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Stochastic integral equations for Walsh semimartingales
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Stochastic integral equations for Walsh semimartingales (2018)Stochastic integral equations for Walsh s…On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries (2017)On the submartingale problem …Hybrid Atlas models (2011)Hybrid Atlas modelsBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Random Times and Enlargements of Filtrations in a Brownian Setting (2006)Random Times and Enlargements…On one-dimensional stochastic differential equations with generalized drift (2005)On one-dimensional stochastic…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes (1998)Autour d'un théorème de tsire…On Stochastic Differential Equations with Reflecting Barriers (1989)On Stochastic Differential Eq…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)One — dimensional stochastic differential equations involving the local times of the unknown process (1984)The Euler scheme with irregular coefficients (2002)On Weak Solutions of Backward Stochastic Differential Equations (2005)MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH DISTRIBUTIONAL DRIFT (2014)Calcul Stochastique et Problèmes de Martingales (1979)One-Dimensional Stochastic Differential Equations with Generalized Drift (2014)Reflected Brownian Motion on an Orthant (1981)Universal Portfolios (1991)Large systems of diffusions interacting through their ranks (2012)Strong solutions of stochastic equations with rank-based coefficients (2012)Stability in a Model of Interbank Lending (2013)Continuous Martingales and Brownian Motion (1991)A remark on Tsirelson's stochastic differential equation (1999)Un Cours sur les Intégrales Stochastiques (2002)Optional splitting formula in a progressively enlarged filtration (2014)Martingale representation property in progressively enlarged filtrations (2015)Stochastic differential equations with reflecting boundary conditions (1984)Limit Theorems for Stochastic Processes (1987)Brownian Motion and Stochastic Calculus (1988)Optimal investment with counterparty risk: a default-density model approach (2010)Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010)On arbitrages arising with honest times (2014)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2011Hybrid Atlas models117 cited
  • 2005On one-dimensional stochastic differential equations with generalized drift109 cited
  • 2006Random Times and Enlargements of Filtrations in a Brownian Setting93 cited
  • 1998Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes57 cited
  • 2017On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries25 cited
  • 1989On Stochastic Differential Equations with Reflecting Barriers21 cited

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