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ArticleStochastic calculus with anticipating integrands

David Nualart1988

OA

Articlebronze1988

Stochastic calculus with anticipating integrands

David Nualart · Étienne Pardoux

496 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Mathematical and Theoretical Analysis Fuzzy Systems and Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 496 citations exist upstream.

References

1983Stochastic Differential Equations and Diffusion Processes 1951Multiple Wiener Integral 1978Stochastic calculus of variations and hypoelliptic operators

Cited by

1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs 1993Forward, backward and symmetric stochastic integration 1991A generalized clark representation formula, with application to optimal portfolios 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control 2008Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation 2000Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12 1990Anticipative calculus for the poisson process based on the fock space 2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps

Details

Year1988

Typearticle

Published1988-08-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations496

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/bf00353876

openalex_workW2022273243

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