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On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
16 references·0 citing·33 second hop
On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients (2014)On the construction and Malliavin differe…PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)PATHWISE UNIQUENESS FOR SINGU…Malliavin Calculus for Lévy Processes with Applications to Finance (2008)Malliavin Calculus for Lévy P…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…Stochastic differential equations with jumps (2004)Stochastic differential equat…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Stochastic Differential Equations in Infinite Dimensional Spaces (1997)Stochastic Differential Equat…Existence of strong solutions for Itô's stochastic equations via approximations (1996)Existence of strong solutions…Stochastic differential equations in infinite-dimensional spaces (1995)Stochastic differential equat…On the Strong Solutions of Stochastic Differential Equations (1980)On the Strong Solutions of St…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesControlled Diffusion Processes (1980)Controlled Diffusion ProcessesLimit distributions for the maxima of stationary Gaussian processes (1975)Limit distributions for the m…Perturbation of drift-type for Lévy processes (1974)Perturbation of drift-type fo…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)Stochastic Differential Equations and Diffusion Processes (1983)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Averaging along irregular curves and regularisation of ODEs (2016)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Ergodic Control of Diffusion Processes (2011)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)On stochastic differential equations (1951)ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)Optimization of the flow of dividends (1995)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)A mean-field stochastic maximum principle via Malliavin calculus (2012)A real-option approach to mitigate disruption risk in the supply chain (2018)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A simplified treatment of the theory of optimal regulation of Brownian motion (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Investment, consumption, and hedging under incomplete markets (2007)A characterization of hedging portfolios for interest rate contingent claims (2004)A theory of bond portfolios (2005)A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2008Malliavin Calculus for Lévy Processes with Applications to Finance459 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 1996Existence of strong solutions for Itô's stochastic equations via approximations400 cited
  • 1980Controlled Diffusion Processes258 cited
  • 1995Stochastic differential equations in infinite-dimensional spaces191 cited
  • 1980On the Strong Solutions of Stochastic Differential Equations145 cited
  • 1997Stochastic Differential Equations in Infinite Dimensional Spaces129 cited
  • 2012PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES107 cited
  • 2004Stochastic differential equations with jumps101 cited
  • 1975Limit distributions for the maxima of stationary Gaussian processes100 cited

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1974
Perturbation of drift-type for Lévy processes
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