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Mathematics

D-Index
44
Citations
26719
World Ranking
1519
National Ranking
655

Research.com Recognitions

  • 2013 - Fellow of the American Association for the Advancement of Science (AAAS)

Overview

Philip Protter is affiliated with Columbia University in the United States. Their primary research focus is in the field of Economics, Econometrics, and Finance, with a substantial body of work dedicated to Finance and related subfields. Their expertise spans multiple interdisciplinary areas including Applied Mathematics, Management Information Systems, and aspects of Molecular Biology.

The scientist's research topics include:

  • Stochastic processes and financial applications
  • Credit Risk and Financial Regulations
  • Banking stability, regulation, efficiency
  • Complex Systems and Time Series Analysis
  • Economic theories and models
  • Microfinance and Financial Inclusion
  • Point processes and geometric inequalities

Philip Protter has published in various academic venues, with frequent contributions to:

  • arXiv (Cornell University)
  • SSRN Electronic Journal
  • Numerical Algebra Control and Optimization
  • Frontiers of Mathematical Finance
  • Annals of Finance

Their recent papers include:

  • "Asset price bubbles: Invariance theorems," 2021, Frontiers of Mathematical Finance
  • "Probability of no default for a microloan under uncertainty," 2024, Annals of Finance
  • "Computing the probability of a financial market failure: a new measure of systemic risk," 2022, Annals of Operations Research
  • "Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk," 2021, SSRN Electronic Journal
  • "Dependent Stopping Times," 2021, SSRN Electronic Journal

Frequent collaborators listed include:

  • Alejandra Quintos
  • Robert A. Jarrow
  • Jaime San Martín
  • Qianfan Wu
  • Shihao Yang

In 2013, Philip Protter was recognized as a Fellow of the American Association for the Advancement of Science (AAAS).

Best Publications

  • Stochastic Differential Equations

    Philip E. Protter

  • Stochastic integration and differential equations

    Philip E. Protter

  • Stochastic Integration and Differential Equations : A New Approach

    Philip E. Protter

  • Solving forward-backward stochastic differential equations explicitly — a four step scheme

    Jin Ma;Philip Protter;Jiongmin Yong

  • Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations

    Thomas G. Kurtz;Philip Protter

  • Asymptotic error distributions for the Euler method for stochastic differential equations

    Jean Jacod;Philip Protter

  • Discretization of Processes

    Jean Jacod;Philip E. Protter

  • An analysis of a least squares regression method for American option pricing

    Emmanuelle Clément;Damien Lamberton;Philip Protter

  • Liquidity Risk and Arbitrage Pricing Theory

    Umut Çetin;Robert A. Jarrow;Philip Protter

  • The Euler scheme for Lévy driven stochastic differential equations

    Philip Protter;Denis Talay

  • STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE

    Robert A. Jarrow;Philip Protter

  • ASSET PRICE BUBBLES IN INCOMPLETE MARKETS

    Robert A. Jarrow;Philip Protter;Kazuhiro Shimbo

  • Semimartingales and Markov processes

    E. Çinlar;J. Jacod;P. Protter;M. J. Sharpe

  • Modeling Credit Risk With Partial Information

    Umut Çetin;Robert Jarrow;Philip Protter;Yildiray Yildirim

  • Numerical methods for forward-backward stochastic differential equations

    Jim Douglas;Jin Ma;Philip Protter

  • Numberical Method for Backward Stochastic Differential Equations

    Jin Ma;Philip Protter;Jaime San Martín;Soledad Torres

  • Quadratic covariation and an extension of Itô's formula

    Hans Föllmer;Philip Protter;Albert N. Shiryayev

  • The Monte-Carlo method for filtering with discrete-time observations

    Pierre Del Moral;Jean Jacod;Philip Protter

  • FROM DISCRETE- TO CONTINUOUS-TIME FINANCE: WEAK CONVERGENCE OF THE FINANCIAL GAIN PROCESS'

    Darrell Duffie;Philip Protter

  • Volterra Equations Driven by Semimartingales

    Philip Protter

  • Weak convergence of stochastic integrals and differential equations

    Thomas G. Kurtz;Philip E. Protter

Frequent Co-Authors

Robert A. Jarrow
Robert A. Jarrow Cornell University
Jean Jacod
Jean Jacod Sorbonne University
Thomas G. Kurtz
Thomas G. Kurtz University of Wisconsin–Madison
Hans Föllmer
Hans Föllmer Humboldt-Universität zu Berlin
Etienne Pardoux
Etienne Pardoux Aix-Marseille University
Svante Janson
Svante Janson Uppsala University
Sylvie Méléard
Sylvie Méléard École Polytechnique
Denis Talay
Denis Talay French Institute for Research in Computer Science and Automation - INRIA
Darrell Duffie
Darrell Duffie Stanford University
Monique Jeanblanc
Monique Jeanblanc University of Évry Val d'Essonne

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