Simultaneous Determination of Economic Production Quantity and Economic Control Chart Design Under Truncated Weibull Shock Models
Stochastic invariance and consistency of financial models
The paper is devoted to a connection between stochastic invariance in infinite dimensions and a consistency question of mathematical finance. We derive necessary and sufficient conditions for stochastic invariance of Nagumo’s type for stochastic equations with additive noise. They are applied to Ornstein-Uhlenbeck processes and to specific financial models. The case of evolution equations with general noise is discussed also and a comparison with recent results obtained by geometric methods is presented...