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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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:207-214
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DOI: 10.1016/j.spl.2017.02.014
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