A stochastic model for the financial market with discontinuous prices

Leda D. Minkova

International Journal of Stochastic Analysis, 1996, vol. 9, 1-10

Abstract:

This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:184159

DOI: 10.1155/S1048953396000263

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