Edit Profile (opens in new tab) Rogers, L. C. G. Co-Author Distance Author ID: rogers.l-c-g Published as: Rogers, L. C. G.; Rogers, L.-C.-G. Documents Indexed: 128 Publications since 1978, including 5 Books 2 Contributions as Editor Co-Authors: 54 Co-Authors with 80 Joint Publications 1,498 Co-Co-Authors all top 5 Co-Authors 46 single-authored 13 Williams, David 5 Hobson, David Graham 4 Ernst, Philip A. 4 Jansons, Kalvis M. 4 Shi, Zhan 4 Walsh, John Bradstreet 3 Bruss, Franz Thomas 3 Duembgen, Moritz 3 Lindvall, Torgny 2 Brown, Haydyn 2 Jobert, A. 2 London, R. R. 2 McKean, Henry P. jun. 2 Nishide, Katsumasa 2 Norris, James R. 2 Stapleton, E. J. 2 Talay, Denis 2 Zane, Omar 2 Zhou, Quan 1 Aquilina, John 1 Barbour, Andrew David 1 Barlow, Martin T. 1 Bingham, Nicholas Hugh 1 Çetin, Umut 1 Chan, Terence 1 Dean, David S. 1 Desmettre, Sascha 1 di Graziano, Giuseppe 1 di Graziano, Guiseppe 1 Durrett, Richard Timothy 1 Embrechts, Paul 1 Goldie, Charles M. 1 Gonon, Lukas 1 Heritage, Jonathan P. 1 Hilberink, Bianca 1 Imkeller, Nora 1 Joubert, Adriaan 1 Kagan, Abram Meerovich 1 Klein, Irene 1 Kluge, Tino 1 Lamberton, Damien 1 Leobacher, Gunther 1 Muraviev, Roman 1 Pitman, Jim William 1 Price, Gareth C. 1 Scheinkman, José Alexandre 1 Shepp, Lawrence Alan 1 Singh, Surbjeet 1 Stummer, Wolfgang 1 Tehranchi, Michael R. 1 Yor, Marc 1 Yousaf, F. A. 1 Zhang, Liang 1 Zhou, Fanyin all top 5 Serials 12 Journal of Applied Probability 11 Mathematical Finance 8 Probability Theory and Related Fields 6 The Annals of Applied Probability 6 Finance and Stochastics 5 Stochastic Processes and their Applications 4 The Annals of Probability 4 Mathematics and Financial Economics 3 Advances in Applied Probability 3 Mathematical Proceedings of the Cambridge Philosophical Society 3 Bulletin of the London Mathematical Society 3 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 3 Stochastics and Stochastics Reports 3 International Journal of Theoretical and Applied Finance 2 SIAM Journal on Control and Optimization 2 Transactions of the American Mathematical Society 2 Quantitative Finance 2 Publications of the Newton Institute 2 SIAM Journal on Financial Mathematics 1 Communications in Mathematical Physics 1 IMA Journal of Applied Mathematics 1 Journal of Statistical Physics 1 Journal of the London Mathematical Society. Second Series 1 Mathematics of Operations Research 1 Proceedings of the London Mathematical Society. Third Series 1 Sankhyā. Series A. Methods and Techniques 1 Insurance Mathematics & Economics 1 Monte Carlo Methods and Applications 1 Electronic Communications in Probability 1 Decisions in Economics and Finance 1 Stochastics 1 Annals of Finance 1 SpringerBriefs in Quantitative Finance 1 Wiley Series in Probability and Mathematical Statistics all top 5 Fields 90 Probability theory and stochastic processes (60-XX) 55 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Statistics (62-XX) 8 Systems theory; control (93-XX) 4 Operations research, mathematical programming (90-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 General and overarching topics; collections (00-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Measure and integration (28-XX) 2 Functions of a complex variable (30-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Ordinary differential equations (34-XX) 1 Sequences, series, summability (40-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Numerical analysis (65-XX) 1 Fluid mechanics (76-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 108 Publications have been cited 3,121 times in 2,745 Documents Cited by ▼ Year ▼ Diffusions, Markov processes, and martingales. Vol. 2: Itô calculus. 