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Cited by

• 2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps140 cited
• 2009Linear quadratic regulation of systems with stochastic parameter uncertainties133 cited
• 1981The Malliavin calculus, a functional analytic approach133 cited
• 1972Stochastic differential games119 cited
• 2001An equilibrium model of irreversible investment110 cited
• 2006Efficient stochastic sensitivity analysis of discrete event systems92 cited
• 2005Multivariate Jacobi process with application to smooth transitions73 cited
• 2010The Black–Scholes equation in stochastic volatility models67 cited
• 2010Threshold estimation of Markov models with jumps and interest rate modeling67 cited
• 1999On the diversity of equity markets65 cited
• 2006Bank management via stochastic optimal control52 cited
• 2008Inference in a synchronization game with social interactions48 cited
• 1980Functionals of diffusion processes as stochastic integrals40 cited
• 1984An Introduction to Malliavin's Calculus33 cited
• 1997Response spectral densities of strongly nonlinear systems under random excitation