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A class of stochastic differential equations with non-Lipschitzian coefficients: pathwise uniqueness and no explosion
5 references·1 citing·16 second hop
A class of stochastic differential equations with non-Lipschitzian coefficients: pathwise uniqueness and no explosion (2003)A class of stochastic differential equati…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…On Some Degenerate Large Deviation Problems (2004)On Some Degenerate Large Devi…Theory of Martingales (1989)Stochastic differential equations and applications (2008)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)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Controlled Markov Processes and Viscosity Solutions (2005)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited

Cited by

  • 2004On Some Degenerate Large Deviation Problems22 cited

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