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On stationary solutions of a stochastic differential equation
4 references·8 citing·32 second hop
On stationary solutions of a stochastic differential equation (1964)On stationary solutions of a stochastic d…Complex Multiple Wiener Integral (1952)Complex Multiple Wiener Integ…On stochastic differential equations (1951)On stochastic differential eq…On a Formula Concerning Stochastic Differentials (1951)On a Formula Concerning Stoch…Multiple Wiener Integral (1951)Multiple Wiener IntegralAn averaging principle for two-time-scale stochastic functional differential equations (2020)An averaging principle for tw…A Delayed Black and Scholes Formula (2007)A Delayed Black and Scholes F…Second order parabolic Hamilton–Jacobi–Bellman equations in Hilbert spaces and stochastic control: Lμ2 approach (2006)Second order parabolic Hamilt…A stochastic delay financial model (2004)A stochastic delay financial …ARCH-type bilinear models with double long memory (2002)ARCH-type bilinear models wit…Smooth Densities for Degenerate Stochastic Delay Equations with Hereditary Drift (1995)Smooth Densities for Degenera…Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure (1971)Absolute Continuity and Radon…Stochastic Integrals and Stochastic Functional Equations (1969)Stochastic Integrals and Stoc…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochastic Calculus (2007)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Full “Bang” to Reduce Predicted Miss is Optimal (1976)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H (2006)Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations (2010)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)A New Representation for Stochastic Integrals and Equations (1966)Existence and adjoint theorems for linear stochastic differential equations (1974)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling of extremal events in insurance and finance (1994)Modeling and pricing long memory in stock market volatility (1996)Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2002)Stability of random coefficient ARCH models and aggregation schemes (2003)On the existence of some ARCH(∞) processes (2007)A Theory of the Term Structure of Interest Rates (1985)Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems (1990)Stochastic differential equations and applications (2008)Averaging principles for mixed fast-slow systems driven by fractional Brownian motion (2023)Diffusion processes with continuous coefficients, I (1969)Diffusion processes with continuous coefficients, II (1969)Itô’s stochastic calculus: Its surprising power for applications (2010)Lévy Brownian Motion for Several Parameters and Generalized White Noise (1957)Itô’s Stochastic Calculus and Probability Theory (1996)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Entropy search for information-efficient global optimization (2012)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)
this work references cited by second hop

References

  • 1951On stochastic differential equations832 cited
  • 1951Multiple Wiener Integral699 cited
  • 1951On a Formula Concerning Stochastic Differentials369 cited
  • 1952Complex Multiple Wiener Integral202 cited

Cited by

  • 2007A Delayed Black and Scholes Formula176 cited
  • 2002ARCH-type bilinear models with double long memory71 cited
  • 1971Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure61 cited
  • 2004A stochastic delay financial model46 cited
  • 1969Stochastic Integrals and Stochastic Functional Equations35 cited
  • 2020An averaging principle for two-time-scale stochastic functional differential equations31 cited
  • 1995Smooth Densities for Degenerate Stochastic Delay Equations with Hereditary Drift29 cited
  • 2006Second order parabolic Hamilton–Jacobi–Bellman equations in Hilbert spaces and stochastic control: Lμ2 approach27 cited

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