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ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
8 references·0 citing·23 second hop
ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS (2009)ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIA…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On Local Martingale and its Supremum: Harmonic Functions and beyond (2006)On Local Martingale and its S…Perturbed Skorohod equations and perturbed reflected diffusion processes (2004)Perturbed Skorohod equations …BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)BSDEs and risk-sensitive cont…Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion (1999)Pathwise uniqueness for pertu…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Généralisation d'un lemme de s. nakao et applications (1988)Généralisation d'un lemme de …Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Martingale inequalities: seminar notes on recent progress (1973)The Skorokhod embedding problem and its offspring (2004)The Maximality Principle Revisited: On Certain Optimal Stopping Problems (2007)On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation (2009)On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation (2012)On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations (1972)Semimartingales and Markov processes (1980)One-dimensional stochastic differential equations involving a singular increasing process (1984)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic differential equations with reflecting boundary conditions (1984)Adapted solution of a backward stochastic differential equation (1990)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market (2020)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)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)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 2003BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations186 cited
  • 1999Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion55 cited
  • 2004Perturbed Skorohod equations and perturbed reflected diffusion processes37 cited
  • 2006On Local Martingale and its Supremum: Harmonic Functions and beyond26 cited
  • 1988Généralisation d'un lemme de s. nakao et applications24 cited

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