653 citations · 2.9k across the 53 of their papers we have counts for
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math.PR2018★ 11 cited
On the support of solutions of stochastic differential equations with path-dependent coefficients
Rama Cont, Alexander Kalinin
Given a stochastic differential equation with path-dependent coefficients driven by a multidimensional Wiener process, we show that the support of the law of the solution is given…
math.PR2018★ 13 cited
On pathwise quadratic variation for cadlag functions
Henry Chiu, Rama Cont
We revisit H. Foellmer's concept of quadratic variation of a cadlag function along a sequence of time partitions and discuss its relation with the Skorokhod topology. We show that…
math.PR2018★ 33 cited
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
Rama Cont, Nicolas Perkowski
We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of t…