Stochastic differential equations for compounded risk reserves

On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Igor Vladimirovich Girsanov · Theory of Probability and Its Applications · 1960 · 732 citations

Engineering, Mathematics, Probability Theory +14

The First Passage Problem for a Continuous Markov Process

D. A. Darling, A. J. F. Siegert · The Annals of Mathematical Statistics · 1953 · 488 citations · Full text

Engineering, Mathematics, Probability Theory +15

Linear Estimation and Stochastic Control

William T. Tucker, Mark H. Davis · Technometrics · 1984 · 341 citations

Natural Sciences, Mathematics, Stochastic Modeling +8

Diffusion approximations in collective risk theory

L. Donald Iglehart · Journal of Applied Probability · 1969 · 182 citations · Full text

Business, Economics, Insurance +9

Ruin problems with compounding assets

J. Michael Harrison · Stochastic Processes and their Applications · 1977 · 147 citations

Business, Economics, Finance +5