Constrained Stochastic Estimation Algorithms for a Class of Hybrid Stock Market Models

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Robert C. Merton · The Review of Economics and Statistics · 1969 · 5.3K citations

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“Options, Futures, and Other Derivatives”

AMBER – ABBS Management Business and Entrepreneurship Review · 2016 · 5.2K citations · Full text

Business, Economics, Finance +11

Multivariate stochastic approximation using a simultaneous perturbation gradient approximation

James C. Spall · IEEE Transactions on Automatic Control · 1992 · 2.3K citations

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Stochastic Approximation Algorithms and Applications

Anatolii A. Puhalskii, Harold J. Kushner, G. George Yin · Journal of the American Statistical Association · 1998 · 1K citations · Full text

Engineering, Mathematics, Dynamical Systems +14

Approximation and Weak Convergence Methods for Random Processes, With Applications to Stochastic Systems Theory.

Ioannis Karatzas, Harold J. Kushner · Journal of the American Statistical Association · 1985 · 570 citations

Engineering, Mathematics, Dynamical Systems +14