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Martingale-Valued Measures, Ornstein-Uhlenbeck Processes with Jumps and Operator Self-Decomposability in Hilbert Space
12 references·0 citing·41 second hop
Martingale-Valued Measures, Ornstein-Uhlenbeck Processes with Jumps and Operator Self-Decomposability in Hilbert Space (2006)Martingale-Valued Measures, Ornstein-Uhle…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise (2002)Stochastic Partial Differenti…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Some stationary processes in discrete and continuous time (1998)Some stationary processes in …Martingale measures and stochastic calculus (1990)Martingale measures and stoch…On processes of ornstein-uhlenbeck type in hilbert space (1987)On processes of ornstein-uhle…Semimartingales: A course on stochastic processes (1986)Semimartingales: A course on …Stochastic Integration (1981)Stochastic IntegrationStochastic Integrals Based on Martingales Taking Values in Hilbert Space (1970)Stochastic Integrals Based on…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equations and Diffusion Processes (1983)Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems (2013)Alpha-CIR model with branching processes in sovereign interest rate modeling (2017)McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations (2022)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)Realized power variation and stochastic volatility models (2003)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Asymptotic analysis for stochastic volatility: martingale expansion (2010)Semimartingales (1982)REGULARITY OF ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY A LÉVY WHITE NOISE (2008)Regularity of Ornstein–Uhlenbeck Processes Driven by a Lévy White Noise (2009)Mean reversion for HJMM forward rate models (2010)Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions (1979)Hyperbolic Distributions in Finance (1995)Processes of normal inverse Gaussian type (1997)A semi-parametric approach to risk management (2003)Estimating functions for diffusion-type processes (2012)Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets (1992)Differential Subordination and Strong Differential Subordination for Continuous-Time Martingales and Related Sharp Inequalities (1995)Useful Martingales for Stochastic Storage Processes with Lévy-Type Input (2013)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Adapted solution of a backward semilinear stochastic evolution equation (1991)Continuous martingales and brownian motion (1993)Stochastic McKean-Vlasov equations (1995)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 1981Stochastic Integration208 cited
  • 1986Semimartingales: A course on stochastic processes199 cited
  • 1998Some stationary processes in discrete and continuous time114 cited
  • 1990Martingale measures and stochastic calculus94 cited
  • 1987On processes of ornstein-uhlenbeck type in hilbert space62 cited
  • 1970Stochastic Integrals Based on Martingales Taking Values in Hilbert Space59 cited
  • 2002Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise57 cited

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