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1

Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion

Guerra, João, Nualart, David

Journal:

Stochastic Analysis and Applications

Year:

2008

Language:

english

File:

PDF, 157 KB

english, 2008

2

Backward Stochastic Differential Equations and Feynman-Kac Formula for Lévy Processes, with Applications in Finance

David Nualart and Wim Schoutens

Journal:

Year:

2001

Language:

english

File:

PDF, 1.10 MB

english, 2001

3

Parameter estimation for fractional Ornstein–Uhlenbeck processes

Yaozhong Hu, David Nualart

Journal:

Statistics & Probability Letters

Year:

2010

Language:

english

File:

PDF, 311 KB

english, 2010

4

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion

David Nualart, Bruno Saussereau

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 813 KB

english, 2009

5

Stochastic Analysis, Stochastic Systems, and Applications to Finance || Stochastic Algorithms and Numerics for Mean-Reverting Asset Trading

Tsoi, Allanus, Nualart, David, Yin, George

Year:

2011

Language:

english

File:

PDF, 341 KB

english, 2011

6

[Probability, its Applications] The Malliavin Calculus and Related Topics || Anticipating stochastic calculus

Year:

2006

Language:

english

File:

PDF, 707 KB

english, 2006

7

Stochastic Calculus with Respect to Gaussian Processes

Elisa Alos, Olivier Mazet and David Nualart

Journal:

The Annals of Probability

Year:

2001

Language:

english

File:

PDF, 1.72 MB

english, 2001

8

On the Stochastic Burgers' Equation in the Real Line

Istvan Gyongy and David Nualart

Journal:

The Annals of Probability

Year:

1999

Language:

english

File:

PDF, 1.01 MB

english, 1999

9

Equivalence of Volterra processes

Fabrice Baudoin, David Nualart

Journal:

Stochastic Processes and their Applications

Year:

2003

Language:

english

File:

PDF, 240 KB

english, 2003

10

Generalized stochastic integrals and the malliavin calculus

David Nualart, Moshe Zakai

Journal:

Probability Theory and Related Fields

Year:

1986

Language:

english

File:

PDF, 1.18 MB

english, 1986

11

Existence and Smoothness of the Density for Spatially Homogeneous SPDEs

David Nualart, Lluís Quer-Sardanyons

Journal:

Potential Analysis

Year:

2007

Language:

english

File:

PDF, 450 KB

english, 2007

12

Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise

István Gyöngy, David Nualart

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 507 KB

english, 1995

13

Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12

Elisa Alòs, Olivier Mazet, David Nualart

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 152 KB

english, 2000

14

Stochastic integration with respect to the fractional Brownian motion

Alos, Elisa, Nualart, David

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2003

Language:

english

File:

PDF, 230 KB

english, 2003

15

[Probability, its Applications] The Malliavin Calculus and Related Topics || Malliavin Calculus in finance

Year:

2006

Language:

english

File:

PDF, 508 KB

english, 2006

16

OPTIMAL GAUSSIAN DENSITY ESTIMATES FOR A CLASS OF STOCHASTIC EQUATIONS WITH ADDITIVE NOISE

NUALART, DAVID, QUER-SARDANYONS, LLUÍS

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2011

Language:

english

File:

PDF, 151 KB

english, 2011

17

Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2

León, Jorge A., Nualart, David

Journal:

Stochastic Analysis and Applications

Year:

2006

Language:

english

File:

PDF, 169 KB

english, 2006

18

FRACTIONAL MARTINGALES AND CHARACTERIZATION OF THE FRACTIONAL BROWNIAN MOTION

Yaozhong Hu, David Nualart and Jian Song

Journal:

The Annals of Probability

Year:

2009

Language:

english

File:

PDF, 1.39 MB

english, 2009

19

Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise

Chen, Le, Hu, Yaozhong, Kalbasi, Kamran, Nualart, David

Journal:

Probability Theory and Related Fields

Year:

2017

Language:

english

File:

PDF, 618 KB

english, 2017

20

Weak symmetric integrals with respect to the fractional Brownian motion

Binotto, Giulia, Nourdin, Ivan, Nualart, David

Journal:

The Annals of Probability

Year:

2018

Language:

english

File:

PDF, 227 KB

english, 2018

21

Central limit theorems for sequences of multiple stochastic integrals

Nualart, David, Peccati, Giovanni

Journal:

The Annals of Probability

Year:

2005

Language:

english

File:

PDF, 129 KB

english, 2005

22

Gaussian fluctuations for the stochastic heat equation with colored noise

Huang, Jingyu, Nualart, David, Viitasaari, Lauri, Zheng, Guangqu

Journal:

Stochastic Partial Differential Equations: Analysis and Computations

Year:

2019

Language:

english

File:

PDF, 379 KB

english, 2019

23

Weighted Stochastic Sobolev Spaces and Bilinear SPDEs Driven by Space–Time White Noise

David Nualart, Boris Rozovskii

Journal:

Journal of Functional Analysis

Year:

1997

Language:

english

File:

PDF, 426 KB

english, 1997

24

Generalized Brownian functionals and the solution to a stochastic partial differential equation

David Nualart, Moshe Zakai

Journal:

Journal of Functional Analysis

Year:

1989

Language:

english

File:

