What is he best known for?
The fields of study he is best known for:
- Mathematical analysis
- Statistics
- Probability theory
His main research concerns Stochastic differential equation, Mathematical analysis, Differential equation, Stochastic partial differential equation and Mathematical finance.
His Stochastic differential equation research is multidisciplinary, relying on both Parabolic partial differential equation, Scheme, Class, Uniqueness and Conditional expectation.
Philip Protter combines Mathematical analysis and Stratonovich integral in his research.
His Differential equation course of study focuses on Martingale and Semimartingale.
Philip Protter studies Stochastic partial differential equation, focusing on Stochastic calculus in particular.
His research investigates the connection between Stochastic calculus and topics such as Malliavin calculus that intersect with issues in Combinatorics, Poisson random measure, Continuous-time stochastic process and Applied mathematics.
His most cited work include:
- Stochastic integration and differential equations (3458 citations)
- Stochastic integration and differential equations : a new approach (681 citations)
- Solving forward-backward stochastic differential equations explicitly — a four step scheme (594 citations)
What are the main themes of his work throughout his whole career to date?
The scientist’s investigation covers issues in Stochastic differential equation, Mathematical analysis, Applied mathematics, Martingale and Semimartingale.
His work deals with themes such as Stochastic calculus, Stochastic partial differential equation, Malliavin calculus, Differential equation and Wiener process, which intersect with Stochastic differential equation.
His research brings together the fields of Continuous-time stochastic process and Stochastic calculus.
The various areas that Philip Protter examines in his Mathematical analysis study include Weak convergence and Brownian motion.
In his work, Arbitrage pricing theory is strongly intertwined with Mathematical finance, which is a subfield of Applied mathematics.
His Martingale research is multidisciplinary, incorporating elements of Mathematical economics, Pure mathematics and Credit risk.
He most often published in these fields:
- Stochastic differential equation (23.36%)
- Mathematical analysis (19.63%)
- Applied mathematics (18.69%)
What were the highlights of his more recent work (between 2012-2021)?
- Local martingale (12.15%)
- Applied mathematics (18.69%)
- Mathematical finance (13.08%)
In recent papers he was focusing on the following fields of study:
His main research concerns Local martingale, Applied mathematics, Mathematical finance, Econometrics and Economic bubble.
His Local martingale research incorporates themes from Conditional probability distribution and Calculus.
Philip Protter does research in Applied mathematics, focusing on Stochastic differential equation specifically.
His Stochastic differential equation study improves the overall literature in Mathematical analysis.
His biological study spans a wide range of topics, including Computation, Game theory, Brownian motion and Swap.
Philip Protter combines subjects such as Arbitrage, Microeconomics and Credit risk with his study of Econometrics.
Between 2012 and 2021, his most popular works were:
- STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE (188 citations)
- A Mathematical Theory of Financial Bubbles (63 citations)
- Discretely sampled variance and volatility swaps versus their continuous approximations (30 citations)
In his most recent research, the most cited papers focused on:
- Mathematical analysis
- Statistics
- Probability theory
His primary areas of study are Mathematical finance, Econometrics, Applied mathematics, Filtration and Semimartingale.
Philip Protter has researched Mathematical finance in several fields, including Order and Statistical physics.
His work on Capital asset pricing model as part of general Econometrics research is frequently linked to Information set, bridging the gap between disciplines.
His Applied mathematics research incorporates elements of Volatility and Stochastic volatility.
His research integrates issues of Weak convergence, Point process, Mathematical economics, Stopping time and Sequence in his study of Filtration.
His Semimartingale research includes elements of Base, Convergence, Stochastic process, Brownian motion and Insider trading.
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