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On collisions of Brownian particles
12 references·0 citing·38 second hop
On collisions of Brownian particles (2010)On collisions of Brownian particlesLocal times of ranked continuous semimartingales (2007)Local times of ranked continu…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Atlas models of equity markets (2005)Atlas models of equity marketsOn weak uniqueness for some diffusions with discontinuous coefficients (2004)On weak uniqueness for some d…A survey and some generalizations of Bessel processes (2003)A survey and some generalizat…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryThe importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes (1999)The importance of strictly lo…Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian models of open queue…Reflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesA comparison theorem for solutions of stochastic differential equations and its applications (1977)A comparison theorem for solu…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)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)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)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)The Skorokhod embedding problem and its offspring (2004)THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)A jump to default extended CEV model: an application of Bessel processes (2006)Networks of Waiting Lines (1957)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)Continuous Martingales and Brownian Motion (1991)Asset Price Bubbles in Complete Markets (2007)Rational asset pricing bubbles and portfolio constraints (2010)Stability in a Model of Interbank Lending (2013)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)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)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1981Reflected Brownian Motion on an Orthant390 cited
  • 1987Brownian models of open queueing networks with homogeneous customer populations ∗312 cited
  • 2003A survey and some generalizations of Bessel processes305 cited
  • 1977A comparison theorem for solutions of stochastic differential equations and its applications304 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 2005Atlas models of equity markets148 cited
  • 1999The importance of strictly local martingales; applications to radial Ornstein–Uhlenbeck processes89 cited
  • 2004On weak uniqueness for some diffusions with discontinuous coefficients53 cited
  • 2007Local times of ranked continuous semimartingales52 cited

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