Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion (Q2318923)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion |
scientific article |
Statements
Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion (English)
0 references
16 August 2019
0 references
Summary: We consider the stochastic functional differential equations with finite delay driven by \(G\)-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an equation.
0 references
