Philip E. Protter
#120,206
Most Influential Person Now
American mathematician
Philip E. Protter's AcademicInfluence.com Rankings
Philip E. Prottermathematics Degrees
Mathematics
#5834
World Rank
#8173
Historical Rank
#1849
USA Rank
Measure Theory
#967
World Rank
#1257
Historical Rank
#360
USA Rank

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Mathematics
Philip E. Protter's Degrees
- PhD Mathematics University of California, San Diego
Why Is Philip E. Protter Influential?
(Suggest an Edit or Addition)Philip E. Protter's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Stochastic integration and differential equations (1990) (5075)
- Stochastic integration and differential equations : a new approach (1990) (846)
- Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994) (726)
- Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991) (555)
- Asymptotic error distributions for the Euler method for stochastic differential equations (1998) (401)
- Liquidity risk and arbitrage pricing theory (2004) (400)
- Discretization of Processes (2011) (381)
- An analysis of a least squares regression method for American option pricing (2002) (335)
- STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE (2004) (287)
- The Euler scheme for Lévy driven stochastic differential equations (1997) (276)
- ASSET PRICE BUBBLES IN INCOMPLETE MARKETS * (2008) (221)
- Semimartingales and Markov processes (1980) (200)
- Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006) (189)
- Modeling Credit Risk with Partial Information (2004) (181)
- Numerical methods for forward-backward stochastic differential equations (1996) (171)
- The Monte-Carlo method for filtering with discrete-time observations (2001) (162)
- Quadratic covariation and an extension of Itô's formula (1995) (155)
- Numberical Method for Backward Stochastic Differential Equations (2002) (148)
- A Dysfunctional Role of High Frequency Trading in Electronic Markets (2011) (147)
- FROM DISCRETE- TO CONTINUOUS-TIME FINANCE: WEAK CONVERGENCE OF THE FINANCIAL GAIN PROCESS' (1992) (120)
- No Arbitrage and General Semimartingales (2008) (110)
- A Mathematical Theory of Financial Bubbles (2012) (110)
- Weak convergence of stochastic integrals and differential equations (1996) (109)
- Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's (1991) (102)
- Stratonovich stochastic differential equations driven by general semimartingales (1995) (101)
- On the Existence, Uniqueness, Convergence and Explosions of Solutions of Systems of Stochastic Integral Equations (1977) (97)
- How to Detect an Asset Bubble (2011) (97)
- The approximate Euler method for Lévy driven stochastic differential equations (2005) (94)
- Stochastic Volterra Equations with Anticipating Coefficients (1990) (91)
- Probabilistic Models for Nonlinear Partial Differential Equations (1996) (88)
- Risk-neutral compatibility with option prices (2010) (80)
- Local martingales and filtration shrinkage (2011) (80)
- Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case (1996) (79)
- A two-sided stochastic integral and its calculus (1987) (79)
- Analysis of continuous strict local martingales via h-transforms (2007) (72)
- Time Reversal on Levy Processes (1988) (71)
- A partial introduction to financial asset pricing theory (2001) (67)
- Volterra Equations Driven by Semimartingales (1985) (61)
- A short history of stochastic integration and mathematical finance the early years, 1880-1970 (2004) (60)
- Explicit form and robustness of martingale representations (2000) (54)
- Approximations of Solutions of Stochastic Differential Equations Driven by Semimartingales (1985) (51)
- Complete markets with discontinuous security price (1999) (47)
- Stochastic Differential Equations (1990) (46)
- No Arbitrage Without Semimartingales (2009) (45)
- Anticipating integrals for a class of martingales (1998) (41)
- On Itô s formula for multidimensional Brownian motion (2000) (40)
- A liquidity-based model for asset price bubbles (2011) (39)
- Discretely sampled variance and volatility swaps versus their continuous approximations (2011) (39)
- An analysis of the Longstaff-Schwartz algorithm for American option pricing (2001) (38)
- ℋp stability of solutions of stochastic differential equations (1978) (37)
- Liquidity Risk and Risk Measure Computation (2005) (37)
- POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE (2010) (35)
- An Introduction to Financial Asset Pricing (2005) (31)
- AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA (2010) (31)
- Forward And Futures Prices With Bubbles (2009) (29)
- Liquidity Risk and Option Pricing Theory (2005) (27)
- Is there a bubble in LinkedIn's stock price? (2011) (27)
