A stochastic delay financial model

DOI10.1090/S0002-9939-04-07765-2zbMath1134.91464OpenAlexW1507184948MaRDI QIDQ4654137

Gheorghe Stoica

Publication date: 1 March 2005

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-04-07765-2

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

• Unnamed Item
• A general version of the fundamental theorem of asset pricing
• Anticipative portfolio optimization

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