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Protter, Philip Elliott

Author ID: protter.philip-e Recent zbMATH articles by "Protter, Philip Elliott"
Published as: Protter, Philip; Protter, P.; Protter, Philip E.; Protter, Ph. E.
Homepage: http://www.stat.columbia.edu/~protter/
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

96 Publications have been cited 4,305 times in 3,380 Documents Cited by Year
Stochastic integration and differential equations. 2nd ed. Zbl 1041.60005
Protter, Philip E.
842
2004
Stochastic integration and differential equations. A new approach. Zbl 0694.60047
Protter, Philip
572
1990
Solving forward-backward stochastic differential equations explicitly – a four step scheme. Zbl 0794.60056
Ma, Jin; Protter, Philip; Yong, Jiongmin
330
1994
Weak limit theorems for stochastic integrals and stochastic differential equations. Zbl 0742.60053
Kurtz, Thomas G.; Protter, Philip
254
1991
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
198
2012
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
154
1998
The Euler scheme for Lévy driven stochastic differential equations. Zbl 0876.60030
Protter, Philip; Talay, Denis
122
1997
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
117
2004
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
105
2002
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
75
2002
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
73
1996
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
66
1980
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
66
2003
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
65
2010
Wong-Zakai corrections, random evolutions, and simulation schemes for SDE’s. Zbl 0762.60047
Kurtz, Thomas G.; Protter, Philip
62
1991
Volterra equations driven by semimartingales. Zbl 0567.60065
Protter, Philip
58
1985
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
53
2005
On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Zbl 0363.60044
Protter, Philip E.
50
1977
Stochastic Volterra equations with anticipating coefficients. Zbl 0717.60073
Pardoux, Etienne; Protter, Philip
49
1990
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
47
1995
Stratonovich stochastic differential equations driven by general semimartingales. Zbl 0823.60046
Kurtz, Thomas G.; Pardoux, Étienne; Protter, Philip
46
1995
A mathematical theory of financial bubbles. Zbl 1277.91134
Protter, Philip
44
2013
From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046
Duffie, Darrell; Protter, Philip
43
1992
No arbitrage and general semimartingales. Zbl 1179.60022
Protter, Philip; Shimbo, Kazuhiro
41
2008
Weak convergence of stochastic integrals and differential equations. I. Zbl 0862.60041
Kurtz, Thomas G.; Protter, Philip E.
39
1996
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
39
2001
Asset price bubbles in complete markets. Zbl 1154.91452
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
37
2007
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
37
2010
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
35
1988
Weak convergence of stochastic integrals and differential equations. II: Infinite dimensional case. Zbl 0862.60042
Kurtz, Thomas G.; Protter, Philip E.
33
1996
Analysis of continuous strict local martingales via \(h\)-transforms. Zbl 1198.60020
Pal, Soumik; Protter, Philip
33
2010
Approximations of solutions of stochastic differential equations driven by semimartingales. Zbl 0578.60055
Protter, Philip
33
1985
A two-sided stochastic integral and its calculus. Zbl 0608.60058
Pardoux, E.; Protter, P.
29
1987
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
26
2000
Modeling credit risk with partial information. Zbl 1048.60048
Çetin, Umut; Jarrow, Robert; Protter, Philip; Yildirim, Yildiray
24
2004
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
24
2011
No arbitrage without semimartingales. Zbl 1172.60027
Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
21
2009
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
20
2000
Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073
Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip
16
2013
Probabilistic models for nonlinear partial differential equations. Lectures given at the 1st session of the Centro Internazionale Matematico Estivo, Montecatini Terme, Italy, May 22-30, 1995. Zbl 0844.00022
14
1996
Progressive filtration expansions via a process, with applications to insider trading. Zbl 1344.60037
Kchia, Younes; Protter, Philip
14
2015
An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197
Blais, Marcel; Protter, Philip
13
2010
A comparison of stochastic integrals. Zbl 0404.60062
Protter, Philip
13
1979
Forward and futures prices with bubbles. Zbl 1195.91158
Jarrow, Robert A.; Protter, Philip
13
2009
On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077
Föllmer, Hans; Protter, Philip
12
2000
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
12
1982
Complete markets with discontinuous security price. Zbl 0930.91014
Dritschel, Michael; Protter, Philip
11
1999
Linking progressive and initial filtration expansions. Zbl 1317.60047
Kchia, Younes; Larsson, Martin; Protter, Philip
11
2013
A liquidity-based model for asset price bubbles. Zbl 1279.91160
Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F.
