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Weak convergence of stochastic integrals and differential equations
7 references·16 citing·42 second hop
Weak convergence of stochastic integrals and differential equations (1996)Weak convergence of stochastic integrals …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 (1992)From Discrete‐ to Continuous‐…Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's (1991)Wong-Zakai Corrections, Rando…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Pathwise large deviations for the rough Bergomi model (2018)Pathwise large deviations for…Differential equations driven by rough paths with jumps (2018)Differential equations driven…Canonical RDEs and general semimartingales as rough paths (2018)Canonical RDEs and general se…Hedging of Covered Options with Linear Market Impact and Gamma Constraint (2017)Hedging of Covered Options wi…Stochastic differential equations for sticky Brownian motion (2014)Stochastic differential equat…Evolving communities with individual preferences (2014)Evolving communities with ind…Tests for cointegration with structural breaks based on subsamples (2010)Tests for cointegration with …Macroscopic limits for stochastic partial differential equations of McKean–Vlasov type (2008)Macroscopic limits for stocha…Malliavin Greeks without Malliavin calculus (2007)Malliavin Greeks without Mall…On (p,q) -rough paths (2006)On (p,q) -rough pathsThe multi-dimensional super-replication problem under gamma constraints (2005)The multi-dimensional super-r…Semi-martingales and rough paths theory (2005)Semi-martingales and rough pa…The Euler scheme for Lévy driven stochastic differential equations: limit theorems (2004)The Euler scheme for Lévy dri…The Euler scheme for Lévy driven stochastic differential equations : limit theorems (2004)The Euler scheme for Lévy dri…On the robustness of backward stochastic differential equations (2002)On the robustness of backward…BSDE driven by Dirichlet process and semi-linear parabolic PDE. 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this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod192 cited
  • 1992From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1111 cited
  • 1991Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's105 cited

Cited by

  • 2014Stochastic differential equations for sticky Brownian motion80 cited
  • 2004The Euler scheme for Lévy driven stochastic differential equations: limit theorems73 cited
  • 2002On the robustness of backward stochastic differential equations71 cited
  • 2007Malliavin Greeks without Malliavin calculus70 cited
  • 2008Macroscopic limits for stochastic partial differential equations of McKean–Vlasov type65 cited
  • 2018Differential equations driven by rough paths with jumps64 cited
  • 2004The Euler scheme for Lévy driven stochastic differential equations : limit theorems63 cited

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2005
The multi-dimensional super-replication problem under gamma constraints
54 cited
  • 2018Pathwise large deviations for the rough Bergomi model45 cited
  • 2005Semi-martingales and rough paths theory42 cited
  • 2006On (p,q) -rough paths39 cited
  • 2018Canonical RDEs and general semimartingales as rough paths35 cited
  • 2014Evolving communities with individual preferences33 cited
  • 2002BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization27 cited
  • 2017Hedging of Covered Options with Linear Market Impact and Gamma Constraint25 cited
  • 2010Tests for cointegration with structural breaks based on subsamples23 cited