Philip Protter
School of Operations Research and Industrial Engineering
Recent Publications Related to Stochastic Analysis by Philip Protter
  1. (with J. Jacod) Probability Essentials, Corrected Second Edition, Springer Verlag, 2004.
  2. (with Jin Ma and Jianfeng Zhang) Explicit form and path regularity of martingale representations, Lévy processes, 1627;337-360, Birkhäuser Boston, Boston, MA, 2001
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  3. (with Jean Jacod and Sylvie Méléard) Martingale Representation: Formulas and Robustness, Annals of Probability 28; 1747-1780, 2000
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  4. (with H. Föllmer) An extension of Itô’s formula in n dimensions, Probability Theory and Related Fields 116; 1-20, 2000.
  5. (with Ma, J. and San Martin, J.) Anticipating stochastic integrals for martingales, Bernoulli4; 81-114, 1998.
  6. (with Jacod, Jean) Asymptotic Error Distributions for the Euler Method for Stochastic Differential Equations, Ann. Proba 26; 267-307, 1998
  7. (with Tom Kurtz) Limit theorems for solutions of stochastic equations II, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;197-285, 1996
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  8. (with Tom Kurtz) Limit theorems for solutions of stochastic equations I, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;1-41, 1996
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  9. (with D. Talay) The Euler scheme for Lévy driven stochastic differential equations, Ann. Proba 25; 393-423, 1997.
  10. (with J. Douglas, Jr. and J. Ma) Numerical methods for forward-backward stochastic differential equations, Ann. Applied Proba 6; 940-968, 1996.
  11. (with D. Nualart) Skorohod integral for a product of two stochastic processes, J. Theoretical Probability, 9 1029-1037, 1996.
  12. (with O'Cinneide C.) An Elementary Approach to Naturality, Predictability, and the Fundamental Theorem of Local Martingales, Purdue Statistics Department Technical Report
  13. (with Föllmer, H.and Shiryaev, A.N.) Quadratic Covariation and An Extension of Ito's Formula, Bernoulli 1; 149-169, 1995.
  14. (with Kurtz T.G. and Pardoux E.) Stratonovich Stochastic Differential Equations Driven by General Semimartingales, Annales Inst. H. Poincaré 31; 351-377, 1995.
  15. (with Ahn H.) A Remark on Stochastic Integration, in Séminaire de Probabilités XXVIII, Springer Lect. Notes in Math 1583; 312-315, 1994.
  16. (with Léon, J.) Some Formulas for Anticipative Girsanov Transformations, in Chaos Expansion, Multiple Wiener-Itô Integrals and Their Applications, (C. Houdre and V. Perez-Abreu, eds.) CRC press (pp. 267-292), 1994.
  17. (with San Martin J.) General Change of Variables Formulas for Semimartingales in One and Finite Dimensions, Proba. Th. Rel. Fields 97; 363-381, 1993.
  18. (with Jacod J.) A Remark on the Weak Convergence of Processes in the Skorohod Topology, J. Theoretical Probability 6; 463-472, 1993.
  19. (with Carlen E.) On Semimartingale Decompositions of Convex Functions of Semimartingales, Illinois J. Math, 36; 420-427, 1992.
  20. (with Jacod J.) Une Remarque sur les Equations Differentielles Stochastiques à Solutions Markoviennes, Séminaire de Probabilités XXV, Springer Lect. Notes in Math. 1485; 138-139, 1991.
  21. (with Kurtz T.G.) Characterizing the Weak Convergence of Stochastic Integrals, in Stochastic Analysis (M. Barlow and N. Bingham, eds.); 255-259, 1991.
  22. (with Kurtz T.G.) Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations, Annals of Probability 19; 1035-1070, 1991.
  23. (with Kurtz T.G.) Wong-Zakai Corrections, Random Evolutions, and Numerical Schemes for SDEs, in Stochastic Analysis , Academic Press; 331-346, 1991.

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