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Local times of ranked continuous semimartingales
5 references·7 citing·29 second hop
Local times of ranked continuous semimartingales (2007)Local times of ranked continuous semimart…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Atlas models of equity markets (2005)Atlas models of equity marketsStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryBrownian motion and stochastic calculus (1991)Brownian motion and stochasti…Trading strategies generated by Lyapunov functions (2017)Trading strategies generated …Multiple collisions in systems of competing Brownian particles (2017)Multiple collisions in system…Triple and simultaneous collisions of competing Brownian particles (2015)Triple and simultaneous colli…The solution of the perturbed Tanaka-equation is pathwise unique (2013)The solution of the perturbed…Convergence rates for rank-based models with applications to portfolio theory (2012)Convergence rates for rank-ba…On collisions of Brownian particles (2010)On collisions of Brownian par…On collisions of Brownian particles (2010)On collisions of Brownian par…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Dynamic Asset Pricing Theory. (1993)Stochastic Portfolio Theory: an Overview (2009)Deep Learning for Portfolio Optimization (2020)Reflected Brownian Motion on an Orthant (1981)Handbook of Brownian Motion — Facts and Formulae (1996)Stochastic differential equations and applications (2008)Methods of Mathematical Finance (1998)Relative arbitrage in volatility-stabilized markets (2005)Stochastic Differential Equations (2006)Hybrid Atlas models (2011)Strong solutions of stochastic equations with rank-based coefficients (2012)Controlled Diffusion Processes (1980)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Semimartingales and Markov processes (1980)Changes of numéraire, changes of probability measure and option pricing (1995)Stochastic Portfolio Theory (2002)Model-Free Portfolio Theory and Its Functional Master Formula (2018)Polynomial processes in stochastic portfolio theory (2018)Volatility and arbitrage (2018)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2005Atlas models of equity markets148 cited

Cited by

  • 2012Convergence rates for rank-based models with applications to portfolio theory52 cited
  • 2015Triple and simultaneous collisions of competing Brownian particles47 cited
  • 2010On collisions of Brownian particles45 cited
  • 2017Trading strategies generated by Lyapunov functions42 cited
  • 2010On collisions of Brownian particles36 cited
  • 2013The solution of the perturbed Tanaka-equation is pathwise unique23 cited
  • 2017Multiple collisions in systems of competing Brownian particles22 cited

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