## Hobson, David Graham

Compute Distance To:
 Author ID: hobson.david-g Published as: Hobson, David; Hobson, David G.; Hobson, D. G. more...less Homepage: https://warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson/ External Links: MGP
 Documents Indexed: 78 Publications since 1991 Co-Authors: 38 Co-Authors with 62 Joint Publications 917 Co-Co-Authors
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### Co-Authors

 16 single-authored 19 Henderson, Vicky 6 Cox, Alexander Matthew Gordon 5 Rogers, L. C. G. 4 Klimmek, Martin 4 Norgilas, Dominykas 4 Tse, Alex S. L. 3 Feng, Han 3 Zeng, Matthew 3 Zhu, Yeqi 2 Brown, Haydyn 2 Ekström, Erik 2 Herdegen, Martin 2 Jerome, Joseph W. 2 Kluge, Tino 2 Laurence, Peter 2 Neuberger, Anthony 2 Obloj, Jan K. 2 Wang, Tai-Ho 1 Ankirchner, Stefan 1 Beiglböck, Mathias 1 Chaumont, Loïc 1 Davis, Mark Herbert Ainsworth 1 DeBlassie, Richard Dante 1 Evans, Jonathan David 1 Housworth, Elizabeth Ann 1 Howison, Samuel Dexter 1 Janson, Svante 1 Kentwell, Glenn 1 Pedersen, Jesper Lund 1 Penn, Jeremy 1 Shaw, William T. 1 Strack, Philipp 1 Toby, Ellen H. 1 Tysk, Johan 1 Werner, Wendelin 1 Wojakowski, Rafał 1 Wood, Andrew T. A. 1 Yor, Marc
all top 5

### Serials

 11 Finance and Stochastics 9 Mathematical Finance 8 The Annals of Applied Probability 4 Probability Theory and Related Fields 4 Stochastic Processes and their Applications 4 International Journal of Theoretical and Applied Finance 3 Bernoulli 3 Quantitative Finance 2 Journal of Economic Theory 2 Statistics & Probability Letters 2 Stochastics and Stochastics Reports 2 Electronic Journal of Probability 2 Electronic Communications in Probability 2 Decisions in Economics and Finance 2 Stochastics 1 Mathematical Proceedings of the Cambridge Philosophical Society 1 The Annals of Probability 1 Bulletin of the London Mathematical Society 1 Journal of Applied Probability 1 Operations Research 1 Insurance Mathematics & Economics 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Applied Mathematical Finance 1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Review of Derivatives Research 1 SIAM Journal on Financial Mathematics
all top 5

### Fields

 59 Probability theory and stochastic processes (60-XX) 53 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Systems theory; control (93-XX) 3 Operations research, mathematical programming (90-XX) 2 Statistics (62-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Numerical analysis (65-XX)

