On linear stochastic equations of optional semimartingales and their applications

Mohamed N. Abdelghani and Alexander V. Melnikov

Statistics & Probability Letters, 2017, vol. 125, issue C, 207-214

Abstract: Elements of the stochastic calculus of optional semimartingales are presented. A solution of the nonhomogeneous and general linear stochastic equations is given in this framework. Also, the Gronwall inequality is derived. Furthermore, a theory of martingale transforms and examples of applications to mathematical finance are presented.

Keywords: Stochastic equations; Martingale deflators; Optional processes (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2017.02.014

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