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Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s
3 references·16 citing·28 second hop
Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Extending the Martingale Measure Stochast…Stochastic differential equations and applications (2008)Stochastic differential equat…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2020)Generalized Feller processes …Stochastic heat equation with rough dependence in space (2017)Stochastic heat equation with…Stochastic geometric wave equations with values in compact Riemannian homogeneous spaces (2013)Stochastic geometric wave equ…Fernique-type inequalities and moduli of continuity for anisotropic Gaussian random fields (2012)Fernique-type inequalities an…Non-linear rough heat equations (2011)Non-linear rough heat equatio…The stochastic wave equation with fractional noise: A random field approach (2010)The stochastic wave equation …Stochastic integrals for spde’s: A comparison (2010)Stochastic integrals for spde…Rough evolution equations (2010)Rough evolution equationsPathwise uniqueness for stochastic heat equations with Hölder continuous coefficients: the white noise case (2009)Pathwise uniqueness for stoch…The Non-Linear Stochastic Wave Equation in High Dimensions (2008)The Non-Linear Stochastic Wav…The 1-d stochastic wave equation driven by a fractional Brownian sheet (2007)The 1-d stochastic wave equat…Existence and Smoothness of the Density for Spatially Homogeneous SPDEs (2007)Existence and Smoothness of t…Rough evolution equations (2006)Rough evolution equationsOn pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients (2006)On pathwise uniqueness for st…Some Non-Linear S.P.D.E's That Are Second Order In Time (2003)Some Non-Linear S.P.D.E's Tha…On stochastic partial differential equations with spatially correlated noise: smoothness of the law (2001)On stochastic partial differe…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Intermittency for the wave and heat equations with fractional noise in time (2016)High-frequency analysis of parabolic stochastic PDEs (2020)Differential equations driven by rough signals (1998)Delay equations driven by rough paths (2008)Rough Burgers-like equations with multiplicative noise (2011)A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (2012)On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Nonuniqueness for a parabolic SPDE with $\frac{3}{4}-\varepsilon $-Hölder diffusion coefficients (2014)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)A mild Itô formula for SPDEs (2018)A Concise Course on Stochastic Partial Differential Equations (2007)SPDEs with affine multiplicative fractional noise in space with index $\frac{1}{4}\langle H\langle\frac{1}{2}$ (2015)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Modeling Term Structures of Defaultable Bonds (1999)On the optimal stopping problem for one-dimensional diffusions (2003)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)A Minicourse on Stochastic Partial Differential Equations (2008)Backward stochastic differential equations with rough drivers (2012)A priori estimates for rough PDEs with application to rough conservation laws (2019)Hörmander’s theorem for semilinear SPDEs (2019)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)
this work references cited by second hop

References

  • 2008Stochastic differential equations and applications4,595 cited
  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited

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62 cited
  • 2006On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients62 cited
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