Stochastic Differential Equations in $$L^{p}$$ L p -Spaces

Christos Floros (), Konstantinos Gkillas and Christos Kountzakis
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Christos Floros: Hellenic Mediterranean University
Konstantinos Gkillas: Hellenic Mediterranean University
Christos Kountzakis: University of the Aegean

A chapter in Operational Research Methods in Business, Finance and Economics, 2023, pp 1-6 from Springer

Abstract: Abstract In the present paper, we do provide more specific results on stochastic integration and stochastic differential equations on $$L^{p}$$ L p -spaces. We also may obtain the existence and uniqueness of strong solutions to these stochastic differential equations. These results are actually extensions of equivalent results on Brownian stochastic differential calculus. Their applications are related to financial markets’ structure, since this structure includes both investment and claim payments on insurance contracts.

Keywords: Partially ordered linear spaces; Stochastic integration; Stochastic differential equations; Applications in finance and actuarial science; 46A40; 44B40; 60H05; 60H10; 91G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnopch:978-3-031-31241-0_1

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DOI: 10.1007/978-3-031-31241-0_1

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