2nd ed. Zbl 0977.60005Rogers, L. C. G.; Williams, David 313 2000 Diffusions, Markov processes, and martingales. Volume 2: Itô calculus. Zbl 0627.60001Rogers, L. C. G.; Williams, David 242 1987 Diffusions, Markov processes and martingales. Vol. 1: Foundations. 2nd ed. Zbl 0949.60003Rogers, L. C. G.; Williams, David 212 2000 Diffusions, Markov processes, and martingales. Vol. 1: Foundations. 2nd ed. Zbl 0826.60002Rogers, L. C. G.; Williams, David 186 1994 The value of an Asian option. Zbl 0839.90013Rogers, L. C. G.; Shi, Z. 181 1995 Arbitrage with fractional Brownian motion. Zbl 0884.90045Rogers, L. C. G. 159 1997 Monte Carlo valuation of American options. Zbl 1029.91036Rogers, L. C. G. 133 2002 Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052Rogers, L. C. G. 113 1994 Markov functions. Zbl 0466.60070Rogers, L. C. G.; Pitman, J. W. 96 1981 Complete models with stochastic volatility. Zbl 0908.90012Hobson, David G.; Rogers, L. C. G. 95 1998 Coupling of multidimensional diffusions by reflection. Zbl 0593.60076Lindvall, Torgny; Rogers, L. C. G. 85 1986 Robust hedging of barrier options. Zbl 1047.91024Brown, Haydyn; Hobson, David; Rogers, L. C. G. 64 2001 Interacting Brownian particles and the Wigner law. Zbl 0794.60100Rogers, L. C. G.; Shi, Z. 64 1993 Optimal capital structure and endogenous default. Zbl 1002.91019Hilberink, Bianca; Rogers, L. C. G. 58 2002 Option pricing with Markov-modulated dynamics. Zbl 1158.91380Jobert, A.; Rogers, L. C. G. 58 2006 Valuations and dynamic convex risk measures. Zbl 1138.91501Jobert, A.; Rogers, L. C. G. 50 2008 Modeling liquidity effects in discrete time. Zbl 1278.91125Çetin, Umut; Rogers, L. C. G. 48 2007 The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046Rogers, L. C. G. 48 1997 The cost of illiquidity and its effects on hedging. Zbl 1232.91635Rogers, L. C. G.; Singh, Surbjeet 46 2010 The relaxed investor and parameter uncertainty. Zbl 0993.91017Rogers, L. C. G. 44 2001 Evaluating first-passage probabilities for spectrally one-sided Lévy processes. Zbl 0981.60048Rogers, L. C. G. 41 2000 Estimating variance from high, low and closing prices. Zbl 0739.62084Rogers, L. C. G.; Satchell, S. E. 37 1991 Pathwise stochastic optimal control. Zbl 1155.90019Rogers, L. C. G. 29 2007 Asymptotic behavior of Brownian polymers. Zbl 0767.60080Durrett, R. T.; Rogers, L. C. G. 28 1992 Smooth transition densities for one-dimensional diffusions. Zbl 0604.60077Rogers, L. C. G. 27 1985 Self-avoiding random walk: A Brownian motion model with local time drift. Zbl 0611.60052Norris, J. R.; Rogers, L. C. G.; Williams, David 26 1987 Equivalent martingale measures and no-arbitrage. Zbl 0851.60042Rogers, L. C. G. 25 1994 Optimal investment. Zbl 1264.91119Rogers, L. C. G. 24 2013 A guided tour through excursions. Zbl 0689.60075Rogers, L. C. G. 22 1989 Can the implied volatility surface move by parallel shifts? Zbl 1224.91197Rogers, L. C. G.; Tehranchi, M. R. 22 2010 Local time and stochastic area integrals. Zbl 0729.60073Rogers, L. C. G.; Walsh, J. B. 22 1991 Ito excursion theory via resolvents. Zbl 0528.60073Rogers, L. C. G. 20 1983 The joint law of the maximum and terminal value of a martingale. Zbl 0794.60042Rogers, L. C. G. 19 1993 Recurrence and transience of reflecting Brownian motion in the quadrant. Zbl 0776.60100Hobson, D. G.; Rogers, L. C. G. 19 1993 Brownian motions of ellipsoids. Zbl 0613.60072Norris, J. R.; Rogers, L. C. G.; Williams, David 18 1986 A simple model of liquidity effects. Zbl 1011.91039Rogers, L.-C.