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Linear Volterra backward stochastic integral equations
12 references·1 citing·35 second hop
Linear Volterra backward stochastic integral equations (2018)Linear Volterra backward stochastic integ…Malliavin calculus for backward stochastic differential equations and application to numerical solutions (2016)Malliavin calculus for backwa…Malliavin Calculus and Optimal Control of Stochastic Volterra Equations (2015)Malliavin Calculus and Optima…Malliavin calculus for backward stochastic differential equations and application to numerical solutions (2011)Malliavin calculus for backwa…Malliavin Calculus for Lévy Processes with Applications to Finance (2008)Malliavin Calculus for Lévy P…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Backward stochastic Volterra integral equations and some related problems (2006)Backward stochastic Volterra …Malliavin Calculus with Applications to Stochastic Partial Differential Equations (2005)Malliavin Calculus with Appli…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)White noise generalizations o…Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…Stochastic calculus of variation and hypoelliptic operators (1978)Stochastic calculus of variat…Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula (2020)Extended backward stochastic …The Malliavin Calculus and Related Topics (1995)Stochastic Differential Equations (2003)Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions (2017)Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations (2019)Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation (2021)Stochastic Differential Equations and Diffusion Processes (1983)Adapted solution of a backward stochastic differential equation (1990)Brownian Motion and Stochastic Calculus (2007)Well-posedness and regularity of backward stochastic Volterra integral equations (2007)Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models (2013)Multiple Wiener Integral (1951)Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach. (1997)Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes (2003)White noise analysis for Lévy processes (2003)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe (1992)Statistical aspects of the fractional stochastic calculus (2007)Density estimates for a random noise propagating through a chain of differential equations (2010)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)A mean-field stochastic maximum principle via Malliavin calculus (2012)A real-option approach to mitigate disruption risk in the supply chain (2018)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Stochastic calculus with anticipating integrands (1988)Functional Itô calculus and stochastic integral representation of martingales (2013)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Optimal high-frequency trading with limit and market orders (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Existence and Smoothness of the Density for Spatially Homogeneous SPDEs (2007)A mild Itô formula for SPDEs (2018)
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
  • 2008Malliavin Calculus for Lévy Processes with Applications to Finance459 cited
  • 1978Stochastic calculus of variation and hypoelliptic operators178 cited
  • 2000White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance131 cited
  • 2006Backward stochastic Volterra integral equations and some related problems125 cited
  • 2005Malliavin Calculus with Applications to Stochastic Partial Differential Equations114 cited
  • 2015Malliavin Calculus and Optimal Control of Stochastic Volterra Equations70 cited
  • 2016Malliavin calculus for backward stochastic differential equations and application to numerical solutions53 cited
  • 2011Malliavin calculus for backward stochastic differential equations and application to numerical solutions45 cited

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  • 2020Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula26 cited

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