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Lectures on Stochastic Analysis: Diffusion Theory
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Lectures on Stochastic Analysis: Diffusion Theory (1987)Lectures on Stochastic Analysis: Diffusio…Risk-Sensitive ICAPM With Application to Fixed-Income Management (2004)Risk-Sensitive ICAPM With App…The support of the solution to a hyperbolic SPDE (1994)The support of the solution t…Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Stochastic invariance and consistency of financial models (2000)An Intertemporal Capital Asset Pricing Model (1973)Coherent Measures of Risk (1999)Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (2005)Brownian Motion and Stochastic Calculus (2007)Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates (2007)Some Applications and Methods of Large Deviations in Finance and Insurance (2007)
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  • 2004Risk-Sensitive ICAPM With Application to Fixed-Income Management42 cited
  • 1994The support of the solution to a hyperbolic SPDE29 cited

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