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A short history of stochastic integration and mathematical finance: the early years, 1880–1970
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-1-4757-9174-7openalex-snapshot
Introduction to Stochastic Integration
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Rational Theory of Warrant Pricing
inferredcites →https://doi.org/10.1007/978-3-319-28507-8_14openalex-snapshot
ON THE LOCAL STRUCTURE OF CONTINUOUS MARKOV PROCESSES
inferredcites →https://doi.org/10.1007/978-3-319-28507-8_15openalex-snapshot
HOMOGENEOUS MARKOV PROCESSES WITHOUT DISCONTINUITIES OF THE SECOND KIND
inferredcites →https://doi.org/10.1007/978-3-540-45530-1_10openalex-snapshot
Intégrales Stochastiques par Rapport aux Martingales Locales
inferredcites →https://doi.org/10.1007/978-3-540-45530-1_11openalex-snapshot
Un Cours sur les Intégrales Stochastiques
inferredcites →https://doi.org/10.1007/978-3-642-75051-9openalex-snapshot
Stochastic Calculus in Manifolds
inferredcites →https://doi.org/10.1007/978-3-662-10061-5openalex-snapshot
Stochastic Integration and Differential Equations
inferredcites →https://doi.org/10.1007/978-3-662-12429-1_2openalex-snapshot
Modern Finance Theory Within One Lifetime
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Future Possibilities in Finance Theory and Finance Practice
inferredcites →https://doi.org/10.1007/bf01390195openalex-snapshot
Syst�mes de l�vy des processus de markov
inferredcites →https://doi.org/10.1007/bf01571626openalex-snapshot
Zur Theorie der stochastischen Prozesse
inferredcites →https://doi.org/10.1007/bf01844873openalex-snapshot
Transformation des martingales locales par changement absolument continu de probabilities
inferredcites →https://doi.org/10.1007/bfb0087205openalex-snapshot
Equations differentielles stochastiques
inferredcites →https://doi.org/10.1007/s780-002-8399-0openalex-snapshot
Comments on the life and mathematical legacy of Wolfgang Doeblin
inferredcites →https://doi.org/10.1016/0304-405x(76)90023-4openalex-snapshot
The valuation of options for alternative stochastic processes
inferredcites →https://doi.org/10.1016/j.spa.2003.10.001openalex-snapshot
A new prize in honor of Kiyosi Itô
inferredcites →https://doi.org/10.1017/s0027763000012216openalex-snapshot
On a Formula Concerning Stochastic Differentials
inferredcites →https://doi.org/10.1017/s0027763000012484openalex-snapshot
On Square Integrable Martingales
inferredcites →https://doi.org/10.1063/1.2915451openalex-snapshot
Subtle Is the Lord: The Science and the Life of Albert Einstein
inferredcites →https://doi.org/10.1073/pnas.42.7.414openalex-snapshot
MARKOFF PROCESSES AND POTENTIALS
inferredcites →https://doi.org/10.1080/00029890.1996.12004791openalex-snapshot
The Development of Rigor in Mathematical Probability (1900–1950)
inferredcites →https://doi.org/10.1090/s0002-9947-1949-0031196-6openalex-snapshot
The Transformation of Wiener Integrals by Nonlinear Transformations
inferredcites →https://doi.org/10.1093/comjnl/12.1.5openalex-snapshot
Conditional Markov Processes and their application to the Theory of Optimal Control
inferredcites →https://doi.org/10.1112/jlms/s1-42.1.186bopenalex-snapshot
DIFFUSION PROCESSES AND THEIR SAMPLE PATHS
inferredcites →https://doi.org/10.1137/1105027openalex-snapshot
On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
inferredcites →https://doi.org/10.1137/1108043openalex-snapshot
On Homogeneous Continuous Markov Processes that are Martingales
inferredcites →https://doi.org/10.1137/1110048openalex-snapshot
On the Decomposition of Continuous Submartingales
inferredcites →https://doi.org/10.1137/1111036openalex-snapshot
On the Local Structure of Continuous Markov Processes
inferredcites →https://doi.org/10.1137/1112026openalex-snapshot
Homogeneous Markov Processes without Discontinuities of the Second Kind
inferredcites →https://doi.org/10.1142/9789814566926_0002openalex-snapshot
Proof that Properly Anticipated Prices Fluctuate Randomly
inferredcites →https://doi.org/10.1214/aop/1176996554openalex-snapshot
Transformation of Local Martingales Under a Change of Law
inferredcites →https://doi.org/10.1215/ijm/1255378505openalex-snapshot
Markoff processes and potentials I
inferredcites →https://doi.org/10.1215/ijm/1255380388openalex-snapshot
Markoff processes and potentials II
inferredcites →https://doi.org/10.1215/ijm/1255381342openalex-snapshot
Markoff processes and potentials III
inferredcites →https://doi.org/10.1215/ijm/1255632318openalex-snapshot
A decomposition theorem for supermartingales
inferredcites →https://doi.org/10.1215/ijm/1255637477openalex-snapshot
Decomposition of supermartingales: The uniqueness theorem
inferredcites →https://doi.org/10.1215/kjm/1250524600openalex-snapshot
On a class of additive functionals of Markov processes
inferredcites →https://doi.org/10.1287/opre.7.2.145openalex-snapshot
Brownian Motion in the Stock Market
inferredcites →https://doi.org/10.2139/ssrn.15108openalex-snapshot
Market Efficiency, Long-Term Returns, and Behavioral Finance
inferredcites →https://doi.org/10.2307/1403034openalex-snapshot
T. N. Thiele's Contributions to Statistics
inferredcites →https://doi.org/10.2307/2291616openalex-snapshot
Diffusion Processes and Their Sample Paths.
inferredcites →https://doi.org/10.2307/2315169openalex-snapshot
Diffusion Processes and their Sample Paths.
inferredcites →https://doi.org/10.2307/2328959openalex-snapshot
Capital Ideas: The Improbable Origins of Modern Wall Street.
inferredcites →https://doi.org/10.2307/2974673openalex-snapshot
The Development of Rigor in Mathematical Probability (1900-1950)
inferredcites →https://doi.org/10.25335/2by4-jm66openalex-snapshot
Quasi-martingales and stochastic integrals
inferredcites →https://doi.org/10.4013/base.20082.07openalex-snapshot
The cost of capital, corporation finance and the theory of investment
inferredcites →https://doi.org/10.4099/jjm1924.34.0_53openalex-snapshot
On discontinuous additive functionals and Lévy measures of a Markov process
inferredcites →https://doi.org/10.5802/aif.192openalex-snapshot
Transformation of Markov processes by multiplicative functionals
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Simulation and analysis of stochastic signals using the Kolmogorov-Feller equation
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Fighting Enemies and Noise: Competition of Residents and Invaders in a Stochastically Fluctuating Environment
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Merton, Robert C. (Born 1944)
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Merton, Robert C. (Born 1944)
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The Valuation of American Options with Stochastic Stopping Time Constraints
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