Simultaneous Determination of Economic Production Quantity and Economic Control Chart Design Under Truncated Weibull Shock Models
Page 1
Displaying 1 – 2 of 2
Stochastic invariance and consistency of financial models
Jerzy Zabczyk (2000)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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...
Currently displaying 1 – 2 of 2
Page 1