A singular stochastic differential equation driven by fractional Brownian motion

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.5K citations

Empirical Finance, Monetary Policy, Economics +10

Differential equations driven by rough signals

Terry Lyons · Revista Matemática Iberoamericana · 1998 · 1.1K citations · Full text

Engineering, Rough Signals, Stochastic Processes +12

Stochastic Analysis of the Fractional Brownian Motion

Laurent Decreusefond, Ali Süleyman Üstünel · Potential Analysis · 1999 · 753 citations

An inequality of the Hölder type, connected with Stieltjes integration

Louise Young · Acta Mathematica · 1936 · 730 citations · Full text

Variational Inequality, Functional Analysis, Hölder Type

Integration with respect to fractal functions and stochastic calculus. I

Martina Zähle · Probability Theory and Related Fields · 1998 · 598 citations · Full text

Engineering, Integrable Probability, Fractal Functions +6