Standout Papers
Citation Impact
Citing Papers
No-arbitrage, change of measure and conditional Esscher transforms
1996
AI-assisted prediction of differential response to antidepressant classes using electronic health records
2023
Accelerated Degradation Models for Failure Based on Geometric Brownian Motion and Gamma Processes
2005
Revolutionizing healthcare: the role of artificial intelligence in clinical practice
2023 Standout
Spatially balanced topological interaction grants optimal cohesion in flocking models
2012 StandoutNobel
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
2019 Standout
Fractional normal inverse Gaussian diffusion
2010
Fluctuation-induced pattern formation in a surface reaction
2006 StandoutNobel
A Tale of Two Indices
2006
Variance Risk Premia
2007
Foundations of Modern Probability
2021 Standout
Continuous-time security pricing
1994
Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances
1987
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
2005
Empirical properties of asset returns: stylized facts and statistical issues
2001 Standout
Recursive valuation of defaultable securities and the timing of resolution of uncertainty
1996
A stochastic jump inventory model with deteriorating items
2000
Illiquidity and All Its Friends
2011 StandoutNobel
Modeling and Forecasting Realized Volatility
2003 Standout
Simulation of stochastic integrals with respect to Lévy processes of type G
2002
Weak convergence of probability measures and random functions in the function space D[0,∞)
1973
Smart Grid — The New and Improved Power Grid: A Survey
2011 Standout
Remaining useful life estimation – A review on the statistical data driven approaches
2010 Standout
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000 Standout
A Framework for Worst-Case and Stochastic Safety Verification Using Barrier Certificates
2007 Standout
The Impact of Uncertainty Shocks
2009 Standout
Compressed sensing
2006 Standout
Term Structures of Credit Spreads with Incomplete Accounting Information
2001 Standout
Matching As An Econometric Evaluation Estimator
1998 Standout
Inside and Outside Liquidity
2011 StandoutNobel
An Introduction to Random Matrices
2009 Standout
The Kuramoto model: A simple paradigm for synchronization phenomena
2005 Standout
Robustness and ambiguity in continuous time
2011 StandoutNobel
An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
2001 Standout
Diffusion of individual birds in starling flocks
2013
Stochastic modelling and analysis of degradation for highly reliable products
2014 Standout
Permutation model for semi-circular systems and quantum random walks
1995
Rényi Divergence and Kullback-Leibler Divergence
2014 Standout
Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility
2013
Residual-life distributions from component degradation signals: A Bayesian approach
2005 Standout
Machinery health prognostics: A systematic review from data acquisition to RUL prediction
2017 Standout
On Choosing and Bounding Probability Metrics
2002
New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model
1998
Stochastic Hybrid Models: An Overview
2003
A survey of the application of gamma processes in maintenance
2007 Standout
Recent trends in modeling of deteriorating inventory
2001 Standout
Numerical Methods for Stochastic Control Problems in Continuous Time
1990 Standout
A Simple Approximate Long-Memory Model of Realized Volatility
2008 Standout
A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
2003 StandoutNobel
For most large underdetermined systems of linear equations the minimal 𝓁1‐norm solution is also the sparsest solution
2006 Standout
Stochastic Degradation Models With Several Accelerating Variables
2006
Securitized banking and the run on repo
2011 Standout
Empirical Processes: Theory and Applications
1990
Modeling Term Structures of Defaultable Bonds
1999 Standout
Probability: Theory and Examples.
1992 Standout
Illiquidity and All Its Friends
2010 StandoutNobel
Scoring probability forecasts for point processes: the entropy score and information gain
2004
Detecting Novel Associations in Large Data Sets
2011 StandoutScience
Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications
2007
An introduction to numerical methods for stochastic differential equations
1999
Estimating quadratic variation using realized variance
2002
Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
1993
Strictly Proper Scoring Rules, Prediction, and Estimation
2007 Standout
Illiquidity and All its Friends
2010 StandoutNobel
An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
2011 Standout
A Probabilistic Theory of Pattern Recognition
1996 Standout
Power and Bipower Variation with Stochastic Volatility and Jumps
2004
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Works of Ditlev Monrad being referenced
Prediction of short-term antidepressant response using probabilistic graphical models with replication across multiple drugs and treatment settings
2021
Limit Theorems for Stochastic Processes.
1988 Standout
Small values of Gaussian processes and functional laws of the iterated logarithm
1995