### Citations contained in zbMATH Open

69 Publications have been cited 1,271 times in 780 Documents Cited by Year
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
1998
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
1998
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
2005
The Skorokhod embedding problem and model-independent bounds for option prices. Zbl 1214.91113
Hobson, David
2011
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
2007
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
2001
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
2012
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David
2009
Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012
Hobson, David G.
1998
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
2005
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G.
2002
Stochastic volatility models, correlation, and the $$q$$-optimal measure. Zbl 1169.60317
Hobson, David
2004
Robust price bounds for the forward starting straddle. Zbl 1396.91735
Hobson, David; Klimmek, Martin
2015
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David
2007
Model-independent hedging strategies for variance swaps. Zbl 1262.91134
Hobson, David; Klimmek, Martin
2012
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping. Zbl 1165.60020
Cox, A. M. G.; Hobson, David; Obłój, Jan
2008
Static-arbitrage optimal subreplicating strategies for basket options. Zbl 1129.62424
Hobson, David; Laurence, Peter; Wang, Tai-Ho
2005
Skorokhod embeddings, minimality and non-centred target distributions. Zbl 1099.60031
Cox, A. M. G.; Hobson, D. G.
2006
The minimum maximum of a continuous martingale with given initial and terminal laws. Zbl 1016.60047
Hobson, David G.; Pedersen, J. L.
2002
Recurrence and transience of reflecting Brownian motion in the quadrant. Zbl 0776.60100
Hobson, D. G.; Rogers, L. C. G.
1993
Comparison results for stochastic volatility models via coupling. Zbl 1224.91193
Hobson, David
2010
The maximum maximum of a martingale constrained by an intermediate law. Zbl 0980.60048
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
2001
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David
2008
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
2005
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David
2008
The maximum maximum of a martingale. Zbl 0935.60028
Hobson, David G.
1998
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
2002
Non-colliding Brownian motions on the circle. Zbl 0853.60060
Hobson, David G.; Werner, Wendelin
1996
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David
2000
Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029
Hobson, David
2007
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
2001
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David
2013
Finite, integrable and bounded time embeddings for diffusions. Zbl 1328.60101
Ankirchner, Stefan; Hobson, David; Strack, Philipp
2015
Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes. Zbl 0982.60020
Chaumont, L.; Hobson, D. G.; Yor, M.
2001
Recovering a time-homogeneous stock price process from perpetual option prices. Zbl 1228.91068
Ekström, Erik; Hobson, David
2011
An optimal Skorokhod embedding for diffusions. Zbl 1070.60070
Cox, A. M. G.; Hobson, D. G.
2004
Can time-homogeneous diffusions produce any distribution? Zbl 1276.60085
Ekström, Erik; Hobson, David; Janson, Svante; Tysk, Johan
2013
Mimicking martingales. Zbl 1352.60061
Hobson, David
2016
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
2017
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps. Zbl 1278.60078
Hobson, David; Klimmek, Martin
2013
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David
2011
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings. Zbl 1148.60063
Cox, A. M. G.; Hobson, D. G.
2007
Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346
Hobson, D. G.
2005
A survey of mathematical finance. Zbl 1168.91386
Hobson, David
2004
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal
2007
Model uncertainty and the pricing of American options. Zbl 1380.91131
Hobson, David; Neuberger, Anthony
2017
Gambling in contests with random initial law. Zbl 1335.60058
Feng, Han; Hobson, David
2016
Gambling in contests with regret. Zbl 1348.91120
Feng, Han; Hobson, David
2016
Utility theory front to back – inferring utility from agents’ choices. Zbl 1298.91199
Cox, Alexander M. G.; Hobson, David; Obłój, Jan
2014
Marked excursions and random trees. Zbl 0965.60078
Hobson, David G.
2000
The left-curtain martingale coupling in the presence of atoms. Zbl 1427.60073
Hobson, David G.; Norgilas, Dominykas
2019
Fake exponential Brownian motion. Zbl 1293.60079
Hobson, David G.
2013
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David
2015
Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Zbl 1245.60046
Hobson, David; Klimmek, Martin
2011
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David
2008
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
2018
Asymptotics for an arcsin type result. Zbl 0796.60046
Hobson, David
1994
A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor. Zbl 1110.60077
Hobson, David
2007
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino
2007
Taylor expansions of curve-crossing probabilities. Zbl 0945.60084
Hobson, David G.; Williams, David; Wood, Andrew T. A.
1999
Escape rates for transient reflected Brownian motion in wedges and cones. Zbl 0891.60038
Deblassie, R. Dante; Hobson, David; Housworth, Elizabeth Ann; Toby, Ellen H.
1996
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn
2002
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David
2006
Maximizing the probability of a perfect hedge using an imperfectly correlated instrument. Zbl 1138.91536
Hobson, David; Penn, Jeremy
2005
Integrability of solutions of the Skorokhod embedding problem for diffusions. Zbl 1328.60104
Hobson, David
2015
Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155
Henderson, Vicky; Hobson, David; Zeng, Matthew
2018
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
2019
