Concepedia

Random Time Change

Random Time Change is a stochastic transformation of a counting process in which the original time scale is replaced by a random, non-decreasing, càdlàg process, thereby altering the rate of event occurrences while preserving the order of events.

82

Publications

10.5K

Citations

151

Authors

105

Institutions

Publications per year

2017–2026

16

Parents

Publications

82

Markov Processes: Characterization and Convergence.

Andris Abakuks, S. N. Ethier, Thomas G. Kurtz · Biometrics · 1987 · 4.5K citations

, , +16

The Variance Gamma Process and Option Pricing

Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations

, , +17

Order Flow, Transaction Clock, and Normality of Asset Returns

Thierry Ané, Hélyette Geman · The Journal of Finance · 2000 · 432 citations · Full text

, , +11

Time Changes for Lévy Processes

Hélyette Geman, Dilip B. Madan, Marc Yor · Mathematical Finance · 2001 · 249 citations

, , +16

Martingale proofs of many-server heavy-traffic limits for Markovian queues

2007 · 195 citations

, , +16

1–5 of 82

Authors

151

  1. DB
    Dilip B. Madan

    University of Maryland, College Park, United States

    4 publications · 2.2K citations

    4

    h-index

  2. TG
    Thomas G. Kurtz

    University of Wisconsin–Madison, United States

    3 publications · 4.7K citations

    3

    h-index

  3. TC
    Timothy C. Brown

    The University of Melbourne, Australia

    2 publications · 65 citations

    2

    h-index

  4. HJ
    H. J. Engelbert

    Schiller International University, France

    2 publications · 42 citations

    2

    h-index

  5. GN
    Gopalan Nair

    The University of Western Australia, Australia

    2 publications · 65 citations

    2

    h-index

1–5 of 151

Institutions

105

  1. Sorbonne Université

    Paris, France

    4 h-index

    4 publications

    308 citations

  2. Sapienza University of Rome

    Rome, Italy

    3 h-index

    6 publications

    223 citations

  3. University of Maryland, College Park

    College Park, United States

    3 h-index

    3 publications

    2.2K citations

  4. Centre National de la Recherche Scientifique

    Paris, France

    3 h-index

    8 publications

    333 citations

  5. Morgan Stanley (United States)

    New York, United States

    3 h-index

    3 publications

    1.9K citations

  6. Indiana University – Purdue University Indianapolis

    Indianapolis, United States

    2 h-index

    2 publications

    44 citations

  7. École Polytechnique Fédérale de Lausanne

    Lausanne, Switzerland

    2 h-index

    3 publications

    280 citations

  8. Aarhus University

    Aarhus, Denmark

    2 h-index

    3 publications

    65 citations

1–8 of 105

Venues

  1. The Annals of Probability

    7 publications · 481 citations

    7

    h-index

  2. Electronic Journal of Probability

    EJP · 5 publications · 189 citations

    5

    h-index

  3. Journal of Applied Probability

    JAP · 5 publications · 110 citations

    5

    h-index

  4. The Annals of Statistics

    4 publications · 262 citations

    4

    h-index

  5. Advances in Applied Probability

    AAP · 2 publications · 41 citations

    2

    h-index

1–5