Some estimates on exponentials of solutions to stochastic differential equations

Jiongmin Yong

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-30

Abstract:

Exponential of functionals of solutions to certain stochastic differential equations (SDEs) plays an interesting role in some mathematical finance problems. The purpose of this paper is to establish some estimates for these exponentials.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:176480

DOI: 10.1155/S1048953304403049

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