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The stochastic Fubini theorem revisited
3 references·16 citing·40 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited

Cited by

  • 2019Multifactor Approximation of Rough Volatility Models139 cited
  • 2016Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes136 cited
  • 2017Asymptotics for Rough Stochastic Volatility Models95 cited
  • 2018Markovian structure of the Volterra Heston model64 cited
  • 2019Affine forward variance models62 cited
  • 2020No‐arbitrage implies power‐law market impact and rough volatility62 cited
  • 2018Affine representations of fractional processes with applications in mathematical finance45 cited
  • 2021Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation35 cited
  • 2016Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives33 cited
  • 2023Me, myself and I: A general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents32 cited
  • 2020Markowitz portfolio selection for multivariate affine and quadratic Volterra models30 cited
  • 2021

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From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
28 cited
  • 2020Mean–Variance Portfolio Selection Under Volterra Heston Model28 cited
  • 2017A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line28 cited
  • 2020Term structure modelling for multiple curves with stochastic discontinuities27 cited
  • 2016DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM27 cited