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Ito's lemma in infinite dimensions
1 references·2 citing·10 second hop
Ito's lemma in infinite dimensions (1970)Ito's lemma in infinite dimensionsIntroduction to the Theory of Random Processes (2002)Introduction to the Theory of…The Heston stochastic volatility model in Hilbert space (2018)The Heston stochastic volatil…Existence for a class of stochastic parabolic variational inequalities (1981)Existence for a class of stoc…Stochastic Differential Equations and Applications (1976)Stochastic partial differential equations and filtering of diffusion processes (1980)Stochastic Differential Equations and Applications (2010)Backward stochastic variational inequalities on random interval (2015)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)On limit laws for service processes in multi-channel systems (1967)A Basic Dynamic Routing Problem and Diffusion (1978)Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)
this work references cited by second hop

References

  • 2002Introduction to the Theory of Random Processes457 cited

Cited by

  • 1981Existence for a class of stochastic parabolic variational inequalities36 cited
  • 2018The Heston stochastic volatility model in Hilbert space17 cited

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