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On weak uniqueness and distributional properties of a solution to an SDE with α -stable noise
10 references·2 citing·32 second hop
On weak uniqueness and distributional properties of a solution to an SDE with α -stable noise (2018)On weak uniqueness and distributional pro…A parametrix approach for some degenerate stable driven SDEs (2016)A parametrix approach for som…A probabilistic interpretation of the parametrix method (2015)A probabilistic interpretatio…A probabilistic interpretation of the parametrix method ∗ (2014)A probabilistic interpretatio…Existence of densities for stable-like driven SDEʼs with Hölder continuous coefficients (2013)Existence of densities for st…Parametrix techniques and martingale problems for some degenerate Kolmogorov equations (2011)Parametrix techniques and mar…Sharp estimates for the convergence of the density of the Euler scheme in small time (2008)Sharp estimates for the conve…Introduction to the Theory of Random Processes (2002)Introduction to the Theory of…Edgeworth type expansions for Euler schemes for stochastic differential equations. (2002)Edgeworth type expansions for…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Perturbation of drift-type for Lévy processes (1974)Perturbation of drift-type fo…Supercritical SDEs driven by multiplicative stable-like Lévy processes (2021)Supercritical SDEs driven by …Strong existence and uniqueness for stable stochastic differential equations with distributional drift (2020)Strong existence and uniquene…Applications of the Malliavin calculus. II (1985)Mathematical Methods for Financial Markets (2009)Simplified malliavin calculus (1986)SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS (2001)Density estimates for a random noise propagating through a chain of differential equations (2010)Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift (2020)Applications of the Malliavin Calculus, Part I (1984)The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density (1996)Euler scheme and tempered distributions (2005)Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme (2014)Calcul Stochastique et Problèmes de Martingales (1979)Malliavin calculus for processes with jumps (1991)On the existence of smooth densities for jump processes (1996)Convergence and regularity of probability laws by using an interpolation method (2017)A simple method for the existence of a density for stochastic evolutions with rough coefficients (2018)The law of the Euler scheme for stochastic differential equations (1996)Lévy Processes and Stochastic Calculus (2009)Unbiased simulation of stochastic differential equations using parametrix expansions (2017)Unbiased simulation of stochastic differential equations (2017)Optimal investment and reinsurance strategies under 4/2 stochastic volatility model (2022)Lévy Processes and Stochastic Calculus (2004)On limit laws for service processes in multi-channel systems (1967)A Basic Dynamic Routing Problem and Diffusion (1978)Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)Systems of equations driven by stable processes (2005)Stochastic differential equations with Sobolev drifts and driven by $\alpha$-stable processes (2013)Exponential ergodicity for SDEs and McKean–Vlasov processes with Lévy noise (2021)Realized volatility with stochastic sampling (2010)Multilevel Richardson–Romberg extrapolation (2017)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
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References

  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 2002Introduction to the Theory of Random Processes457 cited
  • 1974Perturbation of drift-type for Lévy processes80 cited
  • 2011Parametrix techniques and martingale problems for some degenerate Kolmogorov equations58 cited
  • 2002Edgeworth type expansions for Euler schemes for stochastic differential equations.51 cited
  • 2013Existence of densities for stable-like driven SDEʼs with Hölder continuous coefficients48 cited
  • 2008Sharp estimates for the convergence of the density of the Euler scheme in small time45 cited
  • 2014A probabilistic interpretation of the parametrix method ∗45 cited
  • 2015A probabilistic interpretation of the parametrix method37 cited
  • 2016A parametrix approach for some degenerate stable driven SDEs35 cited

Cited by

  • 2021Supercritical SDEs driven by multiplicative stable-like Lévy processes32 cited
  • 2020Strong existence and uniqueness for stable stochastic differential equations with distributional drift31 cited

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