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Functionals of diffusion processes as stochastic integrals
4 references·3 citing·28 second hop
Functionals of diffusion processes as stochastic integrals (1980)Functionals of diffusion processes as sto…On the integral representation of functionals of ltd processest (1980)On the integral representatio…Stochastic Differential Equations (1975)Stochastic Differential Equat…Stochastic Differential Equations (1974)Stochastic Differential Equat…The Representation of Functionals of Brownian Motion by Stochastic Integrals (1970)The Representation of Functio…Martingale Representation and All That (2006)Martingale Representation and…A guide to the stochastic calculus of variations (2006)A guide to the stochastic cal…On the Adjoint Process for Optimal Control of Diffusion Processes (1981)On the Adjoint Process for Op…Multiple Wiener Integral (1951)On stochastic differential equations (1951)On Square Integrable Martingales (1967)Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)A variational problem arising in financial economics (1991)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On the uniqueness of solutions of stochastic differential equations (1971)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Generalized multiple stochastic integrals and the representation of wiener functionals (1988)Differentiable measures and the Malliavin calculus (1997)On securitization, market completion and equilibrium risk transfer (2010)Diffusion processes with continuous coefficients, I (1969)Existence of Optimal Stochastic Control Laws (1971)Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions (2010)Stochastic calculus of variations and hypoelliptic operators (1978)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equations (2003)Stochastic Integration and Differential Equations (2005)The Malliavin Calculus and Related Topics (2006)Finite-Horizon Optimal Multiple Switching with Signed Switching Costs (2016)Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)On Equilibrium Asset Price Processes (1993)Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)The Malliavin calculus, a functional analytic approach (1981)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Linear quadratic regulation of systems with stochastic parameter uncertainties (2009)
this work references cited by second hop

References

  • 1974Stochastic Differential Equations288 cited
  • 1970The Representation of Functionals of Brownian Motion by Stochastic Integrals233 cited
  • 1975Stochastic Differential Equations191 cited
  • 1980On the integral representation of functionals of ltd processest70 cited

Cited by

  • 2006Martingale Representation and All That39 cited
  • 2006A guide to the stochastic calculus of variations37 cited
  • 1981On the Adjoint Process for Optimal Control of Diffusion Processes28 cited

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