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Martingales dépendant d'un paramètre: une formule d'Ito
4 references·2 citing·18 second hop
Martingales dépendant d'un paramètre: une formule d'Ito (1982)Martingales dépendant d'un paramètre: une…Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…Some extensions of Ito's formula (1981)Some extensions of Ito's form…Calcul stochastique d�pendant d'un param�tre (1978)Calcul stochastique d�pendant…On Square Integrable Martingales (1967)On Square Integrable Martinga…Nonclausal stochastic integrals and calculus (2006)Nonclausal stochastic integra…Interchanging the order of differentiation and stochastic integration (1984)Interchanging the order of di…Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus with anticipating integrands (1988)On the decomposition of solutions of stochastic differential equations (1981)Stochastic Differential Equations and Diffusion Processes (1983)On quasi likelihood for semimartingales (1990)Jump filtering and efficient drift estimation for Lévy-driven SDEs (2018)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Existence of optimal controls for partially observed diffusions (1983)Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations (2016)Martingale representation theorems for initially enlarged filtrations (2000)Conditioned stochastic differential equations: theory, examples and application to finance (2002)What happens after a default: The conditional density approach (2010)A strong law of large numbers for local martingales (1980)Instantaneous Control of Brownian Motion (1983)Functional Itô calculus and stochastic integral representation of martingales (2013)
this work references cited by second hop

References

  • 1967On Square Integrable Martingales617 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 1978Calcul stochastique d�pendant d'un param�tre123 cited
  • 1981Some extensions of Ito's formula66 cited

Cited by

  • 2006Nonclausal stochastic integrals and calculus26 cited
  • 1984Interchanging the order of differentiation and stochastic integration24 cited

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