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Non-degeneracy of Wiener functionals arising from rough differential equations
16 references·10 citing·30 second hop
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 1997Stochastic Analysis1,035 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 2002System Control and Rough Paths519 cited
  • 1984Large Deviations and the Malliavin Calculus405 cited
  • 1985Applications of the Malliavin calculus. II365 cited
  • 1984Applications of the Malliavin Calculus, Part I237 cited
  • 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND183 cited
  • 2000Transformation of Measure on Wiener Space160 cited
  • 2004Stochastic Analysis138 cited
  • 2005Ergodicity of stochastic differential equations driven by fractional Brownian motion130 cited
  • 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited
  • 1987The Malliavin calculus111 cited
  • 2008Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion109 cited
  • 2007Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2

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  • 2014Malliavin differentiability of solutions of rough differential equations30 cited
  • 2009Discretizing the fractional Lévy area26 cited
  • 2016Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions22 cited