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Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities
0 references·3 citing·10 second hop
Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities (1989)Integration by Parts, Homogeneous Chaos E…WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (1996)WIENER CHAOS: A NEW APPROACH …The second order minimum principle and adjoint process (1994)The second order minimum prin…Martingale representation and hedging policies (1991)Martingale representation and…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Brownian Motion and Stochastic Calculus (2007)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Stochastic Calculus and Applications. (1986)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Necessary conditions for optimality in relaxed stochastic control problems (2002)Robust stochastic maximum principle for multi-model worst case optimization (2002)Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems (2008)The Pricing of Options on Assets with Stochastic Volatilities (1987)
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  • 1994The second order minimum principle and adjoint process30 cited
  • 1991Martingale representation and hedging policies23 cited
  • 1996WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING22 cited

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