Edit Profile (opens in new tab) Jacka, Saul D. Co-Author Distance Author ID: jacka.saul-d Published as: Jacka, S. D.; Jacka, Saul; Jacka, Saul D. more...less External Links: MGP Documents Indexed: 50 Publications since 1983 3 Contributions as Editor Co-Authors: 31 Co-Authors with 37 Joint Publications 788 Co-Co-Authors all top 5 Co-Authors 16 single-authored 5 Mijatović, Aleksandar 5 Warren, Jon 4 Roberts, Gareth O. 3 Barlow, Martin T. 3 Berkaoui, Abdelkarem 3 Yor, Marc 2 Assing, Sigurd 2 Hernández-Hernández, Ma. Elena 2 Lazic, Zorana 2 Ocejo, Adriana 2 Vidmar, Matija 1 Armstrong, Seb 1 Benth, Fred Espen 1 Connor, Stephen B. 1 Croft, J. C. 1 Deshpande, Amogh 1 Di Nunno, Giulia 1 Hamza, Kais 1 Hand, David J. 1 Klebaner, Fima C. 1 Kyprianou, Andreas E. 1 Lynn, J. R. 1 Norgilas, Dominykas 1 Papavasiliou, Anastasia 1 Peskir, Goran 1 Pollett, Philip K. 1 Sheehan, Marcus 1 Širaj, Dejan 1 Tribe, Roger P. 1 Warren, John 1 Windridge, Peter all top 5 Serials 7 Journal of Applied Probability 7 Stochastic Processes and their Applications 5 Stochastics 4 Advances in Applied Probability 4 The Annals of Applied Probability 3 The Annals of Probability 3 Electronic Journal of Probability 3 Mathematical Finance 2 Stochastics 2 Proceedings of the London Mathematical Society. Third Series 1 SIAM Journal on Control and Optimization 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Stochastics and Stochastics Reports 1 Fractals 1 Journal of Convex Analysis 1 Electronic Communications in Probability 1 Finance and Stochastics 1 Risk and Decision Analysis all top 5 Fields 46 Probability theory and stochastic processes (60-XX) 15 Systems theory; control (93-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 General and overarching topics; collections (00-XX) 3 Statistics (62-XX) 2 Partial differential equations (35-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Operations research, mathematical programming (90-XX) 1 Mathematical logic and foundations (03-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Functional analysis (46-XX) 1 Convex and discrete geometry (52-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 38 Publications have been cited 360 times in 323 Documents Cited by ▼ Year ▼ Optimal stopping and the American put. Zbl 0900.90109Jacka, S. D. 146 1991 Weak convergence of conditioned processes on a countable state space. Zbl 0839.60069Jacka, S. D.; Roberts, G. O. 26 1995 A martingale representation result and an application to incomplete financial markets. Zbl 0900.90044Jacka, S. D. 24 1992 Inequalities for a pair of processes stopped at a random time. Zbl 0585.60055Barlow, M. T.; Jacka, S. D.; Yor, M. 16 1986 Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\). Zbl 0796.60050Jacka, S. D. 14 1991 Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region. Zbl 0793.60045Jacka, S. D.; Lynn, J. R. 10 1992 Local times, optimal stopping and semimartingales. Zbl 0773.60031Jacka, S. D. 10 1993 Doob’s inequalities revisited: A maximal \(H^ 1\)-embedding. Zbl 0653.60038Jacka, S. D. 10 1988 On strong forms of weak convergence. Zbl 0890.60005Jacka, S. D.; Roberts, G. O. 8 1997 Inequalities for non-moderate functions of a pair of stochastic processes. Zbl 0789.60016Jacka, S. D.; Yor, M. 7 1993 On the regularity of American options with regime-switching uncertainty. Zbl 1395.91521Jacka, Saul D.; Ocejo, Adriana 7 2018 Keeping a satellite aloft: Two finite fuel stochastic control models. Zbl 0987.93079Jacka, S. D. 6 1999 Avoiding the origin: A finite-fuel stochastic control problem. Zbl 1027.93043Jacka, Saul 6 2002 Monotonicity of the value function for a two-dimensional optimal stopping problem. Zbl 1316.60056Assing, Sigurd; Jacka, Saul; Ocejo, Adriana 6 2014 A finite fuel stochastic control problem. Zbl 0495.93068Jacka, S. D. 5 1983 Markov chain approximations for transition densities of Lévy processes. Zbl 1303.60038Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul 5 2014 No arbitrage and closure results for trading cones with transaction costs. Zbl 1199.91052Jacka, Saul; Berkaoui, Abdelkarem; Warren, Jon 5 2008 On the policy improvement algorithm in continuous time. Zbl 1380.93289Jacka, Saul D.; Mijatović, Aleksandar 5 2017 Weak convergence of conditioned birth and death processes. Zbl 0796.60077Roberts, G. O.; Jacka, S. D. 4 1994 Optimal co-adapted coupling for the symmetric random walk on the hypercube. Zbl 1147.93047Connor, Stephen; Jacka, Saul 4 2008 Random orderings of the integers and card shuffling. Zbl 1118.60007Jacka, Saul; Warren, Jon 4 2007 Markov chain approximations to scale functions of Lévy processes. Zbl 1328.60120Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul 3 2015 A simple proof of Kramkov’s result on uniform supermartingale decompositions. Zbl 1255.60072Jacka, Saul 3 2012 Statistics in finance. Zbl 0923.62110 2 1998 Examples of convergence and non-convergence of Markov chains conditioned not to die. Zbl 1014.60074Jacka, Saul; Warren, John 2 2002 Non-explosivity of limits of conditioned birth and death processes. Zbl 0874.60070Roberts, G. O.; Jacka, S. D.; Pollett, P. K. 2 1997 The equivalent martingale measure conditions in a general model for interest rates. Zbl 1076.60055Hamza, Kais; Jacka, Saul; Klebaner, Fima 2 2005 Coupling and tracking of regime-switching martingales. Zbl 1333.60085Jacka, Saul; Mijatović, Aleksandar 2 2015 Conditioning an additive functional of a Markov chain to stay nonnegative. I: Survival for a long time. Zbl 1101.60056Jacka, Saul D.; Lazic, Zorana; Warren, Jon 2 2005 Conditioning an additive functional of a Markov chain to stay nonnegative. II: Hitting a high level. Zbl 1152.60340Jacka, Saul D.; Lazic, Zorana; Warren, Jon 2 2005 Tracking a diffusion, and an application to weak convergence. Zbl 0622.60058Barlow, M. T.; Jacka, S. D. 2 1986 A note on the good lambda inequalities. Zbl 0745.60041Jacka, S. D. 2 1989 On the density of properly maximal claims in financial markets with transaction costs. Zbl 1219.60065Jacka, Saul; Berkaoui, Abdelkarem 2 2007 Comparison for measure valued processes with interactions. Zbl 1045.60046Jacka, Saul; Tribe, Roger 2 2003 On representing and hedging claims for coherent risk measures. Zbl 1419.91371Jacka, Saul; Armstrong, Seb; Berkaoui, Abdelkarem 1 2019 Mirror and synchronous couplings of geometric Brownian motions. Zbl 1284.60149Jacka, Saul D.; Mijatović, Aleksandar; Širaj, Dejan 1 2014 Minimising the expected commute time. Zbl 1489.60127Jacka, Saul; Hernández-Hernández, Ma. Elena 1 2022 The noisy veto-voter model: a recursive distributional equation on \([0, 1]\). Zbl 1149.60011Jacka, Saul; Sheehan, Marcus 1 2008 Minimising the expected commute time. Zbl 1489.60127Jacka, Saul; Hernández-Hernández, Ma. Elena 1 2022 On representing and hedging claims for coherent risk measures. Zbl 1419.91371Jacka, Saul; Armstrong, Seb; Berkaoui, Abdelkarem 1 2019 On the regularity of American options with regime-switching uncertainty. Zbl 1395.91521Jacka, Saul D.; Ocejo, Adriana 7 2018 On the policy improvement algorithm in continuous time. Zbl 1380.93289Jacka, Saul D.; Mijatović, Aleksandar 5 2017 Markov chain approximations to scale functions of Lévy processes. Zbl 1328.60120Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul 3 2015 Coupling and tracking of regime-switching martingales. Zbl 1333.60085Jacka, Saul; Mijatović, Aleksandar 2 2015 Monotonicity of the value function for a two-dimensional optimal stopping problem. Zbl 1316.60056Assing, Sigurd; Jacka, Saul; Ocejo, Adriana 6 2014 Markov chain approximations for transition densities of Lévy processes. Zbl 1303.60038Mijatović, Aleksandar; Vidmar, Matija; Jacka, Saul 5 2014 Mirror and synchronous couplings of geometric Brownian motions. Zbl 1284.60149Jacka, Saul D.; Mijatović, Aleksandar; Širaj, Dejan 1 2014 A simple proof of Kramkov’s result on uniform supermartingale decompositions. Zbl 1255.60072Jacka, Saul 3 2012 No arbitrage and closure results for trading cones with transaction costs. Zbl 1199.91052Jacka, Saul; Berkaoui, Abdelkarem; Warren, Jon 5 2008 Optimal co-adapted coupling for the symmetric random walk on the hypercube. Zbl 1147.93047Connor, Stephen; Jacka, Saul 4 2008 The noisy veto-voter model: a recursive distributional equation on \([0, 1]\). Zbl 1149.60011Jacka, Saul; Sheehan, Marcus 1 2008 Random orderings of the integers and card shuffling. Zbl 1118.60007Jacka, Saul; Warren, Jon 4 2007 On the density of properly maximal claims in financial markets with transaction costs. Zbl 1219.60065Jacka, Saul; Berkaoui, Abdelkarem 2 2007 The equivalent martingale measure conditions in a general model for interest rates. Zbl 1076.60055Hamza, Kais; Jacka, Saul; Klebaner, Fima 2 2005 Conditioning an additive functional of a Markov chain to stay nonnegative. I: Survival for a long time. Zbl 1101.60056Jacka, Saul D.; Lazic, Zorana; Warren, Jon 2 2005 Conditioning an additive functional of a Markov chain to stay nonnegative. II: Hitting a high level. Zbl 1152.60340Jacka, Saul D.; Lazic, Zorana; Warren, Jon 2 2005 Comparison for measure valued processes with interactions. Zbl 1045.60046Jacka, Saul; Tribe, Roger 2 2003 Avoiding the origin: A finite-fuel stochastic control problem. Zbl 1027.93043Jacka, Saul 6 2002 Examples of convergence and non-convergence of Markov chains conditioned not to die. Zbl 1014.60074Jacka, Saul; Warren, John 2 2002 Keeping a satellite aloft: Two finite fuel stochastic control models. Zbl 0987.93079Jacka, S. D. 6 1999 Statistics in finance. Zbl 0923.62110 2 1998 On strong forms of weak convergence. Zbl 0890.60005Jacka, S. D.; Roberts, G. O. 8 1997 Non-explosivity of limits of conditioned birth and death processes. Zbl 0874.60070Roberts, G. O.; Jacka, S. D.; Pollett, P. K. 2 1997 Weak convergence of conditioned processes on a countable state space. Zbl 0839.60069Jacka, S. D.; Roberts, G. O. 26 1995 Weak convergence of conditioned birth and death processes. Zbl 0796.60077Roberts, G. O.; Jacka, S. D. 4 1994 Local times, optimal stopping and semimartingales. Zbl 0773.60031Jacka, S. D. 10 1993 Inequalities for non-moderate functions of a pair of stochastic processes. Zbl 0789.60016Jacka, S. D.; Yor, M. 7 1993 A martingale representation result and an application to incomplete financial markets. Zbl 0900.90044Jacka, S. D. 24 1992 Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region. Zbl 0793.60045Jacka, S. D.; Lynn, J. R. 10 1992 Optimal stopping and the American put. Zbl 0900.90109Jacka, S. D. 146 1991 Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\). Zbl 0796.60050Jacka, S. D. 14 1991 A note on the good lambda inequalities. Zbl 0745.60041Jacka, S. D. 2 1989 Doob’s inequalities revisited: A maximal \(H^ 1\)-embedding. Zbl 0653.60038Jacka, S. D. 10 1988 Inequalities for a pair of processes stopped at a random time. Zbl 0585.60055Barlow, M. T.; Jacka, S. D.; Yor, M. 16 1986 Tracking a diffusion, and an application to weak convergence. Zbl 0622.60058Barlow, M. T.; Jacka, S. D. 2 1986 A finite fuel stochastic control problem. Zbl 0495.93068Jacka, S. D. 5 1983 all cited Publications top 5 cited Publications all top 5 Cited by 465 Authors 14 Jacka, Saul D. 8 Gapeev, Pavel V. 8 Palmowski, Zbigniew 8 Peskir, Goran 7 Cox, Alexander Matthew Gordon 7 De Angelis, Tiziano 6 Berkaoui, Abdelkarem 6 Detemple, Jerome B. 6 Hobson, David Graham 6 Yan, Litan 6 Zhu, Songping 5 Ekström, Erik 5 Roberts, Gareth O. 5 van Doorn, Erik A. 5 Zervos, Mihail 4 Chiarella, Carl 4 Jeon, Junkee 4 Kramkov, Dmitriĭ Olegovich 4 Obloj, Jan K. 3 Cai, Cheng 3 Ciurlia, Pierangelo 3 Dias, José Carlos 3 Ferrari, Giorgio 3 Jun, Doobae 3 Kitapbayev, Yerkin 3 Koo, Hyeng Keun 3 Kuhn, Christoph 3 Mallier, Roland 3 Miclo, Laurent 3 Mijatović, Aleksandar 3 Muthuraman, Kumar 3 Nunes, João Pedro Vidal 3 Ocejo, Adriana 3 Rodosthenous, Neofytos 3 Ziveyi, Jonathan 2 Aitsahlia, Farid 2 Alobaidi, Ghada 2 Bayraktar, Erhan 2 Berckmoes, Ben 2 Breyer, Laird Arnault 2 Broadie, Mark N. 2 Cheang, Gerald H. L. 2 Cui, Zhenyu 2 de la Peña, Victor H. 2 Delbaen, Freddy 2 Diaconis, Persi Warren 2 Dochviri, Besarion 2 El Karoui, Nicole 2 Elliott, Robert James 2 Ghysels, Eric 2 Guo, Xin 2 Hart, Andrew G. 2 Henderson, Vicky 2 Hernández-Hernández, Ma. Elena 2 Ivanov, Roman V. 2 Johnson, Timothy C. 2 Kerimkulov, Bekzhan 2 Kim, In Joon 2 Kruse, Thomas 2 Ku, Hyejin 2 Lai, Tze Leung 2 Lazic, Zorana 2 Le, Nhat-Tan 2 Li, Lingfei 2 Li, Minqiang 2 Lu, Ligang 2 Lu, Xiaoping 2 Lundgren, Robin 2 Martinez Aguilera, Servet 2 Mordecki, Ernesto 2 Norgilas, Dominykas 2 Palczewski, Jan 2 Park, Kyunghyun 2 Pistorius, Martijn R. 2 Pollett, Philip K. 2 Qiu, Shi 2 Ren, Yaofeng 2 Rozkosz, Andrzej 2 Ruas, João Pedro 2 Ruf, Johannes 2 Samee, Farman 2 Schachermayer, Walter 2 Shashiashvili, Malkhaz 2 Shirakawa, Hiroshi 2 Silvestrov, Dmitrii 2 Sîrbu, Mihai 2 Šiška, David 2 Stoev, Yavor I. 2 Strack, Philipp 2 Szpruch, Lukasz 2 Tian, Weidong 2 Torrès, Olivier 2 Vaicenavicius, Juozas 2 Vellekoop, Michel H. 2 Vidmar, Matija 2 Warren, Jon 2 Xing, Jie 2 Zaevski, Tsvetelin Stefanov 2 Zhang, Gongqiu 2 Zhang, Jin E. ...and 365 more Authors all top 5 Cited in 108 Serials 27 Stochastic Processes and their Applications 20 Stochastics 15 The Annals of Applied Probability 11 Statistics & Probability Letters 11 Mathematical Finance 10 Journal of Economic Dynamics & Control 9 Advances in Applied Probability 9 International Journal of Theoretical and Applied Finance 9 Quantitative Finance 8 The Annals of Probability 8 Journal of Applied Probability 8 Review of Derivatives Research 7 Applied Mathematics and Optimization 7 Probability Theory and Related Fields 6 Journal of Mathematical Analysis and Applications 6 Insurance Mathematics & Economics 6 European Journal of Operational Research 6 Applied Mathematical Finance 6 Finance and Stochastics 5 Journal of Computational and Applied Mathematics 5 SIAM Journal on Financial Mathematics 4 SIAM Journal on Control and Optimization 4 Stochastic Analysis and Applications 4 Electronic Journal of Probability 3 Journal of Theoretical Probability 3 Bernoulli 3 The ANZIAM Journal 3 Decisions in Economics and Finance 3 Mathematics and Financial Economics 2 Computers & Mathematics with Applications 2 Applied Mathematics and Computation 2 Mathematics of Operations Research 