- Information reduction via level crossings in a credit risk model (2007) (26)
- Flash Boys: Cracking the Money Code (2015) (26)
- Linking Progressive and Initial Filtration Expansions (2011) (23)
- PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING (2015) (23)
- Positive alphas and a generalized multiple-factor asset pricing model (2015) (22)
- The lifetime of a financial bubble (2016) (21)
- Semimartingales and measure preserving flows (1986) (21)
- Paris-Princeton Lectures on Mathematical Finance 2013 (2013) (21)
- Foreign currency bubbles (2010) (21)
- 1 Asset Price Bubbles in Complete Markets (2006) (20)
- Strict Local Martingales with Jumps (2013) (20)
- Right-continuous solutions of systems of stochastic integral equations (1977) (20)
- A COMPARISON OF STOCHASTIC INTEGRALS (1979) (19)
- Hedging claims with feedback jumps in the price process (2008) (19)
- Large traders, hidden arbitrage, and complete markets (2005) (19)
- ABSOLUTELY CONTINUOUS COMPENSATORS (2010) (19)
- Laws of Large Numbers (2019) (17)
- Stochastic Analysis: Characterizing the weak convergence of stochastic integrals (1991) (17)
- Strict Local Martingales, Bubbles, and No Early Exercise (2007) (16)
- Markov solutions of stochastic differential equations (1977) (15)
- On semimartingale decompositions of convex functions of semimartingales (1992) (14)
- Calculus with Analytic Geometry (1977) (13)
- Is There a Bubble in LinkedIn’s Stock Price? (2011) (12)
- The Martingale Theory of Bubbles: Implications for the Valuation of Derivatives and Detecting Bubbles (2010) (11)
- A Gold Bubble (2011) (11)
- A connection between the expansion of filtrations and Girsanov's theorem (1989) (11)
- Book Review: Louis Bachelier’s Theory of speculation: The origins of modern finance (2008) (11)
- Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory (2012) (10)
- Stochastic integration without tears (1986) (10)
- General change of variable formulas for semimartingales in one and finite dimensions (1993) (10)
- Point Process Differentials with Evolving Intensities (1983) (10)
- Mathematical models of bubbles (2016) (10)
- Fair Microfinance Loan Rates (2018) (9)
- THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS (2015) (9)
- On convergence of semimartingales (1990) (9)
- MATHEMATICAL MODELS FOR MICROLENDING (2009) (9)
- Explicit form and path regularity of Martingale representations (2001) (8)
- Liquidity Suppliers and High Frequency Trading (2013) (7)
- MARTINGALES WITH GIVEN ABSOLUTE VALUE (1979) (7)
- On Progressive Filtration Expansions with a Process; Applications to Insider Trading (2014) (7)
- Signing trades and an evaluation of the Lee–Ready algorithm (2012) (6)
- On progressive filtration expansion with a process (2011) (6)
- Chapter 1 An Introduction to Financial Asset Pricing (2007) (5)
- Stability of Solutions of Stochastic Differential Equations * (5)
- A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory (2017) (5)
- Reversing Gaussian semimartingales without Gauss (1987) (4)
- Options Prices in Incomplete Markets (2017) (4)
- Chapter 17 Liquidity Risk and Option Pricing Theory (2007) (4)
- Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients (2017) (4)
- Change of Num eraires and Relative Asset Price Bubbles (2015) (4)
- Strict local martingales and the Khasminskii test for explosions (2019) (4)
- Testing for Asset Price Bubbles: An Invariance Theorem (2019) (3)
- Expansion of a filtration with a stochastic process: The information drift (2019) (3)
- Relating Top Down with Bottom Up Approaches in the Evaluation of ABS with Large Collateral Pools (2010) (3)
- Stochastic differential equations with jump reflection at the boundary (1980) (3)
- STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT (2016) (3)
- A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory (2019) (3)
- Asset Price Bubbles: Invariance Theorems* (2020) (2)
- A remark on the weak convergence of processes in the Skorohod topology (1993) (2)
- METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS (2016) (2)
- Discretely sampled variance and volatility swaps versus their continuous approximations (2012) (2)
- An equation involving local time (1983) (2)
- Positive alphas and a generalized multiple-factor asset pricing model (2015) (2)
- Credit Risk, Liquidity, and Bubbles (2018) (2)
- Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk (2021) (2)
- An elementary approach to naturality, predictability, and the fundamental theorem of local martingales (2001) (2)
- A remark on stochastic integration (1994) (2)
- First Extension: Random Weights (2012) (1)
- Continuous-Time Asset Pricing Theory (2022) (1)
