SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Marcus versus Stratonovich for systems with jump noise
16 references·0 citing·30 second hop
Marcus versus Stratonovich for systems with jump noise (2014)Marcus versus Stratonovich for systems wi…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Lévy Processes and Stochastic Calculus (2009)Lévy Processes and Stochastic…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms (2004)Stochastic Differential Equat…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Lévy Processes in Finance (2003)Lévy Processes in FinanceFinancial Modelling with Jump Processes (2003)Financial Modelling with Jump…Stochastic Differential Equations (2002)Stochastic Differential Equat…Numerical solution of stochastic differential equations (1994)Numerical solution of stochas…Ito and Stratonovich integrals for delta-correlated processes (1993)Ito and Stratonovich integral…Modeling and approximation of stochastic differential equations driven by semimartingales† (1981)Modeling and approximation of…Modeling and analysis of stochastic differential equations driven by point processes (1978)Modeling and analysis of stoc…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…A New Representation for Stochastic Integrals and Equations (1966)A New Representation for Stoc…On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the Convergence of Ordinar…Stochastic integral (1944)Stochastic integralStochastic Differential Equations in a Differentiable Manifold (1950)On a Generalization of a Stochastic Integral (1976)Functional Itô calculus and stochastic integral representation of martingales (2013)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)On the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)A Wong-Zakai theorem for stochastic PDEs (2015)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise (2009)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Linear quadratic regulation of systems with stochastic parameter uncertainties (2009)Continuous Time Modeling of Panel Data by means of SEM (2010)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1976Stochastic Differential Equations: Theory and Applications.2,351 cited
  • 2009Lévy Processes and Stochastic Calculus1,442 cited
  • 2003Lévy Processes in Finance793 cited
  • 1965On the Convergence of Ordinary Integrals to Stochastic Integrals684 cited
  • 1966A New Representation for Stochastic Integrals and Equations590 cited
  • 1944Stochastic integral547 cited
  • 2002Stochastic Differential Equations446 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1994Numerical solution of stochastic differential equations395 cited
  • 2004Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms184 cited
  • 1981Modeling and approximation of stochastic differential equations driven by semimartingales†129 cited
  • 1978Modeling and analysis of stochastic differential equations driven by point processes86 cited
  • 1993Ito and Stratonovich integrals for delta-correlated processes

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

84 cited

Cited by

No citing works inside the corpus for this window.