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Normalized stochastic integrals in topological vector spaces
8 references·9 citing·29 second hop
Normalized stochastic integrals in topological vector spaces (1998)Normalized stochastic integrals in topolo…Stochastic Differential Equations (2006)Stochastic Differential Equat…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Martingale problems for stochastic PDE’s (1999)Martingale problems for stoch…Stochastic Flows and Stochastic Differential Equations (1998)Stochastic Flows and Stochast…On stochastics equations with respect to semimartingales ii. itô formula in banach spaces (1982)On stochastics equations with…On stochastic equations with respect to semimartingales I.† (1980)On stochastic equations with …Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Stochastic Differential Equations (1972)Stochastic Differential Equat…Ornstein-Uhlenbeck Processes Driven by Cylindrical Lévy Processes (2015)Ornstein-Uhlenbeck Processes …ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS (2010)ON INCOMPLETENESS OF BOND MAR…Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces (2006)Itô formula for stochastic in…Super-replication and utility maximization in large financial markets (2005)Super-replication and utility…Stochastic Integrals and the Lévy–Ito Decomposition Theorem on Separable Banach Spaces (2005)Stochastic Integrals and the …Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces (2004)Stochastic integration with r…On the use of measure-valued strategies in bond markets (2004)On the use of measure-valued …A note on completeness in large financial markets (2004)A note on completeness in lar…A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment (2003)A predictable decomposition i…Arbitrage Theory in Continuous Time (1998)Continuous Martingales and Brownian Motion (1999)Bond market completeness and attainable contingent claims (2005)Stochastic Integration and Differential Equations (2005)Optimal portfolio choice in the bond market (2006)Controlled Diffusion Processes (1980)Weak and strong solutions of stochastic differential equations: Existence and stability (1981)Un Cours sur les Intégrales Stochastiques (2002)Stochastic Evolution Equations of Jump Type: Existence, Uniqueness and Large Deviation Principles (2007)Towards a general theory of bond markets (1997)Existence and uniqueness of path wise solutions for stochastic integral equations driven by Lévy noise on separable Banach spaces (2006)Stochastic Integration and Differential Equations : A New Approach (2014)Maximal inequalities for stochastic convolutions driven by compensated Poisson random measures in Banach spaces (2017)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)On stochastic squations with respect to semimartingales III (1982)A relatively short proof of Itô’s formula for SPDEs and its applications (2013)A mild Itô formula for SPDEs (2018)An Overview of Value at Risk (1997)Pricing the risks of default (1998)Robustness of the Black and Scholes Formula (1998)Rational Momentum Effects (2002)
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References

  • 2006An introduction to stochastic partial differential equations2,216 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1998Stochastic Flows and Stochastic Differential Equations1,182 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1972Stochastic Differential Equations977 cited
  • 1980On stochastic equations with respect to semimartingales I.†197 cited
  • 1982On stochastics equations with respect to semimartingales ii. itô formula in banach spaces134 cited
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Cited by

  • 2004Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces55 cited
  • 2004On the use of measure-valued strategies in bond markets52 cited
  • 2005Stochastic Integrals and the Lévy–Ito Decomposition Theorem on Separable Banach Spaces51 cited
  • 2004A note on completeness in large financial markets40 cited
  • 2005Super-replication and utility maximization in large financial markets37 cited
  • 2010ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS34 cited
  • 2003A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment

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32 cited
  • 2006Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces32 cited
  • 2015Ornstein-Uhlenbeck Processes Driven by Cylindrical Lévy Processes31 cited