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Second order stochastic differential equations with Dirichlet boundary conditions
5 references·1 citing·22 second hop
Second order stochastic differential equations with Dirichlet boundary conditions (1991)Second order stochastic differential equa…Boundary Value Problems for Stochastic Differential Equations (1991)Boundary Value Problems for S…Linear stochastic differential equations with boundary conditions (1989)Linear stochastic differentia…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Generalized stochastic integrals and the malliavin calculus (1986)Generalized stochastic integr…On nonlinear transformations of Gaussian measures (1974)On nonlinear transformations …Weak approximations. A Malliavin calculus approach (2000)Weak approximations. A Mallia…Semi-Martingales et Grossissement d’une Filtration (1980)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Volterra equations with fractional stochastic integrals (2004)Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic Differential Equations and Diffusion Processes (1983)Random non-linear wave equations: Smoothness of the solutions (1988)Anticipative calculus for the poisson process based on the fock space (1990)White noise analysis for Lévy processes (2003)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations (2008)Discretization error of stochastic integrals (2011)Numerical solution of stochastic differential equations (2016)Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift (2017)Anticipative Girsanov transformations (1991)Linear skorohod stochastic differential equations (1991)Differentiable measures and the Malliavin calculus (1997)A generalized clark representation formula, with application to optimal portfolios (1991)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)A characterization of reciprocal processes via an integration by parts formula on the path space (2002)
this work references cited by second hop

References

  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1986Generalized stochastic integrals and the malliavin calculus156 cited
  • 1974On nonlinear transformations of Gaussian measures133 cited
  • 1991Boundary Value Problems for Stochastic Differential Equations58 cited
  • 1989Linear stochastic differential equations with boundary conditions58 cited

Cited by

  • 2000Weak approximations. A Malliavin calculus approach34 cited

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