Concepedia

Stochastic Calculus

Stochastic Calculus is a branch of mathematics that extends the methods of calculus to stochastic processes, characterizing the differentiation and integration of random functions with respect to processes such as Brownian motion.

12.8K

Publications

752.8K

Citations

11.1K

Authors

2.9K

Institutions

Publications per year

2017–2026

2.1K

Parents

Children

Publications

12.8K

A Stochastic Approximation Method

Herbert Robbins, Sutton Monro · The Annals of Mathematical Statistics · 1951 · 9.6K citations · Full text

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

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Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

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NOTES ON CONTINUOUS STOCHASTIC PHENOMENA

P. A. P. Moran · Biometrika · 1950 · 7.1K citations

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Probability and Measure.

PE, P. Billingsley · Journal of the American Statistical Association · 1996 · 6.7K citations

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1–5 of 12.8K

Authors

11.1K

  1. XM
    Xuerong Mao

    University of Strathclyde, United Kingdom

    107 publications · 7.5K citations

    43

    h-index

  2. SP
    Shigē Péng

    Shandong University, China

    57 publications · 12.8K citations

    39

    h-index

  3. MR
    Michael Röckner

    Bielefeld University, Germany

    64 publications · 3.4K citations

    34

    h-index

  4. BØ
    Bernt Øksendal

    University of Oslo, Norway

    51 publications · 7.4K citations

    31

    h-index

  5. DN
    David Nualart

    Universitat de Barcelona, Spain

    60 publications · 4.2K citations

    30

    h-index

1–5 of 11.1K

Institutions

2.9K

  1. Centre National de la Recherche Scientifique

    Paris, France

    60 h-index

    430 publications

    21K citations

  2. Sorbonne Université

    Paris, France

    59 h-index

    288 publications

    20K citations

  3. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    57 h-index

    211 publications

    25K citations

  4. Université Paris Cité

    Paris, France

    51 h-index

    206 publications

    13.8K citations

  5. Shandong University

    Jinan, China

    50 h-index

    299 publications

    25.3K citations

  6. University of Strathclyde

    Glasgow, United Kingdom

    44 h-index

    123 publications

    8.5K citations

  7. University of Warwick

    Coventry, United Kingdom

    43 h-index

    149 publications

    13.5K citations

  8. Bielefeld University

    Bielefeld, Germany

    43 h-index

    147 publications

    7.1K citations

1–8 of 2.9K

Venues

  1. The Annals of Probability

    540 publications · 36.4K citations

    98

    h-index

  2. Stochastic Processes and their Applications

    483 publications · 28.1K citations

    82

    h-index

  3. Probability Theory and Related Fields

    237 publications · 17.7K citations

    66

    h-index

  4. SIAM Journal on Control and Optimization

    199 publications · 16.9K citations

    61

    h-index

  5. The Annals of Applied Probability

    202 publications · 12K citations

    57

    h-index

1–5