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- Philip Protter

Discipline name
D-index
D-index (Discipline H-index) only includes papers and citation values for an examined
discipline in contrast to General H-index which accounts for publications across all
disciplines.
Citations
Publications
World Ranking
National Ranking

Mathematics
D-index
43
Citations
25,205
154
World Ranking
1116
National Ranking
517

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

- 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.

- 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)

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.

- Stochastic differential equation (23.36%)
- Mathematical analysis (19.63%)
- Applied mathematics (18.69%)

- Local martingale (12.15%)
- Applied mathematics (18.69%)
- Mathematical finance (13.08%)

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.

- 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)

- 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.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Stochastic Differential Equations

Philip E. Protter.

**(1990)**

8568 Citations

Stochastic Differential Equations

Philip E. Protter.

**(1990)**

8568 Citations

Stochastic integration and differential equations

Philip E. Protter.

**(1990)**

6853 Citations

Stochastic integration and differential equations

Philip E. Protter.

**(1990)**

6853 Citations

Stochastic Integration and Differential Equations : A New Approach

Philip E. Protter.

**(2014)**

1056 Citations

Stochastic Integration and Differential Equations : A New Approach

Philip E. Protter.

**(2014)**

1056 Citations

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

Jin Ma;Philip Protter;Jiongmin Yong.

Probability Theory and Related Fields **(1994)**

867 Citations

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

Jin Ma;Philip Protter;Jiongmin Yong.

Probability Theory and Related Fields **(1994)**

867 Citations

Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations

Thomas G. Kurtz;Philip Protter.

Annals of Probability **(1991)**

699 Citations

Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations

Thomas G. Kurtz;Philip Protter.

Annals of Probability **(1991)**

699 Citations

Stochastic Processes and their Applications

(Impact Factor: 1.43)

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