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Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III)
5 references·11 citing·34 second hop
Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III) (1991)Strong Markov Continuous Local Martingale…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)Strong Markov Continuous Loca…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…One — dimensional stochastic differential equations involving the local times of the unknown process (1984)One — dimensional stochastic …Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Strong solutions to stochastic differential equations with rough coefficients (2018)Strong solutions to stochasti…Stochastic differential equations for sticky Brownian motion (2014)Stochastic differential equat…Skew Ornstein–Uhlenbeck processes and their financial applications (2014)Skew Ornstein–Uhlenbeck proce…A stochastic differential equation with a sticky point (2014)A stochastic differential equ…One-dimensional stochastic differential equations with generalized and singular drift (2013)One-dimensional stochastic di…On symmetric and skew Bessel processes (2012)On symmetric and skew Bessel …Convergence of integral functionals of one-dimensional diffusions (2012)Convergence of integral funct…On exponential local martingales associated with strong Markov continuous local martingales (2009)On exponential local martinga…A note on 𝐿₂-estimates for stable integrals with drift (2007)A note on 𝐿₂-estimates for s…Some SDEs with distributional drift. (2004)Some SDEs with distributional…On weak solutions of backward stochastic differential equations (2004)On weak solutions of backward…Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On one-dimensional stochastic differential equations with generalized drift (2005)On the Constructions of the Skew Brownian Motion (2005)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Forward, backward and symmetric stochastic integration (1993)Continuous Martingales and Brownian Motion (1999)Some SDEs with distributional drift Part I: General calculus (2003)Weak Dirichlet processes with a stochastic control perspective (2006)Some parabolic PDEs whose drift is an irregular random noise in space (2007)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions (2019)Semi-Martingales et Grossissement d’une Filtration (1980)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS (2014)The martingale property in the context of stochastic differential equations (2015)Semimartingales and Markov processes (1980)Stochastic Differential Equations and Diffusion Processes (1983)On the martingale property of certain local martingales (2010)How to Detect an Asset Bubble (2011)A Mathematical Theory of Financial Bubbles (2013)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Sticky couplings of multidimensional diffusions with different drifts (2019)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Optimal Dynamic Contracts with Moral Hazard and Costly Monitoring (2011)Quickest detection problems for Bessel processes (2017)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 1984One — dimensional stochastic differential equations involving the local times of the unknown process178 cited
  • 1989Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I)124 cited

Cited by

  • 2014Stochastic differential equations for sticky Brownian motion80 cited
  • 2004Some SDEs with distributional drift.57 cited
  • 2012Convergence of integral functionals of one-dimensional diffusions40 cited
  • 2014Skew Ornstein–Uhlenbeck processes and their financial applications35 cited
  • 2014A stochastic differential equation with a sticky point29 cited
  • 2009On exponential local martingales associated with strong Markov continuous local martingales29 cited
  • 2013One-dimensional stochastic differential equations with generalized and singular drift25 cited
  • 2018Strong solutions to stochastic differential equations with rough coefficients24 cited
  • 2004On weak solutions of backward stochastic differential equations22 cited

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2012
On symmetric and skew Bessel processes
22 cited
  • 2007A note on 𝐿₂-estimates for stable integrals with drift21 cited