanconelli, Alberto 10 Ma, Jingtang 10 Mao, Xuerong 10 Possamaï, Dylan 10 Przybyłowicz, Paweł 10 Riedel, Frank 10 Sarantsev, Andrey 10 Schweizer, Martin 10 Zervos, Mihail 10 Zhang, Shuguang 9 Beiglböck, Mathias 9 Bossy, Mireille 9 Buckdahn, Rainer 9 Campi, Luciano ...and 5,341 more Authors
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### Cited in 502 Serials

 267 Stochastic Processes and their Applications 216 The Annals of Applied Probability 149 Insurance Mathematics & Economics 137 Finance and Stochastics 122 Mathematical Finance 120 SIAM Journal on Control and Optimization 116 Journal of Economic Dynamics & Control 110 Journal of Mathematical Analysis and Applications 102 Quantitative Finance 93 The Annals of Probability 93 International Journal of Theoretical and Applied Finance 81 European Journal of Operational Research 75 SIAM Journal on Financial Mathematics 74 Stochastic Analysis and Applications 72 Applied Mathematics and Optimization 72 Statistics & Probability Letters 70 Journal of Applied Probability 65 Probability Theory and Related Fields 64 Stochastics 63 Mathematics and Financial Economics 60 Advances in Applied Probability 57 Journal of Computational and Applied Mathematics 55 Applied Mathematical Finance 53 Journal of Optimization Theory and Applications 52 Bernoulli 52 Mathematical Methods of Operations Research 50 Journal of Econometrics 49 Journal of Mathematical Economics 46 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 45 Journal of Economic Theory 43 Journal of Statistical Physics 42 Annals of Finance 37 Annals of Operations Research 34 Applied Mathematics and Computation 34 Queueing Systems 34 Electronic Journal of Probability 33 Journal of Theoretical Probability 30 Physica A 30 Automatica 29 Journal of Differential Equations 28 Transactions of the American Mathematical Society 27 Scandinavian Actuarial Journal 26 Journal of Functional Analysis 25 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 25 Methodology and Computing in Applied Probability 24 Communications in Mathematical Physics 24 Mathematics of Operations Research 24 Decisions in Economics and Finance 24 Asia-Pacific Financial Markets 23 Systems & Control Letters 23 Stochastic Models 22 The Annals of Statistics 22 Stochastics and Dynamics 21 Acta Mathematicae Applicatae Sinica. English Series 21 Advances in Difference Equations 20 Operations Research Letters 20 Discrete and Continuous Dynamical Systems. Series B 20 North American Actuarial Journal 19 Computers & Mathematics with Applications 19 Journal of Systems Science and Complexity 18 Journal of Mathematical Physics 18 Abstract and Applied Analysis 18 ASTIN Bulletin 18 Journal of Industrial and Management Optimization 17 Stochastics and Stochastics Reports 17 Potential Analysis 17 Stochastic and Partial Differential Equations. Analysis and Computations 16 Optimization 16 Electronic Communications in Probability 16 Review of Derivatives Research 15 Journal of Statistical Planning and Inference 14 Journal of Computational Physics 14 Theory of Probability and its Applications 14 Communications in Statistics. Theory and Methods 14 Applied Mathematics. Series B (English Edition) 14 Dynamic Games and Applications 13 Proceedings of the American Mathematical Society 12 Journal of Applied Mathematics and Stochastic Analysis 12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 11 Chaos, Solitons and Fractals 11 Mathematics and Computers in Simulation 11 Japan Journal of Industrial and Applied Mathematics 11 Journal of Nonlinear Science 11 Discrete and Continuous Dynamical Systems 11 Mathematical Problems in Engineering 11 Statistical Inference for Stochastic Processes 11 International Journal of Stochastic Analysis 10 Stochastics 10 Acta Applicandae Mathematicae 10 SIAM Journal on Mathematical Analysis 10 Probability in the Engineering and Informational Sciences 10 Science China. Mathematics 10 Mathematical Control and Related Fields 9 Communications on Pure and Applied Mathematics 9 Mathematical Biosciences 9 Annals of the Institute of Statistical Mathematics 9 BIT 9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 9 Economics Letters 9 Automation and Remote Control ...and 402 more Serials
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### Cited in 52 Fields

 3,074 Probability theory and stochastic processes (60-XX) 2,551 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 947 Systems theory; control (93-XX) 518 Operations research, mathematical programming (90-XX) 512 Partial differential equations (35-XX) 476 Statistics (62-XX) 467 Calculus of variations and optimal control; optimization (49-XX) 408 Numerical analysis (65-XX) 192 Ordinary differential equations (34-XX) 173 Statistical mechanics, structure of matter (82-XX) 160 Biology and other natural sciences (92-XX) 84 Computer science (68-XX) 83 Dynamical systems and ergodic theory (37-XX) 70 Fluid mechanics (76-XX) 60 Operator theory (47-XX) 51 Measure and integration (28-XX) 44 Functional analysis (46-XX) 44 Quantum theory (81-XX) 42 Global analysis, analysis on manifolds (58-XX) 30 Real functions (26-XX) 30 Integral equations (45-XX) 22 Information and communication theory, circuits (94-XX) 20 Combinatorics (05-XX) 20 Potential theory (31-XX) 18 Linear and multilinear algebra; matrix theory (15-XX) 14 Differential geometry (53-XX) 14 Mechanics of deformable solids (74-XX) 13 Approximations and expansions (41-XX) 12 Harmonic analysis on Euclidean spaces (42-XX) 12 Integral transforms, operational calculus (44-XX) 12 Mechanics of particles and systems (70-XX) 10 Mathematical logic and foundations (03-XX) 10 Difference and functional equations (39-XX) 9 Special functions (33-XX) 8 Number theory (11-XX) 8 Functions of a complex variable (30-XX) 8 Classical thermodynamics, heat transfer (80-XX) 7 General topology (54-XX) 6 Topological groups, Lie groups (22-XX) 6 Geophysics (86-XX) 5 Convex and discrete geometry (52-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 4 Relativity and gravitational theory (83-XX) 3 General and overarching topics; collections (00-XX) 3 History and biography (01-XX) 3 Several complex variables and analytic spaces (32-XX) 2 Abstract harmonic analysis (43-XX) 2 Optics, electromagnetic theory (78-XX) 1 Algebraic geometry (14-XX) 1 Nonassociative rings and algebras (17-XX) 1 Group theory and generalizations (20-XX) 1 Algebraic topology (55-XX)