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A guide to the stochastic calculus of variations
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A guide to the stochastic calculus of variations (2006)A guide to the stochastic calculus of var…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Simplified malliavin calculus (1986)Simplified malliavin calculusGeneralized stochastic integrals and the malliavin calculus (1986)Generalized stochastic integr…Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Malliavin's calculus and stoc…Large Deviations and the Malliavin Calculus (1984)Large Deviations and the Mall…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Calcul des variations stochastique et processus de sauts (1983)Calcul des variations stochas…The Malliavin calculus, a functional analytic approach (1981)The Malliavin calculus, a fun…Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Martingales, the Malliavin ca…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Derivatives of Wiener functionals and absolute continuity of induced measures (1980)Derivatives of Wiener functio…Brownian Motion (1980)Brownian MotionStochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…On a Generalization of a Stochastic Integral (1976)On a Generalization of a Stoc…The Representation of Functionals of Brownian Motion by Stochastic Integrals (1970)The Representation of Functio…Multiple Wiener Integral (1951)On stochastic differential equations (1951)On Square Integrable Martingales (1967)Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)A variational problem arising in financial economics (1991)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Stochastic integral (1944)Anticipative calculus for the poisson process based on the fock space (1990)Integration with respect to Fractal Functions and Stochastic Calculus II (2001)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Densities for rough differential equations under Hörmander’s condition (2010)Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)An Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)Itô’s stochastic calculus: Its surprising power for applications (2010)Functional Itô calculus and stochastic integral representation of martingales (2013)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)A generalized clark representation formula, with application to optimal portfolios (1991)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)Bootstrap Unit Root Tests (2003)A Delayed Black and Scholes Formula (2007)Fractal Time Series—A Tutorial Review (2009)
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1980Brownian Motion457 cited
  • 1984Large Deviations and the Malliavin Calculus405 cited
  • 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions270 cited
  • 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels264 cited
  • 1970The Representation of Functionals of Brownian Motion by Stochastic Integrals233 cited
  • 1976On a Generalization of a Stochastic Integral217 cited
  • 1980Derivatives of Wiener functionals and absolute continuity of induced measures178 cited
  • 1986Generalized stochastic integrals and the malliavin calculus156 cited
  • 1984Malliavin's calculus and stochastic integral representations of functional of diffusion processes†153 cited
  • 1986Simplified malliavin calculus150 cited
  • 1983Calcul des variations stochastique et processus de sauts138 cited

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  • 1981The Malliavin calculus, a functional analytic approach133 cited
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