11
2012
Right-continuous solutions of systems of stochastic integral equations. Zbl 0363.60045
Protter, Philip
11
1977
Anticipating integrals for a class of martingales. Zbl 0897.60058
Ma, Jin; Protter, Philip; San Martin, Jaime
10
1998
Information reduction via level crossings in a credit risk models. Zbl 1143.91031
Jarrow, Robert A.; Protter, Philip; Sezer, A. Denis
10
2007
Hedging claims with feedback jumps in the price process. Zbl 1331.91179
Lee, Kiseop; Protter, Philip
10
2008
The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142
Kohatsu-Higa, A.; Protter, P.
9
1994
A partial introduction to financial asset pricing theory. Zbl 1048.91067
Protter, Philip
9
2001
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
8
2011
Semimartingales and measure preserving flows. Zbl 0598.60046
Protter, Philip
8
1986
On convergence of semimartingales. Zbl 0703.60041
Barlow, Martin T.; Protter, Philip
7
1990
Absolutely continuous compensators. Zbl 1231.91465
Janson, Svante; M’Baye, Sokhna; Protter, Philip
7
2011
Stochastic differential equations with jump reflection at the boundary. Zbl 0429.60057
Protter, Philip
7
1980
\(H^2\) stability of solutions of stochastic differential equations. Zbl 0378.60042
Protter, Philip
7
1978
Positive alphas, abnormal performance, and illusory arbitrage. Zbl 1282.91117
Jarrow, Robert; Protter, Philip
7
2013
Characterizing the weak convergence of stochastic integrals. Zbl 0738.60053
Kurtz, Thomas G.; Protter, Philip
6
1991
A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051
Jacod, J.; Protter, P.
6
1991
A short history of stochastic integration and mathematical finance: the early years, 1880–1970. Zbl 1268.01017
Jarrow, Robert; Protter, Philip
6
2004
\(H^p\) stability of solutions of stochastic differential equations. Zbl 0369.60072
Protter, Philip
6
1978
Strict local martingales with jumps. Zbl 1322.60048
Protter, Philip
6
2015
Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113
Jarrow, Robert; Protter, Philip
6
2016
On semimartingale decompositions of convex functions of semimartingales. Zbl 0741.60035
Carlen, Eric; Protter, Philip
5
1992
Markov solutions of stochastic differential equations. Zbl 0349.60063
Protter, Philip
5
1977
The law of the Euler scheme for stochastic differential equations. Zbl 0925.60064
Bally, V.; Protter, P.; Talay, D.
4
1996
The effect of trading futures on short sale constraints. Zbl 1320.91144
Jarrow, Robert; Protter, Philip; Pulido, Sergio
4
2015
A connection between the expansion of filtrations and Girsanov’s theorem. Zbl 0669.60055
Protter, Philip
3
1989
A dysfunctional role of high frequency trading in electronic markets. Zbl 1241.91116
Jarrow, Robert A.; Protter, Philip
3
2012
The lifetime of a financial bubble. Zbl 1404.91271
Obayashi, Yoshiki; Protter, Philip; Yang, Shihao
3
2017
Martingales with given absolute value. Zbl 0421.60041
Protter, P.; Sharpe, M. J.
3
1979
Some formulas for anticipative Girsanov transformations. Zbl 0853.60047
León, Jorge A.; Protter, Philip
2
1994
An elementary approach to naturality, predictability, and the fundamental theorem of local martingales. Zbl 0998.60041
O’Cinneide, Colm; Protter, Philip
2
2001
General change of variable formulas for semimartingales in one and finite dimensions. Zbl 0792.60045
Protter, Philip; San Martin, Jaime
2
1993
Joseph Leo Doob, 1910–2004. Zbl 1073.01516
Burkholder, Donald; Protter, Philip
2
2005
Probability essentials. Translated from the 2003 English original. (L’essentiel en théorie de probabilités. Traduit de 2003 l’anglais original.) Zbl 1105.60001
Jacod, Jean; Protter, Philip
2
2003
Options prices in incomplete markets. Zbl 1407.91251
Jacod, Jean; Protter, Philip
2
2017
Stochastic integration without tears (with apology to P. A. Meyer). Zbl 0597.60040
Protter, Philip
2
1986
Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients. Zbl 07188050
Protter, Philip; Qiu, Lisha; Martin, Jaime San
2
2020
A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007
Jacod, Jean; Protter, Philip
1
1993
Strict local martingales via filtration enlargement. Zbl 1462.60053
Dandapani, Aditi; Protter, Philip
1
2020
An extension of Kazamaki’s results on BMO differentials. Zbl 0446.60042
Protter, Philip
1
1980
Point process differentials with evolving intensities. Zbl 0514.60055
Protter, Philip
1
1983
Explicit form and path regularity of martingale representations. Zbl 0979.60027
Ma, Jin; Protter, Philip; Zhang, Jianfeng
1
2001
Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip
1
2016
Liquidity suppliers and high frequency trading. Zbl 1320.91170
Jarrow, Robert; Protter, Philip
1
2015
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
1
2013
A rational asset pricing model for premiums and discounts on closed-end funds: the bubble theory. Zbl 1435.91187
Jarrow, Robert; Protter, Philip
1
2019
Strict local martingales and the Khasminskii test for explosions. Zbl 1494.60046
Dandapani, Aditi; Protter, Philip
1
2022
Asset price bubbles: invariance theorems. Zbl 1498.91469
Jarrow, Robert; Protter, Philip; San Martin, Jaime
1
2022
Expansion of a filtration with a stochastic process: the information drift. Zbl 1515.60121
Neufcourt, Léo; Protter, Philip
1
2023
Expansion of a filtration with a stochastic process: the information drift. Zbl 1515.60121
Neufcourt, Léo; Protter, Philip
1
2023
Strict local martingales and the Khasminskii test for explosions. Zbl 1494.60046
Dandapani, Aditi; Protter, Philip
1
2022
Asset price bubbles: invariance theorems. Zbl 1498.91469
Jarrow, Robert; Protter, Philip; San Martin, Jaime
1
2022
Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients. Zbl 07188050
Protter, Philip; Qiu, Lisha; Martin, Jaime San
2
2020
Strict local martingales via filtration enlargement. Zbl 1462.60053
Dandapani, Aditi; Protter, Philip
1
2020
A rational asset pricing model for premiums and discounts on closed-end funds: the bubble theory. Zbl 1435.91187
Jarrow, Robert; Protter, Philip
1
2019
The lifetime of a financial bubble. Zbl 1404.91271
Obayashi, Yoshiki; Protter, Philip; Yang, Shihao
3
2017
Options prices in incomplete markets. Zbl 1407.91251
Jacod, Jean; Protter, Philip
2
2017
Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113
Jarrow, Robert; Protter, Philip
6
2016
Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip
1
2016
Progressive filtration expansions via a process, with applications to insider trading. Zbl 1344.60037
Kchia, Younes; Protter, Philip
14
2015
Strict local martingales with jumps. Zbl 1322.60048
Protter, Philip
6
2015
The effect of trading futures on short sale constraints. Zbl 1320.91144
Jarrow, Robert; Protter, Philip; Pulido, Sergio
4
2015
Liquidity suppliers and high frequency trading. Zbl 1320.91170
Jarrow, Robert; Protter, Philip
1
2015
A mathematical theory of financial bubbles. Zbl 1277.91134
Protter, Philip
44
2013
Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073
Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip
16
2013
Linking progressive and initial filtration expansions. Zbl 1317.60047
Kchia, Younes; Larsson, Martin; Protter, Philip
11
2013
Positive alphas, abnormal performance, and illusory arbitrage. Zbl 1282.91117
Jarrow, Robert; Protter, Philip
7
2013
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
1
2013
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
198
2012
A liquidity-based model for asset price bubbles. Zbl 1279.91160
Jarrow, Robert A.; Protter, Philip; Roch, Alexandre F.
