Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs

By Rainer Buckdahn, Jin Ma. 2002

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d3074946191dbcf941e7703f92a3d34a67bb16cd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Caruana
2. Harald Oberhauser
3. Arnulf Jentzen
4. Peter K. Friz

In Finance

1. Peter K. Friz
2. Harald Oberhauser
3. M. Caruana
4. Arnulf Jentzen
5. M. Roeckner
6. Giuseppe Da Prato
7. Martin Hairer
8. Nicolas Victoir

Citations in the corpus

• A mild Itô formula for SPDEs (2010, background): “Similar and related stochastic Taylor expansions for SPDEs can be found in Buckdahn & Ma [11], Bayer & Teichmann [4], Conus [15], Jentzen & Kloeden [54], Buckdahn, Bulla & Ma [10] and Jentzen [49].”
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations (2009, methodology): “To fix ideas, we give the following example, suggested in [36] and carefully worked out in [8,9].”