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Stochastic differential equations with jumps and stochastic flows of diffeomorphisms
6 references·0 citing·17 second hop
Stochastic differential equations with jumps and stochastic flows of diffeomorphisms (1996)Stochastic differential equations with ju…Stochastic Flows and Stochastic Differential Equations (1998)Stochastic Flows and Stochast…Stratonovich stochastic differential equations driven by general semimartingales (1995)Stratonovich stochastic diffe…Stochastic differential equations of jump type on manifolds and Lévy flows (1991)Stochastic differential equat…Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group (1985)Stochastic differential equat…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Modeling and approximation of stochastic differential equations driven by semimartingales† (1981)Modeling and approximation of…On the relation between ordinary and stochastic differential equations (1965)Stochastic Differential Equations (1972)On Wong-Zakai approximation of stochastic differential equations (1983)Stochastic Differential Equations (2006)Marcus versus Stratonovich for systems with jump noise (2014)General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula (2017)Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I (2001)Stochastic differential equations with jumps (2004)Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)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)An Overview of Value at Risk (1997)Pricing the risks of default (1998)Robustness of the Black and Scholes Formula (1998)Support theorem for jump processes (2000)Differential equations driven by rough paths with jumps (2018)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1998Stochastic Flows and Stochastic Differential Equations1,182 cited
  • 1981Modeling and approximation of stochastic differential equations driven by semimartingales†129 cited
  • 1985Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group108 cited
  • 1995Stratonovich stochastic differential equations driven by general semimartingales74 cited
  • 1991Stochastic differential equations of jump type on manifolds and Lévy flows29 cited

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