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One-dimensional stochastic differential equations involving a singular increasing process
7 references·5 citing·39 second hop
One-dimensional stochastic differential equations involving a singular increasing process (1984)One-dimensional stochastic differential e…Adapted Probability Distributions (1984)Adapted Probability Distribut…One Dimensional Stochastic Differential Equations with No Strong Solution (1982)One Dimensional Stochastic Di…On the Strong Solutions of Stochastic Differential Equations (1980)On the Strong Solutions of St…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…On the Existence, Uniqueness, Convergence and Explosions of Solutions of Systems of Stochastic Integral Equations (1977)On the Existence, Uniqueness,…On the existence and unicity of solutions of stochastic integral equations (1976)On the existence and unicity …On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Semi-discrete approximations for stochastic differential equations and applications (2012)Semi-discrete approximations …One-Dimensional Stochastic Differential Equations with Singular and Degenerate Coefficients (2005)One-Dimensional Stochastic Di…INTRODUCTION TO ITÔ CALCULUS (2000)INTRODUCTION TO ITÔ CALCULUSDiffusion Approximation for Open State-Dependent Queueing Networks in the Heavy Traffic Situation (1995)Diffusion Approximation for O…Généralisation d'un lemme de s. nakao et applications (1988)Généralisation d'un lemme de …Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Pathwise uniqueness for a degenerate stochastic differential equation (2007)On symmetric and skew Bessel processes (2012)One-dimensional stochastic differential equations with generalized and singular drift (2013)Stochastic Differential Equations (1972)Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques (1978)Weak and strong solutions of stochastic differential equations (1980)The existence and uniqueness of the solution of an integral equation driven by a p-semimartingale of special type (2002)Stochastic Differential Equations (2006)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Successive approximations to solutions of stochastic differential equations (1992)Strong solutions of SDES with singular drift and Sobolev diffusion coefficients (2005)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Point Processes and Queues: Martingale Dynamics. (1983)Theory of Martingales (1989)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Convergence of a queueing system in heavy traffic with general patience-time distributions (2011)Ergodic Rate Control Problem for Single Class Queueing Networks (2011)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)Stochastic Calculus and Stochastic Models (1974)Weak and strong solutions of stochastic differential equations: Existence and stability (1981)Pricing derivatives of American and game type in incomplete markets (2004)A Theory of the Term Structure of Interest Rates (1985)Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries (2014)On the Numerical Solution of Some Non-Linear Stochastic Differential Equations Using the Semi-Discrete Method (2015)Numerical solution of stochastic differential equations (2016)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equations for Dirichlet processes (2001)Weak existence and uniqueness for forward–backward SDEs (2006)On Weak Solutions of Stochastic Differential Equations (2011)On purification of measure-valued maps (2007)Why saturated probability spaces are necessary (2009)All adapted topologies are equal (2020)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
this work references cited by second hop

References

  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1980On the Strong Solutions of Stochastic Differential Equations145 cited
  • 1977On the Existence, Uniqueness, Convergence and Explosions of Solutions of Systems of Stochastic Integral Equations109 cited
  • 1984Adapted Probability Distributions108 cited
  • 1976On the existence and unicity of solutions of stochastic integral equations90 cited
  • 1982One Dimensional Stochastic Differential Equations with No Strong Solution78 cited

Cited by

  • 2005One-Dimensional Stochastic Differential Equations with Singular and Degenerate Coefficients41 cited
  • 2012Semi-discrete approximations for stochastic differential equations and applications33 cited
  • 1995Diffusion Approximation for Open State-Dependent Queueing Networks in the Heavy Traffic Situation29 cited
  • 2000INTRODUCTION TO ITÔ CALCULUS27 cited
  • 1988Généralisation d'un lemme de s. nakao et applications24 cited

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