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Philip Protter
Philip Protter
Professor of Statistics, Columbia University
Verified email at columbia.edu
Title
Cited by
Cited by
Year
Stochastic differential equations
PE Protter
Stochastic integration and differential equations, 249-361, 2005
87962005
Probability essentials
J Jacod, P Protter
Springer Science & Business Media, 2004
9702004
Solving forward-backward stochastic differential equations explicitly—a four step scheme
J Ma, P Protter, J Yong
Probability theory and related fields 98 (3), 339-359, 1994
8691994
Weak limit theorems for stochastic integrals and stochastic differential equations
TG Kurtz, P Protter
The Annals of Probability, 1035-1070, 1991
6851991
Discretization of processes
J Jacod, P Protter
Springer Science & Business Media, 2011
5762011
Liquidity risk and arbitrage pricing theory
U Cetin, RA Jarrow, P Protter
Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010
5222010
Asymptotic error distributions for the Euler method for stochastic differential equations
J Jacod, P Protter
Annals of Probability, 267-307, 1998
4861998
An analysis of a least squares regression method for American option pricing
E Clément, D Lamberton, P Protter
Finance and stochastics 6 (4), 449-471, 2002
4662002
Structural versus Reduced‐Form Models: A New Information‐Based Perspective
RA Jarrow, P Protter
The Credit Market Handbook: Advanced Modeling Issues, 118-131, 2012
4012012
The Euler scheme for Lévy driven stochastic differential equations
P Protter, D Talay
The Annals of Probability, 393-423, 1997
3231997
Semimartingales and Markov processes
E Çinlar, J Jacod, P Protter, MJ Sharpe
Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 54 (2), 161-219, 1980
2601980
Asset price bubbles in incomplete markets
RA Jarrow, P Protter, K Shimbo
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
2572010
Modeling credit risk with partial information
U Cetin, R Jarrow, P Protter, Y Yıldırım
The Annals of Applied Probability 14 (3), 1167-1178, 2004
2382004
Pricing options in an extended Black Scholes economy with illiquidity: Theory and empirical evidence
U Cetin, R Jarrow, P Protter, M Warachka
The Review of Financial Studies 19 (2), 493-529, 2006
2302006
Numerical methods for forward-backward stochastic differential equations
J Douglas Jr, J Ma, P Protter
The Annals of Applied Probability 6 (3), 940-968, 1996
2301996
Numerical method for backward stochastic differential equations
J Ma, P Protter, J San Martín, S Torres
Annals of Applied Probability, 302-316, 2002
2172002
Quadratic covariation and an extension of Itô's formula
H Föllmer, P Protter, AN Shiryayev
Bernoulli, 149-169, 1995
1891995
The Monte-Carlo method for filtering with discrete-timeobservations
P Del Moral, J Jacod, P Protter
Cornell University Operations Research and Industrial Engineering, 2001
1842001
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
D Duffie, P Protter
Mathematical finance 2 (1), 1-15, 1992
1771992
A dysfunctional role of high frequency trading in electronic markets
RA Jarrow, P Protter
International Journal of Theoretical and Applied Finance 15 (03), 1250022, 2012
1672012
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