SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On a comparison theorem for solutions of stochastic differential equations and its applications
0 references·14 citing·35 second hop
On a comparison theorem for solutions of stochastic differential equations and its applications (1973)On a comparison theorem for solutions of …Online parameter estimation for the McKean–Vlasov stochastic differential equation (2023)Online parameter estimation f…Portfolio Optimization in Fractional and Rough Heston Models (2020)Portfolio Optimization in Fra…Sticky couplings of multidimensional diffusions with different drifts (2019)Sticky couplings of multidime…A Scaling Limit for Limit Order Books Driven by Hawkes Processes (2019)A Scaling Limit for Limit Ord…Multiple collisions in systems of competing Brownian particles (2017)Multiple collisions in system…Comparison theorems for some backward stochastic Volterra integral equations (2014)Comparison theorems for some …Comparison of semimartingales and Lévy processes (2012)Comparison of semimartingales…On collisions of Brownian particles (2010)On collisions of Brownian par…Comparison of semimartingales and Lévy processes (2007)Comparison of semimartingales…STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)STOCHASTIC DIFFERENTIAL EQUAT…INTRODUCTION TO ITÔ CALCULUS (2000)INTRODUCTION TO ITÔ CALCULUSApplications du temps local aux equations differentielles stochastiques unidimensionnelles (1983)Applications du temps local a…On the strong comparison theorems for solutions of stochastic differential equations (1981)On the strong comparison theo…A new comparison theorem for solutions of stochastic differential equations (1980)A new comparison theorem for …A comparison theorem for solutions of stochastic differential equations and its applications (1977)Liens entre équations différentielles stochastiques et ordinaires (1977)A note on a comparison theorem for equations with different diffusions (1982)- Theory and applications (2013)Robustness of the Black and Scholes Formula (1998)Limit Theorems for Stochastic Processes (2003)Dependence properties and comparison results for Lévy processes (2007)Stochastic Differential Equations and Diffusion Processes (1983)Adapted solution of a backward stochastic differential equation (1990)Golden Eggs and Hyperbolic Discounting (1997)Optimal control problems of forward-backward stochastic Volterra integral equations (2015)Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations (2019)Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations (2021)On the uniqueness of solutions of stochastic differential equations (1971)Stochastic flows and Bismut formulas for stochastic Hamiltonian systems (2010)Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations (2024)Controlled Diffusion Processes (1980)Reflected Brownian Motion on an Orthant (1981)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Mean stochastic comparison of diffusions (1985)Un Cours sur les Intégrales Stochastiques (2002)Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models (2009)Multidimensional Yamada-Watanabe theorem and its applications to particle systems (2013)Stochastic Differential Equations and Applications (1976)Point Processes and Queues (1981)Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach (1999)On the Onsager-Machlup functional for elliptic diffusion processes (2000)New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients (2014)Stochastic Integration and Differential Equations (2005)Exponential ergodicity for non-dissipative McKean-Vlasov SDEs (2023)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)Markowitz portfolio selection for multivariate affine and quadratic Volterra models (2020)From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)
this work references cited by second hop

References

No references inside the corpus for this window.

Cited by

  • 1983Applications du temps local aux equations differentielles stochastiques unidimensionnelles90 cited
  • 1981On the strong comparison theorems for solutions of stochastic differential equations64 cited
  • 2000STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS57 cited
  • 2014Comparison theorems for some backward stochastic Volterra integral equations39 cited
  • 2010On collisions of Brownian particles36 cited
  • 1980A new comparison theorem for solutions of stochastic differential equations35 cited
  • 2020Portfolio Optimization in Fractional and Rough Heston Models34 cited
  • 2007Comparison of semimartingales and Lévy processes33 cited
  • 2012Comparison of semimartingales and Lévy processes32 cited
  • 2019Sticky couplings of multidimensional diffusions with different drifts28 cited
  • 2000INTRODUCTION TO ITÔ CALCULUS27 cited
  • 2023Online parameter estimation for the McKean–Vlasov stochastic differential equation26 cited
  • 2019A Scaling Limit for Limit Order Books Driven by Hawkes Processes25 cited
  • 2017Multiple collisions in systems of competing Brownian particles22 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work