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�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales
4 references·13 citing·42 second hop
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this work references cited by second hop

References

  • 1967On Square Integrable Martingales617 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 1969Diffusion processes with continuous coefficients, I364 cited
  • 1970Quelques applications de la formule de changement de variables pour les semimartingales191 cited

Cited by

  • 2012Superhedging and Dynamic Risk Measures under Volatility Uncertainty82 cited
  • 1989On the Azéma martingales77 cited
  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2000STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS57 cited
  • 2009Immersion Property and Credit Risk Modelling49 cited
  • 1993Conditional expectations for derivatives of certain stochastic flows44 cited
  • 2006Martingale Representation and All That39 cited
  • 1995APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES32 cited
  • 2013An Explicit Martingale Version of Brenier's Theorem30 cited
  • 2000INTRODUCTION TO ITÔ CALCULUS27 cited
  • 2011Superhedging and Dynamic Risk Measures Under Volatility Uncertainty27 cited
  • 1981Stochastic Integrals of Continuous Local Martingales, II

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26 cited
  • 2007Reduced Form Modelling for Credit Risk24 cited