A stochastic calculus model of continuous trading: Complete markets
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Publication:1838779
DOI10.1016/0304-4149(83)90038-8zbMath0511.60094OpenAlexW2049258568MaRDI QIDQ1838779
J. Michael Harrison, Stanley R. Pliska
Publication date: 1983
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: http://www.kellogg.northwestern.edu/research/math/papers/489.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
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Cites Work
- Calcul stochastique et problèmes de martingales
- Martingales and stochastic integrals in the theory of continuous trading
- On the uniqueness of solutions of stochastic differential equations
- [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
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