Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes
Work
Year: 2007
Type: article
Abstract: In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale M and a finite cubic variation pr... more
Source: The Annals of Probability
Authors Rosanna Coviello, Francesco Russo
Institution Laboratoire Analyse, Géométrie et Applications
Cites: 34
Cited by: 28
Related to: 10
FWCI: 1.859
Citation percentile (by year/subfield): 89.81
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze