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Nonclausal stochastic integrals and calculus
16 references·0 citing·26 second hop
Nonclausal stochastic integrals and calculus (2006)Nonclausal stochastic integrals and calcu…The Tata Institute of Fundamental Research (1997)The Tata Institute of Fundame…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Generalized stochastic integrals and the malliavin calculus (1986)Generalized stochastic integr…Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Malliavin's calculus and stoc…Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Lectures on Stochastic Differ…L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel (1982)L'intégrale stochastique comm…Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Martingales, the Malliavin ca…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesSemi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…Derivatives of Wiener functionals and absolute continuity of induced measures (1980)Derivatives of Wiener functio…Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…On a Generalization of a Stochastic Integral (1976)On a Generalization of a Stoc…On nonlinear transformations of Gaussian measures (1974)On nonlinear transformations …Martingales and stochastic integrals for processes with a multi-dimensional parameter (1974)Martingales and stochastic in…The Representation of Functionals of Brownian Motion by Stochastic Integrals (1970)The Representation of Functio…Multiple Wiener Integral (1951)Multiple Wiener IntegralConvergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Un Cours sur les Intégrales Stochastiques (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Functional Itô calculus and stochastic integral representation of martingales (2013)On stochastic differential equations (1951)On Square Integrable Martingales (1967)Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)A variational problem arising in financial economics (1991)Stochastic Differential Equations and Diffusion Processes (1983)A generalized clark representation formula, with application to optimal portfolios (1991)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Simplified malliavin calculus (1986)Stochastic integral (1944)Anticipative calculus for the poisson process based on the fock space (1990)Integration with respect to Fractal Functions and Stochastic Calculus II (2001)Forward, backward and symmetric stochastic integration (1993)Anticipative portfolio optimization (1996)A survey and some generalizations of Bessel processes (2003)The Malliavin calculus, a functional analytic approach (1981)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)On bifractional Brownian motion (2005)Stochastic heat equation driven by fractional noise and local time (2008)
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References

  • 1951Multiple Wiener Integral699 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1980Semi-Martingales et Grossissement d’une Filtration330 cited
  • 1984Lectures on Stochastic Differential Equations and Malliavin Calculus271 cited
  • 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions270 cited
  • 1981Calcul d'ito sans probabilites247 cited
  • 1970The Representation of Functionals of Brownian Motion by Stochastic Integrals233 cited
  • 1976On a Generalization of a Stochastic Integral217 cited
  • 1980Derivatives of Wiener functionals and absolute continuity of induced measures178 cited
  • 1974Martingales and stochastic integrals for processes with a multi-dimensional parameter174 cited
  • 1986Generalized stochastic integrals and the malliavin calculus156 cited
  • 1984Malliavin's calculus and stochastic integral representations of functional of diffusion processes†153 cited
  • 1974On nonlinear transformations of Gaussian measures133 cited
  • 1997The Tata Institute of Fundamental Research99 cited

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  • 1982L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel96 cited
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