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One-dimensional stochastic differential equations with generalized and singular drift
9 references·1 citing·36 second hop
One-dimensional stochastic differential equations with generalized and singular drift (2013)One-dimensional stochastic differential e…One-Dimensional Stochastic Differential Equations with Singular and Degenerate Coefficients (2005)One-Dimensional Stochastic Di…On one-dimensional stochastic differential equations with generalized drift (2005)On one-dimensional stochastic…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III) (1991)Strong Markov Continuous Loca…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)Strong Markov Continuous Loca…One — dimensional stochastic differential equations involving the local times of the unknown process (1984)One — dimensional stochastic …Applications du temps local aux equations differentielles stochastiques unidimensionnelles (1983)Applications du temps local a…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A TRANSFORMATION OF THE PHASE…Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators (2017)Time inhomogeneous Stochastic…On the uniqueness of solutions of stochastic differential equations (1971)Brownian Motion and Stochastic Calculus (2007)Pathwise uniqueness for a degenerate stochastic differential equation (2007)On symmetric and skew Bessel processes (2012)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On the Constructions of the Skew Brownian Motion (2005)Stochastic Differential Equations and Diffusion Processes (1983)The Euler scheme with irregular coefficients (2002)On Weak Solutions of Backward Stochastic Differential Equations (2005)MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH DISTRIBUTIONAL DRIFT (2014)On stochastic differential equations (1951)ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)Optimization of the flow of dividends (1995)Ergodic Control of Diffusion Processes (2011)Semimartingales and Markov processes (1980)On the martingale property of certain local martingales (2010)How to Detect an Asset Bubble (2011)A Mathematical Theory of Financial Bubbles (2013)Mean stochastic comparison of diffusions (1985)Un Cours sur les Intégrales Stochastiques (2002)Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models (2009)Multidimensional Yamada-Watanabe theorem and its applications to particle systems (2013)A Change-of-Variable Formula with Local Time on Surfaces (2007)A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions (2019)Stochastic Differential Equations and Diffusion Processes (1981)Brownian Motion and Stochastic Calculus (1988)Some SDEs with distributional drift. (2004)Convergence of integral functionals of one-dimensional diffusions (2012)Stochastic differential equations for sticky Brownian motion (2014)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)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 1984One — dimensional stochastic differential equations involving the local times of the unknown process178 cited
  • 1989Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I)124 cited
  • 2005On one-dimensional stochastic differential equations with generalized drift109 cited
  • 1991Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III)97 cited
  • 1983Applications du temps local aux equations differentielles stochastiques unidimensionnelles90 cited
  • 2005One-Dimensional Stochastic Differential Equations with Singular and Degenerate Coefficients41 cited

Cited by

  • 2017Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators23 cited

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