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Philip Protter School of Operations Research and Information Engineering |
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Philip Protter Professor School of Operations Research and Information Engineering Cornell University
219 Rhodes Hall
pep4 at cornell.edu
Editor in Chief, Stochastic Processes and Their Applications |
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Research Interests
My professional interests are in Theoretical and Applied Probability Theory. I have long been interested in Stochastic Calculus and Stochastic Differential Equations. To properly study and understand stochastic calculus, one needs a good background in measure theory, martingales, and Markov process theory. A number of widely varying areas of probability theory arise naturally in the study of stochastic calculus, including weak convergence and the Malliavin calculus. Traditionally stochastic calculus problems are motivated by questions arising from physics and electrical engineering, and models such as control theory and filtering theory. More recently new problems have arisen from Financial Asset Pricing Theory, leading me to acquire a strong interest in Economics. For stochastic differential equations, difficult problems arise when sample paths are no longer assumed to be continuous, and yet quite natural models, important for applications, arise in these cases. For applications, an important issue is when can one reasonably simulate and approximate solutions of stochastic differential equations, and I have been interested in that area too. |
Vita