-G.; Zane, Omar 17 2002 Saddlepoint approximations to option prices. Zbl 0963.91054Rogers, L. C. G.; Zane, O. 17 1999 The maximum maximum of a martingale constrained by an intermediate law. Zbl 0980.60048Brown, Haydyn; Hobson, David; Rogers, L. C. G. 16 2001 The two-sided exit problem for spectrally positive Lévy processes. Zbl 0698.60063Rogers, L. C. G. 14 1990 Duality in constrained optimal investment and consumption problems: a synthesis. Zbl 1074.91020Rogers, L. C. G. 14 2003 Computing the invariant law of a fluid model. Zbl 0814.60070Rogers, L. C. G.; Shi, Z. 14 1994 Which model for term-structure of interest rates should one use? Zbl 0842.90016Rogers, L. C. G. 14 1995 Skew-product decompositions of Brownian motions. Zbl 0656.58034Pauwels, E. J.; Rogers, L. C. G. 13 1988 Wiener-Hopf factorization of diffusions and Levy processes. Zbl 0524.60070Rogers, L. C. G. 13 1983 Why is the effect of proportional transaction costs \(O(\delta^{2/3})\)? Zbl 1101.91046Rogers, L. C. G. 13 2004 Fast accurate binomial pricing. Zbl 0894.90025Rogers, L. C. G.; Stapleton, E. J. 13 1998 Optimal exercise of executive stock options. Zbl 1164.62084Rogers, L. C. G.; Scheinkman, José 12 2007 Wiener-Hopf factorization for matrices. Zbl 0429.15007Barlow, M. T.; Rogers, L. C. G.; Williams, David 12 1980 A proof of Dassios’ representation of the \(\alpha\)-quantile of Brownian motion with drift. Zbl 0844.60044Embrechts, P.; Rogers, L. C. G.; Yor, M. 12 1995 Williams’ characterisation of the Brownian excursion law: Proof and applications. Zbl 0462.60078Rogers, L. C. G. 11 1981 A dynamic approach to the modeling of correlation credit derivatives using Markov chains. Zbl 1182.91182di Graziano, Guiseppe; Rogers, L. C. G. 11 2009 Optimal stopping and embedding. Zbl 0981.60049Lamberton, Damien; Rogers, L. C. G. 10 2000 Duality in optimal investment and consumption problems with market frictions. Zbl 1186.91195Klein, I.; Rogers, L. C. G. 10 2007 Pascal processes and their characterization. Zbl 0743.60043Bruss, F. T.; Rogers, L. C. G. 10 1991 Embedding optimal selection problems in a Poisson process. Zbl 0745.60040Bruss, F. Thomas; Rogers, L. C. G. 9 1991 The k-record processes are i.i.d. Zbl 0535.60037Goldie, Charles M.; Rogers, L. C. G. 8 1984 Equity with Markov-modulated dividends. Zbl 1171.91337di Graziano, Giuseppe; Rogers, L. C. G. 8 2009 On polymer conformations in elongational flows. Zbl 0790.60057Chan, T.; Dean, David S.; Jansons, Kalvis M.; Rogers, L. C. G. 8 1994 A martingale approach to some Wiener-Hopf problems. II. Zbl 0485.60073London, R. R.; McKean, H. P.; Rogers, L. C. G.; Williams, David 7 1982 Optimal time to exchange two baskets. Zbl 1213.60084Nishide, Katsumasa; Rogers, L. C. G. 7 2011 Dual valuation and hedging of Bermudan options. Zbl 1193.91159Rogers, L. C. G. 7 2010 A martingale approach to some Wiener-Hopf problems. I. Zbl 0485.60072London, R. R.; McKean, H. P.; Rogers, L. C. G.; Williams, David 6 1982 The correlation of the maxima of correlated Brownian motions. Zbl 1120.60074Rogers, L. C. G.; Shepp, Larry 6 2006 Estimating correlation from high, low, opening and closing prices. Zbl 1133.62090Rogers, L. C. G.; Zhou, Fanyin 6 2008 Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Zbl 0867.00036 6 1997 Construction and approximation of transition matrix functions. Zbl 0616.60065Rogers, L. C. G.; Williams, David 5 1986 Addendum to “Itô excursion theory via resolvents”. Zbl 0561.60074Rogers, L. C. G. 5 1984 Fastest coupling of random walks. Zbl 0956.60049Rogers, L. C. G. 5 1999 Characterizing all diffusions with the 2M-X property. Zbl 0465.60063Rogers, L. C. G. 5 1981 The intrinsic local time sheet of Brownian motion. Zbl 0722.60079Rogers, L. C. G.; Walsh, J. B. 5 1991 The probability that two samples in the plane will have disjoint convex hulls. Zbl 0386.60014Rogers, L. C. G. 5 1978 A stochastic volatility alternative to