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A remark on Tsirelson's stochastic differential equation
9 references·0 citing·26 second hop
A remark on Tsirelson's stochastic differential equation (1999)A remark on Tsirelson's stochastic differ…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes (1998)Autour d'un théorème de tsire…Decreasing sequences of $\sigma$-fields and a measure change for Brownian motion (1996)Decreasing sequences of $\sig…Tsirel'son's equation in discrete time (1992)Tsirel'son's equation in disc…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus (1989)DIFFUSIONS, MARKOV PROCESSES …Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space- valued stochastic differential equations (1984)Girsanov's theorem in Hilbert…Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control (1977)Nonexistence of strong nonant…An Example of a Stochastic Differential Equation Having No Strong Solution (1976)An Example of a Stochastic Di…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Full “Bang” to Reduce Predicted Miss is Optimal (1976)On the uniqueness of solutions of stochastic differential equations (1971)ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)On Local Martingale and its Supremum: Harmonic Functions and beyond (2006)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Integration and Differential Equations (2005)Exponential utility indifference valuation in two Brownian settings with stochastic correlation (2008)Stochastic Integrals Based on Martingales Taking Values in Hilbert Space (1970)Stochastic Integration (1981)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Un Cours sur les Intégrales Stochastiques (2002)Optional splitting formula in a progressively enlarged filtration (2014)Martingale representation property in progressively enlarged filtrations (2015)Stochastic integral equations for Walsh semimartingales (2018)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Robustness and Uncertainty Aversion (2002)On Weak Solutions of Backward Stochastic Differential Equations (2005)Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games (2016)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)
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References

  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 1991Continuous Martingales and Brownian Motion2,100 cited
  • 1989DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus170 cited
  • 1976An Example of a Stochastic Differential Equation Having No Strong Solution58 cited
  • 1998Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes57 cited
  • 1996Decreasing sequences of $\sigma$-fields and a measure change for Brownian motion37 cited
  • 1984Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space- valued stochastic differential equations29 cited
  • 1992Tsirel'son's equation in discrete time28 cited
  • 1977Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control19 cited

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