Optional decomposition and Lagrange multipliers

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

Processes of normal inverse Gaussian type

Ole E. Barndorff–Nielsen · Finance and Stochastics · 1997 · 1.3K citations

Business, Economics, Finance +15

Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

Nicole El Karoui, Marie-Claire Quenez · SIAM Journal on Control and Optimization · 1995 · 661 citations

Business, Economics, Finance +17

Equivalent martingale measures and no-arbitrage in stochastic securities market models

Robert C. Dalang, A. J. Morton, Walter Willinger · Stochastics and stochastics reports · 1990 · 431 citations · Full text

Business, Economics, Finance +10

Robustness of the Black and Scholes Formula

Nicole El Karoui, Monique Jeanblanc‐Picquè, Steven E. Shreve · Mathematical Finance · 1998 · 382 citations

Business, Economics, Finance +16