31 citations · 78 across the 15 of their papers we have counts for
19 papers
Strong solutions of SDE's with rough coefficients
Ali Suleyman Ustunel
We give a proof of the strong existence and the regularity of stochastic differential equations driven by a Brownian motion and a measurable, Markovian drift without no regularity…
An anticipating tangent to a semimartingale
Ali Süleyman Üstünel
We construct a perturbation of identity type mapping on an abstract Wiener space where the Cameron-Martin space has an orthonormal basis indexed by the jumps a one dimensional semi…
A simple proof of logarithmic Sobolev inequality on the Heisenberg groups
Ali Süleyman Üstünel
In this note we give a simple, dimension independent, proof of the logarithmic Sobolev inequality on the Heisenberg groups using the measure preserving transformati…
Hedging Portfolio for a Degenerate Market Model
Mine Caglar, Ihsan Demirel, Ali Suleyman Ustunel
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, th…
Malliavin Calculus for Degenerate Diffusions
Ali Süleyman Üstünel
Let be the classical Wiener space on . Assume that is a diffusion process satisfying the stochastic differential equation with diffusion and drift coef…
Martingale representation for degenerate diffusions
Ali Süleyman Üstünel
Let be the classical Wiener space on . Assume that is a diffusion process satisfying the stochastic differential equation , wher…