SABR. Zbl 1152.91683Rogers, L. C. G.; Veraart, L. A. M. 5 2008 Summability methods and almost-sure convergence. Zbl 0745.40003Bingham, N. H.; Rogers, L. C. G. 5 1991 The exact \(4/3\)-variation of a process arising from Brownian motion. Zbl 0851.60077Rogers, L. C. G.; Walsh, J. B. 5 1994 Brownian local times and branching processes. Zbl 0542.60080Rogers, L. C. G. 4 1984 Recurrence of additive functionals of Markov chains. Zbl 0562.60069Rogers, L. C. G. 4 1985 Brownian motion in a wedge with variable skew reflection. Zbl 0748.60074Rogers, L. C. G. 4 1991 Probability theory and polymer physics. Zbl 0935.82577Jansons, Kalvis M.; Rogers, L. C. G. 4 1991 Multiple points of Markov processes in a complete metric space. Zbl 0746.60074Rogers, L. C. G. 4 1989 Quadratic functionals of Brownian motion, optimal control, and the ”Colditz” example. Zbl 0772.60058Rogers, L. C. G.; Shi, Z. 4 1992 Ignatov’s theorem: An abbreviation of the proof of Engelen, Tommassen and Vervaat. Zbl 0703.60048Rogers, L. C. G. 3 1989 Brownian motion in a wedge with variable skew reflection. II. Zbl 0719.60081Rogers, L. C. G. 3 1990 Diverse beliefs. Zbl 1266.91048Brown, A. A.; Rogers, L. C. G. 3 2012 Markov chains and the potential approach to modelling interest rates and exchange rates. Zbl 1051.91038Rogers, L. C. G.; Yousaf, F. A. 3 2002 Stochastic ordering of order statistics. Zbl 0729.62048Barbour, A. D.; Lindvall, T.; Rogers, L. C. G. 3 1991 Estimate nothing. Zbl 1422.91689Duembgen, Moritz; Rogers, L. C. G. 3 2014 Change of drift in one-dimensional diffusions. Zbl 1461.91365Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. 2 2021 A differential equation in Wiener-Hopf theory. Zbl 0552.60076Rogers, L. C. G.; Williams, D. 2 1984 Stochastic integrals: Basic theory. Zbl 0465.60054Rogers, L. C. G. 2 1981 The squared Ornstein-Uhlenbeck market. Zbl 1139.91323Aquilina, J.; Rogers, L. C. G. 2 2004 Coupling and the tail \(\sigma\)-field of a one-dimensional diffusion. Zbl 0665.60075Rogers, L. C. G. 2 1988 Optimal and robust contracts for a risk-constrained principal. Zbl 1255.91408Rogers, L. C. G. 2 2009 Volatility estimation with price quanta. Zbl 1020.91029Rogers, L. C. G. 2 1998 Utility maximisation with a time lag in trading. Zbl 1089.91027Rogers, L. C. G.; Stapleton, E. J. 2 2002 One for all: the potential approach to pricing and hedging. Zbl 1308.91171Rogers, L. C. G. 2 2006 The value of foresight. Zbl 1374.60075Ernst, Philip A.; Rogers, L. C. G.; Zhou, Quan 2 2017 The joint law of the extrema, final value and signature of a stopped random walk. Zbl 1336.60088Duembgen, Moritz; Rogers, L. C. G. 2 2015 Utilities bounded below. Zbl 1298.91202Muraviev, Roman; Rogers, L. C. G. 2 2013 Fast, accurate and inelegant valuation of American options. Zbl 0898.90018Joubert, Adriaan; Rogers, L. C. G. 2 1997 Probability and dispersion theory. Zbl 0833.76062Jansons, Kalvis M.; Rogers, L. C. G. 2 1995 Change of drift in one-dimensional diffusions. Zbl 1461.91365Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. 2 2021 The value of foresight. Zbl 1374.60075Ernst, Philip A.; Rogers, L. C. G.; Zhou, Quan 2 2017 The joint law of the extrema, final value and signature of a stopped random walk. Zbl 1336.60088Duembgen, Moritz; Rogers, L. C. G. 2 2015 Estimate nothing. Zbl 1422.91689Duembgen, Moritz; Rogers, L. C. G. 3 2014 Trading to stops. Zbl 1329.60109Imkeller, Nora; Rogers, L. C. G. 1 2014 Optimal investment. Zbl 1264.91119Rogers, L. C. G. 24 2013 Utilities bounded below. Zbl 1298.91202Muraviev, Roman; Rogers, L. C. G. 2 2013 Diverse beliefs. Zbl 1266.91048Brown, A. A.; Rogers, L. C. G. 3 2012 Optimal time to exchange two baskets. Zbl 1213.60084Nishide, Katsumasa; Rogers, L. C. G. 