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A Wong-Zakai theorem for stochastic PDEs
5 references·2 citing·24 second hop
A Wong-Zakai theorem for stochastic PDEs (2015)A Wong-Zakai theorem for stochastic PDEsA Course on Rough Paths (2014)A Course on Rough PathsDifferential Equations Driven by Rough Paths (2007)Differential Equations Driven…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…On the relation between ordinary and stochastic differential equations (1965)On the relation between ordin…On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the Convergence of Ordinar…A regularity structure for rough volatility (2019)A regularity structure for ro…Malliavin calculus for regularity structures: The case of gPAM (2016)Malliavin calculus for regula…Stochastic Analysis (1997)Differential equations driven by rough signals (1998)The Malliavin Calculus and Related Topics (2006)Hörmander’s theorem for semilinear SPDEs (2019)Precise asymptotics: Robust stochastic volatility models (2021)Long memory in continuous‐time stochastic volatility models (1998)Volatility Is Rough (2018)Deep Learning Volatility (2019)Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Functional central limit theorems for rough volatility (2024)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)Rough paths and 1d SDE with a time dependent distributional drift: application to polymers (2015)A stochastic sewing lemma and applications (2018)Averaging dynamics driven by fractional Brownian motion (2020)UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)Uniqueness for the signature of a path of bounded variation and the reduced path group (2010)Smoothness of the density for solutions to Gaussian rough differential equations (2014)
this work references cited by second hop

References

  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 1965On the relation between ordinary and stochastic differential equations697 cited
  • 1965On the Convergence of Ordinary Integrals to Stochastic Integrals684 cited
  • 2014A Course on Rough Paths428 cited
  • 2007Differential Equations Driven by Rough Paths381 cited

Cited by

  • 2019A regularity structure for rough volatility65 cited
  • 2016Malliavin calculus for regularity structures: The case of gPAM44 cited

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