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Tsirel'son's equation in discrete time
3 references·2 citing·20 second hop
Tsirel'son's equation in discrete time (1992)Tsirel'son's equation in discrete timeON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)ON STRONG SOLUTIONS AND EXPLI…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A TRANSFORMATION OF THE PHASE…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…On Local Martingale and its Supremum: Harmonic Functions and beyond (2006)On Local Martingale and its S…A remark on Tsirelson's stochastic differential equation (1999)A remark on Tsirelson's stoch…DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus (1989)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Multiple Wiener Integral (1951)On Square Integrable Martingales (1967)Diffusion processes with continuous coefficients, I (1969)Stochastic differential equations with reflecting boundary conditions (1984)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Specification Analysis of Affine Term Structure Models (2000)Martingale inequalities: seminar notes on recent progress (1973)The Skorokhod embedding problem and its offspring (2004)The Maximality Principle Revisited: On Certain Optimal Stopping Problems (2007)On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation (2009)On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation (2012)On stochastic differential equations (1951)Optimization of the flow of dividends (1995)Ergodic Control of Diffusion Processes (2011)Risk-Sensitive Control on an Infinite Time Horizon (1995)Existence of strong solutions for Itô's stochastic equations via approximations (1996)A variational representation for certain functionals of Brownian motion (1998)
this work references cited by second hop

References

  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited

Cited by

  • 2006On Local Martingale and its Supremum: Harmonic Functions and beyond26 cited
  • 1999A remark on Tsirelson's stochastic differential equation17 cited

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