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Pathwise Taylor expansions for random fields on multiple dimensional paths
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Pathwise Taylor expansions for random fields on multiple dimensional paths (2015)Pathwise Taylor expansions for random fie…A Course on Rough Paths: With an Introduction to Regularity Structures (2020)A Course on Rough Paths: With…A Course on Rough Paths: With an Introduction to Regularity Structures (2020)A Course on Rough Paths: With…Functional Itô calculus (2019)Functional Itô calculusViscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2016)Viscosity solutions of fully …Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I (2016)Viscosity solutions of fully …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Functional Itô calculus and stochastic integral representation of martingales (2013)Functional Itô calculus and s…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs (2002)Pathwise stochastic Taylor ex…On linear, degenerate backward stochastic partial differential equations (1999)On linear, degenerate backwar…On pathwise stochastic integration (1995)On pathwise stochastic integr…Stochastic Evolution Systems: Linear Theory and Applications to Non-linear Filtering (1990)Stochastic Evolution Systems:…Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Stochastic Integration and $L…Path dependent optimal transport and model calibration on exotic derivatives (2021)Path dependent optimal transp…Controlled viscosity solutions of fully nonlinear rough PDEs (2014)Controlled viscosity solution…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Differential equations driven by rough signals (1998)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Change of variable formulas for non-anticipative functionals on path space (2010)Calcul Stochastique et Problèmes de Martingales (1979)Quasi-sure Stochastic Analysis through Aggregation (2011)Wellposedness of second order backward SDEs (2011)Ambiguous volatility, possibility and utility in continuous time (2013)Stochastic Integration and Differential Equations : A New Approach (2014)Backward stochastic differential equations driven by G -Brownian motion (2013)Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion (2013)On viscosity solutions of path dependent PDEs (2014)Dynamic programming approach to principal–agent problems (2017)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)Differential Equations Driven by Rough Paths (2007)Smoothness of the density for solutions to Gaussian rough differential equations (2014)Stochastic Differential Equations and Diffusion Processes (1983)Controlling rough paths (2004)Densities for rough differential equations under Hörmander’s condition (2010)Averaging along irregular curves and regularisation of ODEs (2016)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young (1994)Constructing sublinear expectations on path space (2013)Adapted solution of a degenerate backward spde, with applications (1997)Stochastic flows of SDEs with irregular coefficients and stochastic transport equations (2009)Rough paths and 1d SDE with a time dependent distributional drift: application to polymers (2015)The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory (2016)A regularity structure for rough volatility (2019)
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  • 2021Path dependent optimal transport and model calibration on exotic derivatives

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18 cited
  • 2014Controlled viscosity solutions of fully nonlinear rough PDEs16 cited