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Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
16 references·0 citing·36 second hop
Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2022)Averaging principle for distribution depe…Well-posedness of distribution dependent SDEs with singular drifts (2021)Well-posedness of distributio…McKean–Vlasov SDEs under measure dependent Lyapunov conditions (2021)McKean–Vlasov SDEs under meas…Strong well posedness of McKean–Vlasov stochastic differential equations with Hölder drift (2019)Strong well posedness of McKe…Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)Stochastic averaging for stoc…Distribution dependent SDEs with singular coefficients (2018)Distribution dependent SDEs w…Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Stochastic Differential Equat…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic integration with respect to the fractional Brownian motion (2003)Stochastic integration with r…Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with r…Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Differential equations driven by fractional Brownian motion (2002)Differential equations driven…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion (2001)Inequalities for the moments …Integration with respect to fractal functions and stochastic calculus. I (1998)Integration with respect to f…Stochastic Differential Equations: With Applications to Physics and Engineering (1991)Stochastic Differential Equat…Stochastic differential equations and applications (1977)Stochastic differential equat…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)Fractional stochastic differential equations with applications to finance (2012)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Differential Equations Driven by Rough Paths (2007)The Malliavin Calculus and Related Topics (1995)Stochastic Integration and Differential Equations (2005)Affine fractional stochastic volatility models (2010)Multiple Wiener Integral (1951)Integration questions related to fractional Brownian motion (2000)The Pricing of Options and Corporate Liabilities (1973)Arbitrage in fractional Brownian motion models (2003)On bifractional Brownian motion (2005)Some properties of the sub-fractional Brownian motion (2006)Arbitrage with Fractional Brownian Motion (1997)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H (2006)Stochastic heat equation driven by fractional noise and local time (2008)Backward Stochastic Differential Equation Driven by Fractional Brownian Motion (2009)Stochastic Analysis (1997)An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Analysis of the Rosenblatt process (2008)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic dynamics with fatigue-induced stiffness degradation (2000)The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps (2004)Stochastic Boundary Element Method analysis of the interface defects in composite materials (2011)Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Stochastic differential portfolio games (2000)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)
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  • 2021

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McKean–Vlasov SDEs under measure dependent Lyapunov conditions
97 cited
  • 2019Strong well posedness of McKean–Vlasov stochastic differential equations with Hölder drift91 cited
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