11
2012
A dysfunctional role of high frequency trading in electronic markets. Zbl 1241.91116
Jarrow, Robert A.; Protter, Philip
3
2012
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
24
2011
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
8
2011
Absolutely continuous compensators. Zbl 1231.91465
Janson, Svante; M’Baye, Sokhna; Protter, Philip
7
2011
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
65
2010
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
37
2010
Analysis of continuous strict local martingales via \(h\)-transforms. Zbl 1198.60020
Pal, Soumik; Protter, Philip
33
2010
An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197
Blais, Marcel; Protter, Philip
13
2010
No arbitrage without semimartingales. Zbl 1172.60027
Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
21
2009
Forward and futures prices with bubbles. Zbl 1195.91158
Jarrow, Robert A.; Protter, Philip
13
2009
No arbitrage and general semimartingales. Zbl 1179.60022
Protter, Philip; Shimbo, Kazuhiro
41
2008
Hedging claims with feedback jumps in the price process. Zbl 1331.91179
Lee, Kiseop; Protter, Philip
10
2008
Asset price bubbles in complete markets. Zbl 1154.91452
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
37
2007
Information reduction via level crossings in a credit risk models. Zbl 1143.91031
Jarrow, Robert A.; Protter, Philip; Sezer, A. Denis
10
2007
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
53
2005
Joseph Leo Doob, 1910–2004. Zbl 1073.01516
Burkholder, Donald; Protter, Philip
2
2005
Stochastic integration and differential equations. 2nd ed. Zbl 1041.60005
Protter, Philip E.
842
2004
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
117
2004
Modeling credit risk with partial information. Zbl 1048.60048
Çetin, Umut; Jarrow, Robert; Protter, Philip; Yildirim, Yildiray
24
2004
A short history of stochastic integration and mathematical finance: the early years, 1880–1970. Zbl 1268.01017
Jarrow, Robert; Protter, Philip
6
2004
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
66
2003
Probability essentials. Translated from the 2003 English original. (L’essentiel en théorie de probabilités. Traduit de 2003 l’anglais original.) Zbl 1105.60001
Jacod, Jean; Protter, Philip
2
2003
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
105
2002
Numerical method for backward stochastic differential equations. Zbl 1017.60074
Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad
75
2002
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
39
2001
A partial introduction to financial asset pricing theory. Zbl 1048.91067
Protter, Philip
9
2001
An elementary approach to naturality, predictability, and the fundamental theorem of local martingales. Zbl 0998.60041
O’Cinneide, Colm; Protter, Philip
2
2001
Explicit form and path regularity of martingale representations. Zbl 0979.60027
Ma, Jin; Protter, Philip; Zhang, Jianfeng
1
2001
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
26
2000
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
20
2000
On Itô’s formula for multidimensional Brownian motion. Zbl 0955.60077
Föllmer, Hans; Protter, Philip
12
2000
Complete markets with discontinuous security price. Zbl 0930.91014
Dritschel, Michael; Protter, Philip
11
1999
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
154
1998
Anticipating integrals for a class of martingales. Zbl 0897.60058
Ma, Jin; Protter, Philip; San Martin, Jaime
10
1998
The Euler scheme for Lévy driven stochastic differential equations. Zbl 0876.60030
Protter, Philip; Talay, Denis
122
1997
Numerical methods for forward-backward stochastic differential equations. Zbl 0861.65131
Douglas, Jim jun.; Ma, Jin; Protter, Philip
73
1996
Weak convergence of stochastic integrals and differential equations. I. Zbl 0862.60041
Kurtz, Thomas G.; Protter, Philip E.
39
1996
Weak convergence of stochastic integrals and differential equations. II: Infinite dimensional case. Zbl 0862.60042
Kurtz, Thomas G.; Protter, Philip E.
33
1996
Probabilistic models for nonlinear partial differential equations. Lectures given at the 1st session of the Centro Internazionale Matematico Estivo, Montecatini Terme, Italy, May 22-30, 1995. Zbl 0844.00022
14
1996
The law of the Euler scheme for stochastic differential equations. Zbl 0925.60064
Bally, V.; Protter, P.; Talay, D.
4
1996
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
47
1995
Stratonovich stochastic differential equations driven by general semimartingales. Zbl 0823.60046
Kurtz, Thomas G.; Pardoux, Étienne; Protter, Philip
46
1995
Solving forward-backward stochastic differential equations explicitly – a four step scheme. Zbl 0794.60056
Ma, Jin; Protter, Philip; Yong, Jiongmin
330
1994
The Euler scheme for SDE’s driven by semimartingales. Zbl 0814.65142
Kohatsu-Higa, A.; Protter, P.
9
1994
Some formulas for anticipative Girsanov transformations. Zbl 0853.60047
León, Jorge A.; Protter, Philip
2
1994
General change of variable formulas for semimartingales in one and finite dimensions. Zbl 0792.60045
Protter, Philip; San Martin, Jaime
2
1993
A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007
Jacod, Jean; Protter, Philip
1
1993
From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046
Duffie, Darrell; Protter, Philip
43
1992
On semimartingale decompositions of convex functions of semimartingales. Zbl 0741.60035
Carlen, Eric; Protter, Philip
5
1992
Weak limit theorems for stochastic integrals and stochastic differential equations. Zbl 0742.60053
Kurtz, Thomas G.; Protter, Philip
254
1991
Wong-Zakai corrections, random evolutions, and simulation schemes for SDE’s. Zbl 0762.60047
Kurtz, Thomas G.; Protter, Philip
62
1991
Characterizing the weak convergence of stochastic integrals. Zbl 0738.60053
Kurtz, Thomas G.; Protter, Philip
6
1991
A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051
Jacod, J.; Protter, P.
6
1991
Stochastic integration and differential equations. A new approach. Zbl 0694.60047
Protter, Philip
572
1990
Stochastic Volterra equations with anticipating coefficients. Zbl 0717.60073
Pardoux, Etienne; Protter, Philip
49
1990
On convergence of semimartingales. Zbl 0703.60041
Barlow, Martin T.; Protter, Philip
7
1990
A connection between the expansion of filtrations and Girsanov’s theorem. Zbl 0669.60055
Protter, Philip
3
1989
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
35
1988
A two-sided stochastic integral and its calculus. Zbl 0608.60058
Pardoux, E.; Protter, P.
29
1987
Semimartingales and measure preserving flows. Zbl 0598.60046
Protter, Philip
8
1986
Stochastic integration without tears (with apology to P. A. Meyer). Zbl 0597.60040
Protter, Philip
2
1986
Volterra equations driven by semimartingales. Zbl 0567.60065
Protter, Philip
58
1985
Approximations of solutions of stochastic differential equations driven by semimartingales. Zbl 0578.60055
Protter, Philip
33
1985
Point process differentials with evolving intensities. Zbl 0514.60055
Protter, Philip
1
1983
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
12
1982
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
66
1980
Stochastic differential equations with jump reflection at the boundary. Zbl 0429.60057
Protter, Philip
7
1980
An extension of Kazamaki’s results on BMO differentials. Zbl 0446.60042
Protter, Philip
1
1980
A comparison of stochastic integrals. Zbl 0404.60062
Protter, Philip
13
1979
Martingales with given absolute value. Zbl 0421.60041
Protter, P.; Sharpe, M. J.
3
1979
\(H^2\) stability of solutions of stochastic differential equations. Zbl 0378.60042
Protter, Philip
7
1978
\(H^p\) stability of solutions of stochastic differential equations. Zbl 0369.60072
Protter, Philip
6
1978
On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations. Zbl 0363.60044
Protter, Philip E.
50
1977
Right-continuous solutions of systems of stochastic integral equations. Zbl 0363.60045
Protter, Philip
11
1977
Markov solutions of stochastic differential equations. Zbl 0349.60063
Protter, Philip
5
1977
all top 5

Cited by 3,556 Authors

