Integration with respect to local time
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- Generalization of Itô's formula for smooth nondegenerate martingales.
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- Quadratic covariations for the solution to a stochastic heat equation with space-time white noise
- On local times of Ornstein-Uhlenbeck processes
- Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients
- Derivative of intersection local time of independent symmetric stable motions
- The laws of Brownian local time integrals
- Stochastic integration with respect to additive functionals of zero quadratic variation
- Some remarks on local time-space calculus
- On Itô's formula for elliptic diffusion processes
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- Local time-space stochastic calculus for Lévy processes
- Two-parameter \(p,q\)-variation paths and integrations of local times
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- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
- Derivative for self-intersection local time of multidimensional fractional Brownian motion
- Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation
- The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
- PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
- The quadratic variation for mixed-fractional Brownian motion
- Integration with respect to Brownian-like processes
- scientific article; zbMATH DE number 503146 (Why is no real title available?)
- Quadratic covariation estimates in non-smooth stochastic calculus
- Integration with respect to the G-Brownian local time
- Derivative for the intersection local time of two independent fractional Brownian motions
- Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
- Computing deltas without derivatives
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- The quadratic covariation for a weighted fractional Brownian motion
- Local time-space calculus for symmetric Lévy processes
- Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
- Quadratic covariation and Itô's formula for smooth nondegenerate martingales
- A change of variable formula with applications to multi-dimensional optimal stopping problems
- Maximum principle for stochastic control of SDEs with measurable drifts
- Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
- Stochastic optimal control for systems with drifts of bounded variation: a maximum principle approach
- Temporal variation for fractional heat equations with additive white noise
- Integration with respect to local time and Itô's formula for smooth nondegenerate martingales
- Some limit theorems connected with Brownian local time
- Construction of strong solutions of SDE's via Malliavin calculus
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