4 citations · 5 across the 4 of their papers we have counts for
4 papers
Second order backward stochastic differential equations and fully non-linear parabolic PDEs
Patrick Cheridito, H. Mete Soner, Nizar Touzi +1
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic repres…
Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus
Laure Coutin, Peter Friz, Nicolas Victoir
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or ve…
A Note on the Notion of Geometric Rough Paths
Peter Friz, Nicolas Victoir
We use simple sub-Riemannian techniques to prove that an arbitrary geometric p-rough path in the sense of Lyons (98) is the limit in sup-norm of a sequence of canonically lifted sm…
Approximations of the Brownian Rough Path with Applications to Stochastic Analysis
Peter Friz, Nicolas Victoir
A geometric p-rough path can be seen to be a genuine path of finite p-variation with values in a Lie group equipped with a natural distance. The group and its distance lift (R^{d},…