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2019
The left-curtain martingale coupling in the presence of atoms. Zbl 1427.60073
Hobson, David G.; Norgilas, Dominykas
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
2019
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2019
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
2018
Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155
Henderson, Vicky; Hobson, David; Zeng, Matthew
2018
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
2017
Model uncertainty and the pricing of American options. Zbl 1380.91131
Hobson, David; Neuberger, Anthony
2017
Mimicking martingales. Zbl 1352.60061
Hobson, David
2016
Gambling in contests with random initial law. Zbl 1335.60058
Feng, Han; Hobson, David
2016
Gambling in contests with regret. Zbl 1348.91120
Feng, Han; Hobson, David
2016
Robust price bounds for the forward starting straddle. Zbl 1396.91735
Hobson, David; Klimmek, Martin
2015
Finite, integrable and bounded time embeddings for diffusions. Zbl 1328.60101
Ankirchner, Stefan; Hobson, David; Strack, Philipp
2015
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David
2015
Integrability of solutions of the Skorokhod embedding problem for diffusions. Zbl 1328.60104
Hobson, David
2015
Utility theory front to back – inferring utility from agents’ choices. Zbl 1298.91199
Cox, Alexander M. G.; Hobson, David; Obłój, Jan
2014
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David
2013
Can time-homogeneous diffusions produce any distribution? Zbl 1276.60085
Ekström, Erik; Hobson, David; Janson, Svante; Tysk, Johan
2013
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps. Zbl 1278.60078
Hobson, David; Klimmek, Martin
2013
Fake exponential Brownian motion. Zbl 1293.60079
Hobson, David G.
2013
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
2012
Model-independent hedging strategies for variance swaps. Zbl 1262.91134
Hobson, David; Klimmek, Martin
2012
The Skorokhod embedding problem and model-independent bounds for option prices. Zbl 1214.91113
Hobson, David
2011
Recovering a time-homogeneous stock price process from perpetual option prices. Zbl 1228.91068
Ekström, Erik; Hobson, David
2011
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David
2011
Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Zbl 1245.60046
Hobson, David; Klimmek, Martin
2011
Comparison results for stochastic volatility models via coupling. Zbl 1224.91193
Hobson, David
2010
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David
2009
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping. Zbl 1165.60020
Cox, A. M. G.; Hobson, David; Obłój, Jan
2008
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David
2008
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David
2008
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David
2008
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
2007
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David
2007
Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029
Hobson, David
2007
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings. Zbl 1148.60063
Cox, A. M. G.; Hobson, D. G.
2007
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal
2007
A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor. Zbl 1110.60077
Hobson, David
2007
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino
2007
Skorokhod embeddings, minimality and non-centred target distributions. Zbl 1099.60031
Cox, A. M. G.; Hobson, D. G.
2006
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David
2006
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
2005
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
2005
Static-arbitrage optimal subreplicating strategies for basket options. Zbl 1129.62424
Hobson, David; Laurence, Peter; Wang, Tai-Ho
2005
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
2005
Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346
Hobson, D. G.
2005
Maximizing the probability of a perfect hedge using an imperfectly correlated instrument. Zbl 1138.91536
Hobson, David; Penn, Jeremy
2005
Stochastic volatility models, correlation, and the $$q$$-optimal measure. Zbl 1169.60317
Hobson, David
2004
An optimal Skorokhod embedding for diffusions. Zbl 1070.60070
Cox, A. M. G.; Hobson, D. G.
2004
A survey of mathematical finance. Zbl 1168.91386
Hobson, David
2004
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G.
2002
The minimum maximum of a continuous martingale with given initial and terminal laws. Zbl 1016.60047
Hobson, David G.; Pedersen, J. L.
2002
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
2002
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn
2002
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
2001
The maximum maximum of a martingale constrained by an intermediate law. Zbl 0980.60048
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
2001
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
2001
Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes. Zbl 0982.60020
Chaumont, L.; Hobson, D. G.; Yor, M.
2001
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David
2000
Marked excursions and random trees. Zbl 0965.60078
Hobson, David G.
2000
Taylor expansions of curve-crossing probabilities. Zbl 0945.60084
Hobson, David G.; Williams, David; Wood, Andrew T. A.
1999
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
1998
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
1998
Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012
Hobson, David G.
1998
The maximum maximum of a martingale. Zbl 0935.60028
Hobson, David G.
1998
Non-colliding Brownian motions on the circle. Zbl 0853.60060
Hobson, David G.; Werner, Wendelin
1996
Escape rates for transient reflected Brownian motion in wedges and cones. Zbl 0891.60038
Deblassie, R. Dante; Hobson, David; Housworth, Elizabeth Ann; Toby, Ellen H.
1996
Asymptotics for an arcsin type result. Zbl 0796.60046
Hobson, David
1994
Recurrence and transience of reflecting Brownian motion in the quadrant. Zbl 0776.60100
Hobson, D. G.; Rogers, L. C. G.
1993
all top 5

