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2 APPROXIMATING ROUGH STOCHASTIC PDES
15 references·0 citing·28 second hop
2 APPROXIMATING ROUGH STOCHASTIC PDES (2016)2 APPROXIMATING ROUGH STOCHASTIC PDESRough Burgers-like equations with multiplicative noise (2011)Rough Burgers-like equations …Weak approximation of stochastic partial differential equations: the nonlinear case (2010)Weak approximation of stochas…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…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 pathsSystem Control and Rough Paths (2002)System Control and Rough PathsConvergence of numerical schemes for the solution of parabolic stochastic partial differential equations (2000)Convergence of numerical sche…Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Lattice Approximations for St…Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations Driven by Space-Time White Noise I (1998)Lattice Approximations for St…Differential equations driven by rough signals (1998)Differential equations driven…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…On the non-existence of path integrals (1991)On the non-existence of path …Controlled Diffusion Processes (1980)Existence of strong solutions for Itô's stochastic equations via approximations (1996)An introduction to stochastic partial differential equations (2006)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Stochastic Differential Equations and Diffusion Processes (1983)Loss of regularity for Kolmogorov equations (2015)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Smoothness of the density for solutions to Gaussian rough differential equations (2014)The signature of a rough path: Uniqueness (2016)Analysis of the Rosenblatt process (2008)Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation (2008)Stochastic heat equation driven by fractional noise and local time (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Differential equations driven by fractional Brownian motion (2002)Elements of Stochastic Calculus via Regularization (2007)Ramification of rough paths (2009)Averaging along irregular curves and regularisation of ODEs (2016)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)Uniqueness for the signature of a path of bounded variation and the reduced path group (2010)A Wong-Zakai theorem for stochastic PDEs (2015)Densities for rough differential equations under Hörmander’s condition (2010)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
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  • 1998Differential equations driven by rough signals1,077 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 2004Controlling rough paths578 cited
  • 2002System Control and Rough Paths519 cited
  • 2007Differential Equations Driven by Rough Paths381 cited
  • 2007Differential Equations Driven by Rough Paths237 cited
  • 1999Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II227 cited
  • 2000Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations164 cited
  • 2010Weak approximation of stochastic partial differential equations: the nonlinear case129 cited
  • 2006Rough evolution equations120 cited
  • 1998Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations Driven by Space-Time White Noise I100 cited
  • 2011Rough Burgers-like equations with multiplicative noise59 cited
  • 1991On the non-existence of path integrals35 cited

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