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Skorohod integration and stochastic calculus beyond the fractional Brownian scale
14 references·3 citing·36 second hop
Skorohod integration and stochastic calculus beyond the fractional Brownian scale (2004)Skorohod integration and stochastic calcu…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) (2005)Stochastic integral of diverg…m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index (2004)m-order integrals and general…Stochastic integration with respect to the fractional Brownian motion (2003)Stochastic integration with r…Stochastic evolution equations with fractional Brownian motion (2003)Stochastic evolution equation…Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index ${H \ge \frac{1}{4}}$ (2003)Generalized covariations, loc…An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)An Itô formula for generalize…Tanaka formula for the fractional Brownian motion (2001)Tanaka formula for the fracti…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…A two-sided stochastic integral and its calculus (1987)A two-sided stochastic integr…Semimartingales and Markov processes (1980)Semimartingales and Markov pr…Théorie probabiliste du contrôle des diffusions (1976)Théorie probabiliste du contr…C∞− regularization of ODEs perturbed by noise (2021)C∞− regularization of ODEs pe…A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)A martingale approach for fra…Feynman–Kac formula for the heat equation driven by fractional noise with Hurst parameter H < 1/2 (2012)Feynman–Kac formula for the h…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Malliavin Calculus and Related Topics (1995)Rough evolution equations (2006)Analysis of the Rosenblatt process (2008)Stochastic heat equation driven by fractional noise and local time (2008)Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic Differential Equations and Diffusion Processes (1983)A generalized clark representation formula, with application to optimal portfolios (1991)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)On stochastic differential equations (1951)On Square Integrable Martingales (1967)Calcul Stochastique et Problèmes de Martingales (1979)Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)Non-linear pricing theory and backward stochastic differential equations (1997)Polynomial processes and their applications to mathematical finance (2012)Stochastic Analysis (1997)Continuous Martingales and Brownian Motion (1999)Central and non-central limit theorems for weighted power variations of fractional Brownian motion (2010)Fractional stochastic differential equations with applications to finance (2012)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)Brownian Motion and Stochastic Calculus (2007)MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Sur un problème de dynkin (1977)Representation theorems for backward stochastic differential equations (2002)Well-posedness and regularity of backward stochastic Volterra integral equations (2007)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Differential equations driven by fractional Brownian motion (2002)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)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)
this work references cited by second hop

References

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  • 1988Stochastic calculus with anticipating integrands496 cited
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  • 2021C∞− regularization of ODEs perturbed by noise43 cited
  • 2012Feynman–Kac formula for the heat equation driven by fractional noise with Hurst parameter H < 1/243 cited
  • 2019A martingale approach for fractional Brownian motions and related path dependent PDEs42 cited