Analytical solutions for stochastic differential equations via martingale processes

DOI10.1007/S40096-015-0153-XMaRDI QIDQ1992167zbMATH OpenOpenAlexWikidataFDO

Authors Hamidreza Rezazadeh, Amirhossein Sobhani, Maryam Behboudi, Rahman Farnoosh

Publication date 2 November 2018

Published in Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s40096-015-0153-x

zbMATH Keywords

analytical solutionchange of variabledifferentiable processItô formulamartingale process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A simple construction of certain diffusion processes
• An algorithmic introduction to numerical simulation of stochastic differential equations
• An introduction to stochastic differential equations
• Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• Multitime differentiable stochastic processes, diffusion PDEs, Tzitzeica hypersurfaces
• On explicit solutions to stochastic differential equations
• PDE and martingale methods in option pricing.
• Stochastic differential equations. An introduction with applications.

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