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Semi-martingales and rough paths theory
16 references·3 citing·31 second hop
Semi-martingales and rough paths theory (2005)Semi-martingales and rough paths theoryStochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Approximations of the Brownian rough path with applications to stochastic analysis (2004)Approximations of the Brownia…An Introduction to Rough Paths (2003)An Introduction to Rough PathsSystem Control and Rough Paths (2002)System Control and Rough PathsStochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Lévy area of Wiener processes in Banach spaces (2002)Lévy area of Wiener processes…Large deviations and support theorem for diffusion processes via rough paths (2002)Large deviations and support …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Stochastic Flows and Stochastic Differential Equations (1998)Stochastic Flows and Stochast…Differential equations driven by rough signals (1998)Differential equations driven…Weak convergence of stochastic integrals and differential equations (1996)Weak convergence of stochasti…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Stochastic flows and stochastic differential equations (1990)Stochastic flows and stochast…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Canonical RDEs and general semimartingales as rough paths (2018)Canonical RDEs and general se…Discretely sampled signals and the rough Hoff process (2016)Discretely sampled signals an…On (p,q) -rough paths (2006)On (p,q) -rough pathsCalcul Stochastique et Problèmes de Martingales (1979)Calcul d'ito sans probabilites (1981)Likelihood inference for a nonstationary fractional autoregressive model (2010)Limit theorems for nearly unstable Hawkes processes (2015)The microstructural foundations of leverage effect and rough volatility (2018)Stochastic integration with respect to fractional brownian motion (2003)On bifractional Brownian motion (2005)Brownian Motion and Stochastic Calculus (2007)Differential Equations Driven by Rough Paths (2007)Analysis of the Rosenblatt process (2008)Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation (2008)Stochastic heat equation driven by fractional noise and local time (2008)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)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Differential equations driven by fractional Brownian motion (2002)Controlling rough paths (2004)Multidimensional Stochastic Processes as Rough Paths (2010)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Controlled Markov Processes and Viscosity Solutions (2005)An Overview of Value at Risk (1997)Pricing the risks of default (1998)Robustness of the Black and Scholes Formula (1998)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1998Stochastic Flows and Stochastic Differential Equations1,182 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2002System Control and Rough Paths519 cited
  • 2002Stochastic analysis, rough path analysis and fractional Brownian motions317 cited
  • 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod192 cited
  • 2003An Introduction to Rough Paths102 cited
  • 2002Large deviations and support theorem for diffusion processes via rough paths101 cited
  • 1996Weak convergence of stochastic integrals and differential equations89 cited
  • 1990Stochastic flows and stochastic differential equations78 cited
  • 2004Approximations of the Brownian rough path with applications to stochastic analysis65 cited

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2002
Lévy area of Wiener processes in Banach spaces
58 cited

Cited by

  • 2016Discretely sampled signals and the rough Hoff process40 cited
  • 2006On (p,q) -rough paths39 cited
  • 2018Canonical RDEs and general semimartingales as rough paths35 cited