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Functional Itô calculus and stochastic integral representation of martingales
15 references·16 citing·33 second hop
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sans probabilites (1981)Calcul d'ito sans probabilitesStochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…On Square Integrable Martingales (1967)On Square Integrable Martinga…On stochastic differential equations (1951)On stochastic differential eq…Stochastic integral (1944)Stochastic integralViscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls (2020)Viscosity solutions to parabo…Non-parametric Pricing and Hedging of Exotic Derivatives (2020)Non-parametric Pricing and He…A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)A martingale approach for fra…Path-dependent equations and viscosity solutions in infinite dimension (2018)Path-dependent equations and …Dynamic approaches for some time-inconsistent optimization problems (2017)Dynamic approaches for some t…Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs 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this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 1997Stochastic Analysis1,035 cited
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  • 2019Functional Itô calculus257 cited
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  • 2014On viscosity solutions of path dependent PDEs

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  • 2016Moral Hazard in Dynamic Risk Management90 cited
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  • 2011A Stochastic Portfolio Optimization Model with Bounded Memory74 cited
  • 2020Viscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls49 cited
  • 2015Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations44 cited
  • 2019A martingale approach for fractional Brownian motions and related path dependent PDEs42 cited
  • 2017Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs38 cited
  • 2018Path-dependent equations and viscosity solutions in infinite dimension37 cited
  • 2016An infinite-dimensional approach to path-dependent Kolmogorov equations35 cited
  • 2017Dynamic approaches for some time-inconsistent optimization problems34 cited
  • 2020Non-parametric Pricing and Hedging of Exotic Derivatives32 cited