Convergence of discretized stochastic (interest rate) processes with stochastic drift term

G. Deelstra and F. Delbaen

Applied Stochastic Models and Data Analysis, 1998, vol. 14, issue 1, 77-84

Abstract: For applications in finance, we study the stochastic differential equation dXs = (2βXs + δs) ds + g(Xs) dBs with β a negative real number, g a continuous function vanishing at zero which satisfies a Hölder condition and δ a measurable and adapted stochastic process such that ∫t0 δu du

Date: 1998
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https://doi.org/10.1002/(SICI)1099-0747(199803)14:13.0.CO;2-2

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:14:y:1998:i:1:p:77-84

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