Itô-Skorohod stochastic equations and applications to finance.

Tudor, Ciprian A.

Displaying similar documents to “Itô-Skorohod stochastic equations and applications to finance.”

On the pathwise uniqueness of solutions of stochastic differential equations.

Sonoc, C. (1998)

Portugaliae Mathematica

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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.

Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)

Journal of Applied Mathematics and Stochastic Analysis

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On the uniqueness of solutions of stochastic differential equations with reflecting barrier conditions

Toshio Yamada (1976)

Séminaire de probabilités de Strasbourg

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Backward doubly stochastic differential equations with infinite time horizon

Bo Zhu, Baoyan Han (2012)

Applications of Mathematics

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We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.