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Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
7 references·0 citing·24 second hop
Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise (2009)Asymptotic Stability of Stochastic Differ…Lévy Processes and Stochastic Calculus (2009)Lévy Processes and Stochastic…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms (2004)Stochastic Differential Equat…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Lévy-Driven Carma Processes (2001)Lévy-Driven Carma ProcessesStochastic differential equations and their applications (1997)Stochastic differential equat…Introduction to Time Series and Forecasting (1996)Non-Gaussian OU based models and some of their uses in financial economics (2000)Introduction to Time Series and Forecasting (2002)Fractional Lévy processes with an application to long memory moving average processes (2006)Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (2013)Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Differential Equations and Diffusion Processes (1983)Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (2005)On Markov‐modulated Exponential‐affine Bond Price Formulae (2008)Itô’s stochastic calculus: Its surprising power for applications (2010)Polynomial processes and their applications to mathematical finance (2012)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)The Symbol Associated with the Solution of a Stochastic Differential Equation (2010)Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2009Lévy Processes and Stochastic Calculus1,442 cited
  • 1997Stochastic differential equations and their applications1,351 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2001Lévy-Driven Carma Processes199 cited
  • 2004Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms184 cited

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