Stochastic Differential Equations

Gopinath Kallianpur and Rajeeva L. Karandikar
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Gopinath Kallianpur: University of North Carolina, Department of Statistics
Rajeeva L. Karandikar: Indian Statistical Institute, Department of Mathematics & Statistics

Chapter 4 in Introduction to Option Pricing Theory, 2000, pp 79-93 from Springer

Abstract: Abstract In this chapter, we consider the stochastic differential equations of diffusion type and present a result on the existence and uniqueness of solution. We also prove a version of the Feynman—Kac formula.

Keywords: Brownian Motion; Weak Solution; Stochastic Differential Equation; Wiener Process; Local Martingale (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0511-1_4

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DOI: 10.1007/978-1-4612-0511-1_4

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