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On diffusion approximation with discontinuous coefficients
10 references·0 citing·35 second hop
On diffusion approximation with discontinuous coefficients (2002)On diffusion approximation with discontin…Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case (1996)Weak convergence of stochasti…Limit non-stationary behavior of large closed queueing networks with bottlenecks (1993)Limit non-stationary behavior…Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems (1990)Weak Convergence Methods and …Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances (1987)Nearly Optimal State Feedback…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…On Itô’s Stochastic Integral Equations (1969)On Itô’s Stochastic Integral …Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Stochastic differential equations with reflecting boundary conditions (1984)Theory of Martingales (1989)Diffusion Approximations for Some Multiclass Queueing Networks with FIFO Service Disciplines (2000)Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model (1978)A topology for Markov controls (1989)Diffusion approximation forGI/G/1 controlled queues (1992)Optimization of Observations: a Stochastic Control Approach (1997)Stochastic Integration and Differential Equations (2005)Evolving communities with individual preferences (2014)Fluctuation analysis for the loss from default (2014)Pathwise large deviations for the rough Bergomi model (2018)Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes (1993)On the connection between symmetric $N$-player games and mean field games (2017)Probabilistic Approach to Finite State Mean Field Games (2018)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)Control of a Solution of a Stochastic Integral Equation (1972)Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise (1997)On Weak Solutions of Backward Stochastic Differential Equations (2005)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Information Quality and Long‐Run Risk: Asset Pricing Implications (2010)Investment Shocks and Asset Prices (2011)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 2001Numerical Methods for Stochastic Control Problems in Continuous Time654 cited
  • 1990Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems285 cited
  • 1969On Itô’s Stochastic Integral Equations98 cited
  • 1987Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances77 cited
  • 1996Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case61 cited
  • 1993Limit non-stationary behavior of large closed queueing networks with bottlenecks32 cited

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