Pages that link to "Item:Q1942112"
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The following pages link to Functional Itō calculus and stochastic integral representation of martingales (Q1942112):
Displayed 50 items.
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (Q255513) (← links)
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
- A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
- Constructing functions with prescribed pathwise quadratic variation (Q281858) (← links)
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. (Q282508) (← links)
- Functionals of a Lévy process on canonical and generic probability spaces (Q300280) (← links)
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II (Q317470) (← links)
- An infinite-dimensional approach to path-dependent Kolmogorov equations (Q317478) (← links)
- A functional Itô's calculus approach to convex risk measures with jump diffusion (Q322579) (← links)
- An infinite time horizon portfolio optimization model with delays (Q338659) (← links)
- Weak approximations for Wiener functionals (Q363864) (← links)
- Probabilistic aspects of finance (Q373529) (← links)
- Approximation of a stochastic wave equation in dimension three, with application to a support theorem in Hölder norm (Q470070) (← links)
- On a Chen-Fliess approximation for diffusion functionals (Q478500) (← links)
- On a class of generalized Takagi functions with linear pathwise quadratic variation (Q499179) (← links)
- A BSDE with delayed generator approach to pricing under counterparty risk and collateralization (Q507677) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- Density analysis of non-Markovian BSDEs and applications to biology and finance (Q681991) (← links)
- Viscosity solutions of path-dependent integro-differential equations (Q737174) (← links)
- Stability of stochastic functional differential equations with regime-switching: analysis using Dupire's functional Itô formula (Q778180) (← links)
- Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales (Q778789) (← links)
- On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
- A note on functional derivatives on continuous paths (Q900553) (← links)
- \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE (Q904206) (← links)
- A weak version of path-dependent functional Itô calculus (Q1621446) (← links)
- Stability of stochastic functional differential systems using degenerate Lyapunov functionals and applications (Q1641066) (← links)
- Infinite-dimensional calculus under weak spatial regularity of the processes (Q1661583) (← links)
- Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs (Q1679471) (← links)
- Functional Itô calculus, path-dependence and the computation of Greeks (Q1679474) (← links)
- Dynamic approaches for some time-inconsistent optimization problems (Q1704140) (← links)
- Comparison theorem for nonlinear path-dependent partial differential equations (Q1725406) (← links)
- Stochastic systems with memory and jumps (Q1736185) (← links)
- Path-dependent equations and viscosity solutions in infinite dimension (Q1747749) (← links)
- Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space (Q1751072) (← links)
- The full replica symmetry breaking in the Ising spin glass on random regular graph (Q1756788) (← links)
- Semigroup solution of path-dependent second-order parabolic partial differential equations (Q1794086) (← links)
- An averaging principle for two-time-scale stochastic functional differential equations (Q1986531) (← links)
- Weak differentiability of Wiener functionals and occupation times (Q1990962) (← links)
- Approximation of a class of functional differential equations with wideband noise perturbations (Q1997219) (← links)
- Recurrence for switching diffusion with past dependent switching and countable state space (Q2001563) (← links)
- Strong-viscosity solutions: classical and path-dependent PDEs (Q2002602) (← links)
- Semilinear Kolmogorov equations on the space of continuous functions via BSDEs (Q2029778) (← links)
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces (Q2042659) (← links)
- Support characterization for regular path-dependent stochastic Volterra integral equations (Q2042796) (← links)
- On the anticipative nonlinear filtering problem and its stability (Q2045123) (← links)
- Stochastic functional Kolmogorov equations. II: Extinction (Q2048515) (← links)
- A quasi-sure optional decomposition and super-hedging result on the Skorokhod space (Q2049551) (← links)
- A functional Itō-formula for Dawson-Watanabe superprocesses (Q2066966) (← links)
- Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation (Q2073223) (← links)
- The weak functional representation of historical martingales (Q2090750) (← links)