Methods of Mathematical Finance

1,586 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

PORTFOLIO CHOICE VIA QUANTILES (2010, background): “The following proposition solves (25) completely.”
Martingale Representation Theorem for the G-Expectation (2010, background): “(5.2) The proof of the above theorem will be completed in several lemmas below.”
Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs (2012, positive): “Diffusion processes are routinely used as statistical models for a large variety of phenomena including molecular dynamics, econometrics and climate dynamics (see for instance [33,21,19]).”
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (2012, background): “The reader may consult the excellent exposition in the book of Karatzas and Shreve [25], Appendix D, where the following dynamic programming principle is proved:”
Thou shalt buy and hold (2008, background): “Recall that The joint probability density function of ( P t , M t ) is given by where 0 s ≤ m , m ≥ 1, and see, for example, Karatzas and Shreve ( 1991 , p.”
Optimal multiple stopping time problem (2009, methodology): “We recall the classical following theorem (see for example Karatzas and Shreve (1998), Neveu (1975)).”