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Stochastic Differential Equations
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  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2004A numerical scheme for BSDEs371 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation328 cited
  • 1980On The Dynamic Behavior of Prices in Disequilibrium327 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 1992Evolutionary dynamics with aggregate shocks246 cited
  • 2009Cooperative Advertising and Pricing in a Dynamic Stochastic Supply Chain: Feedback Stackelberg Strategies242 cited
  • 1982The Pricing of Options on Default-Free Bonds239 cited
  • 1980A Multivariate Model of the Term Structure223 cited
  • 1986Time Reversal of Diffusions210 cited
  • 1988Jump-Diffusion Processes and the Term Structure of Interest Rates200 cited

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2009
Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
193 cited
  • 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited