Itô–Skorohod stochastic equations and applications to finance

Itô–Skorohod stochastic equations and applications to finance

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Article ID: iaor20091458
Country: United States
Volume: 2004
Issue: 4
Start Page Number: 359
End Page Number: 369
Publication Date: Oct 2004
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Keywords: financial, finance & banking, probability
Abstract:

We prove an existence and uniqueness theorem for a class of Itô–Skorohod stochastic equations. As an application, we introduce a Black–Scholes market model where the price of the risky asset follows a nonadapted equation.

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