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Stochastic Differential Equations
4 references·1 citing·19 second hop
Stochastic Differential Equations (2012)Stochastic Differential EquationsStochastic Differential Equations (2014)Stochastic Differential Equat…STOCHASTIC DIFFERENTIAL EQUATIONS (2007)STOCHASTIC DIFFERENTIAL EQUAT…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Stochastic Differential Equations (1992)Stochastic Differential Equat…New Representations of the Taylor–Stratonovich Expansion (2003)New Representations of the Ta…Stratonovich and Ito Stochastic Taylor Expansions (1991)Approximation of itô integral equations (2005)Numerical solution of stochastic differential equations (2016)Mean-Square Approximation of Iterated Ito and Stratonovich Stochastic Integrals of Multiplicities 1 to 6 from the Taylor-Ito and Taylor-Stratonovich Expansions Using Legendre Polynomials (2017)Expansion of Iterated Stochastic Integrals with Respect to Martingale Poisson Measures and with Respect to Martingales Based on Generalized Multiple Fourier Series (2018)Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise (2018)Stochastic Differential Equations and Diffusion Processes (1983)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Advances of the probability density evolution method for nonlinear stochastic systems (2011)Functional Itô calculus and stochastic integral representation of martingales (2013)Path integrals and stochastic calculus (2022)Optimal Replication of Contingent Claims under Portfolio Constraints (1998)On spatial extremes: With application to a rainfall problem (2008)On spatial extremes: With application to a rainfall problem (2015)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
this work references cited by second hop

References

  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 2014Stochastic Differential Equations574 cited
  • 1992Stochastic Differential Equations152 cited
  • 2007STOCHASTIC DIFFERENTIAL EQUATIONS48 cited

Cited by

  • 2003New Representations of the Taylor–Stratonovich Expansion29 cited

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