7 2011 Market selection: hungry misers and bloated bankrupts. Zbl 1275.91062Nishide, Katsumasa; Rogers, L. C. G. 1 2011 The cost of illiquidity and its effects on hedging. Zbl 1232.91635Rogers, L. C. G.; Singh, Surbjeet 46 2010 Can the implied volatility surface move by parallel shifts? Zbl 1224.91197Rogers, L. C. G.; Tehranchi, M. R. 22 2010 Dual valuation and hedging of Bermudan options. Zbl 1193.91159Rogers, L. C. G. 7 2010 A dynamic approach to the modeling of correlation credit derivatives using Markov chains. Zbl 1182.91182di Graziano, Guiseppe; Rogers, L. C. G. 11 2009 Equity with Markov-modulated dividends. Zbl 1171.91337di Graziano, Giuseppe; Rogers, L. C. G. 8 2009 Optimal and robust contracts for a risk-constrained principal. Zbl 1255.91408Rogers, L. C. G. 2 2009 Valuations and dynamic convex risk measures. Zbl 1138.91501Jobert, A.; Rogers, L. C. G. 50 2008 Estimating correlation from high, low, opening and closing prices. Zbl 1133.62090Rogers, L. C. G.; Zhou, Fanyin 6 2008 A stochastic volatility alternative to SABR. Zbl 1152.91683Rogers, L. C. G.; Veraart, L. A. M. 5 2008 Modeling liquidity effects in discrete time. Zbl 1278.91125Çetin, Umut; Rogers, L. C. G. 48 2007 Pathwise stochastic optimal control. Zbl 1155.90019Rogers, L. C. G. 29 2007 Optimal exercise of executive stock options. Zbl 1164.62084Rogers, L. C. G.; Scheinkman, José 12 2007 Duality in optimal investment and consumption problems with market frictions. Zbl 1186.91195Klein, I.; Rogers, L. C. G. 10 2007 Option pricing with Markov-modulated dynamics. Zbl 1158.91380Jobert, A.; Rogers, L. C. G. 58 2006 The correlation of the maxima of correlated Brownian motions. Zbl 1120.60074Rogers, L. C. G.; Shepp, Larry 6 2006 One for all: the potential approach to pricing and hedging. Zbl 1308.91171Rogers, L. C. G. 2 2006 Why is the effect of proportional transaction costs \(O(\delta^{2/3})\)? Zbl 1101.91046Rogers, L. C. G. 13 2004 The squared Ornstein-Uhlenbeck market. Zbl 1139.91323Aquilina, J.; Rogers, L. C. G. 2 2004 Duality in constrained optimal investment and consumption problems: a synthesis. Zbl 1074.91020Rogers, L. C. G. 14 2003 Monte Carlo valuation of American options. Zbl 1029.91036Rogers, L. C. G. 133 2002 Optimal capital structure and endogenous default. Zbl 1002.91019Hilberink, Bianca; Rogers, L. C. G. 58 2002 A simple model of liquidity effects. Zbl 1011.91039Rogers, L.-C.-G.; Zane, Omar 17 2002 Markov chains and the potential approach to modelling interest rates and exchange rates. Zbl 1051.91038Rogers, L. C. G.; Yousaf, F. A. 3 2002 Utility maximisation with a time lag in trading. Zbl 1089.91027Rogers, L. C. G.; Stapleton, E. J. 2 2002 Large investors, takeovers, and the rule of law. Zbl 1031.91049Heritage, J. P.; Rogers, L. C. G. 1 2002 Robust hedging of barrier options. Zbl 1047.91024Brown, Haydyn; Hobson, David; Rogers, L. C. G. 64 2001 The relaxed investor and parameter uncertainty. Zbl 0993.91017Rogers, L. C. G. 44 2001 The maximum maximum of a martingale constrained by an intermediate law. Zbl 0980.60048Brown, Haydyn; Hobson, David; Rogers, L. C. G. 16 2001 Diffusions, Markov processes, and martingales. Vol. 2: Itô calculus. 2nd ed. Zbl 0977.60005Rogers, L. C. G.; Williams, David 313 2000 Diffusions, Markov processes and martingales. Vol. 1: Foundations. 