PDF, 752 KB

english, 1989

25

Traces of random variables on Wiener space and the Onsager-Machlup functional

RenéA. Carmona, David Nualart

Journal:

Journal of Functional Analysis

Year:

1992

Language:

english

File:

PDF, 1.38 MB

english, 1992

26

A local criterion for smoothness of densities and application to the supremum of the Brownian sheet

Carme Florit, David Nualart

Journal:

Statistics & Probability Letters

Year:

1995

Language:

english

File:

PDF, 305 KB

english, 1995

27

Second order stochastic differential equations with Dirichlet boundary conditions

David Nualart, Etienne Pardoux

Journal:

Stochastic Processes and their Applications

Year:

1991

Language:

english

File:

PDF, 1.19 MB

english, 1991

28

On the Markov property of a stochastic difference equation

Marco Ferrante, David Nualart

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 550 KB

english, 1994

29

Quasilinear stochastic elliptic equations with reflection

David Nualart, Samy Tindel

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 366 KB

english, 1995

30

Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter

Patrick Cheridito, David Nualart

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2005

File:

PDF, 284 KB

2005

31

Variational solutions for partial differential equations driven by a fractional noise

David Nualart, Pierre-A. Vuillermot

Journal:

Journal of Functional Analysis

Year:

2006

Language:

english

File:

PDF, 554 KB

english, 2006

32

A singular stochastic differential equation driven by fractional Brownian motion

Yaozhong Hu, David Nualart, Xiaoming Song

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 315 KB

english, 2008

33

Regularization of differential equations by fractional noise

David Nualart, Youssef Ouknine

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 145 KB

english, 2002

34

Quasi sure analysis and Stratonovich anticipative stochastic differential equations

Paul Malliavin, David Nualart

Journal:

Probability Theory and Related Fields

Year:

1993

Language:

english

File:

PDF, 477 KB

english, 1993

35

Approximation and support theorems in modulus spaces

István Gyöngy, David Nualart, Marta Sanz-Sole

Journal:

Probability Theory and Related Fields

Year:

1995

Language:

english

File:

PDF, 683 KB

english, 1995

36

Integration par parties dans l'espace de Wiener et approximation du temps local

David Nualart, Mario Wschebor

Journal:

Probability Theory and Related Fields

Year:

1991

File:

PDF, 1.02 MB

1991

37

Stochastic heat equation with random coefficients

Elisa Alòs, Jorge A. León, David Nualart

Journal:

Probability Theory and Related Fields

Year:

1999

Language:

english

File:

PDF, 281 KB

english, 1999

38

Additional utility of insiders with imperfect dynamical information

JoséM. Corcuera, Peter Imkeller, Arturo Kohatsu-Higa, David Nualart

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 208 KB

english, 2004

39

Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations

David Nualart, Lluís Quer-Sardanyons

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 973 KB

english, 2009

40

Evolution equations driven by a fractional Brownian motion

Bohdan Maslowski, David Nualart

Journal:

Journal of Functional Analysis

Year:

2003

Language:

english

File:

PDF, 271 KB

english, 2003

41

An Anticipating Calculus Approach to the Utility Maximization of an Insider

Jorge A. León, Reyla Navarro, David Nualart

Journal:

Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 127 KB

english, 2003

42

Quasilinear Stochastic Hyperbolic Differential Equations with Nondecreasing Coefficient

David Nualart, Samy Tindel

Journal:

Potential Analysis

Year:

1997

Language:

english

File:

PDF, 165 KB

english, 1997

43

Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise

István Gyöngy, David Nualart

Journal:

Potential Analysis

Year:

1997

Language:

english

File:

PDF, 224 KB

english, 1997

44

Skorohod integral of a product of two stochastic processes

David Nualart, Philip Protter

Journal:

Journal of Theoretical Probability

Year:

1996

Language:

english

File:

PDF, 272 KB

english, 1996

45

Renormalized Self-Intersection Local Time for Fractional Brownian Motion

Yaozhong Hu and David Nualart

Journal:

The Annals of Probability

Year:

2005

Language:

english

File:

PDF, 2.04 MB

english, 2005

46

Convergence of densities of some functionals of Gaussian processes

Hu, Yaozhong, Lu, Fei, Nualart, David

Journal:

Journal of Functional Analysis

Year:

2014

Language:

english

File:

PDF, 573 KB

english, 2014

47

Wick–Itô formula for regular processes and applications to the Black and Scholes formula

Nualart, David, Taqqu, Murad S.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2008

Language:

english

File:

PDF, 161 KB

english, 2008

48

ESTIMATES FOR THE SOLUTION TO STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H ∈ (⅓, ½)

BESALÚ, MIREIA, NUALART, DAVID

Journal:

Stochastics and Dynamics

Year:

2011

Language:

english

File:

PDF, 258 KB

english, 2011

49

EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

DUNCAN, TYRONE, NUALART, DAVID

Journal:

Stochastics and Dynamics

Year:

2009

Language:

english

File:

PDF, 198 KB

english, 2009

50

Central Limit Theorems for Sequences of Multiple Stochastic Integrals

David Nualart and Giovanni Peccati

Journal:

The Annals of Probability

Year:

2005

Language:

english

File:

PDF, 1.23 MB

english, 2005