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On weak uniqueness for some diffusions with discontinuous coefficients
6 references·6 citing·30 second hop
On weak uniqueness for some diffusions with discontinuous coefficients (2004)On weak uniqueness for some diffusions wi…Introduction to the Theory of Diffusion Processes (1994)Introduction to the Theory of…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesControlled Diffusion Processes (1980)Controlled Diffusion ProcessesOn the pathwise uniqueness of solutions of one-dimensional stochastic differential equations (1972)On the pathwise uniqueness of…Incentives, project choice, and dynamic multitasking (2019)Incentives, project choice, a…Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)Optimal Control of Conditiona…Planar diffusions with rank-based characteristics and perturbed Tanaka equations (2012)Planar diffusions with rank-b…Stochastic differential equations with coefficients in Sobolev spaces (2010)Stochastic differential equat…On collisions of Brownian particles (2010)On collisions of Brownian par…On collisions of Brownian particles (2010)On collisions of Brownian par…On a stochastic integral equation (1946)On the uniqueness of solutions of stochastic differential equations (1971)Stochastic differential equations with jumps (2004)Stochastic differential equations for sticky Brownian motion (2014)On the smoothness of value functions and the existence of optimal strategies in diffusion models (2015)Reflected Brownian Motion on an Orthant (1981)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Stochastic Flows and Stochastic Differential Equations (1998)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk (2018)Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (2020)The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors (2020)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)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)A simplified treatment of the theory of optimal regulation of Brownian motion (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Investment, consumption, and hedging under incomplete markets (2007)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (2011)Ergodic Control of Diffusion Processes (2011)Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients (2016)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1980Controlled Diffusion Processes258 cited
  • 1994Introduction to the Theory of Diffusion Processes186 cited
  • 1972On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations124 cited

Cited by

  • 2017Optimal Control of Conditional Value-at-Risk in Continuous Time61 cited
  • 2010On collisions of Brownian particles45 cited
  • 2010On collisions of Brownian particles36 cited
  • 2010Stochastic differential equations with coefficients in Sobolev spaces30 cited
  • 2012Planar diffusions with rank-based characteristics and perturbed Tanaka equations29 cited
  • 2019Incentives, project choice, and dynamic multitasking24 cited

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