### Cited by 934 Authors

 40 Hobson, David Graham 24 Obloj, Jan K. 21 Beiglböck, Mathias 21 Henderson, Vicky 17 Cox, Alexander Matthew Gordon 17 Ekström, Erik 16 Touzi, Nizar 13 Pascucci, Andrea 12 Tysk, Johan 11 Bayraktar, Erhan 11 Madan, Dilip B. 11 Nutz, Marcel 11 Protter, Philip Elliott 9 Huesmann, Martin 8 Campi, Luciano 8 Henry-Labordère, Pierre 7 Bartl, Daniel 7 Biagini, Francesca 7 Carr, Peter Paul 7 Guo, Gaoyue 7 Kallsen, Jan 7 Kupper, Michael 7 Polidoro, Sergio 7 Sircar, Ronnie 7 Tan, Xiaolu 6 Černý, Aleš 6 Dhaene, Jan 6 Gushchin, Aleksandr Aleksandrovich 6 Jarrow, Robert Alan 6 Liang, Gechun 6 Muhle-Karbe, Johannes 6 Schoutens, Wim 6 Stebegg, Florian 6 Vanmaele, Michèle 6 Yor, Marc 6 Zariphopoulou, Thaleia 5 Ankirchner, Stefan 5 Herrmann, Sebastian 5 Jacquier, Antoine 5 Janson, Svante 5 Jourdain, Benjamin 5 Juillet, Nicolas 5 Klimmek, Martin 5 Leung, Tim 5 Lim, Tongseok 5 Mrad, Mohamed 5 Prömel, David J. 5 Ruf, Johannes 5 Sester, Julian 5 Zhu, Songping 4 Acciaio, Beatrice 4 Cheridito, Patrick 4 Choulli, Tahir 4 Criens, David 4 Deelstra, Griselda 4 Dolinsky, Yan 4 dos Reis, Gonçalo 4 El Karoui, Nicole 4 Elliott, Robert James 4 Franceschi, Sandro 4 Ghoussoub, Nassif A. 4 Gulisashvili, Archil 4 Hou, Zhaoxu 4 Huang, Yu-Jui 4 Källblad, Sigrid 4 Kim, Young-Heon 4 Linders, Daniël 4 Maggis, Marco 4 Mahayni, Antje 4 Mijatović, Aleksandar 4 Nadtochiy, Sergey 4 Neufeld, Ariel David 4 Nyström, Kaj 4 Pelsser, Antoon A. J. 4 Peskir, Goran 4 Rong, Ximin 4 Schachermayer, Walter 4 Schweizer, Martin 4 Siorpaes, Pietro 4 Siu, Tak Kuen 4 Soner, Halil Mete 4 Tehranchi, Michael R. 4 Urusov, Mikhail A. 4 Večeř, Jan 4 Zhao, Hui 4 Zhou, Zhou 4 Zuluaga, Luis Fernando 3 A, Chunxiang 3 Arai, Takuji 3 Becherer, Dirk 3 Bergenthum, Jan 3 Bernard, Carole L. 3 Burzoni, Matteo 3 Carmona, René A. 3 Chronopoulos, Michail 3 Di Francesco, Marco 3 Döring, Leif 3 Eder, Manu 3 Ewald, Christian-Oliver 3 Feng, Han ...and 834 more Authors
all top 5

