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Volterra equations driven by rough signals
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Volterra equations driven by rough signals (2021)Volterra equations driven by rough signalsA 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…A regularity structure for rough volatility (2019)A regularity structure for ro…The characteristic function of rough Heston models (2018)The characteristic function o…Rough paths and 1d SDE with a time dependent distributional drift: application to polymers (2015)Rough paths and 1d SDE with a…A construction of the rough path above fractional Brownian motion using Volterra’s representation (2011)A construction of the rough p…Rough evolution equations (2010)Rough evolution equationsMultidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Delay equations driven by rough paths (2008)Delay equations driven by rou…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Rough evolution equations (2006)Rough evolution equationsControlling rough paths (2004)Controlling rough pathsLarge deviations and support theorem for diffusion processes via rough paths (2002)Large deviations and support …Differential equations driven by rough signals (1998)Differential equations driven…Volterra Equations Driven by Semimartingales (1985)Volterra Equations Driven by …On the non-existence of path integrals (1991)Variation of iterated Brownian motion (1994)Stochastic area for Brownian motion on the Sierpinski gasket (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Malliavin Calculus and Related Topics (1995)An introduction to stochastic partial differential equations (2006)Rough Burgers-like equations with multiplicative noise (2011)A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (2012)System Control and Rough Paths (2002)Approximations of the Brownian rough path with applications to stochastic analysis (2004)Ramification of rough paths (2009)Averaging along irregular curves and regularisation of ODEs (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The variation of certain speculative prices (1997)Continuous Martingales and Brownian Motion (1999)The Randomised Heston Model (2016)Regime Switching Rough Heston Model (2017)Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods (2020)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)Densities for rough differential equations under Hörmander’s condition (2010)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)Stochastic Volterra Equations with Anticipating Coefficients (1990)Adapted solution of a backward stochastic nonlinear Volterra integral equation (2002)Well-posedness and regularity of backward stochastic Volterra integral equations (2007)The 1-d stochastic wave equation driven by a fractional Brownian sheet (2007)Non-linear rough heat equations (2011)The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory (2016)
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths780 cited
  • 2004Controlling rough paths578 cited
  • 2018The characteristic function of rough Heston models352 cited
  • 2007Differential Equations Driven by Rough Paths237 cited
  • 2020A Course on Rough Paths: With an Introduction to Regularity Structures153 cited
  • 2006Rough evolution equations120 cited
  • 1985Volterra Equations Driven by Semimartingales107 cited
  • 2010Rough evolution equations102 cited
  • 2002Large deviations and support theorem for diffusion processes via rough paths101 cited
  • 2008Delay equations driven by rough paths83 cited
  • 2015Rough paths and 1d SDE with a time dependent distributional drift: application to polymers75 cited
  • 2019A regularity structure for rough volatility65 cited
  • 2020A Course on Rough Paths: With an Introduction to Regularity Structures52 cited
  • 2011A construction of the rough path above fractional Brownian motion using Volterra’s representation

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