Concepedia
Stochastic Processes and their Applications · 2013 · 136 citations · 21 references
Open access
EngineeringMathematicsProbability TheoryStochastic ProcessesMarkov ChainsMarkov ProcessesPath Integral FormulationSublinear AlgorithmsPathwise Uniqueness
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MULTI-DIMENSIONAL DIFFUSION PROCESSES
J. F. C. Kingmán · Bulletin of the London Mathematical Society · 1980 · 1.3K citations
Engineering, Business Economics, Stochastic Processes +10
Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths
Laurent Denis, Mingshang Hu, Shigē Péng · Potential Analysis · 2010 · 590 citations
Engineering, Mathematics, Probability Theory +12
Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
Shigē Péng · Stochastic Processes and their Applications · 2008 · 582 citations
Engineering, Mathematics, Probability Theory +13
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Laurent Denis, Claude Martini · The Annals of Applied Probability · 2006 · 359 citations · Full text
Business, Economics, Finance +17
Stochastic finance. an introduction in discrete time
Terry Lyons · The Mathematical Intelligencer · 2004 · 354 citations
Engineering, Finance, Financial Economics +13