Displaying similar documents to “Weak approximation of SDEs by discrete-time processes.”

Local martingales measures

Josef Štěpán, P. Ševčík (2000)

Acta Universitatis Carolinae. Mathematica et Physica

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The d X ( t ) = X b ( X ) d t + X σ ( X ) d W equation and financial mathematics. I

Josef Štěpán, Petr Dostál (2003)

Kybernetika

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The existence of a weak solution and the uniqueness in law are assumed for the equation, the coefficients b and σ being generally C ( ℝ + ) -progressive processes. Any weak solution X is called a ( b , σ ) -stock price and Girsanov Theorem jointly with the DDS Theorem on time changed martingales are applied to establish the probability distribution μ σ of X in C ( ℝ + ) in the special case of a diffusion volatility σ ( X , t ) = σ ˜ ( X ( t ) ) . A martingale option pricing method is presented.

Statistical causality and adapted distribution

Ljiljana Petrović, Sladjana Dimitrijević (2011)

Czechoslovak Mathematical Journal

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In the paper D. Hoover, J. Keisler: Adapted probability distributions, Trans. Amer. Math. Soc. 286 (1984), 159–201 the notion of adapted distribution of two stochastic processes was introduced, which in a way represents the notion of equivalence of those processes. This very important property is hard to prove directly, so we continue the work of Keisler and Hoover in finding sufficient conditions for two stochastic processes to have the same adapted distribution. For this purpose we...