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ArticlePathwise Taylor expansions for random fields on multiple dimensional paths

Rainer Buckdahn2015

OA

Articlebronze2015

Pathwise Taylor expansions for random fields on multiple dimensional paths

Rainer Buckdahn · Jin Ma · Jianfeng Zhang

20 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Fuzzy Systems and Optimization

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References

2016Numerical solution of stochastic differential equations 2010Multidimensional Stochastic Processes as Rough Paths 2019Functional Itô calculus 2013Functional Itô calculus and stochastic integral representation of martingales 2007Differential Equations Driven by Rough Paths 1981Stochastic Integration and $L^p$-Theory of Semimartingales 1995On pathwise stochastic integration 1990Stochastic Evolution Systems: Linear Theory and Applications to Non-linear Filtering

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2021Path dependent optimal transport and model calibration on exotic derivatives 2014Controlled viscosity solutions of fully nonlinear rough PDEs

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Details

Year2015

Typearticle

Published2015-02-20

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2015.02.004

openalex_workW2963911327

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