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Un Cours sur les Intégrales Stochastiques
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References

  • 1951Multiple Wiener Integral699 cited

Cited by

  • 1980A strong law of large numbers for local martingales383 cited
  • 1983Instantaneous Control of Brownian Motion295 cited
  • 2013Functional Itô calculus and stochastic integral representation of martingales252 cited
  • 1981Calcul d'ito sans probabilites247 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 1982Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times204 cited
  • 1980On stochastic equations with respect to semimartingales I.†197 cited
  • 1996On the pricing of contingent claims under constraints191 cited
  • 1997Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model189 cited
  • 2010Change of variable formulas for non-anticipative functionals on path space172 cited
  • 1992Dynamic Scheduling of a Multiclass Make-to-Stock Queue165 cited
  • 1983Calcul des variations stochastique et processus de sauts138 cited
  • 2009Multi-dimensional BSDE with oblique reflection and optimal switching133 cited
  • 1981Modeling and approximation of stochastic differential equations driven by semimartingales†

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129 cited
  • 1978Grossissement d’une filtration et semi-martingales : Formules explicites110 cited
  • 1977Quasimartingales, martingales locales, semimartingales et filtration naturelle106 cited