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Mimicking an Itô process by a solution of a stochastic differential equation

https://doi.org/10.1214/12-aap881
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Diffusion processes with continuous coefficients, I
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Diffusion processes with continuous coefficients, II
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Multidimensional Diffusion Processes
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Brownian Motion and Stochastic Calculus
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Brownian Motion and Stochastic Calculus
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Limit Theorems for Stochastic Processes
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Skorokhod Topology and Convergence of Processes
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Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
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Mimicking the one-dimensional marginal distributions of processes having an ito differential
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Markov-Komposition und eine Anwendung auf Martingale
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Uniqueness in law for a class of degenerate diffusions with continuous covariance
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Can time-homogeneous diffusions produce any distribution?
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A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
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A continuous non-Brownian motion martingale with Brownian motion marginal distributions
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On fake Brownian motions
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Time-homogeneous diffusions with a given marginal at a random time
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Parabolic and Elliptic Equations with VMO Coefficients
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Stochastic Volatility Model with Time‐dependent Skew
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Probability Measures on Metric Spaces
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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PROBABILITY AND POTENTIAL
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LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
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MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
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Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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A Family of Non-Gaussian Martingales with Gaussian Marginals
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Option Price When the Stock is a Semimartingale
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On the uniqueness of solutions of stochastic differential equations
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Eurodollar futures convexity adjustments in stochastic volatility models
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Markovian Projection Method for Volatility Calibration
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Probability Measures on Metric Spaces.
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Limit Theorems for Stochastic Processes.
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La méthode des martingales appliquée à l'étude de la convergence en loi de processus
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Mimicking the marginal distributions of a semimartingale
inferredcites →https://doi.org/10.48550/arxiv.1103.4371openalex-snapshot
Can time-homogeneous diffusions produce any distribution?

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators
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Local Volatility Modeling of JSE Exotic Can-Do Options
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Option Pricing in the Moderate Deviations Regime
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The Interplay between Stochastic Volatility and Correlations in Equity Autocallables
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Joint Modelling and Calibration of SPX and VIX by Optimal Transport
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Exercises in Stochastic Analysis
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Optimal Transport for Model Calibration
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q-Learning in Continuous Time
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Optimization in a Random Environment
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MFGs with a Common Noise: Strong and Weak Solutions
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The Master Field and the Master Equation
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Classical Solutions to the Master Equation
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Convergence and Approximations
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Extensions for Volume II
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Optimal Control of SDEs of McKean-Vlasov Type
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Extensions for Volume I
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Probabilistic Approach to Finite State Mean Field Games
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Two-Player Diffusion Control Games with Private Information
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Policy Optimization for Reinforcement Learning in Continuous Time and Space
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Uniqueness in law for a class of degenerate diffusions with continuous covariance
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Sharp uniform-in-time propagation of chaos
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Marginal dynamics of interacting diffusions on unimodular Galton–Watson trees
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From Bachelier to Dupire via optimal transport
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A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models
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Calibration of local volatility models with stochastic interest rates using optimal transport
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A general framework for a joint calibration of VIX and VXX options
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Optimal Control of Diffusion Processes with Terminal Constraint in Law
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Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators
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About entropy penalized stochastic control problems
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