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Support theorem for jump processes
7 references·2 citing·33 second hop
Support theorem for jump processes (2000)Support theorem for jump processesDensity in small time for Lévy processes (1997)Density in small time for Lév…Stratonovich stochastic differential equations driven by general semimartingales (1995)Stratonovich stochastic diffe…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…On the representation of solutions of stochastic differential equations (1980)On the representation of solu…On the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)On the Gap Between Determinis…Modeling and analysis of stochastic differential equations driven by point processes (1978)Modeling and analysis of stoc…Liens entre équations différentielles stochastiques et ordinaires (1977)Liens entre équations différe…On the absolute continuity of Lévy processes with drift (2006)On the absolute continuity of…Partial mixing and Edgeworth expansion (2004)Partial mixing and Edgeworth …Modeling and approximation of stochastic differential equations driven by semimartingales† (1981)On the existence of smooth densities for jump processes (1996)Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Conditions for the existence and smoothness of the distribution density of the Ornstein–Uhlenbeck process with Lévy noise (2009)On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes (2010)Applications of the Malliavin calculus. II (1985)Malliavin calculus for processes with jumps (1991)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (2005)Martingale expansion in mixed normal limit (2012)Calcul des variations stochastique et processus de sauts (1983)Density in small time at accessible points for jump processes (1997)Disentangling Volatility from Jumps (2003)Statistical inference for time-changed Lévy processes via composite characteristic function estimation (2011)Stochastic differentials (1975)Séminaire de Probabilités XXXVII (2003)CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (2013)A New Representation for Stochastic Integrals and Equations (1966)Optimal Control for Partially Observed Diffusions (1982)Discretization and simulation of stochastic differential equations (1985)Stochastic Differential Equations (1992)On the relation between ordinary and stochastic differential equations (1965)Stochastic Differential Equations (1972)Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides (1979)On Wong-Zakai approximation of stochastic differential equations (1983)A review on stochastic differential equations for applications in hydrology (1987)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula (2017)Canonical RDEs and general semimartingales as rough paths (2018)Differential equations driven by rough paths with jumps (2018)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1978On the Gap Between Deterministic and Stochastic Ordinary Differential Equations382 cited
  • 1977Liens entre équations différentielles stochastiques et ordinaires225 cited
  • 1978Modeling and analysis of stochastic differential equations driven by point processes86 cited
  • 1995Stratonovich stochastic differential equations driven by general semimartingales74 cited
  • 1980On the representation of solutions of stochastic differential equations54 cited
  • 1997Density in small time for Lévy processes44 cited

Cited by

  • 2006On the absolute continuity of Lévy processes with drift32 cited
  • 2004Partial mixing and Edgeworth expansion30 cited

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