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Stochastic Differential Equations
3 references·10 citing·39 second hop
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this work references cited by second hop

References

  • 2003Stochastic Differential Equations2,978 cited
  • 1951On stochastic differential equations832 cited
  • 1977A comparison theorem for solutions of stochastic differential equations and its applications304 cited

Cited by

  • 2005An approximate approach to fractional analysis for finance70 cited
  • 2006“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View68 cited
  • 2010Optimal non-proportional reinsurance control61 cited
  • 2009Solving elliptic problems with non-Gaussian spatially-dependent random coefficients40 cited
  • 2005Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold38 cited
  • 2007Stochastic simulation of riser-sections with uncertain measured pressure loads and/or uncertain material properties35 cited
  • 2010Incomplete markets, ambiguity, and irreversible investment33 cited
  • 2021Option to survive or surrender: Carbon asset management and optimization in thermal power enterprises from China32 cited
  • 2015PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING27 cited
  • 2012Stochastic Galerkin techniques for random ordinary differential equations25 cited

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