- A new prize in honor of Kiyosi Itô (2003) (1)
- Review: A. U. Kussmaul, Stochastic integration and generalized martingales (1978) (1)
- Stopping Times Occurring Simultaneously (2021) (1)
- Erratum to: Positive alphas and a generalized multiple-factor asset pricing model (2016) (1)
- Martingale Convergence Theorems (2000) (1)
- The lifetime of a financial bubble (2016) (1)
- Asset price bubbles: Invariance theorems (2021) (1)
- Relative asset price bubbles (2016) (1)
- Gaussian Random Variables (The Normal and the Multivariate Normal Distributions) (2000) (1)
- Variance and Volatility Swaps: Bubbles and Fundamental Prices (2010) (1)
- General Stochastic Integration and Local Times (1990) (1)
- An Extension of Kazamaki's Results on BMO Differentials (1980) (1)
- Signing trades and an evaluation of the Lee–Ready algorithm (2011) (0)
- Higher Order Limit Theorems (2012) (0)
- The Central Limit Theorem for Truncated Functionals (2012) (0)
- Stability of the classification of stopping times (1977) (0)
- Conditional Probability and Independence (2000) (0)
- Axioms of Probability (2000) (0)
- Joseph Leo Doob, 1910–2004 (2005) (0)
- The Central Limit Theorem for Functions of an Increasing Number of Increments (2012) (0)
- Central Limit Theorems: The Basic Results (2012) (0)
- Probabilities on a Finite or Countable Space (2004) (0)
- Laws of Large Numbers: The Basic Results (2012) (0)
- Third Extension: Truncated Functionals (2012) (0)
- Second Extension: Functions of Several Increments (2012) (0)
- Aspects of Stochastic Integration beyond Standard Assumptions (2021) (0)
- The Central Limit Theorem for Functions of a Finite Number of Increments (2012) (0)
- Dependent Stopping Times (2021) (0)
- Optimal group size in microlending (2020) (0)
- Erratum to: Positive alphas and a generalized multiple-factor asset pricing model (2015) (0)
- Construction of a Probability Measure (2000) (0)
- Random Series and Stochastic Integrals: Single and Multiple (Stanislaw Kwapien and Wojbar A. Woyczynski) (1995) (0)
- Semimartingales and Stochastic Integrals (1990) (0)
- The Central Limit Theorem (2000) (0)
- Expansion of Filtrations (2005) (0)
- L2 and Hilbert Spaces (2004) (0)
- Random Variables on a Countable Space (2000) (0)
- Order Book Queue Hawkes-Markovian Modeling (2021) (0)
- Semimartingales Contaminated by Noise (2012) (0)
- The Central Limit Theorem for Random Weights (2012) (0)
- L 2 and Hilbert Spaces (2000) (0)
- Three Books on Stochastic Integration (1986) (0)
- Convergence of Random Variables (2004) (0)
- The Radon-Nikodym Theorem (2004) (0)
- Book Review of Lectures onFinancial Mathematics: Discrete Asset Pricing (2011) (0)
- Construction of a Probability Measure on R (2000) (0)
- Central Limit Theorems: Technical Tools (2012) (0)
- Weak Convergence and Characteristic Functions (2000) (0)
- Properties of Characteristic Functions (2004) (0)
- Probabilities on a Countable Space (2000) (0)
- Integration with Respect to a Probability Measure (2000) (0)
- MODELING CREDIT RISK WITH INFORMATION (2004) (0)
- Numerical Solution of SDE through Computer Experiments (P. E. Kloeden, E. Platen, and H. Schurz) (1996) (0)
- Relative asset price bubbles (2016) (0)
- Stochastic differential equations with feedback in the differentials (1982) (0)
- Going forward & backward with Jin Ma (2023) (0)
- Probability Distributions on R (2000) (0)
- Reviews (2004) (0)
- Sums of Independent Random Variables (2004) (0)
- Review: Dennis R. Bell, The Malliavin calculus (1989) (0)
- Seminar & Events Bulletin: Financial/actuarial Mathematics Endowment and Dynamical Programming with Face-lifting --3088 East Hall on the Multi-dimensional Controller and Stopper Games --3088 East Hall 3:00pm-4:00pm Financial/actuarial Mathematics --arash Fahim (university of Michigan) Optimal Produc (2015) (0)
- Lectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval (2011) (0)
- Skorohod integral of a product of two stochastic processes (1996) (0)
- Article (Published version) (Refereed) (2011) (0)
- Integrated Discretization Error (2012) (0)
- Limit Theorems for Stochastic Processes (J. Jacod and A . N. Shiryaev) (1991) (0)
- On Itô ' s formula for multidimensional Brownian (2006) (0)
- Optimal group size in microlending (2021) (0)
- Semimartingales and Decomposable Processes (1990) (0)
- Supermartingales and Submartingales (2000) (0)
- Independent Random Variables (2000) (0)
- Irregular Discretization Schemes (2012) (0)
- TheWork of Kyosi Itô (2007) (0)
- Probability Distributions on Rn (2000) (0)
- Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility (2020) (0)
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