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A simplified variational characterization of Schrödinger processes
2 references·1 citing·8 second hop
A simplified variational characterization of Schrödinger processes (1989)A simplified variational characterization…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic calculus of variations (1981)Stochastic calculus of variat…Lagrange approach to the optimal control of diffusions (1993)Lagrange approach to the opti…An Introductory Approach to Duality in Optimal Stochastic Control (1978)Brownian Motion and Stochastic Calculus (1988)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)L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel (1982)Weak and strong Taylor methods for numerical solutions of stochastic differential equations (2010)Closed-Form Expansion, Conditional Expectation, and Option Valuation (2013)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1981Stochastic calculus of variations191 cited

Cited by

  • 1993Lagrange approach to the optimal control of diffusions20 cited

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