Concepedia

Itô Diffusion

Itô Diffusion is a continuous-time stochastic process defined by a solution to a stochastic differential equation driven by Brownian motion, characterized by drift and diffusion coefficients that specify its instantaneous mean and variance.

49

Publications

2.5K

Citations

80

Authors

65

Institutions

Publications per year

2017–2026

8

Variants

Itô Process

Parents

Publications

49

DIFFUSION PROCESSES AND THEIR SAMPLE PATHS

Samuel Taylor · Journal of the London Mathematical Society · 1967 · 516 citations

, , +13

Retrospective exact simulation of diffusion sample paths with applications

Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts · Bernoulli · 2006 · 197 citations · Full text

, , +14

Quantum state diffusion, localization and quantum dispersion entropy

Nicolas Gisin, I C Percival · Journal of Physics A Mathematical and General · 1993 · 194 citations

, , +17

Optimal Control for Partially Observed Diffusions

Wendell H. Fleming, Étienne Pardoux · SIAM Journal on Control and Optimization · 1982 · 177 citations

, , +15

DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus

Marc Yor · Bulletin of the London Mathematical Society · 1989 · 177 citations

, , +15

1–5 of 49

Authors

80

  1. MZ
    Mihail Zervos

    London School of Economics and Political Science, United Kingdom

    7 publications · 183 citations

    7

    h-index

  2. TC
    Timothy C. Johnson

    University of Illinois Urbana-Champaign, United States

    4 publications · 119 citations

    4

    h-index

  3. AJ
    Andrew Jack

    King's College London, United Kingdom

    2 publications · 38 citations

    2

    h-index

  4. EP
    Eckhard Platen

    University of Technology Sydney, Australia

    2 publications · 42 citations

    2

    h-index

  5. FP
    Frank Proske

    University of Oslo, Norway

    2 publications · 34 citations

    2

    h-index

1–5 of 80

Institutions

65

  1. London School of Economics and Political Science

    London, United Kingdom

    5 h-index

    7 publications

    184 citations

  2. University of Oslo

    Oslo, Norway

    2 h-index

    3 publications

    58 citations

  3. Heriot-Watt University

    Edinburgh, United Kingdom

    2 h-index

    2 publications

    47 citations

  4. Lancaster University

    Lancaster, United Kingdom

    2 h-index

    4 publications

    623 citations

  5. New York University

    New York, United States

    2 h-index

    2 publications

    45 citations

  6. King's College London

    London, United Kingdom

    2 h-index

    4 publications

    76 citations

  7. Centre Inria de l'Université de Rennes

    Rennes, France

    1 h-index

    1 publications

    32 citations

  8. Istinye University

    Istanbul, Türkiye

    1 h-index

    1 publications

    14 citations

1–8 of 65

Venues

  1. Stochastics

    3 publications · 57 citations

    3

    h-index

  2. Advances in Applied Probability

    AAP · 3 publications · 77 citations

    3

    h-index

  3. Mathematical Finance

    3 publications · 99 citations

    3

    h-index

  4. SIAM Journal on Control and Optimization

    3 publications · 232 citations

    3

    h-index

  5. The Annals of Applied Probability

    2 publications · 47 citations

    2

    h-index

1–5