2nd ed. Zbl 0949.60003Rogers, L. C. G.; Williams, David 212 2000 Evaluating first-passage probabilities for spectrally one-sided Lévy processes. Zbl 0981.60048Rogers, L. C. G. 41 2000 Optimal stopping and embedding. Zbl 0981.60049Lamberton, Damien; Rogers, L. C. G. 10 2000 Saddlepoint approximations to option prices. Zbl 0963.91054Rogers, L. C. G.; Zane, O. 17 1999 Fastest coupling of random walks. Zbl 0956.60049Rogers, L. C. G. 5 1999 Complete models with stochastic volatility. Zbl 0908.90012Hobson, David G.; Rogers, L. C. G. 95 1998 Fast accurate binomial pricing. Zbl 0894.90025Rogers, L. C. G.; Stapleton, E. J. 13 1998 Volatility estimation with price quanta. Zbl 1020.91029Rogers, L. C. G. 2 1998 Arbitrage with fractional Brownian motion. Zbl 0884.90045Rogers, L. C. G. 159 1997 The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046Rogers, L. C. G. 48 1997 Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Zbl 0867.00036 6 1997 Fast, accurate and inelegant valuation of American options. Zbl 0898.90018Joubert, Adriaan; Rogers, L. C. G. 2 1997 On coupling of random walks and renewal processes. Zbl 0851.60072Lindvall, Torgny; Rogers, L. C. G. 1 1996 The value of an Asian option. Zbl 0839.90013Rogers, L. C. G.; Shi, Z. 181 1995 Which model for term-structure of interest rates should one use? Zbl 0842.90016Rogers, L. C. G. 14 1995 A proof of Dassios’ representation of the \(\alpha\)-quantile of Brownian motion with drift. Zbl 0844.60044Embrechts, P.; Rogers, L. C. G.; Yor, M. 12 1995 Probability and dispersion theory. Zbl 0833.76062Jansons, Kalvis M.; Rogers, L. C. G. 2 1995 Diffusions, Markov processes, and martingales. Vol. 1: Foundations. 2nd ed. Zbl 0826.60002Rogers, L. C. G.; Williams, David 186 1994 Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Zbl 0806.60052Rogers, L. C. G. 113 1994 Equivalent martingale measures and no-arbitrage. Zbl 0851.60042Rogers, L. C. G. 25 1994 Computing the invariant law of a fluid model. Zbl 0814.60070Rogers, L. C. G.; Shi, Z. 14 1994 On polymer conformations in elongational flows. Zbl 0790.60057Chan, T.; Dean, David S.; Jansons, Kalvis M.; Rogers, L. C. G. 8 1994 The exact \(4/3\)-variation of a process arising from Brownian motion. Zbl 0851.60077Rogers, L. C. G.; Walsh, J. B. 5 1994 Interacting Brownian particles and the Wigner law. Zbl 0794.60100Rogers, L. C. G.; Shi, Z. 64 1993 The joint law of the maximum and terminal value of a martingale. Zbl 0794.60042Rogers, L. C. G. 19 1993 Recurrence and transience of reflecting Brownian motion in the quadrant. Zbl 0776.60100Hobson, D. G.; Rogers, L. C. G. 19 1993 Asymptotic behavior of Brownian polymers. Zbl 0767.60080Durrett, R. T.; Rogers, L. C. G. 28 1992 Quadratic functionals of Brownian motion, optimal control, and the ”Colditz” example. Zbl 0772.60058Rogers, L. C. G.; Shi, Z. 4 1992 Estimating variance from high, low and closing prices. Zbl 0739.62084Rogers, L. C. G.; Satchell, S. E. 37 1991 Local time and stochastic area integrals. Zbl 0729.60073Rogers, L. C. G.; Walsh, J. B. 22 1991 Pascal processes and their characterization. Zbl 0743.60043Bruss, F. T.; Rogers, L. C. G. 10 1991 Embedding optimal selection problems in a Poisson process. Zbl 0745.60040Bruss, F. Thomas; Rogers, L. C. G. 9 1991 The intrinsic local time sheet of Brownian motion. Zbl 0722.60079Rogers, L. C. G.; Walsh, J. B. 5 1991 Summability methods and almost-sure convergence. Zbl 0745.40003Bingham, N. H.; Rogers, L. C. G. 5 1991 Brownian motion in a wedge with variable skew reflection. Zbl 0748.60074Rogers, L. C. G. 4 1991 Probability theory and polymer physics. Zbl 0935.82577Jansons, Kalvis M.; Rogers, L. C. G. 4 1991 Stochastic ordering of order statistics. Zbl 0729.62048Barbour, A. D.; Lindvall, T.; Rogers, L. C. G. 3 1991 A(t,B\({}_ t)\) is not a semimartingale. Zbl 0721.60089Rogers, L. C. G.; Walsh, J. B. 1 1991 The two-sided exit problem for spectrally positive Lévy processes. Zbl 0698.60063Rogers, L. C. G. 14 1990 Brownian motion in a wedge with variable skew reflection. II. Zbl 0719.60081Rogers, L. C. G. 3 1990 