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Regularization of multiplicative SDEs through additive noise
16 references·0 citing·35 second hop
Regularization of multiplicative SDEs through additive noise (2022)Regularization of multiplicative SDEs thr…C∞− regularization of ODEs perturbed by noise (2021)C∞− regularization of ODEs pe…Averaging dynamics driven by fractional Brownian motion (2020)Averaging dynamics driven by …Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion (2016)Stochastic averaging principl…Averaging along irregular curves and regularisation of ODEs (2016)Averaging along irregular cur…Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation (2015)Sobolev differentiable stocha…A Course on Rough Paths (2014)A Course on Rough PathsControlled differential equations as Young integrals: A simple approach (2010)Controlled differential equat…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Uniqueness of Solutions of Stochastic Differential Equations (2007)Uniqueness of Solutions of St…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…Regularization of differential equations by fractional noise (2002)Regularization of differentia…Differential equations driven by fractional Brownian motion (2002)Differential equations driven…Successive approximations to solutions of stochastic differential equations (1992)Successive approximations to …On the successive approximation of solutions of stochastic differential equations (1981)On the successive approximati…ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)ON STRONG SOLUTIONS AND EXPLI…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A TRANSFORMATION OF THE PHASE…Fractional Brownian Motions, Fractional Noises and Applications (1968)Differential equations driven by rough signals (1998)Stochastic Analysis of the Fractional Brownian Motion (1999)Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2008)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Fractional stochastic differential equations with applications to finance (2012)Stochastic Differential Equations and Diffusion Processes (1983)PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)Numerical solution of stochastic differential equations (2016)A stochastic sewing lemma and applications (2018)On the uniqueness of solutions of stochastic differential equations (1971)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Stochastic Differential Equations and Applications (1976)Integration with respect to fractal functions and stochastic calculus. I (1998)2005): Statistical Aspects of the fractional stochastic calculus (2005)Statistical aspects of the fractional stochastic calculus (2007)On stochastic differential equations (1951)Diffusion processes with continuous coefficients, I (1969)Optimization of the flow of dividends (1995)Ergodic Control of Diffusion Processes (2011)SUCCESSIVE APPROXIMATIONS OF INFINITE DIMENSIONAL SDES WITH JUMP (2005)An introduction to stochastic partial differential equations (2006)A note on the stochastic differential equations driven by -Brownian motion (2011)System Control and Rough Paths (2002)Controlling rough paths (2004)Multidimensional Stochastic Processes as Rough Paths (2010)Rough paths and 1d SDE with a time dependent distributional drift: application to polymers (2015)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)Risk-Sensitive Control on an Infinite Time Horizon (1995)Existence of strong solutions for Itô's stochastic equations via approximations (1996)A variational representation for certain functionals of Brownian motion (1998)A Wong-Zakai theorem for stochastic PDEs (2015)
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References

  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,087 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 2014A Course on Rough Paths428 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 2002Differential equations driven by fractional Brownian motion408 cited
  • 1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited
  • 2002Regularization of differential equations by fractional noise170 cited
  • 2016Averaging along irregular curves and regularisation of ODEs153 cited
  • 1992Successive approximations to solutions of stochastic differential equations130 cited
  • 2007Uniqueness of Solutions of Stochastic Differential Equations108 cited
  • 2020Averaging dynamics driven by fractional Brownian motion84 cited
  • 1981On the successive approximation of solutions of stochastic differential equations83 cited
  • 2016Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion80 cited
  • 2015Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation76 cited

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2010
Controlled differential equations as Young integrals: A simple approach
51 cited
  • 2021C∞− regularization of ODEs perturbed by noise43 cited
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