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Multiple collisions in systems of competing Brownian particles
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Multiple collisions in systems of competing Brownian particles (2017)Multiple collisions in systems of competi…Stochastic Portfolio Theory: an Overview (2009)Stochastic Portfolio Theory: …Stochastic differential equations and applications (2008)Stochastic differential equat…Atlas models of equity markets (2005)Atlas models of equity marketsStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)Diffusion approximations for …Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant (1993)Existence and uniqueness of s…Reflected Brownian Motion in an Orthant: Numerical Methods for Steady-State Analysis (1992)Reflected Brownian Motion in …On the McKean‐Vlasov Limit for Interacting Diffusions (1988)On the McKean‐Vlasov Limit fo…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Multidimensional Reflected Br…Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian models of open queue…Open Queueing Networks in Heavy Traffic (1984)Open Queueing Networks in Hea…Reflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …The diffusion approximation for tandem queues in heavy traffic (1978)The diffusion approximation f…A comparison theorem for solutions of stochastic differential equations and its applications (1977)A comparison theorem for solu…On a comparison theorem for solutions of stochastic differential equations and its applications (1973)On a comparison theorem for s…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations (1999)Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations (2005)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Networks of Waiting Lines (1957)Multiple channel queues in heavy traffic. I (1970)Brownian Models of Queueing Networks with Heterogeneous Customer Populations (1988)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Open, Closed, and Mixed Networks of Queues with Different Classes of Customers (1975)Brownian Motion and Stochastic Flow Systems. (1987)Planning Queueing Simulations (1989)Discrete Flow Networks: Bottleneck Analysis and Fluid Approximations (1991)Fluctuations of Lévy Processes with Applications (2014)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)A probabilistic weak formulation of mean field games and applications (2015)On Positive Harris Recurrence of Multiclass Queueing Networks: A Unified Approach Via Fluid Limit Models (1995)Maximum Pressure Policies in Stochastic Processing Networks (2005)Stability of Queueing Networks (2008)Asymptotically tight steady-state queue length bounds implied by drift conditions (2012)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Brownian models of multiclass queueing networks: Current status and open problems (1993)Queueing theory in manufacturing: A survey (1999)Stochastic Portfolio Theory (2002)Relative arbitrage in volatility-stabilized markets (2005)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1984Open Queueing Networks in Heavy Traffic449 cited
  • 1981Reflected Brownian Motion on an Orthant390 cited
  • 1987Brownian models of open queueing networks with homogeneous customer populations ∗312 cited
  • 1977A comparison theorem for solutions of stochastic differential equations and its applications304 cited
  • 1998Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse264 cited
  • 1987Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions236 cited
  • 1988On the McKean‐Vlasov Limit for Interacting Diffusions235 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 2009Stochastic Portfolio Theory: an Overview169 cited
  • 1992Reflected Brownian Motion in an Orthant: Numerical Methods for Steady-State Analysis167 cited
  • 2005Atlas models of equity markets148 cited
  • 1993Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant130 cited
  • 1978The diffusion approximation for tandem queues in heavy traffic122 cited

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  • 1973On a comparison theorem for solutions of stochastic differential equations and its applications119 cited
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