A guided tour through excursions. Zbl 0689.60075Rogers, L. C. G. 22 1989 Multiple points of Markov processes in a complete metric space. Zbl 0746.60074Rogers, L. C. G. 4 1989 Ignatov’s theorem: An abbreviation of the proof of Engelen, Tommassen and Vervaat. Zbl 0703.60048Rogers, L. C. G. 3 1989 Skew-product decompositions of Brownian motions. Zbl 0656.58034Pauwels, E. J.; Rogers, L. C. G. 13 1988 Coupling and the tail \(\sigma\)-field of a one-dimensional diffusion. Zbl 0665.60075Rogers, L. C. G. 2 1988 Diffusions, Markov processes, and martingales. Volume 2: Itô calculus. Zbl 0627.60001Rogers, L. C. G.; Williams, David 242 1987 Self-avoiding random walk: A Brownian motion model with local time drift. Zbl 0611.60052Norris, J. R.; Rogers, L. C. G.; Williams, David 26 1987 Continuity of martingales in the Brownian excursion filtration. Zbl 0611.60075Rogers, L. C. G. 1 1987 Coupling of multidimensional diffusions by reflection. Zbl 0593.60076Lindvall, Torgny; Rogers, L. C. G. 85 1986 Brownian motions of ellipsoids. Zbl 0613.60072Norris, J. R.; Rogers, L. C. G.; Williams, David 18 1986 Construction and approximation of transition matrix functions. Zbl 0616.60065Rogers, L. C. G.; Williams, David 5 1986 Smooth transition densities for one-dimensional diffusions. Zbl 0604.60077Rogers, L. C. G. 27 1985 Recurrence of additive functionals of Markov chains. Zbl 0562.60069Rogers, L. C. G. 4 1985 The k-record processes are i.i.d. Zbl 0535.60037Goldie, Charles M.; Rogers, L. C. G. 8 1984 Addendum to “Itô excursion theory via resolvents”. Zbl 0561.60074Rogers, L. C. G. 5 1984 Brownian local times and branching processes. Zbl 0542.60080Rogers, L. C. G. 4 1984 A differential equation in Wiener-Hopf theory. Zbl 0552.60076Rogers, L. C. G.; Williams, D. 2 1984 A diffusion first passage problem. Zbl 0557.60061Rogers, L. C. G. 1 1984 Ito excursion theory via resolvents. Zbl 0528.60073Rogers, L. C. G. 20 1983 Wiener-Hopf factorization of diffusions and Levy processes. Zbl 0524.60070Rogers, L. C. G. 13 1983 A martingale approach to some Wiener-Hopf problems. II. Zbl 0485.60073London, R. R.; McKean, H. P.; Rogers, L. C. G.; Williams, David 7 1982 ...and 8 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,323 Authors 37 Rogers, L. C. G. 29 Hobson, David Graham 21 Yor, Marc 20 Yan, Litan 18 Latouche, Guy 17 Evans, Steven Neil 17 Pascucci, Andrea 16 Obloj, Jan K. 15 Belomestny, Denis 15 Elliott, Robert James 15 Schoenmakers, John G. M. 14 Mandjes, Michel Robertus Hendrikus 14 Pitman, Jim William 13 Kyprianou, Andreas E. 13 Schachermayer, Walter 13 Soner, Halil Mete 13 Touzi, Nizar 12 Cox, Alexander Matthew Gordon 12 Nualart, David 12 Robert, Philippe 11 Bender, Christian 11 Pistorius, Martijn R. 11 Roberts, Gareth O. 10 Bayraktar, Erhan 10 Beiglböck, Mathias 10 Brody, Dorje C. 10 Deelstra, Griselda 10 Dhaene, Jan 10 Gapeev, Pavel V. 10 Jacquier, Antoine 10 Karatzas, Ioannis 10 Kendall, Wilfrid S. 10 Levendorskiĭ, Sergeĭ Zakharovich 10 Muhle-Karbe, Johannes 10 O’Connell, Neil 10 Patie, Pierre 9 Bertoin, Jean 9 Filipović, Damir 9 Henderson, Vicky 9 Jacka, Saul D. 9 Madan, Dilip B. 9 Palmowski, Zbigniew 9 Pelsser, Antoon A. J. 9 Polidoro, Sergio 9 Rásonyi, Miklós 9 Siu, Tak Kuen 9 Wang, Jian 9 Zheng, Harry H. 8 Ahn, Soohan 8 Baudoin, Fabrice 8 Guasoni, Paolo 8 Hughston, Lane P. 8 Ivanovs, Jevgeņijs 8 Jansons, Kalvis M. 8 Jarrow, Robert Alan 8 Mehrdoust, Farshid 8 Pardo, Juan Carlos 8 Pirjol, Dan 8 Platen, Eckhard 8 Russo, Francesco 8 Schoutens, Wim 8 Teichmann, Josef 8 Urusov, Mikhail A. 8 Vanmaele, Michèle 7 Akahori, Jirô 7 Cohen, Samuel N. 7 Dassios, Angelos 7 Dolinsky, Yan 7 Dong, Yinghui 7 Eberle, Andreas 7 Ernst, Philip A. 7 Fusai, Gianluca 7 Goovaerts, Marc J. 7 Henry-Labordère, Pierre 7 Joshi, Mark S. 7 Kardaras, Constantinos 7 Katori, Makoto 7 Kwok, Yue-Kuen 7 Lyuu, Yuh-Dauh 7 Miclo, Laurent 7 Mijatović, Aleksandar 7 Mishura, Yuliya Stepanivna 7 Nguyen, Giang Thu 7 Pennanen, Teemu 7 Perkins, Edwin A. 7 Peskir, Goran 7 Pham, Huyên 7 Wang, Yongjin 7 Warren, Jon 7 Yamazaki, Kazutoshi 7 Zeng, Caibin 7 Zhu, Lingjiong 6 Albeverio, Sergio A. 6 Bayer, Christian 6 Bean, Nigel G. 6 Bruss, Franz Thomas 6 Chen, Nan 6 Cheridito, Patrick 6 Cranston, Michael Craig 6 Delarue, François ...and 3,223 more Authors all top 5 Cited in 364 Serials 177 Stochastic Processes and their Applications 108 The Annals of Applied Probability 108 International Journal of Theoretical and Applied Finance 104 Quantitative Finance 88 Finance and Stochastics 80 Probability Theory and Related Fields 74 The Annals of Probability 73 Mathematical Finance 63 Insurance Mathematics & Economics 61 Journal of Applied Probability 58 Statistics & Probability Letters 50 Journal of Theoretical Probability 46 Stochastics 44 Stochastic Analysis and Applications 43 Journal of Computational and Applied Mathematics 40 Advances in Applied Probability 40 Bernoulli 37 SIAM Journal on Financial Mathematics 32 Journal of Statistical Physics 31 Journal of Economic Dynamics & Control 31 Annales de l’Institut Henri Poincaré. 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Mathematical, Physical and Engineering Sciences 5 Statistical Inference for Stochastic Processes 5 The ANZIAM Journal ...and 264 more Serials all top 5 Cited in 51 Fields 1,949 Probability theory and stochastic processes (60-XX) 1,275 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 289 Numerical analysis (65-XX) 269 Statistics (62-XX) 238 Systems theory; control (93-XX) 207 Partial differential equations (35-XX) 141 Operations research, mathematical programming (90-XX) 110 Statistical mechanics, structure of matter (82-XX) 106 Calculus of variations and optimal control; optimization (49-XX) 67 Biology and other natural sciences (92-XX) 59 Linear and multilinear algebra; matrix theory (15-XX) 59 Dynamical systems and ergodic theory (37-XX) 56 Operator theory (47-XX) 54 Global analysis, analysis on manifolds (58-XX) 40 Ordinary differential equations (34-XX) 35 Computer science (68-XX) 32 Combinatorics (05-XX) 25 Functional analysis (46-XX) 23 Quantum theory (81-XX) 22 Special functions (33-XX) 22 Integral transforms, operational calculus (44-XX) 22 Integral equations (45-XX) 19 Fluid mechanics (76-XX) 18 Potential theory (31-XX) 16 Measure and integration (28-XX) 14 Real functions (26-XX) 13 Approximations and expansions (41-XX) 13 Differential geometry (53-XX) 9 Functions of a complex variable (30-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 9 Information and communication theory, circuits (94-XX) 8 Topological groups, Lie groups (22-XX) 6 Number theory (11-XX) 6 Difference and functional equations (39-XX) 5 Convex and discrete geometry (52-XX) 4 History and biography (01-XX) 4 Mechanics of particles and systems (70-XX) 3 Group theory and generalizations (20-XX) 3 Several complex variables and analytic spaces (32-XX) 3 Abstract harmonic analysis (43-XX) 3 Relativity and gravitational theory (83-XX) 2 General and overarching topics; collections (00-XX) 2 Mathematical logic and foundations (03-XX) 2 Nonassociative rings and algebras (17-XX) 2 General topology (54-XX) 2 Classical thermodynamics, heat transfer (80-XX) 1 Associative rings and algebras (16-XX) 1 Sequences, series, summability (40-XX) 1 Mechanics of deformable solids (74-XX) 1 Optics, electromagnetic theory (78-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year