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Applications du temps local aux equations differentielles stochastiques unidimensionnelles

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References

1983Stochastic Differential Equations and Diffusion Processes3,836 cited
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2002Un Cours sur les Intégrales Stochastiques421 cited
1980On the Strong Solutions of Stochastic Differential Equations145 cited
1973On a comparison theorem for solutions of stochastic differential equations and its applications119 cited

Cited by

2009Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models67 cited
1985Mean stochastic comparison of diffusions59 cited
2013Multidimensional Yamada-Watanabe theorem and its applications to particle systems51 cited
1988A note on approximation for stochastic differential equations50 cited
2003On a type of stochastic differential equations driven by countably many Brownian motions42 cited
2005One-Dimensional Stochastic Differential Equations with Singular and Degenerate Coefficients41 cited
2002Generalized Integration and Stochastic ODEs38 cited
2013On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes34 cited
1991On the theorem of T. Yamada and S. Watanabe31 cited

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1999

Flows of homeomorphisms of stochastic differential equations with measurable drift

31 cited

2000Lognormality of rates and term structure models31 cited

2014A stochastic differential equation with a sticky point29 cited

2012Planar diffusions with rank-based characteristics and perturbed Tanaka equations29 cited