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Conditional Exponential Moments for Iterated Wiener Integrals
6 references·0 citing·17 second hop
Conditional Exponential Moments for Iterated Wiener Integrals (1999)Conditional Exponential Moments for Itera…On the Onsager-Machlup functional for elliptic diffusion processes (2000)On the Onsager-Machlup functi…Stochastic area for Brownian motion on the Sierpinski gasket (1998)Stochastic area for Brownian …Differential equations driven by rough signals (1998)Differential equations driven…A Note on Conditional Exponential Moments and Onsager-Machlup Functionals (1992)A Note on Conditional Exponen…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…STOCHASTIC INTEGRALS AND DIFFERENTIALS (1969)STOCHASTIC INTEGRALS AND DIFF…Continuous Martingales and Brownian Motion (1999)STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)Onsager-Machlup functional for the fractional Brownian motion (2002)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the relation between ordinary and stochastic differential equations (1965)Path-wise solutions of stochastic differential equations driven by Lévy processes (2001)Two-parameter p, q-variation Paths and Integrations of Local Times (2006)Hölder-continuous rough paths by Fourier normal ordering (2010)Differential equations driven by fractional Brownian motion (2002)Controlling rough paths (2004)Multidimensional Stochastic Processes as Rough Paths (2010)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Some remarks on stochastic optimal controls (1976)Some applications of stochastic calculus to partial differential equations (1983)Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading (1999)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 1969STOCHASTIC INTEGRALS AND DIFFERENTIALS103 cited
  • 1992A Note on Conditional Exponential Moments and Onsager-Machlup Functionals41 cited
  • 1998Stochastic area for Brownian motion on the Sierpinski gasket37 cited
  • 2000On the Onsager-Machlup functional for elliptic diffusion processes26 cited

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