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Quadratic Covariation and an Extension of Itô's Formula
2 references·16 citing·38 second hop
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References

  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1981Calcul d'ito sans probabilites247 cited

Cited by

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  • 2000Integration with respect to local time96 cited
  • 2012Optimal stopping under ambiguity in continuous time93 cited
  • 2015Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation76 cited
  • 2010Local martingales and filtration shrinkage72 cited
  • 2003Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index ${H \ge \frac{1}{4}}$69 cited
  • 2001Stochastic differential equations for Dirichlet processes67 cited
  • 2013The Emergence of Econophysics: A New Approach in Modern Financial Theory66 cited
  • 2004Some SDEs with distributional drift.57 cited
  • 2006Weak Dirichlet processes with a stochastic control perspective51 cited
  • 2011

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Itô's formula for a sub-fractional Brownian motion
44 cited
  • 2005Local time–space stochastic calculus for Lévy processes41 cited
  • 2002Generalized Integration and Stochastic ODEs38 cited
  • 2001A Generalized Class of Lyons-Zheng Processes28 cited