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Construction of strong solutions of SDE's via Malliavin calculus
16 references·3 citing·27 second hop
Construction of strong solutions of SDE's via Malliavin calculus (2009)Construction of strong solutions of SDE's…Malliavin Calculus for Lévy Processes with Applications to Finance (2008)Malliavin Calculus for Lévy P…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach. (1997)Stochastic Partial Differenti…Stochastic Analysis (1997)Stochastic AnalysisExistence of strong solutions for Itô's stochastic equations via approximations (1996)Existence of strong solutions…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Stochastic differential equations in infinite-dimensional spaces (1995)Stochastic differential equat…Dirichlet Forms and Analysis on Wiener Space (1991)Dirichlet Forms and Analysis …Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…On the Strong Solutions of Stochastic Differential Equations (1980)On the Strong Solutions of St…Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…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)On the uniqueness of solution…On a stochastic integral equation (1946)On a stochastic integral equa…C∞− regularization of ODEs perturbed by noise (2021)C∞− regularization of ODEs pe…Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift (2019)Strong Existence and Higher O…Strong solutions of mean-field stochastic differential equations with irregular drift (2018)Strong solutions of mean-fiel…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)Ergodic Control of Diffusion Processes (2011)Forward, backward and symmetric stochastic integration (1993)A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)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)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)Stein’s method on Wiener chaos (2008)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Stochastic calculus with anticipating integrands (1988)Functional Itô calculus and stochastic integral representation of martingales (2013)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997Stochastic Analysis1,035 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
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  • 1991Dirichlet Forms and Analysis on Wiener Space541 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
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  • 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
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  • 1995Stochastic differential equations in infinite-dimensional spaces191 cited
  • 1946On a stochastic integral equation152 cited
  • 1980

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On the Strong Solutions of Stochastic Differential Equations
145 cited

Cited by

  • 2018Strong solutions of mean-field stochastic differential equations with irregular drift47 cited
  • 2021C∞− regularization of ODEs perturbed by noise43 cited
  • 2019Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift30 cited