On SDEs with marginal laws evolving in finite-dimensional exponential families (Q1579848): Difference between revisions
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Latest revision as of 13:58, 30 May 2024
scientific article
| Language | Label | Description | Also known as |
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| English | On SDEs with marginal laws evolving in finite-dimensional exponential families |
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On SDEs with marginal laws evolving in finite-dimensional exponential families (English)
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21 May 2001
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For the given diffusion coefficient, the exponential family of densities and a smooth curve in this family the drift coefficient is found such that the solution of the corresponding SDE has the density according to the given curve. The proof is based on the properties of the Fokker-Planck equation. Applications to option pricing and nonlinear filtering are considered.
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stochastic differential equation
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exponential families
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Fokker-Planck equation
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stock price models
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option pricing
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nonlinear filtering
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