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On quasi-linear stochastic partial differential equations
7 references·9 citing·30 second hop
On quasi-linear stochastic partial differential equations (1993)On quasi-linear stochastic partial differ…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…White noise driven SPDEs with reflection (1993)White noise driven SPDEs with…Comparison methods for a class of function valued stochastic partial differential equations (1992)Comparison methods for a clas…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…ON 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 a stochastic integral equation (1946)On a stochastic integral equa…Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation (2023)Well‐posedness of stochastic …Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces (2008)Stochastic Optimal Control Pr…REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE (2004)REGULARIZATION OF QUASILINEAR…Stochastic Differential Equations with Additive Fractional Noise and Locally Unbounded Drift (2003)Stochastic Differential Equat…Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet (2003)Hyperbolic Stochastic Partial…Stochastic evolution equations in (1999)Stochastic evolution equation…Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise (1997)Implicit Scheme for Stochasti…Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise (1995)Implicit scheme for quasi-lin…On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary (1994)On the strong solutions of on…An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise (2007)Brownian Motion and Stochastic Calculus (2007)Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs (2022)On stochastic equations with respect to semimartingales I.† (1980)On implicit and explicit discretization schemes for parabolic SPDEs in any dimension (2005)Stochastic partial differential equations and filtering of diffusion processes (1980)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Malliavin Calculus for White Noise Driven Parabolic SPDEs (1998)Space-time continuous solutions to SPDE's driven by a homogeneous Wiener process (1999)White noise driven SPDEs with reflection: Existence, uniqueness and large deviation principles (2009)On stochastic differential equations (1951)On the uniqueness of solutions of stochastic differential equations (1971)Optimization of the flow of dividends (1995)Ergodic Control of Diffusion Processes (2011)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Pathwise Numerical Approximations of SPDEs with Additive Noise under Non-global Lipschitz Coefficients (2009)Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (2012)Time regularity of solutions to linear equations with Lévy noise in infinite dimensions (2012)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models (1983)CONTINUOUS TIME STOCHASTIC MODELS AND ISSUES OF AGGREGATION OVER TIME (1984)Itô’s stochastic calculus: Its surprising power for applications (2010)Risk-Sensitive Control on an Infinite Time Horizon (1995)A variational representation for certain functionals of Brownian motion (1998)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2006An introduction to stochastic partial differential equations2,216 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
  • 1946On a stochastic integral equation152 cited
  • 1993White noise driven SPDEs with reflection144 cited
  • 1992Comparison methods for a class of function valued stochastic partial differential equations94 cited

Cited by

  • 1999Stochastic evolution equations in73 cited
  • 1997Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise70 cited
  • 1995Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise57 cited
  • 2004REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE51 cited
  • 1994On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary44 cited
  • 2003Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet40 cited
  • 2008Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces

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37 cited
  • 2003Stochastic Differential Equations with Additive Fractional Noise and Locally Unbounded Drift33 cited
  • 2023Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation27 cited