Stochastic differential equations—some new ideas
From MaRDI portal
Publication:5433512
DOI10.1080/17442500701495417zbMath1129.60053MaRDI QIDQ5433512
Publication date: 9 January 2008
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500701495417
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H40: White noise theory
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Propriété d'absolue continuité pour les équations différentielles stochastiques dépendant du passé. (Absolute continuity property for stochastic differential equations depending on the past)
- A characterization of Hida distributions
- Stochastic analysis of the fractional Brownian motion
- The composition of Wiener functionals with non absolutely continuous shifts
- White noise calculus and Fock space
- A review of white noise analysis from a probabilistic standpoint
- Strong solutions of stochastic equations with singular time dependent drift
- On a dual pair of spaces of smooth and generalized random variables
- Existence of strong solutions for Itô's stochastic equations via approximations
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Anticipative calculus with respect to filtered Poisson processes.
- On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
- A generalized clark representation formula, with application to optimal portfolios
- On the Strong Solutions of Stochastic Differential Equations
- ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
- Infinite dimensional analysis of pure jump Lévy processes on the Poisson space