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Strong Solutions of Stochastic Differential Equations
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Strong Solutions of Stochastic Differential Equations (2006)Strong Solutions of Stochastic Differenti…Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions (2013)Closed-form likelihood expans…Planar diffusions with rank-based characteristics and perturbed Tanaka equations (2012)Planar diffusions with rank-b…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)Brownian Motion and Stochastic Calculus (2007)On the one-sided Tanaka equation with drift (2011)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Investment Under Uncertainty. (1994)Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate (2009)Explicit form of approximate transition probability density functions of diffusion processes (2015)A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (2019)
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  • 2013Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions31 cited
  • 2012Planar diffusions with rank-based characteristics and perturbed Tanaka equations29 cited

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