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A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient
11 references·1 citing·33 second hop
A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient (2006)A note on strong solutions of stochastic …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…On weak uniqueness for some diffusions with discontinuous coefficients (2004)On weak uniqueness for some d…Stochastic Differential Equations (2003)Stochastic Differential Equat…On diffusion approximation with discontinuous coefficients (2002)On diffusion approximation wi…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Stochastic differential equations and their applications (1997)Stochastic differential equat…Stochastic Differential Equations (1995)Stochastic Differential Equat…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…One Dimensional Stochastic Differential Equations with No Strong Solution (1982)One Dimensional Stochastic Di…OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION (2016)OPTIMAL CONTROL OF AN ENERGY …Controlled Diffusion Processes (1980)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)On collisions of Brownian particles (2010)On collisions of Brownian particles (2010)Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)Stochastic differential equations for Dirichlet processes (2001)Weak existence and uniqueness for forward–backward SDEs (2006)On Weak Solutions of Stochastic Differential Equations (2011)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Volatility skews and extensions of the Libor market model (2000)Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
this work references cited by second hop

References

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  • 2004On weak uniqueness for some diffusions with discontinuous coefficients53 cited
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Cited by

  • 2016OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION19 cited

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