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Stochastic control with rough paths
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Stochastic control with rough paths (2016)Stochastic control with rough pathsA Course on Rough Paths (2014)A Course on Rough PathsMultidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Controlling rough paths (2004)Controlling rough pathsSystem Control and Rough Paths (2002)System Control and Rough PathsMonte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Differential equations driven by rough signals (1998)Differential equations driven…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesOn the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)On the Gap Between Determinis…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Pricing American-style securities using simulation (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Analysis of the Rosenblatt process (2008)Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation (2008)Stochastic heat equation driven by fractional noise and local time (2008)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Differential equations driven by fractional Brownian motion (2002)Elements of Stochastic Calculus via Regularization (2007)Ramification of rough paths (2009)Averaging along irregular curves and regularisation of ODEs (2016)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Densities for rough differential equations under Hörmander’s condition (2010)Smoothness of the density for solutions to Gaussian rough differential equations (2014)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1999Stochastic Controls1,243 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 2004Controlling rough paths578 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2002System Control and Rough Paths519 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 2014A Course on Rough Paths428 cited
  • 1978On the Gap Between Deterministic and Stochastic Ordinary Differential Equations382 cited
  • 2007Differential Equations Driven by Rough Paths381 cited
  • 2007Differential Equations Driven by Rough Paths237 cited

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