2 Mathematical Social Sciences 2 Mathematical and Computer Modelling 2 Queueing Systems 2 Annals of Operations Research 2 Stochastics and Stochastics Reports 2 Georgian Mathematical Journal 2 Electronic Communications in Probability 2 Mathematical Methods of Operations Research 2 Stochastic Models 2 Stochastics and Dynamics 2 Asia-Pacific Financial Markets 1 Israel Journal of Mathematics 1 Journal of Mathematical Physics 1 Journal of Statistical Physics 1 Mathematical Biosciences 1 Mathematical Notes 1 Physica A 1 Chaos, Solitons and Fractals 1 Inventiones Mathematicae 1 Journal of the American Statistical Association 1 Journal of Differential Equations 1 Journal of Economic Theory 1 Journal of Econometrics 1 Journal of Mathematical Economics 1 Mathematische Annalen 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Proceedings of the American Mathematical Society 1 Topology and its Applications 1 Advances in Applied Mathematics 1 Acta Applicandae Mathematicae 1 Applied Numerical Mathematics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Asia-Pacific Journal of Operational Research 1 Applied Mathematics Letters 1 Journal of Scientific Computing 1 European Journal of Applied Mathematics 1 International Journal of Foundations of Computer Science 1 Games and Economic Behavior 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Journal of Statistical Computation and Simulation 1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 1 Computational Economics 1 Applied Categorical Structures 1 Applied Mathematics. Series B (English Edition) 1 Theory of Probability and Mathematical Statistics 1 Journal of Mathematical Sciences (New York) 1 INFORMS Journal on Computing 1 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Journal of Applied Mathematics and Decision Sciences 1 Discrete Dynamics in Nature and Society 1 Journal of Interdisciplinary Mathematics 1 Acta Mathematica Sinica. English Series 1 Communications in Nonlinear Science and Numerical Simulation 1 Methodology and Computing in Applied Probability 1 Applied Stochastic Models in Business and Industry 1 International Journal of Nonlinear Sciences and Numerical Simulation 1 Discrete and Continuous Dynamical Systems. Series B 1 North American Actuarial Journal 1 Computational Management Science 1 Advances in Difference Equations 1 Boundary Value Problems 1 Journal of Zhejiang University. Science A 1 Proceedings of the Steklov Institute of Mathematics 1 Journal of Fixed Point Theory and Applications 1 Nonlinear Analysis. Hybrid Systems 1 Financial Engineering and the Japanese Markets ...and 8 more Serials all top 5 Cited in 25 Fields 235 Probability theory and stochastic processes (60-XX) 198 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 36 Partial differential equations (35-XX) 36 Systems theory; control (93-XX) 28 Numerical analysis (65-XX) 20 Statistics (62-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 12 Integral equations (45-XX) 12 Operations research, mathematical programming (90-XX) 7 Ordinary differential equations (34-XX) 6 Biology and other natural sciences (92-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 3 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Measure and integration (28-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral transforms, operational calculus (44-XX) 2 Operator theory (47-XX) 2 Computer science (68-XX) 1 Category theory; homological algebra (18-XX) 1 Potential theory (31-XX) 1 Approximations and expansions (41-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year