Remarks on the equation dX_t=a(X_t)dB_t.

DOI10.1016/0304-4149(81)90034-XMaRDI QIDQ1151667zbMATH OpenOpenAlexFDO

Authors Cristina Betz, Henryk Gzyl

Publication date 1981

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(81)90034-x

zbMATH Keywords

local martingaletime change

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Cited in

(1)

• Closed form spread option valuation

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