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Martingales, the Malliavin calculus and Hörmander's theorem
8 references·0 citing·37 second hop
Martingales, the Malliavin calculus and Hörmander's theorem (1981)Martingales, the Malliavin calculus and H…The Malliavin calculus and its application to second order parabolic differential equations: Part II (1981)The Malliavin calculus and it…Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Martingales, the Malliavin ca…On the integral representation of functionals of ltd processest (1980)On the integral representatio…Functionals of diffusion processes as stochastic integrals (1980)Functionals of diffusion proc…Functionals of Itô Processes as Stochastic Integrals (1978)Functionals of Itô Processes …An Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales (1977)�tude des solutions extr�male…The Representation of Functionals of Brownian Motion by Stochastic Integrals (1970)The Representation of Functio…Stochastic Calculus and Stochastic Models (1974)On the Stochastic Maximum Principle (1978)On the Adjoint Process for Optimal Control of Diffusion Processes (1981)A guide to the stochastic calculus of variations (2006)Multiple Wiener Integral (1951)On stochastic differential equations (1951)On Square Integrable Martingales (1967)Martingales and stochastic integrals in the theory of continuous trading (1981)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Stochastic Differential Utility (1992)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Malliavin's stochastic calculus of variations for manifold-valued Wiener functionals and its applications (1983)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equations (2006)On the Malliavin differentiability of BSDEs (2017)Stochastic calculus of variations and hypoelliptic operators (1978)Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Generalized stochastic integrals and the malliavin calculus (1986)Stochastic calculus with anticipating integrands (1988)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On the uniqueness of solutions of stochastic differential equations (1971)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Generalized multiple stochastic integrals and the representation of wiener functionals (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Differentiable measures and the Malliavin calculus (1997)Diffusion processes with continuous coefficients, I (1969)Linear Quadratic Optimal Stochastic Control with Random Coefficients (1976)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Stochastic Differential Equations (1974)Stochastic Differential Equations (1975)Option hedging for semimartingales (1991)Martingale Representation and All That (2006)A stochastic calculus model of continuous trading: Complete markets (1983)Un Cours sur les Intégrales Stochastiques (2002)A Continuous-Time Version of the Principal–Agent Problem (2008)
this work references cited by second hop

References

  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions270 cited
  • 1970The Representation of Functionals of Brownian Motion by Stochastic Integrals233 cited
  • 1977�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales100 cited
  • 1980On the integral representation of functionals of ltd processest70 cited
  • 1981The Malliavin calculus and its application to second order parabolic differential equations: Part II57 cited
  • 1980Functionals of diffusion processes as stochastic integrals40 cited
  • 1978Functionals of Itô Processes as Stochastic Integrals39 cited

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