New stochastic calculus

MaRDI QIDQ5178827zbMATH OpenFDO

Authors Moawia Alghalith

Publication date 17 March 2015

Full work available at URL https://arxiv.org/abs/1211.5819, http://ajmaa.org/cgi-bin/paper.pl?string=v12n1/V12I1P3.tex

zbMATH Keywords

investmentPDEsportfoliostochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial applications of other theories (91G80)

Abstract: We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.

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Cited in

(1)

• Relation of a new interpretation of stochastic differential equations to Itô process

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