Itô-Skorohod stochastic equations and applications to finance

Ciprian A. Tudor

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-11

Abstract:

We prove an existence and uniqueness theorem for a class of Itô-Skorohod stochastic equations. As an application, we introduce a Black-Scholes market model where the price of the risky asset follows a nonadapted equation.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:965621

DOI: 10.1155/S1048953304311044

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