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A Fourier analytic approach to pathwise stochastic integration
16 references·0 citing·31 second hop
A Fourier analytic approach to pathwise stochastic integration (2016)A Fourier analytic approach to pathwise s…Pathwise stochastic integrals for model free finance (2016)Pathwise stochastic integrals…A Course on Rough Paths (2014)A Course on Rough PathsA construction of the rough path above fractional Brownian motion using Volterra’s representation (2011)A construction of the rough p…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential equations driven by Gaussian signals (2010)Differential equations driven…Ramification of rough paths (2009)Ramification of rough pathsElements of Stochastic Calculus via Regularization (2007)Elements of Stochastic Calcul…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Controlling rough paths (2004)Controlling rough pathsSystem Control and Rough Paths (2002)System Control and Rough PathsStochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Differential equations driven by rough signals (1998)Differential equations driven…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Mouvement brownien et espaces de besov (1993)Mouvement brownien et espaces…Forward, backward and symmetric stochastic integration (1993)Forward, backward and symmetr…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesStochastic calculus with anticipating integrands (1988)Stochastic Analysis of the Fractional Brownian Motion (1999)Un Cours sur les Intégrales Stochastiques (2002)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Differential equations driven by fractional Brownian motion (2002)Brownian Motion and Stochastic Calculus (2007)Calcul Stochastique et Problèmes de Martingales (1979)Continuous Martingales and Brownian Motion (1991)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)On the non-existence of path integrals (1991)Variation of iterated Brownian motion (1994)Stochastic area for Brownian motion on the Sierpinski gasket (1998)Approximations of the Brownian rough path with applications to stochastic analysis (2004)Averaging along irregular curves and regularisation of ODEs (2016)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Integration with respect to fractal functions and stochastic calculus. I (1998)UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)Differential Equations Driven by Rough Paths (2007)Smoothness of the density for solutions to Gaussian rough differential equations (2014)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Wong-Zakai theorem for stochastic PDEs (2015)A stochastic sewing lemma and applications (2018)Averaging dynamics driven by fractional Brownian motion (2020)Densities for rough differential equations under Hörmander’s condition (2010)
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References

  • 1998Differential equations driven by rough signals1,077 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths780 cited
  • 2004Controlling rough paths578 cited
  • 2002System Control and Rough Paths519 cited
  • 2014A Course on Rough Paths428 cited
  • 1995Uncertain volatility and the risk-free synthesis of derivatives364 cited
  • 1993Forward, backward and symmetric stochastic integration322 cited
  • 2002Stochastic analysis, rough path analysis and fractional Brownian motions317 cited
  • 1981Calcul d'ito sans probabilites247 cited
  • 2007Differential Equations Driven by Rough Paths237 cited
  • 2009Ramification of rough paths150 cited
  • 2007Elements of Stochastic Calculus via Regularization122 cited
  • 2010Differential equations driven by Gaussian signals113 cited
  • 1993Mouvement brownien et espaces de besov76 cited
  • 2016Pathwise stochastic integrals for model free finance51 cited
  • 2011A construction of the rough path above fractional Brownian motion using Volterra’s representation37 cited

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