SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stochastic Differential Equations and Diffusion Processes
0 references·16 citing·41 second hop
Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equations and Dif…Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Nonlinear Expectations and St…Stochastic Differential Equations (2014)Stochastic Differential Equat…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…The Pricing of Options and Corporate Liabilities (1973)Game-Theoretical Control Problems (1988)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Optimal Investment and Consumption with Transaction Costs (1994)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Coherent Measures of Risk (1999)Continuous Martingales and Brownian Motion (1999)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An equilibrium characterization of the term structure (1977)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Differential equations driven by rough signals (1998)Densities for rough differential equations under Hörmander’s condition (2010)Smoothness of the density for solutions to Gaussian rough differential equations (2014)Averaging along irregular curves and regularisation of ODEs (2016)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Stochastic Differential Equations (2003)Advances of the probability density evolution method for nonlinear stochastic systems (2011)Functional Itô calculus and stochastic integral representation of martingales (2013)Arbitrage and duality in nondominated discrete-time models (2015)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)
this work references cited by second hop

References

No references inside the corpus for this window.

Cited by

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2014Stochastic Differential Equations574 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1988Stochastic calculus with anticipating integrands496 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited