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One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
14 references·1 citing·32 second hop
One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times (2012)One-dimensional parabolic diffraction equ…Stochastic differential equations and applications (2008)Stochastic differential equat…A Change-of-Variable Formula with Local Time on Surfaces (2007)A Change-of-Variable Formula …The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients (2006)On random walk simulation of …A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients (2006)A scheme for simulating one-d…A Change-of-Variable Formula with Local Time on Curves (2005)A Change-of-Variable Formula …Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…The Euler scheme with irregular coefficients (2002)The Euler scheme with irregul…Stochastic differential equations for Dirichlet processes (2001)Stochastic differential equat…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Probabilistic numerical methods for partial differential equations: Elements of analysis (1996)Probabilistic numerical metho…One — dimensional stochastic differential equations involving the local times of the unknown process (1984)One — dimensional stochastic …Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators (2017)Time inhomogeneous Stochastic…On the uniqueness of solutions of stochastic differential equations (1971)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)On one-dimensional stochastic differential equations with generalized drift (2005)On the Constructions of the Skew Brownian Motion (2005)Brownian Motion and Stochastic Calculus (2007)Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (2013)Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients (2015)Numerical solution of stochastic differential equations (2016)Stochastic Integration and Differential Equations (2005)Selling a stock at the ultimate maximum (2009)Multiple Wiener Integral (1951)A strong law of large numbers for local martingales (1980)Instantaneous Control of Brownian Motion (1983)Functional Itô calculus and stochastic integral representation of martingales (2013)ON THE AMERICAN OPTION PROBLEM (2005)The trap of complacency in predicting the maximum (2007)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)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)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Differential equations driven by Gaussian signals (2010)The Master Equation for Large Population Equilibriums (2014)
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  • 2017Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators

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23 cited