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Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
9 references·1 citing·30 second hop
Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times (2007)Generalized Itǒ Formulae and Space-Time L…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Some SDEs with distributional drift Part I: General calculus (2003)Some SDEs with distributional…Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…System Control and Rough Paths (2002)System Control and Rough PathsOn Itô s formula for multidimensional Brownian motion (2000)On Itô s formula for multidim…Integration with respect to local time (2000)Integration with respect to l…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesTwo-parameter p, q-variation Paths and Integrations of Local Times (2006)Two-parameter p, q-variation …Continuous Martingales and Brownian Motion (1991)Stochastic Flows and Stochastic Differential Equations (1998)Construction of strong solutions of SDE's via Malliavin calculus (2009)A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation (2015)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Verification theorems for stochastic optimal control problems via a time dependent Fukushima–Dirichlet decomposition (2006)Strong existence and uniqueness for stable stochastic differential equations with distributional drift (2020)Multidimensional SDE with distributional drift and Lévy noise (2022)An introduction to stochastic partial differential equations (2006)Integration with Respect to Fractional Local Time with Hurst Index 1/2 < H < 1 (2008)Local times for typical price paths and pathwise Tanaka formulas (2015)Multiple Wiener Integral (1951)A strong law of large numbers for local martingales (1980)Instantaneous Control of Brownian Motion (1983)Functional Itô calculus and stochastic integral representation of martingales (2013)Analysis of the Rosenblatt process (2008)Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation (2008)Stochastic heat equation driven by fractional noise and local time (2008)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Generalization of Itô's formula for smooth nondegenerate martingales (2001)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2002System Control and Rough Paths519 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 2000Integration with respect to local time96 cited
  • 2003Some SDEs with distributional drift Part I: General calculus45 cited
  • 2000On Itô s formula for multidimensional Brownian motion36 cited

Cited by

  • 2006Two-parameter p, q-variation Paths and Integrations of Local Times30 cited

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