Philip E. Protter

Philip E. Protter's AcademicInfluence.com Rankings

Philip E. Protter

Mathematics

#5834

World Rank

#8173

Historical Rank

#1849

USA Rank

Measure Theory

#967

World Rank

#1257

Historical Rank

#360

USA Rank

mathematics Degrees

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Mathematics

Philip E. Protter's Degrees

PhD Mathematics University of California, San Diego

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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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