### Cited in 146 Serials

 62 Finance and Stochastics 48 International Journal of Theoretical and Applied Finance 48 Quantitative Finance 47 Mathematical Finance 44 Stochastic Processes and their Applications 39 The Annals of Applied Probability 32 SIAM Journal on Financial Mathematics 23 Insurance Mathematics & Economics 21 The Annals of Probability 16 Journal of Economic Dynamics & Control 16 European Journal of Operational Research 15 Statistics & Probability Letters 15 Probability Theory and Related Fields 15 Bernoulli 14 Journal of Computational and Applied Mathematics 14 Mathematics and Financial Economics 13 Journal of Mathematical Analysis and Applications 11 Journal of Applied Probability 11 SIAM Journal on Control and Optimization 11 Applied Mathematical Finance 10 Review of Derivatives Research 9 Applied Mathematics and Optimization 8 Decisions in Economics and Finance 8 Annals of Finance 7 Journal of Theoretical Probability 6 Mathematics of Operations Research 6 Mathematical Methods of Operations Research 5 Journal of Optimization Theory and Applications 5 International Journal of Stochastic Analysis 4 Advances in Applied Probability 4 Theory of Probability and its Applications 4 Transactions of the American Mathematical Society 4 Queueing Systems 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Journal of Inequalities and Applications 4 Asia-Pacific Financial Markets 4 Stochastics 3 Physica A 3 Journal of Differential Equations 3 Journal of Econometrics 3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 3 Proceedings of the American Mathematical Society 3 Stochastic Analysis and Applications 3 Electronic Journal of Probability 3 Electronic Communications in Probability 3 Methodology and Computing in Applied Probability 2 Computers & Mathematics with Applications 2 Chaos, Solitons and Fractals 2 Applied Mathematics and Computation 2 Journal of Economic Theory 2 Journal of Mathematical Economics 2 Mathematische Annalen 2 Mathematical Social Sciences 2 Operations Research Letters 2 Optimization 2 European Journal of Applied Mathematics 2 Annals of Operations Research 2 Scandinavian Actuarial Journal 2 Journal of Systems Science and Complexity 2 ASTIN Bulletin 2 Journal of Applied Mathematics and Computing 2 North American Actuarial Journal 2 Journal of Industrial and Management Optimization 2 Optimization Letters 2 MathematicS In Action 2 Statistics & Risk Modeling 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 2 Probability, Uncertainty and Quantitative Risk 2 Frontiers of Mathematical Finance 1 Archive for Rational Mechanics and Analysis 1 Journal of Mathematical Physics 1 Journal of Statistical Physics 1 Mathematical Notes 1 Russian Mathematical Surveys 1 Scandinavian Journal of Statistics 1 The Annals of Statistics 1 Inventiones Mathematicae 1 Journal of Combinatorial Theory. Series A 1 Mathematics and Computers in Simulation 1 Quaestiones Mathematicae 1 Siberian Mathematical Journal 1 Acta Applicandae Mathematicae 1 American Journal of Mathematical and Management Sciences 1 Applied Numerical Mathematics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Sequential Analysis 1 Asia-Pacific Journal of Operational Research 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 Science in China. Series A 1 Journal of Applied Mathematics and Stochastic Analysis 1 Economics Letters 1 Games and Economic Behavior 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Computational Statistics and Data Analysis 1 Mathematical Programming. Series A. Series B 1 Stochastics and Stochastics Reports 1 SIAM Journal on Optimization ...and 46 more Serials
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### Cited in 33 Fields

 581 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 477 Probability theory and stochastic processes (60-XX) 69 Calculus of variations and optimal control; optimization (49-XX) 67 Systems theory; control (93-XX) 61 Operations research, mathematical programming (90-XX) 56 Partial differential equations (35-XX) 53 Statistics (62-XX) 36 Numerical analysis (65-XX) 15 Ordinary differential equations (34-XX) 8 Statistical mechanics, structure of matter (82-XX) 7 Integral equations (45-XX) 6 Functional analysis (46-XX) 5 Measure and integration (28-XX) 4 Real functions (26-XX) 4 Computer science (68-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Global analysis, analysis on manifolds (58-XX) 2 Combinatorics (05-XX) 2 Topological groups, Lie groups (22-XX) 2 Functions of a complex variable (30-XX) 2 Special functions (33-XX) 2 Difference and functional equations (39-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 Biology and other natural sciences (92-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Group theory and generalizations (20-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Differential geometry (53-XX) 1 Mechanics of particles and systems (70-XX) 1 Information and communication theory, circuits (94-XX)