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Yet another introduction to rough paths
16 references·1 citing·26 second hop
Yet another introduction to rough paths (2009)Yet another introduction to rough pathsMultidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Curvilinear Integrals Along Enriched Paths (2006)Curvilinear Integrals Along E…An extension theorem to rough paths (2006)An extension theorem to rough…Controlling rough paths (2004)Controlling rough pathsAn Introduction to Rough Paths (2003)An Introduction to Rough PathsSystem Control and Rough Paths (2002)System Control and Rough PathsStochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Differential equations driven by rough signals (1998)Differential equations driven…Asymptotic expansion of stochastic flows (1993)Asymptotic expansion of stoch…Flots et series de Taylor stochastiques (1989)Flots et series de Taylor sto…Large Deviations and the Malliavin Calculus (1984)Large Deviations and the Mall…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Liens entre équations différentielles stochastiques et ordinaires (1977)Liens entre équations différe…Stochastic Differential Equations and Models of Random Processes (1972)Stochastic Differential Equat…On rough differential equations (2009)On rough differential equatio…Continuous Martingales and Brownian Motion (1999)Stochastic integration with respect to fractional brownian motion (2003)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Integration with respect to fractal functions and stochastic calculus. I (1998)Smoothness of the density for solutions to Gaussian rough differential equations (2014)The signature of a rough path: Uniqueness (2016)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)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Densities for rough differential equations under Hörmander’s condition (2010)Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)Differential equations driven by fractional Brownian motion (2002)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)Elements of Stochastic Calculus via Regularization (2007)Ramification of rough paths (2009)Averaging along irregular curves and regularisation of ODEs (2016)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)A Wong-Zakai theorem for stochastic PDEs (2015)Discretization and simulation of stochastic differential equations (1985)Stochastic Differential Equations (1992)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)
this work references cited by second hop

References

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  • 1998Differential equations driven by rough signals1,077 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 2004Controlling rough paths578 cited
  • 2002System Control and Rough Paths519 cited
  • 1984Large Deviations and the Malliavin Calculus405 cited
  • 2007Differential Equations Driven by Rough Paths381 cited
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  • 2007Differential Equations Driven by Rough Paths237 cited
  • 1977Liens entre équations différentielles stochastiques et ordinaires225 cited
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  • 2003An Introduction to Rough Paths102 cited
  • 2006Curvilinear Integrals Along Enriched Paths97 cited
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  • 1972Stochastic Differential Equations and Models of Random Processes77 cited
  • 1993Asymptotic expansion of stochastic flows75 cited

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Cited by

  • 2009On rough differential equations24 cited