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When is a stochastic integral a time change of a diffusion?
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When is a stochastic integral a time change of a diffusion? (1990)When is a stochastic integral a time chan…Stochastic Differential Equations (1989)Stochastic Differential Equat…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Processes that can be Embedded in Brownian Motion (1978)Processes that can be Embedde…Quasimartingales, martingales locales, semimartingales et filtration naturelle (1977)Quasimartingales, martingales…Changes of time, stochastic integrals, and weak martingales (1972)Changes of time, stochastic i…ON CONTINUOUS MARTINGALES (1965)ON CONTINUOUS MARTINGALESOn the Decomposition of Continuous Submartingales (1965)? p stability of solutions of stochastic differential equations (1978)Un survol de la Theorie de l'Integrale Stochastique (1980)Intégrales Stochastiques par Rapport aux Martingales Locales (2002)On the behaviour of certain functionals of the wiener process and applications to stochastic differential equations (2005)Martingales and Stochastic Integrals I (1972)Study of a filtration expanded to include an honest time (1978)Weak and strong solutions of stochastic differential equations: Existence and stability (1981)Un Cours sur les Intégrales Stochastiques (2002)THE MEANING OF MARKET EFFICIENCY (2012)Stochastic differential equations with reflecting boundary conditions (1984)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Specification Analysis of Affine Term Structure Models (2000)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Time-changed Lévy processes and option pricing (2003)Pricing options on realized variance (2005)On Square Integrable Martingales (1967)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)5 Stochastic volatility (1996)Stochastic Differential Equations—An Introduction With Applications (2006)Analytic solution and estimation of parameters on a stochastic exponential model for a technological diffusion process (1995)
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References

  • 1987Stochastic Differential Equations: An Introduction with Applications.4,034 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,966 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,311 cited
  • 1981Stochastic Differential Equations and Diffusion Processes633 cited
  • 1965ON CONTINUOUS MARTINGALES175 cited
  • 1978Processes that can be Embedded in Brownian Motion161 cited
  • 1977Quasimartingales, martingales locales, semimartingales et filtration naturelle106 cited
  • 1989Stochastic Differential Equations47 cited
  • 1972Changes of time, stochastic integrals, and weak martingales42 cited

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