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Stochastic Differential Equations · Study

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ChapterStochastic Differential Equations

Étienne Pardoux2014

Chapter2014

Stochastic Differential Equations

Étienne Pardoux · Aurel Răşcanu

574 citations·0/0 files stored·Stochastic modelling and applied probability

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Stochastic processes and financial applications Probability and Statistical Research Nonlinear Differential Equations Analysis

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1983Stochastic Differential Equations and Diffusion Processes 2003Stochastic Differential Equations 2005Controlled Markov Processes and Viscosity Solutions 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2003Stochastic Differential Equations

Cited by

1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data 2013Functional Itô calculus and stochastic integral representation of martingales 2011Advances of the probability density evolution method for nonlinear stochastic systems 1984Cumulant-neglect closure for non-linear oscillators under random parametric and external excitations 2004Dynamic response and reliability analysis of non-linear stochastic structures 1992Stochastic Differential Equations

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2014Backward Stochastic Differential Equationschapter · 14 shared references 2019Nonlinear Expectations and Stochastic Calculus under Uncertaintybook · 7 shared references 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectationarticle · 7 shared references 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEsarticle · 7 shared references 1997Non-linear pricing theory and backward stochastic differential equationschapter · 7 shared references 2007G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertaintypreprint · 7 shared references

Details

Year2014

Typechapter

Published2014-01-01

VenueStochastic modelling and applied probability

ISSN-L2197-4381

Languageen

Citations574

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-05714-9_3

openalex_workW71165104

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2010Itô’s stochastic calculus: Its surprising power for applications

2000When is time continuous?