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Approximations of the Brownian rough path with applications to stochastic analysis
11 references·14 citing·32 second hop
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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 1997Stochastic Analysis1,035 cited
  • 2002System Control and Rough Paths519 cited
  • 2003An Introduction to Rough Paths102 cited
  • 2002Large deviations and support theorem for diffusion processes via rough paths101 cited
  • 2006An extension theorem to rough paths84 cited

Cited by

  • 2005A note on the notion of geometric rough paths60 cited
  • 2009Partial differential equations driven by rough paths56 cited
  • 2009Non-degeneracy of Wiener functionals arising from rough differential equations52 cited
  • 2007Euler estimates for rough differential equations51 cited
  • 2009Rough path limits of the Wong–Zakai type with a modified drift term

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44 cited
  • 2005Large deviations for rough paths of the fractional Brownian motion44 cited
  • 2005Semi-martingales and rough paths theory42 cited
  • 2010A generalized Fernique theorem and applications41 cited
  • 2016Discretely sampled signals and the rough Hoff process40 cited
  • 2014Evolving communities with individual preferences33 cited
  • 2007Good rough path sequences and applications to anticipating stochastic calculus32 cited
  • 2013Rough path stability of (semi-)linear SPDEs25 cited
  • 2007Large deviation principle for enhanced Gaussian processes21 cited
  • 2005Lévy's area under conditioning21 cited