44 Protter, Philip Elliott
33 Jarrow, Robert Alan
31 Ma, Jin
28 Jacod, Jean
28 Todorov, Viktor
28 Yong, Jiongmin
26 Wang, Yongjin
25 Podolskij, Mark
22 Wu, Zhen
21 Ji, Shaolin
21 Mykland, Per Aslak
21 Platen, Eckhard
19 Ouknine, Youssef
19 Russo, Francesco
18 Zhao, Weidong
17 Klimsiak, Tomasz
15 Biagini, Francesca
15 Bo, Lijun
15 Li, Jia
15 Øksendal, Bernt Karsten
15 Yu, Zhiyong
15 Zhang, Xicheng
14 Jeanblanc, Monique
14 Michta, Mariusz
14 Vetter, Mathias
13 El Otmani, Mohamed
13 Kohatsu-Higa, Arturo
13 Soner, Halil Mete
13 Yan, Litan
13 Zhang, Jianfeng
13 Zhang, Lan
12 Aït-Sahalia, Yacine
12 Bouchard, Bruno
12 Delarue, François
12 Nualart, David
12 Pavlyukevich, Ilya
12 Song, Shiyu
12 Touzi, Nizar
12 Yor, Marc
11 Bayraktar, Erhan
11 Del Moral, Pierre
11 Figueroa-López, José E.
11 Högele, Michael Anton
11 Kebaier, Ahmed
11 Lee, Kiseop
11 Słomiński, Leszek
11 Tang, Shanjian
11 Tauchen, George E.
10 Antonelli, Fabio
10 Bank, Peter
10 Crisan, Dan O.
10 Fukasawa, Masaaki
10 Gobet, Emmanuel
10 Imkeller, Peter
10 Ruf, Johannes
10 Xiong, Jie
10 Yang, Xuewei
9 Alvarez, Luis H. R.
9 Bao, Feng
9 Barndorff-Nielsen, Ole Eiler
9 Basse-O’Connor, Andreas
9 Belomestny, Denis
9 Bender, Christian
9 Benth, Fred Espen
9 Budhiraja, Amarjit S.
9 Dolinsky, Yan
9 Duan, Jinqiao
9 Hamadene, Saïd
9 Hu, Ying
9 Klüppelberg, Claudia
9 Kurtz, Thomas Gordon
9 Li, Yingying
9 Mishura, Yuliya Stepanivna
9 Pagès, Gilles
9 Peng, Shige
9 Schweizer, Martin
9 Shi, Yufeng
9 Tankov, Peter
9 Young, Virginia R.
9 Žitković, Gordan
8 Ankirchner, Stefan
8 Carmona, René A.
8 Çetin, Umut
8 Christensen, Kim
8 Cretarola, Alessandra
8 Fontana, Claudio
8 Gloter, Arnaud
8 Jasra, Ajay
8 Jentzen, Arnulf
8 Kardaras, Constantinos
8 Kuhn, Christoph
8 Kyprianou, Andreas E.
8 Liu, Meng
8 Liu, Xianming
8 Motyl, Jerzy
8 Pardoux, Etienne
8 Qiao, Huijie
8 Roch, Alexandre F.
8 Rosenbaum, Mathieu
8 San Martín, Jaime
...and 3,456 more Authors
all top 5

Cited in 418 Serials

337 Stochastic Processes and their Applications
149 The Annals of Applied Probability
98 Journal of Econometrics
97 Stochastic Analysis and Applications
93 Finance and Stochastics
78 The Annals of Probability
71 Statistics & Probability Letters
71 Mathematical Finance
66 Bernoulli
66 International Journal of Theoretical and Applied Finance
66 Stochastics
53 Journal of Mathematical Analysis and Applications
49 Quantitative Finance
47 Insurance Mathematics & Economics
47 Journal of Theoretical Probability
45 Probability Theory and Related Fields
43 Stochastics and Dynamics
38 Journal of Computational and Applied Mathematics
38 SIAM Journal on Control and Optimization
35 Econometric Theory
35 SIAM Journal on Financial Mathematics
34 Electronic Journal of Probability
33 Journal of Applied Probability
30 Journal of Functional Analysis
29 Mathematics and Financial Economics
28 The Annals of Statistics
27 Applied Mathematics and Computation
27 Journal of Economic Dynamics & Control
26 Applied Mathematics and Optimization
25 Advances in Applied Probability
24 Journal of Differential Equations
24 Applied Mathematical Finance
23 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
22 Asia-Pacific Financial Markets
21 Methodology and Computing in Applied Probability
21 Annals of Finance
20 Electronic Journal of Statistics
19 Physica A
18 Journal of Mathematical Economics
18 Communications in Statistics. Theory and Methods
18 Science China. Mathematics
17 Systems & Control Letters
17 Discrete and Continuous Dynamical Systems. Series B
16 Stochastics
16 Probability, Uncertainty and Quantitative Risk
15 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
15 European Journal of Operational Research
15 Review of Derivatives Research
14 Journal of Optimization Theory and Applications
14 Transactions of the American Mathematical Society
13 Advances in Difference Equations
12 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
12 Random Operators and Stochastic Equations
12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
