Philip Protter
School of Operations Research and Industrial Engineering
Recent Publications Related to Weak Convergence by Philip Protter
  1. (with Jean Jacod and Sylvie Méléard) Martingale Representation: Formulas and Robustness, Annals of Probability, 28, 1747-1780, 2000 .
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  2. (with Del Moral, Pierre and Jacod, Jean) The Monte- Carlo method for filtering with discrete time observations, Probability Theory and Related Fields, 120, 346-368, 2001 .
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  3. (with Jacod, Jean) Asymptotic Error Distributions for the Euler Method for Stochastic Differential Equations, Ann. Proba 26; 267-307, 1998
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  4. (with Tom Kurtz) Limit theorems for solutions of stochastic equations II, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;197-285, 1996
  5. (with Tom Kurtz) Limit theorems for solutions of stochastic equations I, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;1-41, 1996
  6. (with D. Talay) The Euler scheme for Lévy driven stochastic differential equations, Ann. Proba 25; 393-423, 1997.
  7. (with J. Douglas, Jr. and J. Ma) Numerical methods for forward-backward stochastic differential equations, Ann. Applied Proba 6; 940-968, 1996.
  8. (with Kurtz T.G. and Pardoux E.) Stratonovich Stochastic Differential Equations Driven by General Semimartingales, Annales Inst. H. Poincaré 31; 351-377, 1995.
  9. (with Jacod J.) A Remark on the Weak Convergence of Processes in the Skorohod Topology, J. Theoretical Probability 6; 463-472, 1993. li> (with Duffie D.) The Boundary Between Discrete and Continuous Time Finance: Weak Convergence of the Financial Gain Process, J. of Mathematical Finance 2; 1-15, 1992.
  10. (with Kurtz T.G.) Characterizing the Weak Convergence of Stochastic Integrals, in Stochastic Analysis (M. Barlow and N. Bingham, eds.); 255-259, 1991.
  11. (with Kurtz T.G.) Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations, Annals of Probability 19; 1035-1070, 1991.
  12. (with Kurtz T.G.) Wong-Zakai Corrections, Random Evolutions, and Numerical Schemes for SDEs, in Stochastic Analysis , Academic Press; 331-346, 1991.
  13. Weak Convergence in Analysis, in White Noise Analysis , World Scientific; 331-336, 1990.

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