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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, PE Protter
Stochastic integration and differential equations, 249-361, 2005
93662005
Probability essentials
J Jacod, P Protter
Springer Science & Business Media, 2004
10842004
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
9511994
Weak limit theorems for stochastic integrals and stochastic differential equations
TG Kurtz, P Protter
The Annals of Probability, 1035-1070, 1991
7191991
Discretization of processes
J Jacod
Springer, 2012
6412012
Liquidity risk and arbitrage pricing theory
U Cetin, RA Jarrow, P Protter
Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010
5402010
Asymptotic error distributions for the Euler method for stochastic differential equations
J Jacod, P Protter
The Annals of Probability 26 (1), 267-307, 1998
5171998
An analysis of a least squares regression method for American option pricing
E Clément, D Lamberton, P Protter
Finance and stochastics 6, 449-471, 2002
4842002
Asymptotic behaviour of some interacting particle systems; McKean-Vlasov and Boltzmann models
C Graham, TG Kurtz, S Méléard, PE Protter, M Pulvirenti, D Talay, ...
Probabilistic Models for Nonlinear Partial Differential Equations: Lectures …, 1996
4761996
Structural versus Reduced‐Form Models: A New Information‐Based Perspective
RA Jarrow, P Protter
The Credit Market Handbook: Advanced Modeling Issues, 118-131, 2012
4202012
The Euler scheme for Lévy driven stochastic differential equations
P Protter, D Talay
The Annals of Probability 25 (1), 393-423, 1997
3631997
Asset price bubbles in incomplete markets
RA Jarrow, P Protter, K Shimbo
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
2832010
Semimartingales and Markov processes
E Çinlar, J Jacod, P Protter, MJ Sharpe
Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 54 (2), 161-219, 1980
2731980
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
2501996
Numberical method for backward stochastic differential equations
J Ma, P Protter, J San Martín, S Torres
The Annals of Applied Probability 12 (1), 302-316, 2002
2432002
Modeling credit risk with partial information
U Cetin, R Jarrow, P Protter, Y Yıldırım
2392004
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
2382006
Quadratic covariation and an extension of Itô's formula
H Föllmer, P Protter, AN Shiryayev
Bernoulli, 149-169, 1995
1931995
The Monte-Carlo method for filtering with discrete-timeobservations
P Del Moral, J Jacod, P Protter
Cornell University Operations Research and Industrial Engineering, 2001
1922001
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
D Duffie, P Protter
Mathematical finance 2 (1), 1-15, 1992
1861992
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