12 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
12 Mathematical Methods of Operations Research
12 Decisions in Economics and Finance
12 Stochastic Models
11 Journal of Mathematical Physics
11 Acta Mathematicae Applicatae Sinica. English Series
11 Statistical Inference for Stochastic Processes
11 Mathematical Control and Related Fields
10 Journal of Statistical Physics
10 Journal of Time Series Analysis
10 Potential Analysis
10 Communications in Nonlinear Science and Numerical Simulation
10 Comptes Rendus. Mathématique. Académie des Sciences, Paris
9 Lithuanian Mathematical Journal
9 Automatica
9 Monte Carlo Methods and Applications
9 Electronic Communications in Probability
9 Journal of Systems Science and Complexity
8 Computers & Mathematics with Applications
8 Journal of Computational Physics
8 Journal of Economic Theory
8 Journal of Statistical Planning and Inference
8 Queueing Systems
8 Annals of Operations Research
8 Computational Statistics and Data Analysis
8 Stochastics and Stochastics Reports
8 Theory of Probability and Mathematical Statistics
8 Scandinavian Actuarial Journal
8 Frontiers of Mathematical Finance
7 Annals of the Institute of Statistical Mathematics
7 Journal of Multivariate Analysis
7 Mathematics of Operations Research
7 Econometric Reviews
7 Journal of Scientific Computing
7 Journal of Applied Mathematics and Stochastic Analysis
7 NoDEA. Nonlinear Differential Equations and Applications
7 Bulletin des Sciences Mathématiques
7 Mathematical Problems in Engineering
7 Abstract and Applied Analysis
7 ASTIN Bulletin
7 ALEA. Latin American Journal of Probability and Mathematical Statistics
7 SIAM/ASA Journal on Uncertainty Quantification
7 Modern Stochastics. Theory and Applications
6 Scandinavian Journal of Statistics
6 Chaos, Solitons and Fractals
6 Theory of Probability and its Applications
...and 318 more Serials
all top 5

Cited in 52 Fields

2,608 Probability theory and stochastic processes (60-XX)
1,247 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
550 Statistics (62-XX)
391 Numerical analysis (65-XX)
391 Systems theory; control (93-XX)
311 Partial differential equations (35-XX)
212 Calculus of variations and optimal control; optimization (49-XX)
142 Ordinary differential equations (34-XX)
92 Biology and other natural sciences (92-XX)
89 Operations research, mathematical programming (90-XX)
76 Dynamical systems and ergodic theory (37-XX)
50 Integral equations (45-XX)
48 Operator theory (47-XX)
45 Statistical mechanics, structure of matter (82-XX)
38 Global analysis, analysis on manifolds (58-XX)
29 Functional analysis (46-XX)
29 Computer science (68-XX)
28 Quantum theory (81-XX)
25 Measure and integration (28-XX)
24 Real functions (26-XX)
21 Fluid mechanics (76-XX)
18 Harmonic analysis on Euclidean spaces (42-XX)
15 Approximations and expansions (41-XX)
12 Difference and functional equations (39-XX)
10 Mechanics of particles and systems (70-XX)
9 Potential theory (31-XX)
9 Integral transforms, operational calculus (44-XX)
9 Information and communication theory, circuits (94-XX)
8 History and biography (01-XX)
8 Special functions (33-XX)
7 Combinatorics (05-XX)
7 Number theory (11-XX)
6 Functions of a complex variable (30-XX)
4 General and overarching topics; collections (00-XX)
4 Topological groups, Lie groups (22-XX)
4 Geophysics (86-XX)
3 Convex and discrete geometry (52-XX)
3 Mechanics of deformable solids (74-XX)
3 Mathematics education (97-XX)
2 Mathematical logic and foundations (03-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Abstract harmonic analysis (43-XX)
2 Differential geometry (53-XX)
2 Optics, electromagnetic theory (78-XX)
1 Algebraic geometry (14-XX)
1 Associative rings and algebras (16-XX)
1 Group theory and generalizations (20-XX)
1 General topology (54-XX)
1 Manifolds and cell complexes (57-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Relativity and gravitational theory (83-XX)

Citations by Year